Sensitivity analysis in (degenerate) quadratic programming
نویسندگان
چکیده
In this paper we deal with sensitivity analysis in convex quadratic programming, without making assumptions on nondegeneracy, strict convexity of the objective function, and the existence of a strictly complementary solution. We show that the optimal value as a function of a right{hand side element (or an element of the linear part of the objective) is piecewise quadratic, where the pieces can be characterized by maximal complementary solutions and tripartitions. Further, we investigate di erentiability of this function. A new algorithm to compute the optimal value function is proposed. Finally, we discuss the advantages of this approach when applied to mean{variance portfolio models.
منابع مشابه
A new approach for solving fuzzy multi-objective quadratic programming of water resource allocation problem
متن کامل
Analytical aspects of the interval unilateral quadratic matrix equations and their united solution sets
This paper introduces the emph{interval unilateral quadratic matrix equation}, $IUQe$ and attempts to find various analytical results on its AE-solution sets in which $A,B$ and $CCC$ are known real interval matrices, while $X$ is an unknown matrix. These results are derived from a generalization of some results of Shary. We also give sufficient conditions for non-emptiness of some quasi-solutio...
متن کاملDegenerate Nonlinear Programming with a Quadratic Growth Condition
We show that the quadratic growth condition and the Mangasarian-Fromovitz constraint qualiication imply that local minima of nonlinear programs are isolated stationary points. As a result, when started suuciently close to such points, an L1 exact penalty sequential quadratic programming algorithm will induce at least R-linear convergence of the iterates to such a local minimum. We construct an ...
متن کاملSecond order sensitivity analysis for shape optimization of continuum structures
This study focuses on the optimization of the plane structure. Sequential quadratic programming (SQP) will be utilized, which is one of the most efficient methods for solving nonlinearly constrained optimization problems. A new formulation for the second order sensitivity analysis of the two-dimensional finite element will be developed. All the second order required derivatives will be calculat...
متن کاملQuantum current modelling on tri-layer graphene nanoribbons in limit degenerate and non-degenerate
Graphene is determined by a wonderful carrier transport property and high sensitivityat the surface of a single molecule, making them great as resources used in Nano electronic use.TGN is modeled in form of three honeycomb lattices with pairs of in-equivalent sites as {A1, B1},{A2, B2}, and {A3, B3} which are located in the top, center and bottom layers, respectively. Trilayer...
متن کامل