Quick way to find tight constraints?

jump

#1

Hello all,

Is there a straight-forward method for understanding which constraints of the model are tight?

I will run some scenarios which I will change multiple parameters at a time, so just curious if there is any quick way to check that without changing parameters one by one.

Thanks for your help!


#2

@Halil1 this is a traditional problem in optimization. The Lagrange multipliers give you the sensitivity to the constraints. I suggest you to read Boyd’s book or watch his video lectures for more information: https://web.stanford.edu/~boyd/cvxbook


#3

To follow up on that, the JuMP function getdual() when called on a JuMP constraint (the thing returned by @constraint) will retrieve those Lagrange multipliers.