The Linear programing framework we where using is called CVXOPT, which consists of some C libraries and a python module that calls them
This is the install that worked in a Docker container we have been using for development of tha algorthum. The full docker container is
apt-get install -yq libopenblas-dev libatlas-dev libblas-dev libglpk-dev glpk-utils liblapack-dev libsuitesparse-dev gsl-bin libgsl0-dev libfftw3-dev libblas-test libopenblas-base libopenblas-dev
git clone https://github.com/cvxopt/cvxopt.git
cd cvxopt
CVXOPT_BUILD_FFTW=1 CVXOPT_BUILD_GLPK=1 CVXOPT_BUILD_GSL=1 python setup.py install --user
The full file is here: https://gist.github.com/stuartlynn/1e39bae0f88262fe2948c99c2c35a4ed