Which solver can solve a MINLP and produce duals

[odow]

I want to solve

using SDDP, Gurobi
model = SDDP.LinearPolicyGraph(
    stages = 3,
    lower_bound = 0.0,
    optimizer = Gurobi.Optimizer,
) do sp, t
    @variable(sp, 0 <= x <= 10, SDDP.State, Int, initial_value = 1)
    @constraint(sp, x.out >= x.in)
    @stageobjective(sp, exp(x.out))
end
SDDP.train(model)
SDDP.calculate_bound(model), 3 * exp(1)

[odow]

In the next release of SDDP.jl, you'll be able to do:

duality_handler = SDDP.ContinuousConicDuality(Ipopt.Optimizer),