No method matching _scalarize(::VectorQuadratic

[odow]

https://discourse.julialang.org/t/jump-non-linear-optimization/94020/7

julia> using JuMP

julia> import DataFrames

julia> import Gurobi

julia> import MultiObjectiveAlgorithms as MOA

julia> import Plots

julia> import Statistics

julia> df = DataFrames.DataFrame(
           bond = [0.06276629, 0.03958098, 0.08456482,0.02759821,0.09584956,0.06363253,0.02874502,0.02707264,0.08776449,0.02950032],
           stock = [0.1759782,0.20386651,0.21993588,0.3090001,0.17365969,0.10465274,0.07888138,0.13220847,0.28409742,0.14343067],
       )
10×2 DataFrame
 Row │ bond       stock     
     │ Float64    Float64   
─────┼──────────────────────
   1 │ 0.0627663  0.175978
   2 │ 0.039581   0.203867
   3 │ 0.0845648  0.219936
   4 │ 0.0275982  0.309
   5 │ 0.0958496  0.17366
   6 │ 0.0636325  0.104653
   7 │ 0.028745   0.0788814
   8 │ 0.0270726  0.132208
   9 │ 0.0877645  0.284097
  10 │ 0.0295003  0.143431

julia> R = Matrix(df)
10×2 Matrix{Float64}:
 0.0627663  0.175978
 0.039581   0.203867
 0.0845648  0.219936
 0.0275982  0.309
 0.0958496  0.17366
 0.0636325  0.104653
 0.028745   0.0788814
 0.0270726  0.132208
 0.0877645  0.284097
 0.0295003  0.143431

julia> μ = vec(Statistics.mean(R; dims = 1))
2-element Vector{Float64}:
 0.05470748600000001
 0.18257110599999998

julia> Q = Statistics.cov(R)
2×2 Matrix{Float64}:
 0.00076204  0.00051972
 0.00051972  0.00546173

julia> model = Model(() -> MOA.Optimizer(Gurobi.Optimizer))
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: EMPTY_OPTIMIZER
Solver name: MOA[algorithm=MultiObjectiveAlgorithms.Lexicographic, optimizer=Gurobi]

julia> set_optimizer_attribute(model, MOA.Algorithm(), MOA.EpsilonConstraint())

julia> set_optimizer_attribute(model, MOA.EpsilonConstraintStep(), 0.0001)

julia> set_silent(model)

julia> @variable(model, 0 <= w[1:size(R, 2)] <= 1)
2-element Vector{VariableRef}:
 w[1]
 w[2]

julia> @constraint(model, sum(w) == 1)
w[1] + w[2] = 1.0

julia> @objective(model, Min, [w' * Q * w, -μ' * w])
2-element Vector{QuadExpr}:
 0.0007620396103762265 w[1]² + 0.0010394397734916532 w[2]*w[1] + 0.005461731460414048 w[2]²
 -0.05470748600000001 w[1] - 0.18257110599999998 w[2]

julia> optimize!(model)
ERROR: MethodError: no method matching _scalarise(::MathOptInterface.VectorQuadraticFunction{Float64}, ::Vector{Float64})
Closest candidates are:
  _scalarise(::MathOptInterface.VectorOfVariables, ::Vector{Float64}) at /Users/oscar/.julia/packages/MultiObjectiveAlgorithms/IhQGz/src/MultiObjectiveAlgorithms.jl:54
  _scalarise(::MathOptInterface.VectorAffineFunction, ::Vector{Float64}) at /Users/oscar/.julia/packages/MultiObjectiveAlgorithms/IhQGz/src/MultiObjectiveAlgorithms.jl:62
Stacktrace:
 [1] optimize_multiobjective!(algorithm::MultiObjectiveAlgorithms.Hierarchical, model::MultiObjectiveAlgorithms.Optimizer)
   @ MultiObjectiveAlgorithms ~/.julia/packages/MultiObjectiveAlgorithms/IhQGz/src/algorithms/Hierarchical.jl:100
 [2] optimize_multiobjective!(algorithm::MultiObjectiveAlgorithms.EpsilonConstraint, model::MultiObjectiveAlgorithms.Optimizer)
   @ MultiObjectiveAlgorithms ~/.julia/packages/MultiObjectiveAlgorithms/IhQGz/src/algorithms/EpsilonConstraint.jl:78
 [3] optimize!(model::MultiObjectiveAlgorithms.Optimizer)
   @ MultiObjectiveAlgorithms ~/.julia/packages/MultiObjectiveAlgorithms/IhQGz/src/MultiObjectiveAlgorithms.jl:439
 [4] optimize!
   @ ~/.julia/packages/MathOptInterface/NCblk/src/Bridges/bridge_optimizer.jl:376 [inlined]
 [5] optimize!
   @ ~/.julia/packages/MathOptInterface/NCblk/src/MathOptInterface.jl:83 [inlined]
 [6] optimize!(m::MathOptInterface.Utilities.CachingOptimizer{MathOptInterface.Bridges.LazyBridgeOptimizer{MultiObjectiveAlgorithms.Optimizer}, MathOptInterface.Utilities.UniversalFallback{MathOptInterface.Utilities.Model{Float64}}})
   @ MathOptInterface.Utilities ~/.julia/packages/MathOptInterface/NCblk/src/Utilities/cachingoptimizer.jl:316
 [7] optimize!(model::Model; ignore_optimize_hook::Bool, _differentiation_backend::MathOptInterface.Nonlinear.SparseReverseMode, kwargs::Base.Iterators.Pairs{Union{}, Union{}, Tuple{}, NamedTuple{(), Tuple{}}})
   @ JuMP ~/.julia/packages/JuMP/7XtRG/src/optimizer_interface.jl:480
 [8] optimize!(model::Model)
   @ JuMP ~/.julia/packages/JuMP/7XtRG/src/optimizer_interface.jl:458
 [9] top-level scope
   @ REPL[342]:1