[mlpack-git] [mlpack] SDP should deal with linearly dependent constraints somehow (#404)

[Ryan Curtin]

@palashahuja: are you familiar with SDPs and LRSDP?  If not you should take a look into that first.  mlpack provides some code for solving SDPs (in src/mlpack/core/optimizers/sdp/) but it doesn't handle linear constraints nicely (you have to represent your linear constraint as an entire dense or sparse matrix which is often unwieldy and in some cases not possible).  So we need to find a way to adapt that code to deal with linear constraints more nicely.

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