Computing True Shadow Prices in Linear Programming.
TENNESSEE UNIV KNOXVILLE MANAGEMENT SCIENCE PROGRAM
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It is well known that in linear programming, the optimal values of the dual variables can be interpreted as shadow prices marginal values of the right-hand-side coefficients. However, this is true only under nondegeneracy assumptions. Since real problems are often degenerate, the output from conventional LP software regarding such marginal information can be misleading. This paper surveys and generalizes known results in this topic and demonstrates how true shadow prices can be computed with or without modification to existing software. Keywords Optimization software.
- Operations Research