How to solve a parametric optimization using solvers?

160 Views Asked by At

I have a question about solving a parametric optimization problem. It means that the coefficient of the objective function be a linear function (this is the advanced case of sensitivity analysis). My question is whether there exists any software to solve these types of problems or not?

1

There are 1 best solutions below

1
On

Parametric optimization, including of objective function coefficients, of a linear programming (LP) problem (linear objective function and linear constraints) can be performed with the Multi-Parametric Toolbox under YALMIP. See the example for parametric variation of objective function coefficients of an LP at https://www.mpt3.org/ParOpt/ParOpt .

Other software also exists. Note that LINDO has a parametric optimization capability, but only for right-hand side coefficients of constraints, not for objective function coefficients.