Groupe d’études et de recherche en analyse des décisions


Using Dual Optimal Multipliers in Recovering an Optimal Primal Basic Solution

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We describe an approach that computes an optimal primal basic solution given an optimal vector of dual multipliers. It consists in restricting the dual problem to a small box around the available optimal dual solution and in resolving the associated modified primal problem with a simplex algorithm. On average, it largely outperforms CPLEX crossover procedures, specially for large size problems.

, 12 pages