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!
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.