About dual multipliers of a constraint

[sarpon]

Hi Oscar:

I have been trying to get the dual multipliers of several constraints in the first stage problem.

I have tried to store the the cuts (using the cut_output_file flag in the solving procedure), then create the first stage model using SDDP, load the cuts, then select the first stage problem, then write it to an .lp file using JuMP.writeLP. Then I have to load the saved problem (first stage + cuts) problem and solve it using CVX.

I have been reading

#125

and

af0a4a6

But I can't figure it out a simpler way to get the dual multipliers. Is there any simpler way?

Kind Regards

[odow]

Do you have a small example of the problem?

Basically, add a named constraint like

SDDP.jl/examples/HydroValleys/simplified_hydrothermal_dispatch.jl

Line 50 in d90faae

@constraint(sp, demand_eq, g[1] + g[2] + u == 150)

Then add the name as a symbol (e.g. :demand_eq) when simulating

SDDP.jl/examples/HydroValleys/simplified_hydrothermal_dispatch.jl

Line 80 in d90faae

result = simulate(m, [:g, :u, :s, :demand_eq], noises=[1,1,1])

And the result will be the dual multipliers

SDDP.jl/examples/HydroValleys/simplified_hydrothermal_dispatch.jl

Line 87 in d90faae

@test result[:demand_eq] == [541.0, 190.0, 100.0]

[sarpon]

Sorry for the late answer. It was totally solved by your answer Oscar.
Thank you very much.

Kind Regards