MILP dual variables

[Tobias]

Hi,

 

Is there any possibility to extract the lagrange multipliers from an MILP compareable with the tutorial Unit commitment problem (I use piecewise linear cost function but the goal is the same)? I currently use the IBM CPLEX solver.

Thanks in advance!

 

Best, Tobias

[Johan Löfberg]

You do not have any dual variables (lagrange multipliers) in a MILP (well, there are some generalized duality theories for integer programs, but not something which is implemented in standard solvers)

[Tobias]

Thank you. This would have been also my first guess but I have seen a research paper where they use a "market price" and a MILP which made me wary about doing something.