Is there a one liner in Gekko to retrieve the Lagrange multipliers (the likes of the marginal in GAMS) or if not a single line another way?
Thanks for the help.
1 Answers
Here is one line to retrieve the Lagrange multipliers.
lam = np.loadtxt(m.path + '/apm_lam.txt')
You will need to set the diagnostic level to m.options.DIAGLEVEL=2 and solve locally with m=GEKKO(remote=False). You can see some of the other files that are generated with DIAGLEVEL=2 when you open the folder with m.open_folder(). Here is a test script.
from gekko import GEKKO
import numpy as np
m = GEKKO(remote=False)
#initialize variables
xi = [1,5,5,1]
x1,x2,x3,x4 = [m.Var(xi[i],lb=1,ub=5) for i in range(4)]
m.Equation(x1*x2*x3*x4>=25)
m.Equation(x1**2+x2**2+x3**2+x4**2==40)
m.Obj(x1*x4*(x1+x2+x3)+x3)
m.options.DIAGLEVEL=2
m.solve(disp=False)
print('')
print('Results')
print('x1: ' + str(x1.value))
print('x2: ' + str(x2.value))
print('x3: ' + str(x3.value))
print('x4: ' + str(x4.value))
print('Lagrange multipliers')
lam = np.loadtxt(m.path + '/apm_lam.txt')
print(lam)
This produces the results:
Results
x1: [1.000000057]
x2: [4.74299963]
x3: [3.8211500283]
x4: [1.3794081795]
Lagrange multipliers
[-0.55227642 0.16143862]
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