Fix treatment of objective value for infeasibility certificates (rays) (

#150)

* Modify behavior of primal/dual objval attribute

* Enable unbounded MOI tests

* Update Tulip example tests

* Fix dual objective value computation

* Fix dual objective value for max problems

examples/infeasible.jl

@@ -28,16 +28,16 @@ function ex_infeasible(::Type{Tv};
         TLP.set_parameter(m, String(k), val)
     end
 
-    # Read problem from .mps file and solve    
+    # Read problem from .mps file and solve
     TLP.load_problem!(m, joinpath(INSTANCE_DIR, "lpex_inf.mps"))
     TLP.optimize!(m)
 
     # Check status
     @test TLP.get_attribute(m, TLP.Status()) == TLP.Trm_PrimalInfeasible
-    z = TLP.get_attribute(m, TLP.ObjectiveValue())
-    @test z == Inf
     @test m.solution.primal_status == TLP.Sln_Unknown
     @test m.solution.dual_status   == TLP.Sln_InfeasibilityCertificate
+    z = TLP.get_attribute(m, TLP.ObjectiveValue())
+    @test z == zero(Tv)  # Primal infeasible --> solution is zero
 
     # Check unbounded dual ray
     y1 = m.solution.y_lower[1] - m.solution.y_upper[1]

examples/unbounded.jl

@@ -26,14 +26,12 @@ function ex_unbounded(::Type{Tv};
         TLP.set_parameter(m, String(k), val)
     end
 
-    # Read problem from .mps file and solve    
+    # Read problem from .mps file and solve
     TLP.load_problem!(m, joinpath(INSTANCE_DIR, "lpex_ubd.mps"))
     TLP.optimize!(m)
 
     # Check status
     @test TLP.get_attribute(m, TLP.Status()) == TLP.Trm_DualInfeasible
-    z = TLP.get_attribute(m, TLP.ObjectiveValue())
-    @test z == -Tv(Inf)
     @test m.solution.primal_status == TLP.Sln_InfeasibilityCertificate
     @test m.solution.dual_status   == TLP.Sln_Unknown
 
@@ -46,8 +44,16 @@ function ex_unbounded(::Type{Tv};
     @test x2 >= -atol
     @test isapprox(Ax1, 0, atol=atol, rtol=rtol)
     @test -x1 - x2 <= -atol
+
+
+    zp = TLP.get_attribute(m, TLP.ObjectiveValue())
+    @test zp == (-x1 - x2)
+
+    zd = TLP.get_attribute(m, TLP.DualObjectiveValue())
+    @test zd == zero(Tv)
+
 end
 
 if abspath(PROGRAM_FILE) == @__FILE__
     ex_unbounded(Float64)
-end
+end

src/Interfaces/tulip_julia_api.jl

@@ -243,9 +243,19 @@ Query the `ObjectiveValue` attribute from `model`
 function get_attribute(m::Model{T}, ::ObjectiveValue) where{T}
     if isnothing(m.solution)
         error("Model has no solution")
+    end
+
+    pst = m.solution.primal_status
+
+    if pst != Sln_Unknown
+        z  = dot(m.solution.x, m.pbdata.obj)
+        # If solution is a ray, ignore constant objective term
+        is_ray = m.solution.is_primal_ray
+        z0 = !is_ray * m.pbdata.obj0
+        return (z + z0)
     else
-        z = m.solution.z_primal
-        return m.pbdata.objsense ? z : -z
+        # No solution, return zero
+        return zero(T)
     end
 end
 
@@ -257,8 +267,38 @@ Query the `DualObjectiveValue` attribute from `model`
 function get_attribute(m::Model{T}, ::DualObjectiveValue) where{T}
     if isnothing(m.solution)
         error("Model has no solution")
+    end
+
+    dst = m.solution.dual_status
+
+    if dst != Sln_Unknown
+        yl = m.solution.y_lower
+        yu = m.solution.y_upper
+        sl = m.solution.s_lower
+        su = m.solution.s_upper
+
+        bl = m.pbdata.lcon
+        bu = m.pbdata.ucon
+        xl = m.pbdata.lvar
+        xu = m.pbdata.uvar
+
+        z = (
+              dot(yl, Diagonal(isfinite.(bl)), bl)
+            - dot(yu, Diagonal(isfinite.(bu)), bu)
+            + dot(sl, Diagonal(isfinite.(xl)), xl)
+            - dot(su, Diagonal(isfinite.(xu)), xu)
+        )
+
+        # If problem is maximization, we need to negate the dual value
+        #   to comply with MOI duality convention
+        z = m.pbdata.objsense ? z : -z
+
+        # If solution is a ray, ignore constant objective term
+        is_ray = m.solution.is_dual_ray
+        z0 = !is_ray * m.pbdata.obj0
+        return (z + z0)
     else
-        z = m.solution.z_dual
-        return m.pbdata.objsense ? z : -z
+        # No solution, return zero
+        return zero(T)
     end
 end

test/Interfaces/MOI_wrapper.jl

@@ -29,9 +29,6 @@ const CONFIG = MOIT.Config(Float64, atol=1e-6, rtol=1e-6,
             "test_objective_set_via_modify",
             # requires get quadratic objective
             "test_objective_get_ObjectiveFunction_ScalarAffineFunction",
-            # Tulip not compliant with MOI convention for primal/dual infeasible models
-            # See expected behavior at https://jump.dev/MathOptInterface.jl/dev/background/infeasibility_certificates/
-            "test_unbounded",
             # Tulip is not compliant with the MOI.ListOfModelAttributesSet attribute
             "_in_ListOfModelAttributesSet",
         ]
@@ -65,9 +62,6 @@ end
             "test_objective_set_via_modify",
             # requires get quadratic objective
             "test_objective_get_ObjectiveFunction_ScalarAffineFunction",
-            # Tulip not compliant with MOI convention for primal/dual infeasible models
-            # See expected behavior at https://jump.dev/MathOptInterface.jl/dev/background/infeasibility_certificates/
-            "test_unbounded",
             # Tulip is not compliant with the MOI.ListOfModelAttributesSet attribute
             "_in_ListOfModelAttributesSet",
         ],