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[Help-glpk] Re: sensitivity analysis
From: |
Andrew Makhorin |
Subject: |
[Help-glpk] Re: sensitivity analysis |
Date: |
Fri, 15 Jan 2010 18:35:57 +0300 |
> Thanks a lot for all this nice information on doing sensitivity
> analysis, I think I am learning a lot on GLPK API from your email. Now
> I have a more complicated situation: what if more than one parameters
> ( coeff. or rhs, or some thing in the matrix) change simultaneously,
> say as a function of time t. Now I want to know when would the optimal
> basis change. How would you suggest to do this in an efficient way?
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.)
> 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).
- [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 <=
- [Help-glpk] Re: sensitivity analysis, Yingjie Lan, 2010/01/15
- [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