Add DualObjectiveValue

docs/src/apireference.md

@@ -100,6 +100,7 @@ ResultCount
 ObjectiveFunction
 ObjectiveFunctionType
 ObjectiveValue
+DualObjectiveValue
 ObjectiveBound
 RelativeGap
 SolveTime

src/Test/contconic.jl

@@ -58,6 +58,9 @@ function _lin1test(model::MOI.ModelLike, config::TestConfig, vecofvars::Bool)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ -11 atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ -11 atol=atol rtol=rtol
+        end
 
         @test MOI.get(model, MOI.VariablePrimal(), v) ≈ [1, 0, 2] atol=atol rtol=rtol
 
@@ -155,6 +158,9 @@ function _lin2test(model::MOI.ModelLike, config::TestConfig, vecofvars::Bool)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ -82 atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ -82 atol=atol rtol=rtol
+        end
 
         @test MOI.get(model, MOI.VariablePrimal(), x) ≈ -4 atol=atol rtol=rtol
         @test MOI.get(model, MOI.VariablePrimal(), y) ≈ -3 atol=atol rtol=rtol
@@ -343,6 +349,9 @@ function _soc1test(model::MOI.ModelLike, config::TestConfig, vecofvars::Bool)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ √2 atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ √2 atol=atol rtol=rtol
+        end
 
         @test MOI.get(model, MOI.VariablePrimal(), x) ≈ 1 atol=atol rtol=rtol
         @test MOI.get(model, MOI.VariablePrimal(), y) ≈ 1/√2 atol=atol rtol=rtol
@@ -418,6 +427,9 @@ function _soc2test(model::MOI.ModelLike, config::TestConfig, nonneg::Bool)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ -1/√2 atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ -1/√2 atol=atol rtol=rtol
+        end
 
         @test MOI.get(model, MOI.VariablePrimal(), x) ≈ -1/√2 atol=atol rtol=rtol
         @test MOI.get(model, MOI.VariablePrimal(), y) ≈ 1/√2 atol=atol rtol=rtol
@@ -537,6 +549,9 @@ function soc4test(model::MOI.ModelLike, config::TestConfig)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ -√5 atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ -√5 atol=atol rtol=rtol
+        end
 
         @test MOI.get(model, MOI.VariablePrimal(), x) ≈ [1.0, 2/√5, 1/√5, 2/√5, 1/√5] atol=atol rtol=rtol
 
@@ -619,6 +634,9 @@ function _rotatedsoc1test(model::MOI.ModelLike, config::TestConfig, abvars::Bool
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ √2 atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ √2 atol=atol rtol=rtol
+        end
 
         if abvars
             @test MOI.get(model, MOI.VariablePrimal(), a) ≈ 0.5 atol=atol rtol=rtol
@@ -787,6 +805,9 @@ function rotatedsoc3test(model::MOI.ModelLike, config::TestConfig; n=2, ub=3.0)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ √ub atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ √ub atol=atol rtol=rtol
+        end
 
         @test MOI.get(model, MOI.VariablePrimal(), x) ≈ [1.0; zeros(n-1)] atol=atol rtol=rtol
         @test MOI.get(model, MOI.VariablePrimal(), u) ≈ ub atol=atol rtol=rtol
@@ -947,6 +968,10 @@ function _exp1test(model::MOI.ModelLike, config::TestConfig, vecofvars::Bool)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ 3 + 2exp(1/2) atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 3 + 2exp(1/2) atol=atol rtol=rtol
+        end
+
         @test MOI.get(model, MOI.VariablePrimal(), v) ≈ [1., 2., 2exp(1/2)] atol=atol rtol=rtol
 
         @test MOI.get(model, MOI.ConstraintPrimal(), vc) ≈ [1., 2., 2exp(1/2)] atol=atol rtol=rtol
@@ -1013,6 +1038,9 @@ function exp2test(model::MOI.ModelLike, config::TestConfig)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ exp(-0.3) atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ exp(-0.3) atol=atol rtol=rtol
+        end
 
         @test MOI.get(model, MOI.VariablePrimal(), v) ≈ [0., -0.3, 0., exp(-0.3), exp(-0.3), exp(-0.3), 0., 1.0, 0.] atol=atol rtol=rtol
 
@@ -1078,6 +1106,9 @@ function exp3test(model::MOI.ModelLike, config::TestConfig)
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ log(5) atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ log(5) atol=atol rtol=rtol
+        end
 
         @test MOI.get(model, MOI.VariablePrimal(), x) ≈ log(5) atol=atol rtol=rtol
         @test MOI.get(model, MOI.VariablePrimal(), y) ≈ 5. atol=atol rtol=rtol
@@ -1157,6 +1188,9 @@ function _psd0test(model::MOI.ModelLike, vecofvars::Bool, psdcone, config::TestC
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ 2 atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 2 atol=atol rtol=rtol
+        end
 
         Xv = square ? ones(4) : ones(3)
         @test MOI.get(model, MOI.VariablePrimal(), X) ≈ Xv atol=atol rtol=rtol
@@ -1302,6 +1336,9 @@ function _psd1test(model::MOI.ModelLike, vecofvars::Bool, psdcone, config::TestC
         end
 
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ obj atol=atol rtol=rtol
+        if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ obj atol=atol rtol=rtol
+        end
 
         Xv = square ? [α^2, α*β, α^2, α*β, β^2, α*β, α^2, α*β, α^2] : [α^2, α*β, β^2, α^2, α*β, α^2]
         xv = [√2*x2, x2, x2]

src/Test/contlinear.jl

@@ -79,6 +79,7 @@ function linear1test(model::MOI.ModelLike, config::TestConfig)
 
         if config.duals
             @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ -1 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ -1 atol=atol rtol=rtol
 
             # reduced costs
@@ -112,6 +113,7 @@ function linear1test(model::MOI.ModelLike, config::TestConfig)
 
         if config.duals
             @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 1 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ -1 atol=atol rtol=rtol
 
             @test MOI.get(model, MOI.ConstraintDual(), vc1) ≈ 0 atol=atol rtol=rtol
@@ -171,6 +173,7 @@ function linear1test(model::MOI.ModelLike, config::TestConfig)
 
         if config.duals
             @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 2 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ -2 atol=atol rtol=rtol
 
             @test MOI.get(model, MOI.ConstraintDual(), vc1) ≈ 1 atol=atol rtol=rtol
@@ -198,6 +201,11 @@ function linear1test(model::MOI.ModelLike, config::TestConfig)
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ 3 atol=atol rtol=rtol
 
         @test MOI.get(model, MOI.VariablePrimal(), v) ≈ [-1, 0, 2] atol=atol rtol=rtol
+
+        if config.duals
+            @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 3 atol=atol rtol=rtol
+        end
     end
 
     # put lb of x back to 0 and fix z to zero to get :
@@ -317,6 +325,7 @@ function linear1test(model::MOI.ModelLike, config::TestConfig)
 
         if config.duals
             @test MOI.get(model, MOI.DualStatus(1)) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 3 atol=atol rtol=rtol
 
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ -1.5 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ConstraintDual(), c2) ≈ 0.5 atol=atol rtol=rtol
@@ -405,6 +414,7 @@ function linear2test(model::MOI.ModelLike, config::TestConfig)
 
         if config.duals
             @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ -1 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ -1 atol=atol rtol=rtol
 
             # reduced costs
@@ -1157,6 +1167,7 @@ function linear10test(model::MOI.ModelLike, config::TestConfig)
         if config.duals
             @test MOI.get(model, MOI.ResultCount()) >= 1
             @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 10.0 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ -1 atol=atol rtol=rtol
         end
 
@@ -1180,6 +1191,7 @@ function linear10test(model::MOI.ModelLike, config::TestConfig)
         @test MOI.get(model, MOI.ConstraintPrimal(), c) ≈ 5 atol=atol rtol=rtol
 
         if config.duals
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 5.0 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ResultCount()) >= 1
             @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ 1 atol=atol rtol=rtol
@@ -1213,6 +1225,13 @@ function linear10test(model::MOI.ModelLike, config::TestConfig)
                    MOI.get(model, MOI.ConstraintBasisStatus(), vc[2])== MOI.BASIC)
             @test MOI.get(model, MOI.ConstraintBasisStatus(), c) == MOI.NONBASIC_AT_LOWER
         end
+
+        if config.duals
+            @test MOI.get(model, MOI.ResultCount()) >= 1
+            @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 2.0 atol=atol rtol=rtol
+            @test MOI.get(model, MOI.ConstraintDual(), c) ≈ 1 atol=atol rtol=rtol
+        end
     end
 
     MOI.set(model, MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}}(), MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.([1.0, 1.0], [x, y]), 0.0))
@@ -1529,6 +1548,7 @@ function linear14test(model::MOI.ModelLike, config::TestConfig)
 
         if config.duals
             @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 8 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ -1 atol=atol rtol=rtol
 
             # reduced costs
@@ -1565,6 +1585,7 @@ function linear14test(model::MOI.ModelLike, config::TestConfig)
 
         if config.duals
             @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 6 atol=atol rtol=rtol
             @test MOI.get(model, MOI.ConstraintDual(), c) ≈ -1 atol=atol rtol=rtol
 
             # reduced costs
@@ -1617,6 +1638,11 @@ function linear15test(model::MOI.ModelLike, config::TestConfig)
         @test MOI.get(model, MOI.ObjectiveValue()) ≈ 0 atol=atol rtol=rtol
 
         @test MOI.get(model, MOI.VariablePrimal(), x[1]) ≈ 0 atol=atol rtol=rtol
+
+        if config.duals
+            @test MOI.get(model, MOI.DualStatus()) == MOI.FEASIBLE_POINT
+            @test MOI.get(model, MOI.DualObjectiveValue()) ≈ 0 atol=atol rtol=rtol
+        end
     end
 end
 

src/Utilities/mockoptimizer.jl

@@ -31,8 +31,11 @@ mutable struct MockOptimizer{MT<:MOI.ModelLike} <: MOI.AbstractOptimizer
     # Computes `ObjectiveValue` by evaluating the `ObjectiveFunction` with
     # `VariablePrimal`. See `get_fallback`.
     eval_objective_value::Bool
-    objectivevalue::Float64
-    objectivebound::Float64  # set this using MOI.set(model, MOI.ObjectiveBound(), value)
+    objective_value::Float64 # set this using MOI.set(model, MOI.ObjectiveValue(), value)
+    # Computes `DualObjectiveValue` using `get_fallback`
+    eval_dual_objective_value::Bool
+    dual_objective_value::Float64 # set this using MOI.set(model, MOI.DualObjectiveValue(), value)
+    objective_bound::Float64  # set this using MOI.set(model, MOI.ObjectiveBound(), value)
     primalstatus::MOI.ResultStatusCode
     dualstatus::MOI.ResultStatusCode
     varprimal::Dict{MOI.VariableIndex,Float64}
@@ -54,6 +57,7 @@ xor_variables(f) = mapvariables(xor_index, f)
 function MockOptimizer(inner_model::MOI.ModelLike; supports_names=true,
                        needs_allocate_load=false,
                        eval_objective_value=true,
+                       eval_dual_objective_value=true,
                        eval_variable_constraint_dual=true)
     return MockOptimizer(inner_model,
                          0,
@@ -73,6 +77,8 @@ function MockOptimizer(inner_model::MOI.ModelLike; supports_names=true,
                          0,
                          eval_objective_value,
                          NaN,
+                         eval_dual_objective_value,
+                         NaN,
                          NaN,
                          MOI.NO_SOLUTION,
                          MOI.NO_SOLUTION,
@@ -141,10 +147,11 @@ function MOI.supports(mock::MockOptimizer,
     return MOI.supports(mock.inner_model, attr, IdxT)
 end
 
-MOI.supports(mock::MockOptimizer, ::Union{MOI.ResultCount,MOI.TerminationStatus,MOI.ObjectiveValue,MOI.PrimalStatus,MOI.DualStatus,MockModelAttribute}) = true
+MOI.supports(mock::MockOptimizer, ::MockModelAttribute) = true
 MOI.set(mock::MockOptimizer, ::MOI.ResultCount, value::Integer) = (mock.resultcount = value)
 MOI.set(mock::MockOptimizer, ::MOI.TerminationStatus, value::MOI.TerminationStatusCode) = (mock.terminationstatus = value)
-MOI.set(mock::MockOptimizer, ::MOI.ObjectiveValue, value::Real) = (mock.objectivevalue = value)
+MOI.set(mock::MockOptimizer, ::MOI.ObjectiveValue, value::Real) = (mock.objective_value = value)
+MOI.set(mock::MockOptimizer, ::MOI.DualObjectiveValue, value::Real) = (mock.dual_objective_value = value)
 MOI.set(mock::MockOptimizer, ::MOI.PrimalStatus, value::MOI.ResultStatusCode) = (mock.primalstatus = value)
 MOI.set(mock::MockOptimizer, ::MOI.DualStatus, value::MOI.ResultStatusCode) = (mock.dualstatus = value)
 MOI.set(mock::MockOptimizer, ::MockModelAttribute, value::Integer) = (mock.attribute = value)
@@ -237,7 +244,14 @@ function MOI.get(mock::MockOptimizer, attr::MOI.ObjectiveValue)
     if mock.eval_objective_value
         return get_fallback(mock, attr)
     else
-        return mock.objectivevalue
+        return mock.objective_value
+    end
+end
+function MOI.get(mock::MockOptimizer, attr::MOI.DualObjectiveValue)
+    if mock.eval_dual_objective_value
+        return get_fallback(mock, attr, Float64)
+    else
+        return mock.dual_objective_value
     end
 end
 MOI.get(mock::MockOptimizer, ::MOI.PrimalStatus) = mock.primalstatus
@@ -283,10 +297,9 @@ end
 MOI.get(mock::MockOptimizer, ::MockConstraintAttribute, idx::MOI.ConstraintIndex) = mock.conattribute[xor_index(idx)]
 MOI.get(mock::MockOptimizer, ::MOI.ConstraintBasisStatus, idx::MOI.ConstraintIndex) = mock.con_basis[xor_index(idx)]
 
-MOI.supports(mock::MockOptimizer, ::MOI.ObjectiveBound) = true
-MOI.get(mock::MockOptimizer, ::MOI.ObjectiveBound) = mock.objectivebound
+MOI.get(mock::MockOptimizer, ::MOI.ObjectiveBound) = mock.objective_bound
 function MOI.set(mock::MockOptimizer, ::MOI.ObjectiveBound, value::Float64)
-    mock.objectivebound = value
+    mock.objective_bound = value
 end
 
 MOI.get(::MockOptimizer, ::MOI.SolverName) = "Mock"
@@ -301,8 +314,9 @@ function MOI.empty!(mock::MockOptimizer)
     mock.hasdual = false
     mock.terminationstatus = MOI.OPTIMIZE_NOT_CALLED
     mock.resultcount = 0
-    mock.objectivevalue = NaN
-    mock.objectivebound = NaN
+    mock.objective_value = NaN
+    mock.dual_objective_value = NaN
+    mock.objective_bound = NaN
     mock.primalstatus = MOI.NO_SOLUTION
     mock.dualstatus = MOI.NO_SOLUTION
     mock.varprimal = Dict{MOI.VariableIndex,Float64}()
@@ -318,8 +332,8 @@ function MOI.is_empty(mock::MockOptimizer)
     return MOI.is_empty(mock.inner_model) && mock.attribute == 0 &&
         !mock.solved && !mock.hasprimal && !mock.hasdual &&
         mock.terminationstatus == MOI.OPTIMIZE_NOT_CALLED &&
-        mock.resultcount == 0 && isnan(mock.objectivevalue) &&
-        isnan(mock.objectivebound) &&
+        mock.resultcount == 0 && isnan(mock.objective_value) &&
+        isnan(mock.dual_objective_value) && isnan(mock.objective_bound) &&
         mock.primalstatus == MOI.NO_SOLUTION &&
         mock.dualstatus == MOI.NO_SOLUTION &&
         isempty(mock.con_basis)