Is this a requirement of OSI or CPLEX? And is this really required, or is this a
bug where CMake discovers dynamic libraries and tries to use them in a static build?
If it is a requirement of OSI (or the CPLEX component of OSI) then the code for
it should go into the FindOSI script; if it is a requirement of CPLEX, it should
go into FindCplex.
A quick search showed that CMake has the variable CMAKE_DL_LIBS that you could
use, but I didn't find which version introduced that (we currently support CMake
versions >= 2.8.3). I also don't know if that works the same on all systems,
e.g., if the library should be added on Windows as well.
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