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Article type: Research Article
Authors: Ho, James K.
Affiliations: Information and Decision Sciences, University of Illinois at Chicago, m/c 294, 601 South Morgan, Chicago, IL 60607, USA. E-mail: imho@uic.edu
Abstract: 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: linear programming, shadow prices, optimization software
DOI: 10.3233/INF-2000-11406
Journal: Informatica, vol. 11, no. 4, pp. 421-434, 2000
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