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Sensitivity analysis.

Colección

This lesson is dedicated to sensitivity analysis. After a brief motivation of sensitivity analysis in civil engineering, we introduce local sensitivity analysis, as determining how the objective function and the variables, primal or dual, change when the data change. We provide formulas for determining all these sensitivities. First an important theorem is given that says that the sensitivity of the objective function with respect to any parameter is the partial derivative of the Lagrangian function with respect to the parameter. Next, matrix formulas are given for determining all sensitivities in the regular case. Explicit formulas for the linear programming case are obtained. Finally, some examples of applications in civil engineering are given. The lesson ends with some conclusions and a discussion of some related bibliography.

Autores Enrique Castillo
Fecha 20/09/2019 Idioma Ingles

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Contenido

Sensitivity analysis in optimization problems

We deal with sensitivity analysis. After a motivation in civil engineering, we provide closed formulas for determining all sensitivities, including objective function and primal and dual variables, with respect to any parameter in the regular case. Explicit formulas for the linear programming case are obtained. Some examples of applications in civil engineering are given.

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