An ϵ-sensitivity analysis for semidefinite programming

An ϵ-sensitivity analysis for semidefinite programming

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Article ID: iaor20061831
Country: Netherlands
Volume: 164
Issue: 2
Start Page Number: 417
End Page Number: 422
Publication Date: Jul 2005
Journal: European Journal of Operational Research
Authors: , ,
Keywords: programming (semidefinite)
Abstract:

We extend the concept of ϵ-sensitivity analysis developed for linear programming to that for semidefinite programming. First, the notion of ϵ-optimality for a given semidefinite programming problem is defined, and then a generic ϵ-sensitivity analysis for semidefinite programming is introduced. Based on the definitions, we develop an implementation of the generic ϵ-sensitivity analysis under perturbations of either the cost parameters or the right-hand side.

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