Journal
MATHEMATICAL PROGRAMMING
Volume 90, Issue 2, Pages 229-261Publisher
SPRINGER-VERLAG
DOI: 10.1007/PL00011423
Keywords
sensitivity analysis; interior-point methods; linear programming; semidefinite programming
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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.
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