[Osi] Question re. meaning of OsiSimplex::getReducedGradient
ted at lehigh.edu
Fri Sep 3 22:54:54 EDT 2010
On Fri, Sep 3, 2010 at 10:05 PM, Matthew Saltzman <mjs at clemson.edu> wrote:
> On Fri, 2010-09-03 at 14:29 -0400, Ted Ralphs wrote:
>> Well, I think that "reduced gradient" is mixing two different
>> terminologies. It seems to me that "reduced" really only make sense as
>> a modifier to "cost." The reduced cost (as I usually define) _is_ a
>> (sub)gradient of the value function of the linear program (with the
>> variable bounds considered to be parametric). I'm not sure what a
>> "reduced gradient" would be. It should really be just a "subgradient,"
>> technically speaking.
> Actually, it's standard terminology from NLP. It's a mapping of the
> gradient onto the the nullspace of the structural constraints.
> Projection is one way to do it. Another is to solve Ax = b for a set of
> basic variables, then compute the gradient in the "reduced space" of
> nonbasic variables by substituting out the basic variables in the
> objective function.
Now that you say it, I do recall that. So the term "gradient" here is
actually a gradient of the objective and the reduced gradient is a
generalization of reduced cost to the nonlinear case, but is precisely
the same as the reduced cost in the case of linear programming.
Dr. Ted Ralphs
Associate Professor, Lehigh University
ted 'at' lehigh 'dot' edu
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