Python

If you have Ubuntu 12.04 or 12.10, the default version of python should be 2.7. To check this, go to a terminal and type

python -V

In the future, this is likely to change, as only python 3 will be installed by default. If you want to use python 3.x, things should work, but proceed at your own risk. Alternatively, at least in the near future, you should still be able to install python 2.7 through the repositories.

Scipy

The necessary libraries can be obtained through the repositories with the command

sudo apt-get install python-scipy

CVXOPT

The necessary libraries can be obtained through the repositories with the command

sudo apt-get install python-cvxopt

Now you are done! Wasn't that easy?

Recommended: ipython

The program ipython provides an interpreter where you can type in python code one line at a time and immediately see output. For those unfamiliar with the syntax, it provides a quick way to check short pieces of code. It can be obtained through the repositories with the command

sudo apt-get install ipython

To run the program, simply type

ipython

into a terminal.