ON PARAMETRIC LINEAR AND QUADRATIC PROGRAMMING PROBLEMS

An algorithm is described for determining the optimal solution of parametric linear and quadratic programming problems as an explicit piece-wise linear function of the parameter. Each linear function is uniquely determined by an appropriate subset of active constraints. For every crit-ical value of the parameter a new subset has to be determined. A simple rule is civen for adding and deleting constraints from this subset. AMS (IMOS) Subject Classification: 90C3