Add low rank matrix

Author: blegat

src/sets.jl

@@ -1847,6 +1847,23 @@ function dual_set_type(::Type{LinearCombinationInSet{S,V}}) where {S,V}
     return SetWithDotProducts{S,V}
 end
 
+"""
+    struct LowRankMatrix{T}
+        diagonal::Vector{T}
+        factor::Matrix{T}
+    end
+
+`factor * Diagonal(diagonal) * factor'`.
+"""
+struct LowRankMatrix{T}
+    diagonal::Vector{T}
+    factor::Matrix{T}
+end
+
+struct TriangleVectorization{M}
+    matrix::M
+end
+
 """
     SOS1{T<:Real}(weights::Vector{T})