A GENERAL PARAMETRIC ANALYSIS APPROACH AND ITS IMPLICATION TO SENSITIVITY ANALYSIS IN INTERIOR-POINT METHODS

Authors
MONTEIRO RDC MEHROTRA S
Citation
Rdc. Monteiro et S. Mehrotra, A GENERAL PARAMETRIC ANALYSIS APPROACH AND ITS IMPLICATION TO SENSITIVITY ANALYSIS IN INTERIOR-POINT METHODS, Mathematical programming, 72(1), 1996, pp. 65-82
Citations number
13
Categorie Soggetti
Operatione Research & Management Science",Mathematics,"Operatione Research & Management Science",Mathematics,"Computer Science Software Graphycs Programming
Journal title
Mathematical programming → ACNP
ISSN journal
00255610
Volume
72
Issue
1
Year of publication
1996
Pages
65 - 82
Database
ISI
SICI code
0025-5610(1996)72:1<65:AGPAAA>2.0.ZU;2-D
Abstract
Adler and Monteiro (1992) developed a parametric analysis approach tha t is naturally related to the geometry of the linear program. This app roach is based on the availability of primal and dual optimal solution s satisfying strong complementarity. In this paper, we develop an alte rnative geometric approach for parametric analysis which does not requ ire the strong complementarity condition. This parametric analysis app roach is used to develop range and marginal analysis techniques which are suitable for interior point methods. Two approaches are developed, namely the LU factorization approach and the affine scaling approach.