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ineqlin.marginals attribute. Exploring duality concepts, one could also obtain dual variables by solving the following LP. linprog(-d, A_ub=A.T, b_ub=c, bounds=(0, None)) And let us put it all together in the main loop. # Initial solution sol = linprog(c, A_ub=-A, b_ub=-d, bounds=(0, None))