A Penalty Function Procedure for Sensitivity Analysis of Concave Programs

Stephen Howe
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Stephen Howe: Rensselaer Polytechnic Institute

Management Science, 1974, vol. 21, issue 3, 341-347

Abstract: Given a concave program, consider its optimal objective value as a function of the right-hand side. The behavior of this optimal response function reflects the sensitivity of the objective value to changes in the right-hand side. A scheme involving the optimization of a penalty function is developed for determining the value and gradient of the optimal response function at points within a region of interest. This scheme is then applied to a simple example to illustrate its potential usefulness.

Date: 1974
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:21:y:1974:i:3:p:341-347

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