Error when querying dual objective value for an unbounded model with at least one unbounded variable

[mtanneau]

I have running into an AssertError when querying dual_objective_value for an unbounded model with at least one unbounded variable.
The code blow was executed on Julia 1.11.1, JuMP 1.23.5 and HiGHS v1.12.1

julia> using JuMP, HiGHS

julia> model = Model(HiGHS.Optimizer);

julia> @variable(model, x);  # unbounded variable

julia> @objective(model, Min, x);

julia> optimize!(model)  # unbounded, as expected
Running HiGHS 1.8.1 (git hash: 4a7f24ac6): Copyright (c) 2024 HiGHS under MIT licence terms
Coefficient ranges:
  Cost   [1e+00, 1e+00]
  Bound  [0e+00, 0e+00]
Solving LP without presolve, or with basis, or unconstrained
Solving an unconstrained LP with 1 columns
Model status        : Unbounded
Objective value     :  0.0000000000e+00
Relative P-D gap    :  1.0000000000e+00
HiGHS run time      :          0.00

julia> dual_objective_value(model)
ERROR: AssertionError: isfinite(u)
Stacktrace:
  [1] _active_bound
    @ ~/.julia/packages/HiGHS/P0qbU/src/MOI_wrapper.jl:2275 [inlined]
  [2] get(model::HiGHS.Optimizer, attr::MathOptInterface.DualObjectiveValue)
    @ HiGHS ~/.julia/packages/HiGHS/P0qbU/src/MOI_wrapper.jl:2228
  [3] get
    @ ~/.julia/packages/MathOptInterface/gLl4d/src/Bridges/bridge_optimizer.jl:889 [inlined]
  [4] _get_model_attribute(model::MathOptInterface.Utilities.CachingOptimizer{…}, attr::MathOptInterface.DualObjectiveValue)
    @ MathOptInterface.Utilities ~/.julia/packages/MathOptInterface/gLl4d/src/Utilities/cachingoptimizer.jl:847
  [5] get
    @ ~/.julia/packages/MathOptInterface/gLl4d/src/Utilities/cachingoptimizer.jl:900 [inlined]
  [6] _moi_get_result(model::MathOptInterface.Utilities.CachingOptimizer{…}, args::MathOptInterface.DualObjectiveValue)
    @ JuMP ~/.julia/packages/JuMP/i68GU/src/optimizer_interface.jl:1053
  [7] get(model::Model, attr::MathOptInterface.DualObjectiveValue)
    @ JuMP ~/.julia/packages/JuMP/i68GU/src/optimizer_interface.jl:1073
  [8] dual_objective_value(model::Model; result::Int64)
    @ JuMP ~/.julia/packages/JuMP/i68GU/src/objective.jl:167
  [9] dual_objective_value(model::Model)
    @ JuMP ~/.julia/packages/JuMP/i68GU/src/objective.jl:163
 [10] top-level scope
    @ REPL[6]:1
Some type information was truncated. Use `show(err)` to see complete types.

The stacktrace points to this line:

HiGHS.jl/src/MOI_wrapper.jl

Line 2275 in 6914b62

@assert isfinite(u)

which I believe is only triggered when hitting an unbounded variable

[odow]

Oops. This is embarrassing...

[odow]

Actually this is less embarrassing than it seems. The issue is that your model is primal unbounded, and you've asked for the dual objective value (which is meaningless).

We can fix the bug, but it will return the dual objective at the dual infeasible point.