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Solver Reports
I am using Solver and looking at the reports it produces.
Can anyone explain the following terms to me: Reduced Gradient and LagRange Multiplier (Sensitivity Report) -- Thanks Cath |
#2
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Solver Reports
Cath -
The reduced gradient for a nonlinear optimization problem is similar to reduced cost for a linear problem. At the optimal solution of a linear problem, for a variable not in the solution, i.e., for a changing cell equal to zero, the reduced cost measures how much the target cell would change if the currently-zero changing cell is forced to be one instead of zero. For a nonlinear problem, at the stopping point of the algorithm, the reduced gradient provides a similar measure. More technically, at the stopping point of the algorithm, the reduced gradient is the partial derivative of the objective function with respect to a decision variable. The Lagrange multiplier for a nonlinear optimization problem is similar to the shadow price for a linear problem. At the optimal solution of a linear problem, the shadow price measures how much the target cell would change if the right-hand-side of a constraint is increased by one unit, i.e., it's a kind of marginal value. For a nonlinear problem, at the stopping point of the algorithm, the Lagrange multiplier provides a similar measure. - Mike Middleton http://www.DecisionToolworks.com Decision Analysis Add-ins for Excel "Cath" wrote in message ... I am using Solver and looking at the reports it produces. Can anyone explain the following terms to me: Reduced Gradient and LagRange Multiplier (Sensitivity Report) -- Thanks Cath |
#3
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Solver Reports
In both Excel 2003 and 2007 I see Reduced Cost and Shadow Price.
Search Goggle for either of those 2 terms (or for the terms you mention). You'll find a wealth of information including a simple and meaningful explanation of the above 2 terms. On Wed, 19 Nov 2008 10:46:01 -0800, Cath wrote: I am using Solver and looking at the reports it produces. Can anyone explain the following terms to me: Reduced Gradient and LagRange Multiplier (Sensitivity Report) Regards, Tushar Mehta Microsoft MVP Excel 2000-2008 www.tushar-mehta.com Tutorials and add-ins for Excel, PowerPoint, and other products |
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