Add COPT support

[wujianjack]

Description

Add COPT support to the DNLP feature

Type of change

• New feature (backwards compatible)
• New feature (breaking API changes)
• Bug fix
• Other (Documentation, CI, ...)

Contribution checklist

• Add our license to new files.
• Check that your code adheres to our coding style.
• Write unittests.
• Run the unittests and check that they’re passing.
• Run the benchmarks to make sure your change doesn’t introduce a regression.

[github-actions]

Benchmarks that have stayed the same:

   before           after         ratio
 [449b7c1e]       [853ab141]
      3.19±0s          3.33±0s     1.04  quantum_hilbert_matrix.QuantumHilbertMatrix.time_compile_problem
      1.36±0s          1.40±0s     1.03  matrix_stuffing.ParamConeMatrixStuffing.time_compile_problem
      236±0ms          240±0ms     1.02  gini_portfolio.Murray.time_compile_problem
      22.6±0s          23.0±0s     1.02  sdp_segfault_1132_benchmark.SDPSegfault1132Benchmark.time_compile_problem
      846±0ms          856±0ms     1.01  simple_QP_benchmarks.LeastSquares.time_compile_problem
      5.03±0s          5.08±0s     1.01  optimal_advertising.OptimalAdvertising.time_compile_problem
      1.09±0s          1.10±0s     1.01  finance.FactorCovarianceModel.time_compile_problem
      301±0ms          303±0ms     1.01  slow_pruning_1668_benchmark.SlowPruningBenchmark.time_compile_problem
      168±0ms          169±0ms     1.01  high_dim_convex_plasticity.ConvexPlasticity.time_compile_problem
     39.5±0ms         39.8±0ms     1.01  matrix_stuffing.SmallMatrixStuffing.time_compile_problem
      4.64±0s          4.66±0s     1.00  huber_regression.HuberRegression.time_compile_problem
      11.5±0s          11.5±0s     1.00  simple_LP_benchmarks.SimpleLPBenchmark.time_compile_problem
      354±0ms          354±0ms     1.00  gini_portfolio.Yitzhaki.time_compile_problem
      261±0ms          261±0ms     1.00  simple_QP_benchmarks.SimpleQPBenchmark.time_compile_problem
     14.5±0ms         14.5±0ms     1.00  simple_QP_benchmarks.ParametrizedQPBenchmark.time_compile_problem
      964±0ms          960±0ms     1.00  simple_LP_benchmarks.SimpleScalarParametrizedLPBenchmark.time_compile_problem
      683±0ms          680±0ms     0.99  matrix_stuffing.ConeMatrixStuffingBench.time_compile_problem
      284±0ms          282±0ms     0.99  matrix_stuffing.ParamSmallMatrixStuffing.time_compile_problem
      1.89±0s          1.87±0s     0.99  simple_QP_benchmarks.UnconstrainedQP.time_compile_problem
      5.25±0s          5.19±0s     0.99  svm_l1_regularization.SVMWithL1Regularization.time_compile_problem
      542±0ms          535±0ms     0.99  semidefinite_programming.SemidefiniteProgramming.time_compile_problem
      1.14±0s          1.11±0s     0.98  gini_portfolio.Cajas.time_compile_problem
     14.8±0ms         14.4±0ms     0.97  simple_LP_benchmarks.SimpleFullyParametrizedLPBenchmark.time_compile_problem
      13.8±0s          13.4±0s     0.97  finance.CVaRBenchmark.time_compile_problem
      1.74±0s          1.68±0s     0.96  tv_inpainting.TvInpainting.time_compile_problem

[Transurgeon]

can you remove the changes in this file? These tests should not be changed.