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A Penalty Function Procedure for Sensitivity Analysis of Concave Programs

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  • Stephen Howe

    (Rensselaer Polytechnic Institute)

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.

Suggested Citation

  • Stephen Howe, 1974. "A Penalty Function Procedure for Sensitivity Analysis of Concave Programs," Management Science, INFORMS, vol. 21(3), pages 341-347, November.
    • Handle: RePEc:inm:ormnsc:v:21:y:1974:i:3:p:341-347
    DOI: 10.1287/mnsc.21.3.341
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