<p dir="auto">It is required to obtain Lagrangian multipliers while optimizing a linear programming problem.  Kindly help.</p>
<p dir="auto">Best regards,<br>
Bharat</p>
<p dir="auto">I have a huge linprog problem of almost 1k variables and restrictions. I can calculate the solution with scipy.optimize.linprog(method='simplex') but I need shadow prices (or opportunity costs / duals) of ~100 inequalities.</p>
<p dir="auto">I'm able to calculate them by adding 1 to the right side of the inequality and then solving that problem. Then I get the shadow price substracting the objective functions values for both solutions: shadow_price_i = f_max_original - f_max_i. Then repeat 100 times. This method works but it's painfully slow (1h). Note: I could also pose the dual problem and solve it</p>
<p dir="auto">It's a shame that scipy does not return duals, so I'm opening a feature request. I'm new contributing to open projects, but I'm a CS graduate and have experience with both python and the simplex method, so I may be able to do so with some guidance.</p>