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chkwon/shadow_price.jl

Last active October 18, 2019 01:01
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Shadow Price for LP problems in Julia
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shadow_price.jl
using JuMP, GLPK
m = Model(with_optimizer(GLPK.Optimizer))
@variable(m, x1 >= 0)
@variable(m, x2 >= 0)
@objective(m, Max, 3x1 + 5x2)
@constraint(m, c1, x1 <= 4)
@constraint(m, c2, 2x2 <= 12)
@constraint(m, c3, 3x1 + 2x2 <= 18)
optimize!(m)
@show value(x1), value(x2)
@show shadow_price(c1), shadow_price(c2), shadow_price(c3)
@show objective_value(m)
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