Active Constraint Set Invariancy Sensitivity Analysis in Linear Optimization

Article

Abstract

Active constraint set invariancy sensitivity analysis is concerned with finding the range of parameter variation so that the perturbed problem has still an optimal solution with the same support set that the given optimal solution of the unperturbed problem has. However, in an optimization problem with inequality constraints, active constraint set invariancy sensitivity analysis aims to find the range of parameter variation, where the active constraints in a given optimal solution remains invariant.

For the sake of simplicity, we consider the primal problem in standard form and consequently its dual may have an optimal solution with some active constraints. In this paper, the following question is answered: “what is the range of the parameter, where for each parameter value in this range, a dual optimal solution exists with exactly the same set of positive slack variables as for the current dual optimal solution?”. The differences of the results between the linear and convex quadratic optimization problems are highlighted too.

Keywords

Parametric optimization Sensitivity analysis Linear optimization Optimal partitions 

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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.Department of Mathematics, Faculty of ScienceAzarbaijan Tarbiat Moallem UniversityTabrizIran
  2. 2.Department of Applied Mathematics, Mathematical Sciences FacultyUniversity of TabrizTabrizIran
  3. 3.Research Institute for Fundamental ScienceTabrizIran
  4. 4.Department of Computing and SoftwareMcMaster UniversityHamiltonCanada

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