LP/QP Framework

Mentors

• Viktor Gal (github: vigsterkr, IRC: wiking)

Difficulty & Requirements

Advanced. You need to be able to:

• Cleanup and optimize C/C++ code
• optimization theory
• opencl/cuda knowledge

Description

This task considers implementation of a framework for LP/QP optimization within Shogun. It shall be as modular as possible, since we want to have a general KKT solver as well as part of this project. The framework would be a thin wrapper that defines mappings for several existing and known optimization libraries (libqp, mosek, glpk, cplex, etc.). Using this framework implement a cone programming (both LP and QP).