1
vote
Accepted
Linear Programming Sensitivity to Matrix
Okay I think I have figured this out! I am going to assume we have primal and dual problems:
\begin{array}?
(P) &&\max& c^Tx &&& (D) &&\min& b^Ty \\
&&\text{...
- 206
1
vote
Linear Programming Sensitivity to Matrix
Let $u$ and $v$ be vectors of slack variables for the primal and dual, respectively. Thus $A x^* + u = b$ and $A^T y^* - v = c$. Then we can see that
\begin{equation}
\nu = c^T x^* = (Ay^*-v)^Tx^* = {...
- 206
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