problem with Convex and new SCS (0.8.1)

[PaulSoderlind]

Julia 1.6.3, Win 10

example from SCS page:

using Convex, SCS
items  = [:Gold, :Silver, :Bronze]
values = [5.0, 3.0, 1.0]
weights = [2.0, 1.5, 0.3]

x = Variable(3)
p = maximize(x' * values, 0 <= x, x <= 1, x' * weights <= 3)
solve!(p, SCS.Optimizer)

gives

ERROR: LoadError: MethodError: no method matching solve!(::Problem, ::Type{SCS.Optimizer})                                  
Closest candidates are:                                       
  solve!(::Problem; warmstart, check_vexity, verbose) at C:\Users\psoderlind\.julia\packages\Convex\6NNC8\src\solution.jl:16  solve!(::Problem, ::MathProgBase.SolverInterface.AbstractMathProgSolver; kwargs...) at ...

[ericphanson]

I'm guessing this is a compatability issue: SCS v0.8.1 is using MOI v0.10, and Convex only supports MOI v0.9 currently. The package resolver has likely handled this by reverting to a very old version of Convex that doesn't use MOI at all, so there is no declared incompatability between the two, but in practice they aren't interoperable.

The current workaround would be to use an older version of SCS until Convex is updated.

#454 would update Convex, but I'm not sure if we need code changes or just a compat bump.

[PaulSoderlind]

reverting to a very old version of Convex

Indeed, I now see that I have been downgraded to Convex v0.12.5...

[PaulSoderlind]

but I'm not sure if we need code changes or just a compat bump.

I tried a compat bump, but got errors on my first attempt to run Convex. The error message started with

ERROR: LoadError: TypeError: in ObjectiveFunction, in F, expected F<:MathOptInterface.AbstractScalarFunction, got a value of type typeof(MathOptInterface.SingleVariable)

[ericphanson]

Yeah, I bumped #454 and saw that in the logs there too: https://github.com/jump-dev/Convex.jl/runs/4189678272?check_suite_focus=true#step:6:10423. The breaking changes are listed here: https://jump.dev/MathOptInterface.jl/latest/release_notes/#Breaking-changes-in-MOI. I think the issue might be SingleVariable has been removed; use VariableIndex instead, and the line in Convex here:

Convex.jl/src/solution.jl

Line 154 in 4fba10c

MOI.set(model, MOI.ObjectiveFunction{MOI.SingleVariable}(), MOI.SingleVariable(objective_index))

We also use SingleVariable a few other places in that function. Possibly @odow can advise us on the fix?

[odow]

There are a large number of breaking changes in MOI 0.10.

This particular line becomes

MOI.set(model, MOI.ObjectiveFunction{MOI.VariableIndex}(), objective_index)

But there are many more changes than just the removal of SingleVariable.

[PaulSoderlind]

Great. Seems to work well. Thanks for your efforts. /Paul S

[ericphanson]

Awesome, thanks for checking! I'll tag Convex v0.14.17 once #468 is merged and then we should be able to support both versions of MOI, which will hopefully make things easier.