From e94662e615e305a9ac2ef3e9d930b51bd08c0916 Mon Sep 17 00:00:00 2001 From: kalmarek Date: Fri, 1 Dec 2017 17:06:20 +0100 Subject: [PATCH] fill the JuMP model variables from its internal model --- src/PropertyT.jl | 98 ++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 98 insertions(+) diff --git a/src/PropertyT.jl b/src/PropertyT.jl index a8ba76d..813283a 100644 --- a/src/PropertyT.jl +++ b/src/PropertyT.jl @@ -161,6 +161,101 @@ function λandP(name::String, SDP_problem::JuMP.Model, varλ, varP) end +function fillfrominternal!(m::JuMP.Model, traits) + # Copied from JuMP/src/solvers.jl:178 + + stat::Symbol = MathProgBase.status(m.internalModel) + + numRows, numCols = length(m.linconstr), m.numCols + m.objBound = NaN + m.objVal = NaN + m.colVal = fill(NaN, numCols) + m.linconstrDuals = Array{Float64}(0) + + discrete = (traits.int || traits.sos) + + if stat == :Optimal + # If we think dual information might be available, try to get it + # If not, return an array of the correct length + if discrete + m.redCosts = fill(NaN, numCols) + m.linconstrDuals = fill(NaN, numRows) + else + if !traits.conic + m.redCosts = try + MathProgBase.getreducedcosts(m.internalModel)[1:numCols] + catch + fill(NaN, numCols) + end + + m.linconstrDuals = try + MathProgBase.getconstrduals(m.internalModel)[1:numRows] + catch + fill(NaN, numRows) + end + elseif !traits.qp && !traits.qc + JuMP.fillConicDuals(m) + end + end + else + # Problem was not solved to optimality, attempt to extract useful + # information anyway + + if traits.lin + if stat == :Infeasible + m.linconstrDuals = try + infray = MathProgBase.getinfeasibilityray(m.internalModel) + @assert length(infray) == numRows + infray + catch + suppress_warnings || warn("Infeasibility ray (Farkas proof) not available") + fill(NaN, numRows) + end + elseif stat == :Unbounded + m.colVal = try + unbdray = MathProgBase.getunboundedray(m.internalModel) + @assert length(unbdray) == numCols + unbdray + catch + suppress_warnings || warn("Unbounded ray not available") + fill(NaN, numCols) + end + end + end + # conic duals (currently, SOC and SDP only) + if !discrete && traits.conic && !traits.qp && !traits.qc + if stat == :Infeasible + JuMP.fillConicDuals(m) + end + end + end + + # If the problem was solved, or if it terminated prematurely, try + # to extract a solution anyway. This commonly occurs when a time + # limit or tolerance is set (:UserLimit) + if !(stat == :Infeasible || stat == :Unbounded) + try + # Do a separate try since getobjval could work while getobjbound does not and vice versa + objBound = MathProgBase.getobjbound(m.internalModel) + m.obj.aff.constant + m.objBound = objBound + end + try + objVal = MathProgBase.getobjval(m.internalModel) + m.obj.aff.constant + colVal = MathProgBase.getsolution(m.internalModel)[1:numCols] + # Rescale off-diagonal terms of SDP variables + if traits.sdp + offdiagvars = JuMP.offdiagsdpvars(m) + colVal[offdiagvars] /= sqrt(2) + end + # Don't corrupt the answers if one of the above two calls fails + m.objVal = objVal + m.colVal = colVal + end + end + + return stat +end + function compute_λandP(m, varλ, varP; warmstart=nothing) λ = 0.0 P = nothing @@ -183,6 +278,9 @@ function compute_λandP(m, varλ, varP; warmstart=nothing) warmstart = (m.internalModel.primal_sol, m.internalModel.dual_sol, m.internalModel.slack) + + fillfrominternal!(m, traits) + P = JuMP.getvalue(varP) λ = JuMP.getvalue(varλ)