[mlpack-git] [mlpack] Implementation of primal-dual interior point SDP solver (#391)

[Stephen Tu]

> It would be nice if you could comment the internal bits of the algorithm more (even if it's just "solve equation X from the paper, which does $thing") and the goals of the tests

Yes I have been meaning to do that. 

> Also, is there anything I can compare with? You've said Mosek is very fast and it's not totally reasonable to compare with that, but maybe it's worth comparing with MATLAB's SDP solvers or something like SeDuMi, CSDP, or whatever?

Good question. Let me try to compare with cvxopt. 

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https://github.com/mlpack/mlpack/pull/391#issuecomment-71513333
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