Dualization.jl

Dualization.jl is an extension package for MathOptInterface.jl that formulates the dual of conic optimization problems.

Dualization.jl has two main features:

• The Dualization.dualize function that computes the dual formulation of either a MathOptInterface.jl or a JuMP model.
• The Dualization.dual_optimizer function that creates a MathOptInterface-compatible optimizer that solves the dual of the problem instead of the primal.

License

Dualization.jl is licensed under the MIT License.

Installation

Install Dualization using Pkg.add:

import PkgPkg.add("Dualization")

Use with JuMP

To compute the dual formulation of a JuMP model, use dualize:

using JuMP, Dualizationmodel = Model()# ... build model ...dual_model = dualize(model)

To solve the dual formulation of a JuMP model, create a dual_optimizer:

using JuMP, Dualization, SCSmodel = Model(dual_optimizer(SCS.Optimizer))# ... build model ...optimize!(model)  # Solves the dual instead of the primal

Documentation

The documentation for Dualization.jl includes a detailed description of the dual reformulation, along with examples and an API reference.