A general parametric analysis approach and its implication to sensitivity analysis in interior point methods

A general parametric analysis approach and its implication to sensitivity analysis in interior point methods

0.00 Avg rating0 Votes
Article ID: iaor19972122
Country: Netherlands
Volume: 72
Issue: 1
Start Page Number: 65
End Page Number: 82
Publication Date: Jan 1996
Journal: Mathematical Programming (Series A)
Authors: ,
Keywords: programming: parametric
Abstract:

Adler and Monteiro developed a parametric analysis approach that is naturally related to the geometry of the linear program. This approach is based on the availability of primal and dual optimal solutions satisfying strong complementarity. In this paper, the authors develop an alternative geometric approach for parametric analysis which does not require the strong complementarity condition. This parametric analysis approach is used to develop range and marginal analysis techniques which are suitable for interior point methods. Two approaches are developed, namely the LU factorization approach and the affine scaling approach.

Reviews

Required fields are marked *. Your email address will not be published.