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: | Jarre Florian, Freund Roland W. |
Keywords: | semidefinite programming |
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.