topic MILP solver and dual values in optmodel in Mathematical Optimization, Discrete-Event Simulation, and OR

MILP solver and dual values in optmodel

Tangui — Wed, 06 Apr 2016 16:12:31 GMT

Good afternoon fellow SAS-users,

I am running a program using proc optmodel with MILP solver.

When creating output data from the constraints and adding the suffix ".dual", the output table is correctly created but with missing values for the dual values. When keeping the same syntax but dealing only with real (non integer) variables, it is working.

Is there any way to get the dual values when dealing with integer variables in proc optmodel ?

Thank you,

Best regards,

Re: MILP solver and dual values in optmodel

RobPratt — Wed, 06 Apr 2016 17:18:34 GMT

The MILP solver does not return dual values. You can instead fix the integer variables and call the LP solver with the RELAXINT option, as shown in this documentation example:

http://support.sas.com/documentation/cdl/en/ormpex/68157/HTML/default/viewer.htm#ormpex_ex15_toc.htm

Re: MILP solver and dual values in optmodel

Tangui — Thu, 07 Apr 2016 10:02:54 GMT

Thank you for your quick reply.