Investigate implementing SGD for LRSDP

[rcurtin]

This is ported from mlpack/mlpack#395. There is some more discussion there. Here is the original description from @stephentu:

SGD for LR-SDP is becoming more popular, and this paper http://arxiv.org/pdf/1411.1134v2.pdf lays the groundwork for some neat theoretical convergence results (in particular, how to choose step sizes). This is really cool stuff which we should investigate.

This could be a fun project for someone looking to contribute code to mlpack.

[mlpack-bot]

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