Scalarize bridge error

[joaquimg]

@blegat this is the scalarize error I mentioned in jump-dev/ParametricOptInterface.jl#143

The code:

function scalarize_bridge_error()
    model = direct_model(DiffOpt.diff_optimizer(SCS.Optimizer))
    set_silent(model)
    @variable(model, x)
    # @variable(model, p in MOI.Parameter(3.0))
    p = 3.0
    @constraint(model, cons, [x - 3 * p] in MOI.Zeros(1))

    # it works it this is uncommented
    # @constraint(model, fake_soc, [0, 0, 0] in SecondOrderCone())

    @objective(model, Min, 2x)
    optimize!(model)

    MOI.set(model, DiffOpt.ForwardConstraintFunction(), cons,
        MOI.VectorAffineFunction{Float64}(MOI.VectorOfVariables([x]))
    )
    DiffOpt.forward_differentiate!(model) # ERROR

    return
end

the error:

ERROR: MathOptInterface.UnsupportedAttribute{DiffOpt.ForwardConstraintFunction}: Attribute DiffOpt.ForwardConstraintFunction() is not supported by the model: Bridge of type `ScalarizeBridge` does not support setting a value for the attribute `DiffOpt.ForwardConstraintFunction()`. If you encountered this error unexpectedly, it probably means your model has been reformulated using the bridge, and you are attempting to query an attribute that we haven't implemented yet for this bridge. Please open an issue at https://github.com/jump-dev/MathOptInterface.jl/issues/new and provide a reproducible example explaining what you were trying to do.
Stacktrace:
  [1] set(model::MathOptInterface.Bridges.LazyBridgeOptimizer{DiffOpt.QuadraticProgram.Model}, attr::DiffOpt.ForwardConstraintFunction, bridge::MathOptInterface.Bridges.Constraint.ScalarizeBridge{Float64, MathOptInterface.ScalarAffineFunction{Float64}, MathOptInterface.EqualTo{Float64}}, #unused#::MathOptInterface.VectorAffineFunction{Float64})
    @ MathOptInterface.Bridges C:\JG\Julia\packages\MathOptInterface\IiXiU\src\Bridges\bridge.jl:182

[blegat]

With jump-dev/DiffOpt.jl#253, this is becoming an MOI bug

[blegat]

using JuMP, SCS
function fallback_error()
    model = Model(SCS.Optimizer)
    @variable(model, x, start = 1)
    @objective(model, Min, x)
    optimize!(model)
    set_start_values(model)
    optimize!(model)
    return
end

gives

ERROR: MethodError: no method matching throw_set_error_fallback(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer, MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}}}, ::MathOptInterface.Bridges.Objective.SlackBridgePrimalDualStart, ::MathOptInterface.Bridges.Objective.FunctionConversionBridge{Float64, MathOptInterface.ScalarAffineFunction{Float64}, MathOptInterface.VariableIndex}, ::Nothing)

Closest candidates are:
  throw_set_error_fallback(::MathOptInterface.ModelLike, ::Union{MathOptInterface.AbstractModelAttribute, MathOptInterface.AbstractOptimizerAttribute}, ::Any; error_if_supported)
   @ MathOptInterface ~/.julia/dev/MathOptInterface/src/attributes.jl:577
  throw_set_error_fallback(::MathOptInterface.ModelLike, ::Union{MathOptInterface.AbstractConstraintAttribute, MathOptInterface.AbstractVariableAttribute}, ::Union{MathOptInterface.VariableIndex, MathOptInterface.ConstraintIndex}, ::Any; error_if_supported)
   @ MathOptInterface ~/.julia/dev/MathOptInterface/src/attributes.jl:590
  throw_set_error_fallback(::MathOptInterface.ModelLike, ::MathOptInterface.Bridges.Objective.SlackBridgePrimalDualStart, ::Nothing)
   @ MathOptInterface ~/.julia/dev/MathOptInterface/src/Bridges/Objective/bridges/slack.jl:191
  ...

Stacktrace:
 [1] set(::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer, MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}}}, ::MathOptInterface.Bridges.Objective.SlackBridgePrimalDualStart, ::MathOptInterface.Bridges.Objective.FunctionConversionBridge{Float64, MathOptInterface.ScalarAffineFunction{Float64}, MathOptInterface.VariableIndex}, ::Nothing)
   @ MathOptInterface ~/.julia/dev/MathOptInterface/src/attributes.jl:550
 [2] set(b::MathOptInterface.Bridges.LazyBridgeOptimizer{MathOptInterface.Utilities.CachingOptimizer{SCS.Optimizer, MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}}}, attr::MathOptInterface.Bridges.Objective.SlackBridgePrimalDualStart, #unused#::Nothing)
   @ MathOptInterface.Bridges.Objective ~/.julia/dev/MathOptInterface/src/Bridges/Objective/bridges/slack.jl:248

What's a bit weird is that if I remove the first optimize! not error is thrown. Maybe because the attribute is passed before the ObjectiveFunction which is a separate issue that should also be fixed.