ASL: lagscale, write_sol and duals' signs

Support
1

Hello,

I’m using the following Lagrangian definition in my solver: \mathcal{L}(x, y, z) = f(x) - y^T c(x) - z, while the ASL Hessian is defined as \nabla^2 \mathcal{L}(x, y) = \nabla^2 f(x) + \sum_{j=1}^m y_j \nabla^2 c_j(x).

Therefore I call ASL’s lagscale with scaling coefficient -1, but this also flips the signs of the dual solution when I call write_sol. I would like to avoid that and write my dual solution as is.

A call to lagscale with scaling coefficient 1 just before calling write_sol has no effect (it terminates immediately). What are my options here?

Thank you,
Charlie

2

As you have seen, calling lagscale again after solving does not have any effect on write_sol.

In this case, you’ll need to add a line of code — after calling your solver but before calling write_sol — to flip the signs of all the dual values that the solver returned. Then write_sol will automatically flip them again, and thus will write the solver’s actual dual values.

3

Got it, thank you for your feedback!