BCG non integer vertices

[dhendryc]

Using Blended Conditional Gradient (BCP) as node solver produces non integral vertices for some instances of the sparse regression, portfolio and lasso problem.

The issue seems to stem from the separation oracle.

[dhendryc]

The issue is not with the separation oracle but with the simplex_gradient_descent_over_convex_hull. Here, we optimise over the current active set. Returned in the Frank-Wolfe callback is a point that is itself a convex combination of the active set. Thus, nearly never integer feasible.

This is expected and we deal with this in Boscia by ignoring "vertices" from BCG there state.tt=FrankWolfe.simplex_descent.