Sensitivity analysis for linear changes of the constraint matrix of a (mixed-integer) linear program

TL;DR

This paper develops bounding techniques and a branch-and-bound algorithm to analyze how the optimal value of linear and mixed-integer linear programs changes under linear perturbations of the constraint matrix, providing guarantees and approximations.

Contribution

It introduces new bounding methods and an anytime algorithm for sensitivity analysis of linear programs with perturbed constraint matrices, addressing irregular value functions.

Findings

Bounding techniques provide strong guarantees and good precision.

Experimental results show effectiveness on large benchmark sets.

The branch-and-bound algorithm offers approximate solutions within error tolerances.

Abstract

Understanding how the optimal value of an optimisation problem changes when its input data is modified is an old question in mathematical optimisation. This paper investigates the computation of the optimal values of a family of (possibly mixed-integer) linear optimisation problems in which the constraint matrix is subject to linear perturbations controlled by a scalar parameter that varies within a given interval. This is a largely unresolved question with the additional burden that the resulting value function may be largely irregular. We propose several bounding techniques that provide formal guarantees on the behaviour of the objective value across the entire parameter range. The proposed bounds rely on tools from robust optimisation, Lagrangian relaxation, and ad-hoc reformulations. Each method is assessed in terms of accuracy, precision, and computational performance. Experimental results on a large benchmark set show that the proposed bounding techniques effectively address this class of problems, delivering strong guarantees and good precision. In addition, we introduce a spatial branch-and-bound algorithm that incorporates these bounds to compute an anytime approximation of the value function within a given error tolerance, and we analyse its computational performance.