Montag, 18. Januar 2016, 16:45 - 17:45 iCal

ISOR Colloquium

"Integral Sensitivity in Linear Programming (joint work with Greg Buzzard and Richard Wendell)"

Speaker: Emanuele Borgonovo (Bocconi Univ. Milano)

Sky Lounge OMP1 (12th Floor)
Oskar-Morgenstern-Platz 1, 1090 Vienna

Vortrag

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Sensitivity Analysis is an essential part in both the construction and interpretation of the results of linear programming models. Two main approaches have been developed in the literature over the years. Wendell’s tolerance sensitivity approach and Wagner’s variance based sensitivity approach. This work introduces an approach based on the integral decomposition of a multivariate function, which allows us to nest Wendell’s and Wagner’s approaches. Our method presents several advantages, such as, the possibility of determining tolerance region abating computational cost. Several insights on the structural dependence of the optimal profit on parameters of a linear programming problem are also obtained.

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at

Erstellt am Montag, 09. November 2015, 16:38
Letzte Änderung am Mittwoch, 11. November 2015, 07:56