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bodono avatar bodono commented on June 7, 2024 1

Yes that's the idea, probably worth making sure that's actually better empirically though.

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stephane-caron avatar stephane-caron commented on June 7, 2024

@bodono Currently the function builds the box cone by:

        cone["bl"] = lb if lb is not None else np.full((n,), -np.inf)
        cone["bu"] = ub if ub is not None else np.full((n,), +np.inf)
        zero_row = csc_matrix((1, n))
        data["A"] = spa.vstack(
            (data["A"], zero_row, -spa.eye(n)),
            format="csc",
        )
        data["b"] = np.hstack((data["b"], 1.0, np.zeros(n)))

And simply returns solution["x"].

If I understand correctly, t == s[i_box] where i_box is the index of the first row of $A$ corresponding to the box cone. Then the proposal here is to record i_box and finally return solution["x"] / solution["s"][i_box].

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