Introduction to linear and nonlinear programming

In applications of operations research models, decision makers must assess the sensitivity of outputs to imprecise values for some of the model's parameters. Existing analytic approaches for classic optimization models rely heavily on duality properties for assessing the impact of local parameter variations, parametric programming for examining systematic variations in model coefficients, or stochastic programming for ascertaining a robust solution. This paper accommodates extensive simultaneous variations in any of an operations research model's parameters. For constrained optimization models, the paper demonstrates practical approaches for determining relative parameter sensitivity with respect to a model's optimal objective function value, decision variables, and other analytic functions of a solution. Relative sensitivity is assessed by assigning a portion of variation in an output value to each parameter that is imprecisely specified. The computing steps encompass optimization, Monte Carlo sampling, ...

Global Sensitivity Analysis

The main ideas of path following by predictor–corrector and piecewise-linear methods, and their application in the direction of homotopy methods and nonlinear eigenvalue problems are reviewed. Further new applications to areas such as polynomial systems of equations, linear eigenvalue problems, interior methods for linear programming, parametric programming and complex bifurcation are surveyed. Complexity issues and available software are also discussed.

Continuation and path following

Numerical path following

A key feature of control systems is robustness, the property that small perturbations in the system inputs cause only small changes in its outputs. Robustness is key to designing systems that work under uncertain or imprecise environments. While continuous control design algorithms can explicitly incorporate robustness as a design goal, it is not clear if robustness is maintained at the software implementation level of the controller: two ``close'' inputs can execute very different code paths which may potentially produce vastly different outputs. We present an algorithm and a tool to characterize the robustness of a control software implementation. Our algorithm is based on symbolic execution and non-linear optimization, and computes the maximum difference in program outputs over all program paths when a program input is perturbed. As a by-product, our algorithm generates a set of test vectors which demonstrate the worst-case deviations in outputs for small deviations in inputs. We have implemented our approach on top of the Splat test generation tool and we describe an evaluation of our implementation on two examples of automotive control code.

Symbolic Robustness Analysis

In this tutorial survey we study finite dimensional optimization problems which depend on parameters. It is our aim to work out several basic connections with different mathematical areas. In particular, attention will be paid to unfolding and singularity theory, structural analysis of families of constraint sets, constrained optimization problems and semi-infinite optimization.

On parametric nonlinear programming

This is a tutorial paper on the static and dynamical aspect of finite dimensional (constrained) optimization. The static feature refers to critical point theory, whereas the dynamical aspect aims at transitions of one optimization problem into another one.

Gerhard-W. Weber

Papers

On parametric nonlinear programming

Nonconvex Optimization and Its Structural Frontiers