Enhancement for MIQCP cone disaggregation

[kaarthiksundar]

The cone disaggregation is now implemented in CPLEX 12.6.2 i.e., they take in constraints of the form $\sum x_i^2 <= x_0$ and do the disaggregation by introducing additional variables as a part of the presolve; after that, the outer approximation is performed if we want CPLEX to do so by using an "MIP strategy switch (2 does outer approximation)" (http://www-01.ibm.com/support/knowledgecenter/SSSA5P_12.6.2/ilog.odms.cplex.help/CPLEX/Parameters/topics/MIQCPStrat.html). JuMPChance could be modified to give the constraint in this form (The Reformulate option is the only one needed, CPLEX can do the cuts).

Also, check Slide 37 in the following link: http://www.slideshare.net/IBMOptimization/euro-2015-nodet