Abstract.
We analyze perturbations of the right-hand side and the cost parameters in linear programming (LP) and semidefinite programming (SDP). We obtain tight bounds on the perturbations that allow interior-point methods to recover feasible and near-optimal solutions in a single interior-point iteration. For the unique, nondegenerate solution case in LP, we show that the bounds obtained using interior-point methods compare nicely with the bounds arising from using the optimal basis. We also present explicit bounds for SDP using the Monteiro-Zhang family of search directions and specialize them to the AHO, H..K..M, and NT directions.
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Received: December 1999 / Accepted: January 2001¶Published online March 22, 2001
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Yıldırım, E., Todd, M. Sensitivity analysis in linear programming and semidefinite programming using interior-point methods. Math. Program. 90, 229–261 (2001). https://doi.org/10.1007/PL00011423
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DOI: https://doi.org/10.1007/PL00011423