Hello!
I am trying to run a code using the dual function from JuMP inside a loop, but I’m not getting the results I expected.
The code is a bit extensive, so I’ll try to put here the most relevant parts of the model for my question:
xx = [@variable(sub, [1:T, 1:nGen, 1:K+1]) for i = 1:3]
@constraints(sub, begin
DualFisherg, xx[1] .== xk[1]
DualFisherup, xx[2] .== xk[2]
DualFisherdn, xx[3] .== xk[3]
end)
for ω =2:S
for t=1:T
JuMP.set_normalized_rhs(eq35_bal3[t,3], d_hat[t, ω])
JuMP.set_normalized_rhs(eq36_bal3[t,3], d[t, ω])
for i=1:nGen
for k=1:K
if t > 1
JuMP.set_normalized_coefficient(eqld1[t,i,k], xx[1][t, i, k], -d[t-k, ω])
JuMP.set_normalized_coefficient(eqld2[t,i,k], xx[2][t, i, k], -d[t-k, ω])
JuMP.set_normalized_coefficient(eqld3[t,i,k], xx[3][t, i, k], -d[t-k, ω])
end
end
end
end
status = optimize!(sub)
Q += JuMP.objective_value(sub)/S
λg += JuMP.dual.(DualFisherg)./S
λup += JuMP.dual.(DualFisherup)./S
λdn += JuMP.dual.(DualFisherdn)./S
end
In this code, S is the number of scenarios I’m using. So, when I have more than one scenario, I change the right-hand side and the coefficients of some constraints, optimize the model, and update the objective value and the duals of three constraints.
The values of Q and λg in this code are being updated correctly when I have more than one scenario, but the other values (λup and λdn) are not. Any ideas why this happens?