A sensitivity result for semidefinite programs

A sensitivity result for semidefinite programs

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Article ID: iaor20043336
Country: Netherlands
Volume: 32
Issue: 2
Start Page Number: 126
End Page Number: 132
Publication Date: Mar 2004
Journal: Operations Research Letters
Authors: ,
Keywords: semidefinite programming
Abstract:

We study the sensitivity of solutions of linear semidefinite programs under small arbitrary perturbations of the data. We present an elementary and self-contained proof of the differentiability of the solutions as functions of the perturbations, and we characterize the derivative as the solution of a system of linear equations.

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