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: | Park Soondal, Lim Sungmook, Lee Sangwook |
Keywords: | programming (semidefinite) |
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.