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[Help-glpk] Re: sensitivity analysis
From: |
Yingjie Lan |
Subject: |
[Help-glpk] Re: sensitivity analysis |
Date: |
Fri, 15 Jan 2010 19:23:59 -0800 (PST) |
> That you need is another kind of post-optimal analysis, so
> called
> parametric analysis. You define the objective function or
> rhs vector
> to depend on some scalar parameter t, for example:
>
> z = (c[1] + t*c'[1])*x[1] + ... + (c[n] +
> t*c'[n])*x[n],
>
> and then see how the optimal solution is changing on
> varying t.
>
> There exist efficient methods to perform the parametric
> analysis,
> unfortunately, in glpk this feature is not implemented yet.
> (I have it
> in the to-do list.)
I'm looking forward to it. In the example you have given, the params are
linearly dependent on t -- what if the dependence is non-linear?
>
> > One possible way I am thinking is to do something like
> a binary
> > search, and test if the basis remains optimal a long
> the way.
>
> This technique may work, however, it is inefficient (and
> non-elegant).
>
When the params (not just rhs, coefs, but also any entry in the contraint
matrix) depends nonlinearly on scaler t, I wonder if there are some efficient
algorithms. This problem seems extremely hard, as the set of t that shares the
same optimal basis might be many disjoint intervals. We might just be satisfied
with identifying one particular interval of t that contains some initial t_0.
- [Help-glpk] glpk 4.42 release information, Andrew Makhorin, 2010/01/13
- Re: [Help-glpk] glpk 4.42 release information, Yingjie Lan, 2010/01/14
- Re: [Help-glpk] glpk 4.42 release information, Noli Sicad, 2010/01/14
- Re: [Help-glpk] glpk 4.42 release information, Andrew Makhorin, 2010/01/14
- Re: [Help-glpk] glpk 4.42 release information, Yingjie Lan, 2010/01/14
- [Help-glpk] sensitivity analysis, Andrew Makhorin, 2010/01/15
- Message not available
- [Help-glpk] Re: sensitivity analysis, Andrew Makhorin, 2010/01/15
- [Help-glpk] Re: sensitivity analysis,
Yingjie Lan <=
- [Help-glpk] Re: sensitivity analysis, Andrew Makhorin, 2010/01/16
- [Help-glpk] Re: sensitivity analysis, Yingjie Lan, 2010/01/16
- [Help-glpk] API friendliness Re: sensitivity analysis, Yingjie Lan, 2010/01/19
- [Help-glpk] variable object and deletions, Yingjie Lan, 2010/01/19
- Re: [Help-glpk] variable object and deletions, Daniel Gustafson, 2010/01/20
- Re: [Help-glpk] variable object and deletions, Yingjie Lan, 2010/01/20
- [Help-glpk] Re: API friendliness Re: sensitivity analysis, Andrew Makhorin, 2010/01/23
- [Help-glpk] Re: API friendliness Re: sensitivity analysis, Yingjie Lan, 2010/01/23
- [Help-glpk] Re: API friendliness Re: sensitivity analysis, Andrew Makhorin, 2010/01/24
- [Help-glpk] Re: API friendliness Re: sensitivity analysis, Yingjie Lan, 2010/01/24