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

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.
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https://halshs.archives-ouvertes.fr/halshs-03123327
Contributor : Daniel De Wolf Connect in order to contact the contributor
Submitted on : Wednesday, January 27, 2021 - 5:22:04 PM
Last modification on : Tuesday, August 30, 2022 - 5:14:20 PM
Long-term archiving on: : Wednesday, April 28, 2021 - 7:17:43 PM

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Daniel de Wolf, Yves Smeers. Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients. European Journal of Operational Research, Elsevier, 2021, 291, pp.491 - 496. ⟨10.1016/j.ejor.2019.11.020⟩. ⟨halshs-03123327⟩

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