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

DOI10.1007/BF00938759MaRDI QIDQ795745zbMATH OpenFDO

Authors Harold P. Benson

Publication date 1985

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00938759

zbMATH Keywords

multiple-objective linear programmingoptimal value functionparametric programmingperturbationsensitivity analysis

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Sensitivity, stability, parametric optimization (90C31) Methods of successive quadratic programming type (90C55)

Review text

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.

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Cites work

• Algorithms for the vector maximization problem
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• scientific article; zbMATH DE number 3121288 (Why is no real title available?)
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Cited in

(4)

• La valeur optimale des programmes entiers. (The optimal value of integer programs)
• Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients
• LP-related representations of Cesàro and Abel limits of optimal value functions
• Some comments on a linear programming problem

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