1. Sensitivity analysis for linear changes of the constraint matrix of a linear program
- Author
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Miftari, Bardhyl, Louveaux, Quentin, Ernst, Damien, and Derval, Guillaume
- Subjects
Mathematics - Optimization and Control - Abstract
Understanding the variation of the optimal value with respect to change in the data is an old problem of mathematical optimisation. This paper focuses on the linear problem $f(\lambda) = \min c^t x$ such that $(A+\lambda D)x \leq b$, where $\lambda$ is an unknown parameter that varies within an interval and $D$ is a matrix modifying the coefficients of the constraint matrix $A$. This problem is used to analyse the impact of multiple affine changes in the constraint matrix on the objective function. The function $f(\lambda)$ can have an erratic behaviour and computing it for a large number of points is computationally heavy while not providing any guarantees in between the computed points. As a new approach to the problem, we derive several bounding methods that provide guarantees on the objective function's behaviour. Those guarantees can be exploited to avoid recomputing the problem for numerous $\lambda$. The bounding methods are based on approaches from robust optimisation or Lagrangian relaxations. For each approach, we derive three methods of increasing complexity and precision, one that provides constant bounds, one that provides $\lambda$-dependant bounds and envelope bounds. We assess each bounding method in terms of precision, availability and timing. We show that for a large number of problems, the bound approach outperforms the naive sampling approach considered with 100 points while still providing a good precision and stronger guarantees on a large dataset of problems. We also introduce an iterative algorithm that uses these bounds to compute an approximation of the original function within a given error threshold and discuss its performances.
- Published
- 2024