FileFormats.CBF: support constrained variables

[odow]

Writing

Currently, the CBF writer assumes all variables are in the "F" (MOI.Reals) cone.

MathOptInterface.jl/src/FileFormats/CBF/write.jl

Lines 252 to 253 in 7a95b63

	println(io, num_var, " 1")
	println(io, "F ", num_var)

We should add support for add_constrained_variables and then dis-allow VectorOfVariables constraints:

MathOptInterface.jl/src/FileFormats/CBF/write.jl

Line 194 in 7a95b63

_add_cones(data, model, MOI.VectorOfVariables, S)

since we end up writing VectorOfVariables constraints as a affine-in-set anyway:

MathOptInterface.jl/src/FileFormats/CBF/write.jl

Lines 55 to 61 in 7a95b63

	function _add_function(data, f::MOI.VectorOfVariables, ::Any)
	for v in f.variables
	data.num_rows += 1
	push!(data.acoord, (data.num_rows, v.value, 1.0))
	end
	return
	end

Reading

This should be changed to add_constrained_variable:

MathOptInterface.jl/src/FileFormats/CBF/read.jl

Lines 155 to 159 in 7a95b63

	MOI.add_constraint(
	model,
	MOI.VectorOfVariables(data.scalar_vars[var_idx.+indices]),
	_cbf_to_moi_cone(data, cone_str, cone_dim),
	)

[odow]

Closing for now. There's no point changing read because Model doesn't distinguish add_constrained_variables, and writing is tricky to get right. It's something to revisit if we work on MOI 2.0.