Building a custom "variable in set" constraint

Specific Domains Optimization (Mathematical)
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4

Sorry, I thought by “implemented my own type of sets” you meant a MOI.AbstractSet. Note that JuMP does not intercept Base.in, nor does it rewrite in SecondOrderCone to be something different. It just calls moi_set(SecondOrderCone(), dim) to get the correct MOI set to pass to the solver.

Can you give an actual minimal working example of the set you want to add?

Why is this not sufficient:

add_constraint.(model, x in X)

or even

function add_my_constraint(model, x, set::MyAbstractSetType)
    return @constraint(model, x .<= set.x_max)
end
add_my_constraint(model, x, set)

I’d recommend that you don’t (ab)use JuMP’s macro code when writing your own function is simpler to implement and maintain.

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