Add support for quadratic objective functions
- Dominant language
- Julia
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Description
I am trying to use Convex.jl to interface with the OSQP solver. However, for some reason I am unable to use quadform in the objective and still have it link to the OSQP optimizer.
```julia
using Convex
using LinearAlgebra
using OSQP
x = Variable(5)
P = Diagonal(ones(5))
problem = minimize(quadform(x, P))
solve!(problem, OSQP.Optimizer)
```
When this code runs I get the following error:
```
LoadError: MathOptInterface.UnsupportedConstraint{MathOptInterface.VectorAffineFunction{Float64},MathOptInterface.SecondOrderCone}("")
```
I don't understand why it throws an unsupported constraint error as there are no constraints.
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