Efficient LP warmstarting for linear modifications of the constraint matrix

We consider the problem of computing the optimal solution and objective of a linear program under linearly changing linear constraints. The problem studied is given by $\min c^t x \text{ s.t } Ax + \lambda Dx \leq b$ where $\lambda$ belongs to a set of predefined values $\Lambda$. Based on the information given by a … Read more

Sensitivity analysis for linear changes of the constraint matrix of a linear program

Understanding the variation of the optimal value with respect to change in the data is an old problem of mathematical optimisation. This paper focuses on the linear problem f(λ) = min ctx such that (A+λD)x ≤ b, where λ is an unknown parameter that varies within an interval and D is a matrix modifying the … Read more