Update

Author: odow

src/Utilities/penalty_relaxation.jl

@@ -107,6 +107,19 @@ function _add_penalty_to_objective(
     return MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.(one(T), x), zero(T))
 end
 
+function _add_penalty_to_objective(
+    model::MOI.ModelLike,
+    ::Type{F},
+    penalty::T,
+    x::Vector{MOI.VariableIndex},
+) where {T,F<:MOI.ScalarNonlinearFunction}
+    attr = MOI.ObjectiveFunction{F}()
+    f = MOI.get(model, attr)
+    g = Any[MOI.ScalarNonlinearFunction(:*, Any[penalty, xi]) for xi in x]
+    MOI.set(model, attr, MOI.ScalarNonlinearFunction(:+, vcat(f, g)))
+    return MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.(one(T), x), zero(T))
+end
+
 function _add_penalty_to_objective(
     ::MOI.ModelLike,
     ::Type{F},

test/Utilities/penalty_relaxation.jl

@@ -101,6 +101,23 @@ function test_relax_variable_index_objective()
     return
 end
 
+function test_relax_scalar_nonlinear_objective()
+    _test_roundtrip(
+        """
+        variables: x, y
+        minobjective: ScalarNonlinearFunction(exp(x))
+        c1: x + y <= 1.0
+        """,
+        """
+        variables: x, y, a
+        minobjective: ScalarNonlinearFunction(+(exp(x), *(1.0, a)))
+        c1: x + y + -1.0 * a <= 1.0
+        a >= 0.0
+        """,
+    )
+    return
+end
+
 function test_relax_affine_lessthan()
     _test_roundtrip(
         """