add readme

cppext/README.md

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+# cppext
+
+This is a Python C++ extension that implements ProxQN and various 
+related functions for NOTEARS.
+The implementation of ProxQN was made possible by generous help of 
+the authors of [ProxQN](http:https://users.ices.utexas.edu/~zhongkai/ProxQN/). 
+
+
+## Contents
+
+- `eigen/` - [Eigen 3.3.5](http:https://eigen.tuxfamily.org/index.php?title=Main_Page)
+ as git submodule
+- `setup.py` - standard python script for package installation
+- `src/cppextmodule.cpp` - Python interface of C++ functions
+- `src/proxqn.h` - ProxQN algorithm
+- `src/problem.h` - class of problems that define zeroth and first order oracle 
+- `src/notears_problem.h` - function and gradient of augmented lagrangian
+- `src/lasso_problem.h` - function and gradient of lasso, for sanity check
+
+
+## Eigen with BLAS/LAPACK
+
+If you have BLAS/LAPACK installed, please uncomment corresponding lines
+in [`setup.py`](setup.py), [`proxqn.h`](src/proxqn.h),
+[`notears_problem.h`](src/notears_problem.h).