On Sensitivity Analysis in Convex Quadratic Programming Problems

Abstract

The present paper consists of three clearly distinct sections. In the first section we discuss the problem of how the solution vector of a quadratic programming problem changes in case of infinitesimal changes in the data of the problem. In the second section we apply these results to a numerical example that arose in a practical application of programming. In the third section we ask for the changes in the solution vector when some parameter (s) of the problem change (s) persistently rather than infinitesimally. This leads to a class of algorithms to solve quadratic programming problems of which the Houthakker capacity method and the Markowitz portfolio procedure are members.