Closed formulas in local sensitivity analysis for some classes of linear and non-linear problems |
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Authors: | E Castillo A J Conejo C Castillo R Mínguez |
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Institution: | (1) Department of Applied Mathematics and Computational Sciences, University of Cantabria, Avda. de Los Castros s/n, 39005 Santander, Spain;(2) Department of Electrical Engineering, University of Castilla-La Mancha, Ciudad Real, Spain;(3) Department of Civil Engineering, University of Castilla-La Mancha, Ciudad Real, Spain;(4) Department of Applied Mathematics, University of Castilla-La Mancha, Ciudad Real, Spain |
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Abstract: | This paper presents an integrated approach to sensitivity analysis in some linear and non-linear programming problems. Closed
formulas for the sensitivities of the objective function and primal and dual variables with respect to all parameters for
some classes of problems are obtained. As particular cases, the sensitivities with respect to all data values, i.e., cost
coefficients, constraints coefficients and right hand side terms of the constraints are provided for these classes of problems
as closed formulas. The method is illustrated by its application to several examples.
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Keywords: | Local sensitivity Mathematical programming Duality Closed formulas for sensitivities |
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