A general parametric analysis approach and its implication to sensitivity analysis in interior point methods

Renato D.C. Monteiro*, Sanjay Mehrotra

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

24 Scopus citations

Abstract

Adler and Monteiro (1992) developed a parametric analysis approach that is naturally related to the geometry of the linear program. This approach is based on the availability of primal and dual optimal solutions satisfying strong complementarity. In this paper, we develop an alternative geometric approach for parametric analysis which does not require the strong complementarity condition. This parametric analysis approach is used to develop range and marginal analysis techniques which are suitable for interior point methods. Two approaches are developed, namely the LU factorization approach and the affine scaling approach.

Original languageEnglish (US)
Pages (from-to)65-82
Number of pages18
JournalMathematical Programming, Series B
Volume72
Issue number1
DOIs
StatePublished - Jan 31 1996

Keywords

  • Interior point method
  • Linear programming
  • Marginal analysis
  • Parametric analysis
  • Post-optimality
  • Range analysis
  • Sensitivity analysis

ASJC Scopus subject areas

  • Software
  • Mathematics(all)

Fingerprint Dive into the research topics of 'A general parametric analysis approach and its implication to sensitivity analysis in interior point methods'. Together they form a unique fingerprint.

Cite this