/Dualization.jl

Automatic dualization feature for MathOptInterface.jl

Primary LanguageJuliaOtherNOASSERTION

Dualization.jl

Build Status codecov DOI

Dualization.jl is an extension package for MathOptInterface.jl that formulates the dual of conic optimization problems.

Dualization.jl has two main features:

  • The Dualization.dualize function that computes the dual formulation of either a MathOptInterface.jl or a JuMP model.
  • The Dualization.dual_optimizer function that creates a MathOptInterface-compatible optimizer that solves the dual of the problem instead of the primal.

License

Dualization.jl is licensed under the MIT License.

Installation

Install Dualization using Pkg.add:

import Pkg
Pkg.add("Dualization")

Use with JuMP

To compute the dual formulation of a JuMP model, use dualize:

using JuMP, Dualization
model = Model()
# ... build model ...
dual_model = dualize(model)

To solve the dual formulation of a JuMP model, create a dual_optimizer:

using JuMP, Dualization, SCS
model = Model(dual_optimizer(SCS.Optimizer))
# ... build model ...
optimize!(model)  # Solves the dual instead of the primal

Documentation

The documentation for Dualization.jl includes a detailed description of the dual reformulation, along with examples and an API reference.