I have a large LP problem looking like:
max z = c^T * x
s.t. A*x <= b
and Aeq * x = beq
After writing the constraints the code looks like:
import org.apache.commons.math3.optim.linear.LinearConstraint;
import org.apache.commons.math3.optim.linear.Relationship;
import org.apache.commons.math3.exception.TooManyIterationsException;
import org.apache.commons.math3.optim.OptimizationData;
import org.apache.commons.math3.optim.PointValuePair;
import org.apache.commons.math3.optim.linear.LinearConstraintSet;
import org.apache.commons.math3.optim.linear.LinearObjectiveFunction;
import org.apache.commons.math3.optim.linear.NoFeasibleSolutionException;
import org.apache.commons.math3.optim.linear.NonNegativeConstraint;
import org.apache.commons.math3.optim.linear.SimplexSolver;
import org.apache.commons.math3.optim.linear.UnboundedSolutionException;
import org.apache.commons.math3.optim.nonlinear.scalar.GoalType;
LinearObjectiveFunction objective = new LinearObjectiveFunction(objectiveCoefficients, 0);
SimplexSolver solver = new SimplexSolver(epsilon, maxUlps, cutOff);
LinearConstraintSet constraintSet = new LinearConstraintSet(constraints);
NonNegativeConstraint nonnegative = new NonNegativeConstraint(true);
GoalType maximization = GoalType.MAXIMIZE;
OptimizationData[] optData = new OptimizationData[]{maximization, objective, constraintSet, nonnegative};
try{
PointValuePair solution = solver.optimize(optData);
}catch ...
works pretty fine. However, I am not able to get the values of the dual problem, i.e. the shadow prices of my constraints without solving the dual problem separately.
Is there a possibility to get both, the x values of my primal problem and the shadow prices of the constraints with org.apache.commons.math3.optim?
Thx in advance
It does not return duals. You can probably retrieve them from the final tableau but that may require some plumbing.
It is noted that this is not a good solver for any but the smallest LP problems. It is not a serious algorithm but rather a textbook chapter 1 implementation of the full tableau simplex method. Not recommended for large problems.