How to implement convex optimization package?

Question

I fully realize that Convex Optimization packages, like Linear Algebra packages, should be things you use, not implement. However, for purely education purposes -- is there any good resource -- link / book on how to implement a convex optimization package? (like for quadratic programs with quadratic constraints?)

Thanks!

Answer 1

Any good textbook on convex optimization would have stuff you are looking for. One such free, but great resource is here: CO Book. Note that, as you correctly mention, implementing algorithms mentioned in this book will definitely need linear algebra libraries, which you may or may not choose to implement as well.