This check: https://github.com/oxfordcontrol/OSQP.jl/blob/f50490536e41da2fef5f03216223090bd30698f8/src/interface.jl#L115-L118 does not work if there is zero offdiagonal entries which makes OSQP fail, see https://github.com/oxfordcontrol/OSQP.jl/pull/90