FisSal2011: Accelerate creation of obj function

src/Cuts/tableau/gmi_dual.jl

@@ -389,20 +389,26 @@ function collect_gmi_FisSal2011(
         log_should_print = false
 
         if round > 1
-            @timeit "Update objective function" begin
+            @timeit "Build Lagrangian term" begin
-                # Build Lagrangian term
+                @timeit "mul" begin
-                v = sparse(pool.lhs * multipliers_curr)
+                    active_idx = findall(multipliers_curr .> 1e-6)
-                lagr_term = AffExpr(dot(multipliers_curr, pool.lb))
+                    v = sparse(pool.lhs[:, active_idx] * multipliers_curr[active_idx])
-                for offset in 1:nnz(v)
-                    var_idx = v.nzind[offset]
-                    add_to_expression!(
-                        lagr_term,
-                        vars_s[var_idx],
-                        - v.nzval[offset],
-                    )
                 end
-
+                @timeit "dot" begin
-                # Update objective
+                    lagr_term = AffExpr(dot(multipliers_curr, pool.lb))
+                end
+                @timeit "add_to_expression!" begin
+                    for offset in 1:nnz(v)
+                        var_idx = v.nzind[offset]
+                        add_to_expression!(
+                            lagr_term,
+                            vars_s[var_idx],
+                            - v.nzval[offset],
+                        )
+                    end
+                end
+            end
+            @timeit "Update objective" begin
                 set_objective_function(
                     model_s,
                     orig_obj_s + lagr_term,