Replacing/Updating Constraints

[JP-Barbosa]

Hi,

Is there a way to update or replace constraints after the model is instantiated?

Long version

I am currently solving an EPEC via diagonalization. This requires me to solve the bilevel problem several times by updating a set of constraints. Since creating a new model instance is a bit of a waste of time (models are very large), being able to update constraints would be very useful.

I have already done something similar using directly JuMP Models...

function update!(model:: JuMP.Model, new_values::Vector[Number], index_set)
   # Remove and unregister existing fixing constraints
   for i in eachindex(model[:MyConstraintName])
      delete(model, model[:MyConstraintName][i])
   end
   unregister(model, :MyConstraintName)
   
   # Add new Constraint
   @constraint(model, :MyConstraintName[i in index_set], model[::MyVariableName][i] .== new_values[i])
   return model
end

However I failled to do the same with the BilevelJump since

delete(Upper(model), model[:MyConstraintName][i])

calls this function:

#jump_constraints.jl ln 45

function JuMP.delete(m::AbstractBilevelModel, cref::BilevelConstraintRef)
    error("can't delete")

Thanks!

[joaquimg]

Hi and welcome!

The main point is: it is usually much slower to solve than to build.

Moreover, related to the solve part,
a new solve will rebuild the internal MPEC anyway, so again building should not be a great bottleneck.

Have to tried profiling your code with PProf.jl?

If you have a MWE for which building is a bottleneck I would be happy to consider adding this functionality.

At the same time, a PR would be welcome.