An ∈-sensitivity analysis for semidefinite programming

Sungmook Lim, Sangwook Lee, Soondal Park

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

We extend the concept of ∈-sensitivity analysis developed for linear programming to that for semidefinite programming. First, the notion of ∈-optimality for a given semidefinite programming problem is defined, and then a generic ∈-sensitivity analysis for semidefinite programming is introduced. Based on the definitions, we develop an implementation of the generic ∈-sensitivity analysis under perturbations of either the cost parameters or the right-hand side.

Original languageEnglish
Pages (from-to)417-422
Number of pages6
JournalEuropean Journal of Operational Research
Volume164
Issue number2
DOIs
StatePublished - 16 Jul 2005

Keywords

  • ∈-Sensitivity analysis
  • Interior-point method
  • Semidefinite programming
  • Sensitivity analysis

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