Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients

De Wolf,Daniel;Smeers, Yves
(2021) European Journal of Operational Research — Vol. 2, n° 291, p. 491-496 (2021)

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  • De Wolf,DanielUniversité du Littoral Côte d’Opale, 220 avenue de l’Université, F-59140 Dunkerque, France
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  • Smeers, Yvesorcid-logoUCLouvain
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Abstract
We present here a characterization of the Clarke subdifferential of the optimal value function of a linear program as a function of matrix coefficients.We generalize the result of Freund(1985)to the cases where derivatives may not be defined because of the existence of multiple primal or dual solutions.
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De Wolf, D., & Smeers, Y. (2021). Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients. European Journal of Operational Research, 2(291), 491-496. https://doi.org/10.1016/j.ejor.2019.11.020 (Original work published 2021)