Extreme ray values unbounded LP JuMP

bcoulier
Thu, 10 Aug 2023 17:02:56 +0000
Optimization (Mathematical)

I’m currently dealing with an LP problem where the solution to the primal turns out to be infeasible, leading to an unbounded dual. In order to create a feasibility cut, I’m aiming to acquire the extreme ray values from the unbounded dual. I’ve explored options like JuMP.dual() and JuMP.shadow_price(), but these functions don’t seem to provide dual extreme ray values.

Could someone enlighten me if there’s a function in JuMP that can facilitate this process? My intention is to solve the primal and extract the extreme ray values directly, without having to manually implement the dual formulation.

6 posts - 3 participants