The Optimal Set and Optimal Partition Approach to Linear and Quadratic Programming

Arjan Berkelaar, K. Roos and T. Terlaky

No EI 9658-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: In this chapter we describe the optimal set approach for sensitivity analysis for LP. We show that optimal partitions and optimal sets remain constant between two consecutive transition-points of the optimal value function. The advantage of using this approach instead of the classical approach (using optimal bases) is shown. Moreover, we present an algorithm to compute the partitions, optimal sets and the optimal value function. This is a new algorithm and uses primal and dual optimal solutions. We also extend some of the results to parametric quadratic programming, and discuss differences and resemblances with the linear programming case.

Keywords: complementarity; parametric programming; sensitivity analysis (search for similar items in EconPapers)
Date: 1996-01-01
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Citations: View citations in EconPapers (2)

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