Analytic central path, sensitivity analysis and parametric linear programming

A.G. Holder, J.F. Sturm and Shuzhong Zhang

No EI 9801, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: In this paper we consider properties of the central path and the analytic center of the optimal face in the context of parametric linear programming. We first show that if the right-hand side vector of a standard linear program is perturbed, then the analytic center of the optimal face is one-side differentiable with respect to the perturbation parameter. In that case we also show that the whole analytic central path shifts in a uniform fashion. When the objective vector is perturbed, we show that the last part of the analytic central path is tangent to a central path defined on the optimal face of the original problem.

Keywords: Parametric linear programming; analytic central path; sensitivity analysis (search for similar items in EconPapers)
Date: 1998-01-19
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