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To reproduce the error:
using JuMP, MosekTools, SCS # setup the model and constraints model = Model(Mosek.Optimizer) @variable(model, P[1:5,1:5], PSD) @constraint(model, diag(P[2:3, 2:3]) .- (-1. .+ 1) .* P[1,2:3] .+ (-1.) .* 1. .<= 0) @constraint(model, P[1,1] .== 1.) W = [1. 1; 1 -1] @constraint(model, P[1,4:5] .>= 0.0) @constraint(model, P[1,4:5] .>= W*P[1,2:3]) @constraint(model, diag(P[4:5,4:5] .- W*P[2:3,4:5]) .== 0); # solve the original objective c = [1.14, -4.5] @objective(model, Max, c'*P[1,4:5]) optimize!(model) objective_value(model) # returns ~2.28 # reformulate objective @variable(model, y[1:2]) @constraint(model, y .== P[1,4:5]) @objective(model, Max, c'*y) optimize!(model) objective_value(model) # returns ~4.55 !!!
When using model = Model(SCS.Optimizer) instead, the objective value is ~2.28 both times.
model = Model(SCS.Optimizer)
~2.28
I'm using Julia 1.11.1, JuMP v1.23.6, MosekTools v0.15.4 and SCS v2.0.2.
Julia 1.11.1
JuMP v1.23.6
MosekTools v0.15.4
SCS v2.0.2
The text was updated successfully, but these errors were encountered:
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To reproduce the error:
When using
model = Model(SCS.Optimizer)
instead, the objective value is~2.28
both times.I'm using
Julia 1.11.1
,JuMP v1.23.6
,MosekTools v0.15.4
andSCS v2.0.2
.The text was updated successfully, but these errors were encountered: