build(CppAD): brought in CppAD for autodiff

we need an autodiff library at some point (or we need to roll our own but I do not think that makes sense). CppAD is well tested and header only and easy to include. It is also Liscene compatible with GPL v3.0. Here we bring it in as a dependency

build-config/cppad/include/cppad/local/set_get_in_parallel.hpp

@@ -0,0 +1,66 @@
+# ifndef CPPAD_LOCAL_SET_GET_IN_PARALLEL_HPP
+# define CPPAD_LOCAL_SET_GET_IN_PARALLEL_HPP
+/* --------------------------------------------------------------------------
+CppAD: C++ Algorithmic Differentiation: Copyright (C) 2003-20 Bradley M. Bell
+
+CppAD is distributed under the terms of the
+             Eclipse Public License Version 2.0.
+
+This Source Code may also be made available under the following
+Secondary License when the conditions for such availability set forth
+in the Eclipse Public License, Version 2.0 are satisfied:
+      GNU General Public License, Version 2.0 or later.
+---------------------------------------------------------------------------- */
+
+# include <cassert>
+# include <cppad/configure.hpp>
+namespace CppAD { namespace local { // BEGIN_CPPAD_LOCAL_NAMESPACE
+
+/*!
+\file set_get_in_parallel.hpp
+File used to set and get user in_parallel routine.
+*/
+/*!
+Set and call the routine that determine if we are in parallel execution mode.
+
+\return
+value retuned by most recent setting for in_parallel_new.
+If set is true,
+or the most recent setting is nullptr (its initial value),
+the return value is false.
+Otherwise the function corresponding to the most recent setting
+is called and its value returned by set_get_in_parallel.
+
+\param in_parallel_new [in]
+If set is false, in_parallel_new it is not used.
+Otherwise, the current value of in_parallel_new becomes the
+most recent setting for in_parallel_user.
+
+\param set
+If set is true, then parallel_new is becomes the most
+recent setting for this set_get_in_parallel.
+In this case, it is assumed that we are currently in sequential execution mode.
+*/
+static bool set_get_in_parallel(
+    bool (*in_parallel_new)(void) ,
+    bool set = false           )
+{   static bool (*in_parallel_user)(void) = nullptr;
+
+    if( set )
+    {   in_parallel_user = in_parallel_new;
+        // Doing a raw assert in this case because set_get_in_parallel is used
+        // by ErrorHandler and hence cannot use ErrorHandler.
+        // CPPAD_ASSERT_UNKNOWN( in_parallel_user() == false )
+        assert(in_parallel_user == nullptr || in_parallel_user() == false);
+        return false;
+    }
+    //
+    if( in_parallel_user == nullptr )
+        return false;
+    //
+    return in_parallel_user();
+}
+
+} } // END_CPPAD_LOCAL_NAMESPACE
+
+# endif