Article ID: | iaor20073862 |
Country: | United States |
Volume: | 50 |
Issue: | 6 |
Start Page Number: | 797 |
End Page Number: | 803 |
Publication Date: | Jun 2004 |
Journal: | Management Science |
Authors: | Wendell Richard E. |
Traditional sensitivity analysis in linear programming usually focuses on variations of one coefficient or term at a time. The tolerance approach was proposed to provide a decision maker with an effective and easy-to-use method to summarize the effects of simultaneous and independent changes in selected parameters. In particular, for variations of the objective function coefficients, the approach gives a maximum-tolerance percentage within which selected coefficients may vary from their estimated values (within a priori limits) while still retaining the same optimal basic feasible solution. Although an optimal solution may cease being optimal for variations beyond the maximum-tolerance percentage, it may still be close to optimal. Herein we characterize the potential loss of optimality for variations beyond the maximum-tolerance percentage as a maximum-regret function. We consider theoretical properties of this function and propose a method to compute a relevant portion of it.