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Fix numerical issue in primal infeasibility certificates #129

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Merged
odow merged 2 commits into from
Nov 29, 2021
Merged

Fix numerical issue in primal infeasibility certificates #129

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965ed00
Fix numerical issue in primal infeasibility certificates
odow Nov 29, 2021
69073d6
Update src/MOI_wrapper/MOI_wrapper.jl
odow Nov 29, 2021
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11 changes: 10 additions & 1 deletion src/MOI_wrapper/MOI_wrapper.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -229,9 +229,11 @@ function _optimize!(dest::Optimizer, src::OptimizerCache)
length(q),
q,
num_exponential,
# Negated because ECOS uses `h - Gx ∈ K`.
-G.nzval,
G.colptr,
G.rowval,
# Negated because ECOS uses `b - Ax = 0`.
-A.nzval,
A.colptr,
A.rowval,
Expand Down Expand Up @@ -261,7 +263,14 @@ function _optimize!(dest::Optimizer, src::OptimizerCache)
if !MOI.Utilities.is_ray(MOI.get(dest, MOI.PrimalStatus()))
dest.sol.objective_value += objective_constant
end
if !MOI.Utilities.is_ray(MOI.get(dest, MOI.DualStatus()))
if MOI.Utilities.is_ray(MOI.get(dest, MOI.DualStatus()))
# ECOS can return very large rays here! Without this rescaling it fails
# many of the MOI tests due to rounding error in floating-point.
len = sqrt(sum(dest.sol.dual_ineq .^ 2) + sum(dest.sol.dual_eq .^ 2))
dest.sol.dual_ineq ./= len
dest.sol.dual_eq ./= len
dest.sol.dual_objective_value /= len
else
dest.sol.dual_objective_value += objective_constant
end
return
Expand Down