Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients

Daniel De Wolf and Yves Smeers
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Daniel De Wolf: Université catholique de Louvain, LIDAM/CORE, Belgium
Yves Smeers: Université catholique de Louvain, LIDAM/CORE, Belgium

No 3140, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We present here a characterization of the Clarke subdifferential of the optimal value function of a linear program as a function of matrix coefficients. We generalize the result of Freund (1985) to the cases where derivatives may not be defined because of the existence of multiple primal or dual solutions.

Keywords: Linear programming; Parametric linear programming; Nondifferentiable programming (search for similar items in EconPapers)
Date: 2021-06-01
Note: In: European Journal of Operational Research, 2021, vol. 291(2), p. 491-496
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvrp:3140

DOI: 10.1016/j.ejor.2019.11.020

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