Support HDSDP solver

[mkoeppe]

Would https://github.com/COPT-Public/HDSDP be a suitable solver that could be supported?

In contrast to the unmaintained DSDP, it has a proper build system (cmake)

[pfetsch]

This will probably be an option, but currently one cannot build HDSDP from source.

[One currently needs to download a binary. The documentation mentions that one can use a (binary) linear algebra library, but this is not available.]

I will therefore wait until this project proceeds and probably add an interface if one can build from source.