Are shadow prices valid after an infeasible solve from COIN using PULP

Question

I am solving a minimization linear program using COIN-OR's CLP solver with PULP in Python.

The variables that are included in the problem are a subset of the total number of possible variables and sometimes my pricing heuristic will pick a subset of variables that result in an infeasible solution. After which I use shadow prices to price new variables in.

My question is, if the problem is infeasible, I still get values from calling prob.constraints[c].pi, but those values don't always seem to be "valid" or "good" per se.

Now, a solver like Gurobi won't even let me call the shadow prices after an infeasible solve.

Answer 1

Actually Stu, this might work! - the "dummy var" in my case could be the source/sink node, which I can loosen the flow constraints on, allowing infinite flow in/out but with a large cost. This makes the solution feasible with a very bad high optimal cost; then the pricing of the new variables should work and show me which variables to add to the problem on the next iteration. I'll give it a try and report back. My only concern is that the bigM cost coefficient on the source/sink node may skew the pricing of the variables making all of them look relatively attractive. This would be counter productive bc adding most of the variables back into the problem will defeat the purpose of my column generation in the first place. I'll test it...