The Optimal Set and Optimal Partition Approach to Linear and Quadratic Programming
In this chapter we describe the optimal set approach for sensitivity analysis for LP. We show that optimal partitions and optimal sets remain constant between two consecutive transition-points of the optimal value function. The advantage of using this approach instead of the classical approach (using optimal bases) is shown. Moreover, we present an algorithm to compute the partitions, optimal sets and the optimal value function. This is a new algorithm and uses primal and dual optimal solutions. We also extend some of the results to parametric quadratic programming, and discuss differences and resemblances with the linear programming case.
|Keywords||complementarity, parametric programming, sensitivity analysis|
Berkelaar, A.B., Roos, K., & Terlaky, T.. (1996). The Optimal Set and Optimal Partition Approach to Linear and Quadratic Programming (No. EI 9658-/A). Retrieved from http://hdl.handle.net/1765/1394