A strict complementarity approach to error bound and sensitivity of solution of conic programs

被引:1
|
作者
Ding, Lijun [1 ]
Udell, Madeleine [2 ]
机构
[1] Univ Wisconsin, Wisconsin Inst Discovery, Madison, WI 53715 USA
[2] Stanford Univ, Management Sci & Engn, Stanford, CA 94305 USA
基金
加拿大健康研究院;
关键词
Conic program; Strict complementarity; Error bound;
D O I
10.1007/s11590-022-01942-1
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
In this paper, we provide an elementary, geometric, and unified framework to analyze conic programs that we call the strict complementarity approach. This framework allows us to establish error bounds and quantify the sensitivity of the solution. The framework uses three classical ideas from convex geometry and linear algebra: linear regularity of convex sets, facial reduction, and orthogonal decomposition. We show how to use this framework to derive error bounds for linear programming, second order cone programming, and semidefinite programming.
引用
收藏
页码:1551 / 1574
页数:24
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