Fix ReverseConstraintDual for variable bounds in NonLinearProgram

[klamike]

dy is keyed by ConstraintIndex, but DiffOpt was unwrapping to int before calling haskey, so it was always false, silently zeroing the contribution.

DiffOpt.jl/src/diff_opt.jl

Lines 14 to 16 in 1b3cfe1

	Base.@kwdef mutable struct InputCache
	dx::Dict{MOI.VariableIndex,Float64} = Dict{MOI.VariableIndex,Float64}()# dz for QP
	dy::Dict{MOI.ConstraintIndex,Float64} = Dict{MOI.ConstraintIndex,Float64}()

MWE

using Pkg, Revise
Pkg.add("DiffOpt")
# Pkg.add(rev="mk/fix_nlp_bounds", url="[email protected]:klamike/DiffOpt.jl.git")
using JuMP, Ipopt, DiffOpt; const MOI = JuMP.MOI

model = DiffOpt.nonlinear_diff_model(Ipopt.Optimizer)
set_silent(model)
@variable(model, x[1:3] >= 0)
@variable(model, p in MOI.Parameter(4.5))
@constraint(model, 6x[1] + 3x[2] + 2x[3] == p)
@constraint(model, x[1] + x[2] - x[3] == 1)
@objective(model, Min, sum(x.^2))
optimize!(model)
value(x[3])  # ≈ 0 --> lower bound is active

MOI.set(model, DiffOpt.ReverseConstraintDual(), LowerBoundRef(x[3]), 1.0)
DiffOpt.reverse_differentiate!(model)
dp = MOI.get(model, DiffOpt.ReverseConstraintSet(), ParameterRef(p)).value
dp # before: dp ≈ 0.0, after: dp ≈ -2.888

cc @andrewrosemberg

[blegat]

Good catch, thanks, could you add a test ?

[codecov]

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 89.13%. Comparing base (1b3cfe1) to head (2f93d63).
⚠️ Report is 1 commits behind head on master.

Additional details and impacted files

@@            Coverage Diff             @@
##           master     #332      +/-   ##
==========================================
+ Coverage   88.72%   89.13%   +0.41%     
==========================================
  Files          16       16              
  Lines        1960     1961       +1     
==========================================
+ Hits         1739     1748       +9     
+ Misses        221      213       -8     

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[blegat]

I would guess the documentation failure is because of jump-dev/SCS.jl#333, so it should be unrelated

[blegat]

Thanks!