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What is the meaning of the marginal prices in the GAMS output for a MIP?

GAMS reports consistent marginals across any MIP code used by GAMS. The idea is very simple. Fix all the discrete variables at the integer values and solve the resulting LP. Now you have a clear definition and can use it for your analysis. If you pick a different integer solution, you will, of course, get a different dual solution.

Marginals (shadow prices/reduced costs) on a MIP are a fuzzy topic. In many cases the marginal values are useful. The duals (marginals) reported for MIP are not always the same when switching MIP solvers (mainly for some internal technical reasons of convenience).

solver/what_is_the_meaning_of_the_marginal_prices_in_the_gams_output_for_a_mip.txt · Last modified: 2007/11/06 10:44 by franz