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Critical Objective Size and Calmness Modulus in Linear Programming

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Abstract

This paper introduces the concept of critical objective size associated with a linear program in order to provide operative point-based formulas (only involving the nominal data, and not data in a neighborhood) for computing or estimating the calmness modulus of the optimal set (argmin) mapping under uniqueness of nominal optimal solution and perturbations of all coefficients. Our starting point is an upper bound on this modulus given in Cánovas et al. (4). In this paper we prove that this upper bound is attained if and only if the norm of the objective function coefficient vector is less than or equal to the critical objective size. This concept also allows us to obtain operative lower bounds on the calmness modulus. We analyze in detail an illustrative example in order to explore some strategies that can improve the referred upper and lower bounds.

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Authors and Affiliations

  1. Center of Operations Research, Miguel Hernández University of Elche, 03202, Elche, Alicante, Spain

    M. J. Cánovas, J. Parra & F. J. Toledo

  2. Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117, Berlin, Germany

    R. Henrion

Authors
  1. M. J. Cánovas
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  2. R. Henrion
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  3. J. Parra
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  4. F. J. Toledo
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Correspondence to J. Parra.

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Cánovas, M.J., Henrion, R., Parra, J. et al. Critical Objective Size and Calmness Modulus in Linear Programming. Set-Valued Var. Anal 24, 565–579 (2016). https://doi.org/10.1007/s11228-015-0351-6

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  • DOI: https://doi.org/10.1007/s11228-015-0351-6

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