Closed formulas in local sensitivity analysis for some classes of linear and non-linear problems
2007 - E. Castillo, A. J. Conejo, C. Castillo , R. Minguez
TOP 15, 355-371 (2007).
Abtract
This paper presents an integrated approach to sensitivity analysis in some linear and non-linear programming problems. Closed formulas for the sensitivities of the objective function and primal and dual variables with respect to all parameters for some classes of problems are obtained. As particular cases, the sensitivities with respect to all data values, i.e., cost coefficients, constraints coefficients and right hand side terms of the constraints are provided for these classes of problems as closed formulas. The method is illustrated by its application to several examples