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ERGO-Code / HiGHS

Linear optimization software
MIT License
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Add an option to obtain dual information from the best solution found in MIP problems #1849

Open datejada opened 3 months ago

datejada commented 3 months ago

Although dual information is not well-defined in mixed-integer programs, a common practice is creating a continuous model by fixing all integer variables to the values of the best solution found, solving the fixed model, and then querying the dual values for that model.

Since this approach also has its problems, it should be an optional parameter disabled by default. See the following link for more information:

https://support.gurobi.com/hc/en-us/articles/360034305272-How-do-I-retrieve-the-dual-Pi-values-for-a-MIP-problem

Thanks!

jajhall commented 3 months ago

The Gurobi observation reiterates what I said but, as we discussed, after solving the LP corresponding to fixing the integer variables at their optimal values, constraints that are active with zero dual can be identified as being redundant.

datejada commented 3 months ago

Thanks for the reply. Here are the links to the Gurobi and CPLEX for more information about the options in those solvers (for inspiration):

https://www.ibm.com/docs/en/icos/20.1.0?topic=sm-solvefixed-method

https://www.gurobi.com/documentation/current/refman/c_fixmodel.html