Quadratic constraint failure

[jonhar97]

Hi,

I am using the following call to OSQP via JuMP in Julia:

  @variable(m1, x[1:n] >= 0)
  @objective(m1, Min, - dot(g,x));
  @constraint(m1, sum(m[i]*x[i] for i in 1:n) == 1.0); 
  @constraint(m1, x'*A*x <= inb) # quadratic constraint
  JuMP.optimize!(m1);
  c = JuMP.value.(x)

It seems as it cannot handle the quadratic constraint, or am I mistaken? I have tested a bunch of alternative solvers and all works in this setting. But it would be awesome to use OSQP.
Help is much appreciated!

Here is the error message:

ERROR: Constraints of type MathOptInterface.ScalarQuadraticFunction{Float64}-in-MathOptInterface.LessThan{Float64} are not supported by the solver.

If you expected the solver to support your problem, you may have an error in your formulation. Otherwise, consider using a different solver.

The list of available solvers, along with the problem types they support, is available at https://jump.dev/JuMP.jl/stable/installation/#Supported-solvers.
Stacktrace:

error(s::String) at [error.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

_moi_add_constraint(model::MathOptInterface.Utilities.CachingOptimizer{…}, f::MathOptInterface.ScalarQuadraticFunction{…}, s::MathOptInterface.LessThan{…}) at [constraints.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

add_constraint(model::Model, con::ScalarConstraint{QuadExpr, MathOptInterface.LessThan{Float64}}, name::String) at [constraints.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

macro expansion at [@constraint.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

macro expansion at [macros.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

OC2(A::Matrix{Float64}, g::Vector{Float64}, m::Vector{Float64}, n::Int64, inb::Float64) at [JumpOSQPPortFact_ptae926.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

top-level scope at [JumpOSQPPortFact_ptae926.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

Some type information was truncated. Use show(err) to see complete types.

ERROR: Constraints of type MathOptInterface.ScalarQuadraticFunction{Float64}-in-MathOptInterface.LessThan{Float64} are not supported by the solver.

If you expected the solver to support your problem, you may have an error in your formulation. Otherwise, consider using a different solver.

The list of available solvers, along with the problem types they support, is available at https://jump.dev/JuMP.jl/stable/installation/#Supported-solvers.
Stacktrace:

error(s::String) at [error.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

_moi_add_constraint(model::MathOptInterface.Utilities.CachingOptimizer{…}, f::MathOptInterface.ScalarQuadraticFunction{…}, s::MathOptInterface.LessThan{…}) at [constraints.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

add_constraint(model::Model, con::ScalarConstraint{QuadExpr, MathOptInterface.LessThan{Float64}}, name::String) at [constraints.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

macro expansion at [@constraint.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

macro expansion at [macros.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

OC2(A::Matrix{Float64}, g::Vector{Float64}, m::Vector{Float64}, n::Int64, inb::Float64) at [JumpOSQPPortFact_ptae926.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

top-level scope at [JumpOSQPPortFact_ptae926.jl](vscode-file://vscode-app/c:/Users/joah/AppData/Local/Programs/Microsoft%20VS%20Code/resources/app/out/vs/code/electron-sandbox/workbench/workbench.html)

Some type information was truncated. Use show(err) to see complete types.

[imciner2]

Hi @jonhar97,

OSQP does not currently support quadratic constraints, it is only a solver for linearly constrained quadratic programs, not quadratically constrained quadratic programs.

[jonhar97]

Hi @imciner2,

thanks a lot for your fast reply. Much appreciated!