jump-dev / jump-dev/Convex.jl

Add support for quadratic objective functions

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feature request
Dominant language
Julia
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Merged PRs (30d)
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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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