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Implement ForwardConstraintDual for Conic #319

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Implement ForwardConstraintDual for Conic #319

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14 changes: 14 additions & 0 deletions src/ConicProgram/ConicProgram.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -408,9 +408,23 @@ function MOI.get(
i = vi.value
du = model.forw_grad_cache.du
dw = model.forw_grad_cache.dw
# From https://arxiv.org/pdf/1904.09043, we have
# dx = du - (dw)x
# we just need to flip the sign due to different conventions.
return -(du[i] - model.x[i] * dw[])
end

function MOI.get(
model::Model,
::DiffOpt.ForwardConstraintDual,
ci::MOI.ConstraintIndex{MOI.VectorAffineFunction{Float64},S},
) where {S}
i = MOI.Utilities.rows(model.model.constraints, ci) # vector
# From https://arxiv.org/pdf/1904.09043, we have
# dy = DΠ(v)dv - (dw)y
return DΠ(v) * dv - dw[] * model.y[i]
end

function DiffOpt._get_db(
model::Model,
ci::MOI.ConstraintIndex{F,S},
Expand Down