An ∈-sensitivity analysis for semidefinite programming

Sungmook Lim; Sangwook Lee; Soondal Park

doi:10.1016/j.ejor.2001.11.001

An ∈-sensitivity analysis for semidefinite programming

Sungmook Lim
, Sangwook Lee
, Soondal Park

Department of Business Administration

Seoul National University

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	417-422
Number of pages	6
Journal	European Journal of Operational Research
Volume	164
Issue number	2
DOIs	https://doi.org/10.1016/j.ejor.2001.11.001
State	Published - 16 Jul 2005

Keywords

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

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10.1016/j.ejor.2001.11.001

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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.",

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N2 - 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.

AB - 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.

KW - ∈-Sensitivity analysis

KW - Interior-point method

KW - Semidefinite programming

KW - Sensitivity analysis

UR - https://www.scopus.com/pages/publications/10444254611

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EP - 422

JO - European Journal of Operational Research

JF - European Journal of Operational Research

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ER -

An ∈-sensitivity analysis for semidefinite programming

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Keywords

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