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Active Constraint Set Invariancy Sensitivity Analysis in Linear Optimization

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Abstract

Active constraint set invariancy sensitivity analysis is concerned with finding the range of parameter variation so that the perturbed problem has still an optimal solution with the same support set that the given optimal solution of the unperturbed problem has. However, in an optimization problem with inequality constraints, active constraint set invariancy sensitivity analysis aims to find the range of parameter variation, where the active constraints in a given optimal solution remains invariant.

For the sake of simplicity, we consider the primal problem in standard form and consequently its dual may have an optimal solution with some active constraints. In this paper, the following question is answered: “what is the range of the parameter, where for each parameter value in this range, a dual optimal solution exists with exactly the same set of positive slack variables as for the current dual optimal solution?”. The differences of the results between the linear and convex quadratic optimization problems are highlighted too.

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Authors and Affiliations

  1. Department of Mathematics, Faculty of Science, Azarbaijan Tarbiat Moallem University, Tabriz, Iran

    A. Ghaffari Hadigheh

  2. Department of Applied Mathematics, Mathematical Sciences Faculty, University of Tabriz, Tabriz, Iran

    K. Mirnia

  3. Research Institute for Fundamental Science, Tabriz, Iran

    K. Mirnia

  4. Department of Computing and Software, McMaster University, Hamilton, ON, Canada

    T. Terlaky

Authors
  1. A. Ghaffari Hadigheh
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  2. K. Mirnia
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  3. T. Terlaky
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Corresponding author

Correspondence to T. Terlaky.

Additional information

Communicated by P.M. Pardalos.

Supported by the Research Institute for Fundamental Science, Tabriz, Iran.

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Ghaffari Hadigheh, A., Mirnia, K. & Terlaky, T. Active Constraint Set Invariancy Sensitivity Analysis in Linear Optimization. J Optim Theory Appl 133, 303–315 (2007). https://doi.org/10.1007/s10957-007-9201-5

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  • DOI: https://doi.org/10.1007/s10957-007-9201-5

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