Sensitivity Analysis
for Degenerate Quadratic Programming
Arjan B. Berkelaar, Benjamin Jansen, Kees Roos and Tamas Terlaky
In this paper we deal with sensitivity analysis
in convex quadratic programming, without making
assumptions on nondegeneracy, strict convexity
of the objective function, and the existence of
a strictly complementary solution.
We show that the optimal value as a function of
a right--hand side element (or an element of the
linear part of the objective) is piecewise quadratic,
where the pieces can be characterized by maximal
complementary solutions and tripartitions. Further,
we investigate differentiability of this function.
A new algorithm to compute the optimal value function
is proposed. Finally, we discuss the advantages of
this approach when applied to mean--variance portfolio
models.
Technical Report, February, 1996.
Contact: [email protected]
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