Adding Library in support of a Shogun Machine Learning Toolkit build

I'm adding libraries in support of building the Shogun Machine Learning Toolkit.

Libraries added so far:
ccache 
SWIG
GLPK
ColPack
NLopt
ARPREC

Todo:
HDF5
szip
snappy
csharp
lpsolve (might push off)

Once these are done then I'll take a swing at building Shogun itself.