On the optimal value function for certain linear programs with unbounded optimal solution sets (Q795745)

Often, the coefficients of a linear programming problem represent estimates of true values of data or are subject to systematic variation. In such cases, it is useful to perturb the original data and to either compute, estimate, or otherwise describe the values of the function f which gives the optimal value of the linear program for each perturbation. If the right-hand derivative of f at a chosen point exists and is calculated, then the values of f in a neighborhood of that point can be estimated. However, if the optimal solution set of either the primal problem or the dual problem is unbounded, then this derivative may not exist. In this note, we show that, frequently, even if the primal problem or the dual problem has an unbounded optimal solution set, the nature of the values of f at points near a given point can be investigated. To illustrate the potential utility of our results, their application to two types of problems is also explained.