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jump-dev / MathOptInterface.jl

A data structure for mathematical optimization problems
http://jump.dev/MathOptInterface.jl/
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[FileFormats.CBF] write VectorOfVariables constraints in VAR block #2478

Closed odow closed 3 months ago

odow commented 3 months ago

Part of #2457

blegat commented 3 months ago

If the PSD cone is given, do we error ?

odow commented 3 months ago

No change to PSD. There's still written as affine cones

blegat commented 3 months ago

No change to PSD. There's still written as affine cones

Ah that's the current behavior. So it goes through the scalarize bridge ? So at the moment, conic variables are scalarized and PSD variables are ignored ?

odow commented 3 months ago

Before this PR, the model is written out as:

min c' x
Ax - b in K
x free

All VectorOfVariables constraints are accepted (no bridging) but are written as affine constraints.

After this PR, things are written as:

min c' x
Ax - b in K
x in some cones but not all

VectorOfVariables in Exponential, DualExponential, and PositiveSemidefiniteConeTriangle are still supported, but they are written as affine constraints.

odow commented 3 months ago

Merging as an improvement for now. I'll look at doing EXP and PSD variables in a separate PR.