[FileFormats.CBF] write VectorOfVariables constraints in VAR block

[odow]

Part of #2457

[blegat]

If the PSD cone is given, do we error ?

[odow]

No change to PSD. There's still written as affine cones

[blegat]

No change to PSD. There's still written as affine cones

Ah that's the current behavior. So it goes through the scalarize bridge ?
So at the moment, conic variables are scalarized and PSD variables are ignored ?

[odow]

Before this PR, the model is written out as:

min c' x
Ax - b in K
x free

All VectorOfVariables constraints are accepted (no bridging) but are written as affine constraints.

After this PR, things are written as:

min c' x
Ax - b in K
x in some cones but not all

VectorOfVariables in Exponential, DualExponential, and PositiveSemidefiniteConeTriangle are still supported, but they are written as affine constraints.

[odow]

Merging as an improvement for now. I'll look at doing EXP and PSD variables in a separate PR.