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Difficulty & Requirements
Advanced. You need to be able to:
- Cleanup and optimize C/C++ code
- optimization theory
- opencl/cuda knowledge
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).