Difference between revisions of "Error Messages/40699"
(Created page with '= Error Text = The shadow price (dual of constraints) is not available for non-linear problems. = Cause = The LpShadow function can only be used to compute the [[LpShadow…') |
m (→Cause) |
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| Line 11: | Line 11: | ||
[[Var]] delta := 1e-6; | [[Var]] delta := 1e-6; | ||
[[Var]] obj := [[LpOpt]](my_qp); | [[Var]] obj := [[LpOpt]](my_qp); | ||
| − | [[For]] i:=@constraint | + | [[For]] i:=@constraint Do ( |
[[WhatIf]]( ([[LpOpt]](my_qp), [[If]] @constraint=i Then rhs+delta else rhs ) - obj) / delta | [[WhatIf]]( ([[LpOpt]](my_qp), [[If]] @constraint=i Then rhs+delta else rhs ) - obj) / delta | ||
) | ) | ||
| − | where ''my_qp'' is the variable defined by [[QpDefine]], ''constraint'' is the constraint index passed to [[QpDefine]] in ''my_qp | + | where ''my_qp'' is the variable defined by [[QpDefine]], ''constraint'' is the constraint index passed to [[QpDefine]] in ''my_qp'', and ''rhs'' is a variable passed as the «rhs» parameter to [[QpDefine]]. This causes the QP to be solved multiple times to compute these shadow prices. |
= See Also = | = See Also = | ||
* [[LpShadow]] | * [[LpShadow]] | ||
Revision as of 19:48, 28 January 2010
Error Text
The shadow price (dual of constraints) is not available for non-linear problems.
Cause
The LpShadow function can only be used to compute the shadow price (or dual value of constraints) for a linear program created via a call to LpDefine. It cannot be used with quadratic programs or NLPs.
The concept of a shadow price is meaningful in the context of QP or NLP, but not computed by this function. You could compute the shadow price of a QP, for example, by using:
Var delta := 1e-6; Var obj := LpOpt(my_qp); For i:=@constraint Do ( WhatIf( (LpOpt(my_qp), If @constraint=i Then rhs+delta else rhs ) - obj) / delta )
where my_qp is the variable defined by QpDefine, constraint is the constraint index passed to QpDefine in my_qp, and rhs is a variable passed as the «rhs» parameter to QpDefine. This causes the QP to be solved multiple times to compute these shadow prices.
See Also
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