Computing true shadow prices in linear programming

Computing true shadow prices in linear programming

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Article ID: iaor20013625
Country: Lithuania
Volume: 11
Issue: 4
Start Page Number: 421
End Page Number: 434
Publication Date: Oct 2000
Journal: Informatica
Authors:
Abstract:

It is well known that in linear programming, the optimal values of the dual variables can be interpreted as shadow prices (marginal values) of the right-hand side coefficients. However, this is true only under nondegeneracy assumptions. Since real problems are often degenerate, the output from conventional LP software regarding such marginal information can be misleading. This paper surveys and generalizes known results in this topic and demonstrates how true shadow prices can be computed with or without modification to existing software.

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