Update optimization model by changing variables to coefficients

Specific Domains Optimization (Mathematical)
4

The problem is well posed, and Gurobi can compute duals for QPs (and QCPs, if you set QCPDual to 1).

Here’s how I would write the code in JuMP:

julia> using JuMP, Gurobi

julia> begin
           model = Model(Gurobi.Optimizer)
           set_silent(model)
           @variable(model, x, Bin)
           @variable(model, y)
           @constraint(model, x * y >= 1)
           @constraint(model, c1, x + y <= 6)
           @objective(model, Max, y)
           optimize!(model)
           undo = fix_discrete_variables(model)
           set_attribute(model, "QCPDual", 1)
           optimize!(model)
           @assert is_solved_and_feasible(model)
           shadow_price(c1)
       end
1.0
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