The marginal value formula in input optimization

DOI10.1080/02331939108843676MaRDI QIDQ3974420zbMATH OpenOpenAlexFDO

Authors Sanjo Zlobec

Publication date 25 June 1992

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331939108843676

zbMATH Keywords

bi-convex mathematical programmingdualityinput optimization problemmarginal value formulaperturbationsregion of stabilitysaddle points

Mathematics Subject Classification ID

Convex programming (90C25) Nonlinear programming (90C30) Sensitivity, stability, parametric optimization (90C31)

Review text

After recalling some preliminary formulas about the theory of saddle points, an extension of the usual marginal formula to perturbations is given which is claimed to be the most complete formula for bi-convex mathematical programming models. This formula is then used to describe an optimal input on stable paths for bi-convex models. Two methods to solve the input optimization problem are presented, based on improvable stable paths and on stable perturbations. Both methods are of the descent type, for which convergence properties are established. The theoretical developments are complemented with many examples and pertinent applications including a problem of production optimization in a textile mill, an example of convexifiable constraints and an analysis of stable planning. Finally the role of this approach in a duality theory is emphasized. This article presents an extensive study of the capabilities of the marginal value formula in solving input optimization problems. The author demonstrates his mastership over the subject and his large knowledge of the related literature. It can however be deplored that a reader with less extensive knowledge of the subject will experience difficulties in following the expositions which are not always very clear nor straightforward.

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• Input optimization: I. Optimal realizations of mathematical models
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Cites work

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Cited in

(5)

• Partly convex programming and Zermelo's navigation problems
• Bilevel convex programming models
• Survey of input optimization¹
• The marginal value formula on regions of stability
• Stable parametric programming^*

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