Add checks and tests for NaN in constraints

src/aff_expr.jl

@@ -329,6 +329,12 @@ function _assert_isfinite(a::AffExpr)
     for (coef, var) in linear_terms(a)
         isfinite(coef) || error("Invalid coefficient $coef on variable $var.")
     end
+    if isnan(a.constant)
+        error(
+            "Expression contains an invalid NaN constant. This could be " *
+            "produced by `Inf - Inf`."
+        )
+    end
 end
 
 """

src/macros.jl

@@ -312,6 +312,9 @@ end
 # three-argument build_constraint is used for two-sided constraints.
 function build_constraint(_error::Function, func::AbstractJuMPScalar,
                           lb::Real, ub::Real)
+    if isnan(lb) || isnan(ub)
+        _error("Invalid bounds, cannot contain NaN: [$(lb), $(ub)].")
+    end
     return build_constraint(_error, func, MOI.Interval(Float64(lb), Float64(ub)))
 end
 
@@ -1182,7 +1185,7 @@ macro variable(args...)
             _error("Ambiguous variable name $x detected. To specify an anonymous binary " *
                 "variable, use `@variable(model, binary = true)` instead.")
         elseif x == :PSD
-            _error("Size of anonymous square matrix of positive semidefinite anonymous variables is not specified. To specify size of square matrix " * 
+            _error("Size of anonymous square matrix of positive semidefinite anonymous variables is not specified. To specify size of square matrix " *
                 "use `@variable(model, [1:n, 1:n], PSD)` instead.")
         end
         anon_singleton = false

test/macros.jl

@@ -631,6 +631,25 @@ end
         ) @NLparameter(model, p[axes(A)...] == x)
     end
 
+    @testset "NaN in constraints" begin
+        model = Model()
+        @variable(model, x >= 0)
+        @test_throws(
+            ErrorException(
+                "Expression contains an invalid NaN constant. This could be produced by `Inf - Inf`."
+            ),
+            @constraint(model, x >= NaN)
+        )
+        @test_throws ErrorException(
+            "Expression contains an invalid NaN constant. This could be produced by `Inf - Inf`."
+        ) @constraint(model, 1 <= x + NaN <= 2)
+        @test_throws ErrorException(
+            "Expression contains an invalid NaN constant. This could be produced by `Inf - Inf`."
+        ) @constraint(model, 1 <= x + Inf <= 2)
+        @test_throws ErrorException(
+            "In `@constraint(model, 1 <= x <= NaN)`: Invalid bounds, cannot contain NaN: [1, NaN]."
+        ) @constraint(model, 1 <= x <= NaN)
+    end
 end
 
 @testset "Macros for JuMPExtension.MyModel" begin