Add CodeQL workflow

.github/workflows/codeql.yml

@@ -0,0 +1,50 @@
+name: "CodeQL"
+
+on:
+  push:
+    branches: [ 'master' ]
+  pull_request:
+    # The branches below must be a subset of the branches above
+    branches: [ 'master' ]
+  schedule:
+    - cron: '21 3 * * 4'
+
+jobs:
+  analyze:
+    name: Analyze
+    runs-on: ubuntu-latest
+    permissions:
+      actions: read
+      contents: read
+      security-events: write
+
+    strategy:
+      fail-fast: false
+      matrix:
+        language: [ 'cpp', 'python' ]
+
+    steps:
+    - name: Checkout repository
+      uses: actions/checkout@v3
+
+    - name: Initialize CodeQL
+      uses: github/codeql-action/init@v2
+      with:
+        languages: ${{ matrix.language }}
+
+    # Build CPP
+    - name: get-oneDNN
+      run: wget https://github.com/oneapi-src/oneDNN/releases/download/v1.1/dnnl_lnx_1.1.0_cpu_gomp.tgz -P /tmp/ && tar zxf /tmp/dnnl_lnx_1.1.0_cpu_gomp.tgz -C /tmp
+    - name: install-build-dependencies
+      run: sudo apt-get install -y libgoogle-glog-dev libprotobuf-dev protobuf-compiler libncurses-dev libopenblas-dev gfortran libblas-dev liblapack-dev libatlas-base-dev swig dh-autoreconf lcov
+    - name: configure
+      run: mkdir build && cd build && cmake -DUSE_PYTHON=NO -DENABLE_TEST=YES -DCODE_COVERAGE=YES -DUSE_DNNL=YES ..
+      env:
+       DNNL_ROOT: /tmp/dnnl_lnx_1.1.0_cpu_gomp/
+    - name: build cpp
+      run: cd build && make
+
+    - name: Perform CodeQL Analysis
+      uses: github/codeql-action/analyze@v2
+      with:
+        category: "/language:${{matrix.language}}"