Guillaume Derval

Efficient LP warmstarting for linear modifications of the constraint matrix

  • Guillaume Derval
  • Bardhyl Miftari
  • Quentin Louveaux
    • Categories Linear Programming, Robust Optimization

    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 (mixed-integer) linear program

  • Bardhyl Miftari
  • Quentin Louveaux
  • Guillaume Derval
    • Categories Linear Programming, Linear, Cone and Semidefinite Programming, Robust Optimization

    Understanding how the optimal value of an optimisation problem changes when its input data is modified is an old question in mathematical optimisation. This paper investigates the computation of the optimal values of a family of (possibly mixed-integer) linear optimisation problems in which the constraint matrix is subject to linear perturbations controlled by a scalar … Read more