Solve minimization problem where constraint is the system of linear inequation with MathOptInterface efficiently

Specific Domains Optimization (Mathematical)
10

Hi, This is still giving me errors. I’m running the following code:

using MathOptInterface
const MOI = MathOptInterface
using GLPK

optimizer = GLPK.Optimizer()

A = reshape(1:6, 2, 3)
A = convert(AbstractArray{Float64}, A)
b = collect(1:3)
b = convert(AbstractArray{Float64}, b)

x = MOI.VariableIndex.(1:3) # should normally comes from `MOI.add_variables`

terms = MOI.VectorAffineTerm.(1:2, MOI.ScalarAffineTerm.(A, reshape(x, 1, 3)))

f = MOI.VectorAffineFunction(vec(terms), b)

MOI.add_constraint(optimizer, f, MOI.Nonpositives(2))

and getting the following error:

ERROR: MathOptInterface.UnsupportedConstraint{MathOptInterface.VectorAffineFunction{Float64},MathOptInterface.Nonpositives}: `MathOptInterface.VectorAffineFunction{Float64}`-in-`MathOptInterface.Nonpositives` constraint is not supported by the model.
Stacktrace:
 [1] correct_throw_add_constraint_error_fallback(::GLPK.Optimizer, ::MathOptInterface.VectorAffineFunction{Float64}, ::MathOptInterface.Nonpositives; error_if_supported::MathOptInterface.AddConstraintNotAllowed{MathOptInterface.VectorAffineFunction{Float64},MathOptInterface.Nonpositives}) at C:\Users\pnvol\.julia\packages\MathOptInterface\VjkSQ\src\constraints.jl:158
 [2] correct_throw_add_constraint_error_fallback(::GLPK.Optimizer, ::MathOptInterface.VectorAffineFunction{Float64}, ::MathOptInterface.Nonpositives) at C:\Users\pnvol\.julia\packages\MathOptInterface\VjkSQ\src\constraints.jl:155
 [3] throw_add_constraint_error_fallback(::GLPK.Optimizer, ::MathOptInterface.VectorAffineFunction{Float64}, ::MathOptInterface.Nonpositives; kwargs::Base.Iterators.Pairs{Union{},Union{},Tuple{},NamedTuple{(),Tuple{}}}) at C:\Users\pnvol\.julia\packages\MathOptInterface\VjkSQ\src\constraints.jl:135
 [4] throw_add_constraint_error_fallback(::GLPK.Optimizer, ::MathOptInterface.VectorAffineFunction{Float64}, ::MathOptInterface.Nonpositives) at C:\Users\pnvol\.julia\packages\MathOptInterface\VjkSQ\src\constraints.jl:135
 [5] add_constraint(::GLPK.Optimizer, ::MathOptInterface.VectorAffineFunction{Float64}, ::MathOptInterface.Nonpositives) at C:\Users\pnvol\.julia\packages\MathOptInterface\VjkSQ\src\constraints.jl:119
 [6] top-level scope at C:\Users\pnvol\Dropbox\JYC\Code\J15_2017_chart\MWE_MOI.jl:90

Any ideas? I just really miss linprog.

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