Decision Optimization

Decision Optimization

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Sensitivity Analysis for MILP model

  • 1.  Sensitivity Analysis for MILP model

    Posted Mon November 21, 2011 01:38 AM

    Originally posted by: Fekrat


    i have finished implementing my Mixed Integer Linear programming model using the cplex optimization studio IDE and would like to start doing some sensitivity analysis. I have looked in the documentation and i can only see small sections that does not show any real example on how to perform this analysis using the IDE. Thank you for your time.

    Regards,
    Fekrat
    #CPLEXOptimizers
    #DecisionOptimization


  • 2.  Re: Sensitivity Analysis for MILP model

    Posted Tue November 22, 2011 09:53 AM

    Originally posted by: SystemAdmin


    Sensitivity analysis for MIP is pretty tough, as there is not such a nice dual as in linear programming.

    What you could do is to add a constraint that fixes the objective function to the optimal value. Then, replace the objective function by minimizing or maximizing an individual variable. Doing so will give you the bounds for a variable in which it can be modified without affecting the objective value.

    What kind of questions do you want to answer with your sensitivity analysis?
    Tobias
    #CPLEXOptimizers
    #DecisionOptimization


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