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Active Constraint Set Invariancy Sensitivity Analysis in Linear Optimization

Author

Listed:
  • A. Ghaffari Hadigheh

    (Azarbaijan Tarbiat Moallem University)

  • K. Mirnia

    (University of Tabriz
    Research Institute for Fundamental Science)

  • T. Terlaky

    (McMaster University)

Abstract

Active constraint set invariancy sensitivity analysis is concerned with finding the range of parameter variation so that the perturbed problem has still an optimal solution with the same support set that the given optimal solution of the unperturbed problem has. However, in an optimization problem with inequality constraints, active constraint set invariancy sensitivity analysis aims to find the range of parameter variation, where the active constraints in a given optimal solution remains invariant. For the sake of simplicity, we consider the primal problem in standard form and consequently its dual may have an optimal solution with some active constraints. In this paper, the following question is answered: “what is the range of the parameter, where for each parameter value in this range, a dual optimal solution exists with exactly the same set of positive slack variables as for the current dual optimal solution?”. The differences of the results between the linear and convex quadratic optimization problems are highlighted too.

Suggested Citation

  • A. Ghaffari Hadigheh & K. Mirnia & T. Terlaky, 2007. "Active Constraint Set Invariancy Sensitivity Analysis in Linear Optimization," Journal of Optimization Theory and Applications, Springer, vol. 133(3), pages 303-315, June.
    • Handle: RePEc:spr:joptap:v:133:y:2007:i:3:d:10.1007_s10957-007-9201-5
    DOI: 10.1007/s10957-007-9201-5
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    References listed on IDEAS

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    1. Koltai, Tamas & Terlaky, Tamas, 2000. "The difference between the managerial and mathematical interpretation of sensitivity analysis results in linear programming," International Journal of Production Economics, Elsevier, vol. 65(3), pages 257-274, May.
    2. Hadigheh, Alireza Ghaffari & Terlaky, Tamas, 2006. "Sensitivity analysis in linear optimization: Invariant support set intervals," European Journal of Operational Research, Elsevier, vol. 169(3), pages 1158-1175, March.
    3. Jansen, B. & de Jong, J. J. & Roos, C. & Terlaky, T., 1997. "Sensitivity analysis in linear programming: just be careful!," European Journal of Operational Research, Elsevier, vol. 101(1), pages 15-28, August.
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    Cited by:

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    3. Hladík, Milan, 2010. "Multiparametric linear programming: Support set and optimal partition invariancy," European Journal of Operational Research, Elsevier, vol. 202(1), pages 25-31, April.
    4. Ma, Kang-Ting & Lin, Chi-Jen & Wen, Ue-Pyng, 2013. "Type II sensitivity analysis of cost coefficients in the degenerate transportation problem," European Journal of Operational Research, Elsevier, vol. 227(2), pages 293-300.

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