Bi-parametric convex quadratic optimization

Speaker: Tamás Terlaky

Department of Industrial and Systems Engineering, Lehigh University, Bethlehem, PA

Joint work with: Alireza Ghaffari-Hadigheh (Department of Mathematics, Azerbaijan University of Tarbiat Moallem, Tabriz, Iran) and Oleksandr Romanko (Department of Computing and Software, McMaster University, Hamilton, ON., Canada)

Abstract: In this paper, we consider the convex quadratic optimization problem with simultaneous perturbation in the right-hand side of the constraints and the linear term of the objective function with different parameters. The regions with invariant optimal partitions as well as the behaviour of the optimal value function on the regions are investigated. We show that identifying these regions can be done in polynomial time in the output size. An algorithm for identifying all invariancy regions is presented. Some implementation details as well as a numerical example are discussed.