Most efficient way of retrieving dual solutions iteratively

BMI_OR
Mon, 18 Nov 2024 21:26:14 +0000
Optimization (Mathematical)

I have implemented an algorithm where at each iteration I need to solve an optimization model and retrieve its dual solution. Currently, I am using dual.() to get the solution, and I am seeing that this function is also the bottleneck of my algorithm. I am considering implementing the dual version of the problem directly and then retrieving its primal solution using value.(). Is there a significant difference? Are there more efficient ways of retrieving the dual solution if the only thing changing between iterations are some of the right-hand-side values in the constraints?
Thanks in advance for the help.

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