Sensitivity analysis in linear programming and semidefinite programming using interior-point methods

Emre Alper Yildirim, Michael J. Todd

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

We analyze perturbations of the right-hand side and the cost parameters in linear programming (LP) and semidefinite programming (SDP). We obtain tight bounds on the perturbations that allow interior-point method:, to recover feasible and near-optimal solutions in a single interior-point iteration. For the unique. nondegenerate solution case in LP, we show that the bounds obtained using interior-point methods compare nicely with the hounds arising from using the optimal basis. We also present explicit bounds for SDP using the Monteiro-Zhang family of search directions and specialize them to the AHO, H..K..M, and NT directions.
Original languageEnglish
Pages (from-to)229-261
Number of pages33
JournalMathematical programming
DOIs
Publication statusPublished - 1 Apr 2001

Keywords / Materials (for Non-textual outputs)

  • Sensitivity analysis
  • interior point methods
  • linear programming
  • Semidefinite programming

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