Sensitivity analysis in linear programming and semidefinite programming using interior-point methods

被引：32

作者：

Yildirim, EA ^{[1
]}

Todd, MJ ^{[1
]}

机构：

[1] Cornell Univ, Sch Operat Res & Ind Engn, Ithaca, NY 14853 USA

来源：

MATHEMATICAL PROGRAMMING | 2001年 / 90卷 / 02期

关键词：

sensitivity analysis; interior-point methods; linear programming; semidefinite programming;

D O I：

10.1007/PL00011423

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

We analyze perturbations of the right-hand side and the cost parameters in linear programming (LP) and semidefinite programming (SDP). We obtain tight bounds on the perturbations that allow interior-point method:, to recover feasible and near-optimal solutions in a single interior-point iteration. For the unique. nondegenerate solution case in LP, we show that the bounds obtained using interior-point methods compare nicely with the hounds arising from using the optimal basis. We also present explicit bounds for SDP using the Monteiro-Zhang family of search directions and specialize them to the AHO, H..K..M, and NT directions.

引用

页码：229 / 261

页数：33

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