Is there efficient way for building constraints with sparse matrix A, lb <= Ax <= ub
Here is my code
for i in 1:cons_num
expr_i = 0.0
for j in 1:var_num
for k in constraint_matrix.colptr[j]:(constraint_matrix.colptr[j+1]-1)
if constraint_matrix.rowval[k] == i
expr_i += constraint_matrix.nzval[k] * x[j]
end
end
end
constraint(c, expr_i; lcon=cons_lb[i], ucon=cons_ub[i])
end
While JuMP code is very simple and efficient.
@constraint(model, cons_lb .<= A * x .<= cons_ub)