HiGHS
HiGHS copied to clipboard
Add an option to obtain dual information from the best solution found in MIP problems
Although dual information is not well-defined in mixed-integer programs, a common practice is creating a continuous model by fixing all integer variables to the values of the best solution found, solving the fixed model, and then querying the dual values for that model.
Since this approach also has its problems, it should be an optional parameter disabled by default. See the following link for more information:
https://support.gurobi.com/hc/en-us/articles/360034305272-How-do-I-retrieve-the-dual-Pi-values-for-a-MIP-problem
Thanks!