Fix ObjectiveBound and RelativeGap for LP models (#229)

src/MOI_wrapper.jl

@@ -2103,22 +2103,25 @@ function _dual_objective_contribution(l, x, u, d)
 end
 
 function MOI.get(model::Optimizer, ::MOI.ObjectiveBound)
-    # TODO(odow): there is a bug in HiGHS where it reports incorrect values for
-    # mip_dual_bound in the LP case. As a work-around, just return the most
-    # optimistic of the primal and dual values.
+    if model.solution.dual_solution_status != kHighsSolutionStatusNone
+        return MOI.get(model, MOI.DualObjectiveValue())
+    end
     p = Ref{Cdouble}()
     Highs_getDoubleInfoValue(model, "mip_dual_bound", p)
-    sense = _sense_corrector(model)
-    primal = Highs_getObjectiveValue(model)
-    return sense == -1 ? max(primal, -p[]) : min(primal, p[])
+    return p[]
 end
 
 function MOI.get(model::Optimizer, ::MOI.SolveTimeSec)
     return Highs_getRunTime(model)
 end
 
 function MOI.get(model::Optimizer, ::MOI.RelativeGap)
-    p = Ref{Cdouble}(0)
+    if model.solution.dual_solution_status != kHighsSolutionStatusNone
+        primal = MOI.get(model, MOI.ObjectiveValue())
+        dual = MOI.get(model, MOI.DualObjectiveValue())
+        return abs(primal - dual) / max(1, abs(primal))
+    end
+    p = Ref{Cdouble}(0.0)
     ret = Highs_getDoubleInfoValue(model, "mip_gap", p)
     _check_ret(ret)
     return p[]

test/MOI_wrapper.jl

@@ -930,6 +930,25 @@ function test_DualObjectiveValue_int()
     return
 end
 
+function test_continuous_objective_bound()
+    model = HiGHS.Optimizer()
+    MOI.set(model, MOI.Silent(), true)
+    MOI.set(model, MOI.RawOptimizerAttribute("solver"), "ipm")
+    MOI.set(model, MOI.RawOptimizerAttribute("run_crossover"), "off")
+    MOI.set(model, MOI.RawOptimizerAttribute("presolve"), "off")
+    x = MOI.add_variables(model, 3)
+    c = MOI.add_constraint.(model, 1.0 .* x, MOI.EqualTo.(1.0:3.0))
+    MOI.set(model, MOI.ObjectiveSense(), MOI.MAX_SENSE)
+    f = 1.0 * x[1] + x[2] + x[3]
+    MOI.set(model, MOI.ObjectiveFunction{typeof(f)}(), f)
+    MOI.optimize!(model)
+    primal = MOI.get(model, MOI.ObjectiveValue())
+    dual = MOI.get(model, MOI.DualObjectiveValue())
+    @test MOI.get(model, MOI.ObjectiveBound()) == dual
+    @test 0 < MOI.get(model, MOI.RelativeGap()) <= 1e-6
+    return
+end
+
 end  # module
 
 TestMOIHighs.runtests()