Hello,
I would like to request if anyone knows if there is a way to calculate the dual problem of an LP with any software (e.g. IBM, GAMS, Matlab/Matlab Toobox, etc.) in order to be able to then amend the dual and use it to solve a (now) 'new' optimization problem.
More specifically, I have a robust linear problem with the form maxmin (linear uncertainties and a large linear underlying deterministic problem). What I am basically asking for is a software to calculate the dual of the inner large linear problem.
I know how to calculate the dual by hand, but I was wondering if there is a function in any software that can calculate it as well.
Thank you in advance for any help provided.
Hi, in MATLAB as in many other software, a LP problem is defined under the form
Min fT.x
A.x
Hi Richard,
Thank you very much for your answer.
-------
To better explain my question:
Is there any way (e.g. function in a software) to automatically get the dual problem of an LP?
What I actually need, is the dual problem formulation in a modifiable form
(i.e. objective function + constraints, not to solve the dual).
Hi, first you have to use some classical transformations to put your original problem is standard form:
Min fT.x
B.x>=c
x >=0
Then, dual is simply:
Max cT.lambda
BT.lambda =0
- Badges
- Science topic