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Sensitivity Analysis

In: Basic Mathematical Programming Theory

Author

Listed:
  • Giorgio Giorgi

    (University of Pavia)

  • Bienvenido Jiménez

    (National University of Distance Education)

  • Vicente Novo

    (National University of Distance Education)

Abstract

An important area of applications of optimality conditions is concerned with questions arising from sensitivity analysis of nonlinear programming problems. In many applications, the objective function f, as well as the constraints $$g_{i},$$ g i , $$i=1,\dots ,m,$$ i = 1 , ⋯ , m , and $$h_{j},$$ h j , $$j=1,\dots ,p,$$ j = 1 , ⋯ , p , may depend also on certain number of parameters. For some of these applications the optimal solution $$x^{*}$$ x ∗ of the unperturbed problem (i.e. with fixed values of the parameters) may be of less interest than its sensitivity with respect to changes in the parameters. In other words, one may ask: how does the solution of the problem change as a function of the changes in the values of the parameters?

Suggested Citation

  • Giorgio Giorgi & Bienvenido Jiménez & Vicente Novo, 2023. "Sensitivity Analysis," International Series in Operations Research & Management Science, in: Basic Mathematical Programming Theory, chapter 0, pages 225-242, Springer.
    • Handle: RePEc:spr:isochp:978-3-031-30324-1_7
    DOI: 10.1007/978-3-031-30324-1_7
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    Cited by:

    1. Borgonovo, Emanuele & Clemente, Gian Paolo & Rabitti, Giovanni, 2024. "Why insurance regulators need to require sensitivity settings of internal models for their approval," Finance Research Letters, Elsevier, vol. 60(C).

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