TU Chemnitz, Fakultät für Mathematik: Fakultät für Mathematik
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K.Beer; G.Zenker : The marginal value in quadratic programming with unbounded solution sets
- Author(s) :
- K.Beer; G.Zenker
- Title :
- The marginal value in quadratic programming with unbounded solution sets
- Preprint series
- Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 98-23, 1998
- Mathematics Subject Classification :
- 90C31 [ Sensitivity, etc.
]
- 90C25 [ Convex programming ]
- 90C25 [ Convex programming ]
- Abstract :
- A formula for computing the diretional derivative of
the optimal value function of a convex quadratic programming problem is given.
Pertubations in the constrained matrix are not allowed. For
this situation three equvalent necessary and sufficient criteria for the existence of
the directional derivative together with an upper and lower bound for the expansion of optimal value are proved.
- Keywords :
- directional derivative, marginal function, quadratic programming, parametric optimization, nondifferentiable optimization, sensitivity analysis
- Language :
- english
- Publication time :
- 10/1998
