Add support for SOS constraints in MPS

[blegat]

There seems to be extensions of MPS for SOS constraints. It would have helped me for jump-dev/Cbc.jl#151 if it was supported

[odow]

To clarify, writing is supported. But reading is not:

MathOptInterface.jl/src/FileFormats/MPS/MPS.jl

Line 768 in f71ed83

error("TODO(odow): implement parsing of SOS constraints.")

[blegat]

Indeed, however it is ignoring variables if they are only in the SOS constraints, e.g.:

using MathOptInterface
const MOI = MathOptInterface
model = MOI.Utilities.Model{Float64}()
x, y = MOI.add_variables(model, 2)
MOI.add_constraint(model, MOI.SingleVariable(y), MOI.EqualTo(1.0))

MOI.add_constraint(model, MOI.VectorOfVariables([x, y]), MOI.SOS1([2.0, 1.0]))

MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
obj = 1.0 * MOI.SingleVariable(x)
MOI.set(model, MOI.ObjectiveFunction{typeof(obj)}(), obj)
dest = MOI.FileFormats.Model(format = MOI.FileFormats.FORMAT_MPS)
MOI.copy_to(dest, model)
MOI.write_to_file(dest, "file.mps")

throws a warning

┌ Warning: Variable x2 is mentioned in BOUNDS, but is not mentioned in the COLUMNS section. We are ignoring it.
└ @ MathOptInterface.FileFormats.MPS ~/.julia/dev/MathOptInterface/src/FileFormats/MPS/MPS.jl:529

and the file is

NAME          
ROWS
 N  OBJ
COLUMNS
    x1        OBJ       -1
RHS
RANGES
BOUNDS
 FR bounds    x1
SOS
 S1 SOS1
    x1        2
    x2        1
ENDATA