[mlpack-git] [mlpack] Add a primal-dual interior point SDP solver (#387)

[Stephen Tu]

I have a working implementation of a primal-dual interior point solver. I'd like to open up a discussion for comments about the API and implementation: https://github.com/stephentu/mlpack/compare/ip

There is some code duplication currently between this code and `LRSDP`. My goal is to present a single interface for SDP (which is the `SDP`) class, and then have `LRSDP` take in an `SDP` object as input (much like the `PrimalDualSolver` does now). 

For this to be practical I think there are a few optimizations left that need to be implemented (especially the predictor-corrector step). But it's OK for now and we can add optimizations after we agree upon and flush out the API. 

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Reply to this email directly or view it on GitHub:
https://github.com/mlpack/mlpack/issues/387
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