Error DiffOpt.forward_differentiate! from PSD Conic JuMP problems

[andrewrosemberg]

Consider the conic problem:

model = Model(() -> DiffOpt.diff_optimizer(SCS.Optimizer))
@variable(model, x[1:7])
@test num_variables(model) == 7
c1 = @constraint(model, -sum(x[i] for i in 1:6) + 10 ≥ 0)
c2 = [
    @constraint(model, x[i] ≥ 0)
    for i in 1:6
]
α = 0.8
δ = 0.9
c3 = @constraint(
    model,
    LinearAlgebra.Symmetric(hcat(
        [((δ/2)*x[1] + α*x[2] + δ*x[3] + (δ/4)*x[4] + (δ/8)*x[5] - 1.0*x[7])   # a11
        ((-(δ/(2*√2)))*x[1] - (δ/4)*x[2] - (δ/(8*√2))*x[5])],
        [((-(δ/(2*√2)))*x[1] - (δ/4)*x[2] - (δ/(8*√2))*x[5])
        ((δ/2)*x[1] + (δ - α)*x[2] + 0.0*x[3] + (δ/8)*x[5] + (δ/4)*x[6] - x[7])])
    ) in PSDCone()
)
@objective(model, Max, x[7])
optimize!(model)

Setting the objective sensitivity:

MOI.set(
    model,
    DiffOpt.ForwardObjectiveFunction(),
   sum(x)
)

or conic constraint sensitivity

MOI.set.(
    model,
    DiffOpt.ForwardConstraintFunction(),
    c3,
    sum(x) + 1,
)

Errors when differentiating:

> DiffOpt.forward_differentiate!(model)
ERROR: MethodError: no method matching throw_set_error_fallback(::MathOptInterface.Bridges.LazyBridgeOptimizer{…}, ::DiffOpt.ObjectiveFunctionAttribute{…}, ::MathOptInterface.Bridges.Objective.FunctionConversionBridge{…}, ::MathOptInterface.ScalarAffineFunction{…})

Closest candidates are:
  throw_set_error_fallback(::MathOptInterface.ModelLike, ::Union{MathOptInterface.AbstractModelAttribute, MathOptInterface.AbstractOptimizerAttribute}, ::Any; error_if_supported)
   @ MathOptInterface ~/.julia/packages/MathOptInterface/jGuEH/src/attributes.jl:580
  throw_set_error_fallback(::MathOptInterface.ModelLike, ::MathOptInterface.ConstraintFunction, ::MathOptInterface.ConstraintIndex{F, S}, ::F; error_if_supported) where {F<:MathOptInterface.AbstractFunction, S}
   @ MathOptInterface ~/.julia/packages/MathOptInterface/jGuEH/src/attributes.jl:1896
  throw_set_error_fallback(::MathOptInterface.ModelLike, ::MathOptInterface.ConstraintFunction, ::MathOptInterface.ConstraintIndex, ::MathOptInterface.AbstractFunction; kwargs...)
   @ MathOptInterface ~/.julia/packages/MathOptInterface/jGuEH/src/attributes.jl:1908
  ...

Stacktrace:
 [1] set(::MathOptInterface.Bridges.LazyBridgeOptimizer{…}, ::DiffOpt.ObjectiveFunctionAttribute{…}, ::MathOptInterface.Bridges.Objective.FunctionConversionBridge{…}, ::MathOptInterface.ScalarAffineFunction{…})
   @ MathOptInterface ~/.julia/packages/MathOptInterface/jGuEH/src/attributes.jl:553
 [2] set(b::MathOptInterface.Bridges.LazyBridgeOptimizer{…}, attr::DiffOpt.ObjectiveFunctionAttribute{…}, value::MathOptInterface.ScalarAffineFunction{…})
   @ DiffOpt ~/Workspace/DiffOpt.jl/src/copy_dual.jl:51
 [3] set(b::MathOptInterface.Bridges.LazyBridgeOptimizer{…}, attr::DiffOpt.ForwardObjectiveFunction, value::MathOptInterface.ScalarAffineFunction{…})
   @ DiffOpt ~/Workspace/DiffOpt.jl/src/copy_dual.jl:71
 [4] forward_differentiate!(model::DiffOpt.Optimizer{MathOptInterface.Utilities.CachingOptimizer{…}})
   @ DiffOpt ~/Workspace/DiffOpt.jl/src/moi_wrapper.jl:564
 [5] forward_differentiate!
   @ ~/Workspace/DiffOpt.jl/src/jump_moi_overloads.jl:393 [inlined]
 [6] forward_differentiate!(model::MathOptInterface.Utilities.CachingOptimizer{…})
   @ DiffOpt ~/Workspace/DiffOpt.jl/src/jump_moi_overloads.jl:378
 [7] forward_differentiate!(model::Model)
   @ DiffOpt ~/Workspace/DiffOpt.jl/src/jump_moi_overloads.jl:363
 [8] top-level scope
   @ REPL[24]:1
Some type information was truncated. Use `show(err)` to see complete types.