Marginal and parametric analysis of the central optimal solution

Marginal and parametric analysis of the central optimal solution

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Article ID: iaor20032519
Country: Canada
Volume: 39
Issue: 4
Start Page Number: 394
End Page Number: 415
Publication Date: Nov 2001
Journal: INFOR
Authors: , ,
Keywords: programming: parametric
Abstract:

In this paper, the sensitivity analysis of the parameterized central path is investigated. First, a complete marginal analysis of the central optimal solution is developed. This analysis explains the differential properties of the central optimal solution with respect to both the cost coefficients and the right-hand side components. It is also shown that the marginal derivatives are uniformly bounded. Second, three conditions are presented for which the parameterized central path converges. Two of these results allow the difficult situation of simultaneous perturbations in the cost coefficients and right-hand side levels.

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