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 ]

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