Is there a tool that reads any linear optimization problem (for example an .lp or .mps file), converts it to the dual problem and prints the dual problem?
I recommend having a look at the most recent developments around JuMP. They have developed two interesting packages this year:
- MathOptFormat.jl, that allows to import/export optimization problem in MPS, LP, CBF, etc...
- Dualization.jl, that allows to dualize automatically any optimization problem in conic form
You can find here a Julia script that takes as input a MPS file and output the dual problem in a LP file.
However, I get some problems with MathOptFormat, as this package is not yet able to import LP files... Still a work in progress I guess!
The link includes an online converter from primal to dual linear programs. The downside is you need to input all the coefficients and variables into the pre-defined form on the webpage.