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A Method of Sensitivity Analysis for the Infeasible Interior Point Method When a Variable is Added  

Kim, Woo-Je (Department of Industrial and Systems Engineering, Daejin University)
Park, Chan-kyoo (Department of IT Audit & Supervision, National Computerization Agency)
Lim, Sungmook (Department of Industrial Engineering, Seoul National University)
Park, Soondal (Department of Industrial Engineering, Seoul National University)
Murty , Katta G. (Department of Industrial and Operations Engineering, University of Michigan)
Publication Information
Journal of Korean Institute of Industrial Engineers / v.28, no.1, 2002 , pp. 99-104 More about this Journal
Abstract
This paper presents a method of sensitivity analysis for the infeasible interior point method when a new variable is introduced. For the sensitivity analysis in introducing a new variable, we present a method to find an optimal solution to the modified problem. If dual feasibility is satisfied, the optimal solution to the modified problem is the same as that of the original problem. If dual feasibility is not satisfied, we first check whether the optimal solution to the modified problem can be easily obtained by moving only dual solution to the original problem. If it is possible, the optimal solution to the modified problem is obtained by simple modification of the optimal solution to the original problem. Otherwise, a method to set an initial solution for the infeasible interior point method is presented to reduce the number of iterations required. The experimental results are presented to demonstrate that the proposed method works better.
Keywords
interior point method; sensitivity analysis;
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