Sensitivity analysis in optimization and reliability problems
2008 - E. Castillo, R. Minguez, C. Castillo
Reliability Engineering and System Satefy, 93, 1788-1800 (2008).
Abtract
The paper starts giving the main results that allow a sensitivity analysis to be performed in a general optimization problem, including sensitivities of the objective function, the primal and the dual variables with respect to data. In particular, general results are given for non-linear programming, and closed formulas for linear programming problems are supplied. Next, the methods are applied to a collection of civil engineering reliability problems, which includes a bridge crane, a retaining wall and a composite breakwater. Finally, the sensitivity analysis formulas are extended to calculus of variations problems and a slope stability problem is used to illustrate the methods.