parametric optimization – Page 2

Sensitivity analysis in convex quadratic optimization: simultaneous perturbation of the objective and right-hand-side vectors

Published: 2005/02/23, Updated: 2007/08/30

Finance and Economics, Linear Programming, Quadratic Programming interior point methods, linear programming, optimal partition, parametric optimization, quadratic programming, sensitivity analysis, simultaneous perturbation

In this paper we study the behavior of Convex Quadratic Optimization problems when variation occurs simultaneously in the right-hand side vector of the constraints and in the coefficient vector of the linear term in the objective function. It is proven that the optimal value function is piecewise-quadratic. The concepts of transition point and invariancy interval … Read more

Sensitivity analysis in linear optimization: Invariant support set intervals

Published: 2004/08/06

Linear Programming interior point methods, linear programming, optimal partition, parametric optimization, sensitivity analysis

Sensitivity analysis is one of the most nteresting and preoccupying areas in optimization. Many attempts are made to investigate the problem’s behavior when the input data changes. Usually variation occurs in the right hand side of the constraints and/or the objective function coefficients. Degeneracy of optimal solutions causes considerable difficulties in sensitivity analysis. In this … Read more