Obtaining duals of convex problem with second order cone constraints not possible using Gurobi optimizer #217
Description
I have a convex problem (which therefore should have duals) yet these don't seem to work. I can solve the problem just fine, but if I try to obtain the duals of a constraint I either get NaN or AssertionError: dual >= 0.0. Minimum working example below, I'm guessing it might be specific to Gurobi?
using JuMP
using Gurobi
m = Model(with_optimizer(Gurobi.Optimizer))
@variable(m, x >= 0)
@variable(m, y >= 0)
@variable(m, z >= 0)
@constraint(m, con1, x + y == 2)
@constraint(m, con2, x + y + z >= 0)
@constraint(m, con3, x^2 >= y^2 + z^2)
optimize!(m)
dual(con1)
dual(con2)
dual(con3)