Sensitivity (post-optimality) analysis of a linear model?

Specific Domains Optimization (Mathematical)
1

I have been experimenting with simple LP problems using JuMP and the solvers CbcSolver and GLPKSolverLP. (I’d like to try ClpSolver but I keep getting errors when I try to build it.) Now I can solve my models fine, but what I want to do is some sensitivity analysis: shadow prices of the constraints, and ranges of the objective coefficients, for example. However, I can’t find any documentation about how to do this. I know that I could do this with GLPK - which is basically using glpk with its Julia front-end. Is that the best way, or is there some Julia function built into JuMP for sensitivity analysis? Thanks!

2

I’d like to try ClpSolver but I keep getting errors when I try to build it.

What version of Julia and Clp are you using? What platform? What is the full error?

but what I want to do is some sensitivity analysis: shadow prices of the constraints

Do you want the value (because you can just call getdual from JuMP)? Or the range in which the current dual is valid?

or is there some Julia function built into JuMP for sensitivity analysis?

Not yet. You need to call through to the underlying solver. See this feature request: Feature Request: sensitivity summary for LPs · Issue #1332 · jump-dev/JuMP.jl · GitHub

3

Thank you!

With regard to versions: Julia 1.0.1, Clp v0.5.0 . When I enter `Pkg.build(“Clp”), this is what I get:

 
Building Clp → `~/.julia/packages/Clp/qWiux/deps/build.log`
┌ Error: Error building `Clp`:
│   % Total    % Received % Xferd  Average Speed   Time    Time     Time  Current
│                                  Dload  Upload   Total   Spent    Left  Speed
100   172    0   172    0     0    191      0 --:--:-- --:--:-- --:--:--   191
100   622    0   622    0     0    525      0 --:--:--  0:00:01 --:--:--   525
100  3355  100  3355    0     0   1378      0  0:00:02  0:00:02 --:--:--  4672
│ ┌ Warning: platform_key() is deprecated, use platform_key_abi() from now on
│ │   caller = ip:0x0
│ └ @ Core :-1
│ ERROR: LoadError: LoadError: LibraryProduct(nothing, ["libcoinblas"], Symbol(""), "Prefix(/home/amca/.julia/packages/Clp/qWiux/deps/usr)") is not satisfied, cannot generate deps.jl!            
│ Stacktrace:
│  [1] #write_deps_file#152(::Bool, ::Function, ::String, ::Array{LibraryProduct,1}) at /home/amca/.julia/packages/BinaryProvider/1nGWd/src/Products.jl:408                                        
│  [2] write_deps_file(::String, ::Array{LibraryProduct,1}) at /home/amca/.julia/packages/BinaryProvider/1nGWd/src/Products.jl:395                                                                 
│  [3] top-level scope at none:0
│  [4] include at ./sysimg.jl:29 [inlined]
│  [5] include(::String) at ./loading.jl:1076
│  [6] top-level scope at none:0
│ in expression starting at /home/amca/.julia/packages/Clp/qWiux/deps/build_COINBLASBuilder.v1.4.6.jl:45                                                                                           
│ in expression starting at /home/amca/.julia/packages/Clp/qWiux/deps/build.jl:38
└ @ Pkg.Operations /build/julia/src/julia/usr/share/julia/stdlib/v1.0/Pkg/src/Operations.jl:1069

I’m not sure what is causing this error, but I’d be delighted of any advice!