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Sensitivity Analysis and Uncertainty in Linear Programming

Author

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  • Julia L. Higle

    (Department of Systems and Industrial Engineering, University of Arizona, Tucson, Arizona 85721)

  • Stein W. Wallace

    (Molde University College, PO Box 2110, N-6402 Molde, Norway)

Abstract

Linear programming (LP) is one of the great successes to emerge from operations research and management science. It is well developed and widely used. LP problems in practice are often based on numerical data that represent rough approximations of quantities that are inherently difficult to estimate. Because of this, most LP-based studies include a postoptimality investigation of how a change in the data changes the solution. Researchers routinely undertake this type of sensitivity analysis (SA), and most commercial packages for solving linear programs include the results of such an analysis as part of the standard output report. SA has shortcomings that run contrary to conventional wisdom. Alternate models address these shortcomings.

Suggested Citation

  • Julia L. Higle & Stein W. Wallace, 2003. "Sensitivity Analysis and Uncertainty in Linear Programming," Interfaces, INFORMS, vol. 33(4), pages 53-60, August.
    • Handle: RePEc:inm:orinte:v:33:y:2003:i:4:p:53-60
    DOI: 10.1287/inte.33.4.53.16370
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