Do not add infinite bounds

[odow]

In this example:

using JuMP, SCS
m = Model(with_optimizer(SCS.Optimizer))
@variable(m, -Inf <= x <= Inf)
@objective(m, Max, x)
@constraint(m, x <= 10)
optimize!(m)

The bridges should not pass x - Inf in Nonpositives() and x + Inf in Nonnegatives() to the solver.

x-ref: jump-dev/SCS.jl#205
x-ref: jump-dev/SCS.jl#170

[odow]

I took a look at this. Fixing the use of Interval in the bridges is non-trivial. It's probably much simpler for JuMP to just not add variable bounds with Inf.

[odow]

Removing this from 0.10 because it can be addressed in JuMP: #2618. Fixing this in MOI is a much harder task.

[blegat]

Fixing this in MOI is a much harder task.

I would also argue that the fault is with JuMP here, MOI.LessThan and MOI.GreaterThan should not contain infinite values. So the best thing the bridge could do is to throw an error. But maybe the error should be thrown in the constructor of MOI.LessThan and MOI.GreaterThan then.

[odow]

Closed by #2618