Sensitivity Analysis in Quadratic Programming

1997 ◽  
pp. 57-69
Author(s):  
Benjamin Jansen
Keyword(s):  
Sensitivity Analysis ◽  
Quadratic Programming

A RQP Based Method for Estimating Parameter Sensitivity Derivatives

1988 ◽  
Author(s):  
T. J. Beltracchi ◽  
G. A. Gabriele
Keyword(s):  
Sensitivity Analysis ◽  
Quadratic Programming ◽  
Parameter Sensitivity ◽  
Second Order ◽  
Order Information ◽  
Parameter Sensitivity Analysis ◽  
Test Set ◽  
Recursive Quadratic Programming ◽  
Sensitivity Derivatives ◽  
Quadratic Programming Method

Abstract Parameter sensitivity analysis is defined as the estimation of changes in the modeling functions and design point due to small changes in the fixed parameters of the formulation. There are currently several methods for estimating parameter sensitivities which either require difficult to obtain second order information, or do not return reliable estimates for the derivatives. This paper presents a new method, based on the use of the recursive quadratic programming method in conjunction with differencing formulas to estimate the parameter sensitivities without the need to calculate second order information. The method is compared to existing methods and is shown to be very competitive in terms of the number of function evaluations required. In terms of accuracy, the method is shown to be equivalent to a modified version of the Kuhn-Tucker method, where the Hessian of the Lagrangian is estimated using the BFS method employed by the RQP algorithm. Initial testing on a test set of known characteristics demonstrates that the method can accurately calculate parameter sensitivities.

Tolerance Approach to Sensitivity Analysis in Quadratic Programming Problems

OPSEARCH ◽  
1999 ◽  
Vol 36 (1) ◽  
pp. 1-9 ◽  
Author(s):  
R. N. Kaul ◽  
Davinder Bhatia ◽  
Pankaj Gupta
Keyword(s):  
Sensitivity Analysis ◽  
Quadratic Programming ◽  
Tolerance Approach ◽  
Quadratic Programming Problems

Strict sensitivity analysis in fuzzy quadratic programming

2012 ◽  
Vol 198 ◽  
pp. 99-111 ◽  
Author(s):  
Behrouz Kheirfam ◽  
José-Luis Verdegay
Keyword(s):  
Sensitivity Analysis ◽  
Quadratic Programming
Sign in / Sign up

Export Citation Format

Share Document