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9

INFORMATICALT
2000

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Computing True Shadow Prices in Linear Programming

13 years 4 months ago

Computing True Shadow Prices in Linear Programming

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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. Key words: linear programming, shadow prices, optimization software.

James K. Ho

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Added	18 Dec 2010
Updated	18 Dec 2010
Type	Journal
Year	2000
Where	INFORMATICALT
Authors	James K. Ho

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