FisSal2011: Accelerate creation of obj function

src/Cuts/tableau/gmi_dual.jl

@@ -389,10 +389,15 @@ function collect_gmi_FisSal2011(
         log_should_print = false
 
         if round > 1
-            @timeit "Update objective function" begin
-                # Build Lagrangian term
-                v = sparse(pool.lhs * multipliers_curr)
+            @timeit "Build Lagrangian term" begin
+                @timeit "mul" begin
+                    active_idx = findall(multipliers_curr .> 1e-6)
+                    v = sparse(pool.lhs[:, active_idx] * multipliers_curr[active_idx])
+                end
+                @timeit "dot" begin
                     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!(
@@ -401,8 +406,9 @@ function collect_gmi_FisSal2011(
                             - v.nzval[offset],
                         )
                     end
-
-                # Update objective
+                end
+            end
+            @timeit "Update objective" begin
                 set_objective_function(
                     model_s,
                     orig_obj_s + lagr_term,