Tolerance approach

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This is an approach to sensitivity analysis in linear programming that expresses the common range that parameters can change while preserving the character of the solution. In particular, suppose LaTeX: B is an optimal basis and rim data changes by LaTeX: (Db, Dc). The tolerance for this is the maximum value of LaTeX: t for which LaTeX: B remains optimal as long as LaTeX: \textstyle |Db_i| \le t for all LaTeX: i and LaTeX: \textstyle |Dc_j| \le t for all LaTeX: j. The tolerance for the basis, LaTeX: B, can be computed by simple linear algebra, using tableau information.


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