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Marginal And Parametric Analysis Of The Central Optimal Solution, Allen G. Holder, J F. Sturm, S Zhang

Mathematics Faculty Research

In this paper we investigate the sensitivity analysis of the parameterized central path. First, a complete marginal analysis of the central optimal solution is developed. This analysis explains the differential properties of the central optimal solution with respect to both the cost coefficients and the right-hand side components. We also show that the marginal derivatives are uniformly bounded. Second, we present three conditions for which the parameterized central path converges. Two of these results allow the difficult situation of simultaneous perturbations in the cost coefficients and right-hand side levels.