[mlpack-git] [mlpack/mlpack] parallel sgd (#603)

[Ryan Curtin]

Before we move forward with this, can you add some test cases for, e.g., logistic regression, and add some documentation for the ParallelSGD class and for what the tests are?  Be sure that your code follows the conventions of the style guide:

https://github.com/mlpack/mlpack/wiki/DesignGuidelines#style-guidelines
especially the spacing bit.

I am concerned that this is a lot slower than it could be.  It looks like you are checking for convergence of all of the threads at once, instead of letting each thread run its own SGD instance.  You might be able to simplify this significantly if you use the existing SGD class.

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