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Formulae for the Sensitivity Analysis of Linear Programming Problems

  • Jacques Gauvin

Abstract

This paper is concerned with three formulae for the sensitivity analysis of the standard linear programming problem. The first one is for variations on the right-hand side vector, the second for variations on the cost vector and the third one is for variations on the coefficients of the matrix defining the linear system. This last formula is obtained from a sensitivity result in nonlinear programming.

Keywords

linear programming sensitivity analysis 

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References

  1. 1.
    J. Gauvin, Theory of Nonconvex Programming, CRM, Montreal 1994.Google Scholar
  2. 2.
    J. Gauvin, R. Janin, “Directional Derivative of the Value Function in Parametric Optimization”, Annals of Operations Research 27 (1990) 237–252.CrossRefGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Jacques Gauvin
    • 1
  1. 1.École Polytechnique de MontréalMontréalCanada

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