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Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients

Authors :
UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
De Wolf,Daniel
Smeers, Yves
UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
De Wolf,Daniel
Smeers, Yves
Source :
European Journal of Operational Research, Vol. 2, no. 291, p. 491-496 (2021)
Publication Year :
2021

Abstract

We present here a characterization of the Clarke subdifferential of the optimal value function of a linear program as a function of matrix coefficients.We generalize the result of Freund(1985)to the cases where derivatives may not be defined because of the existence of multiple primal or dual solutions.

Details

Database :
OAIster
Journal :
European Journal of Operational Research, Vol. 2, no. 291, p. 491-496 (2021)
Notes :
English
Publication Type :
Electronic Resource
Accession number :
edsoai.on1288282513
Document Type :
Electronic Resource