The MOSEK command line tool Version 7.0 (Revision 141)

Chapter 8
Sensitivity analysis
8.1 Introduction
Given an optimization problem it is often useful to obtain information about how the optimal objective
value changes when the problem parameters are perturbed. E.g, assume that a bound represents a
capacity of a machine. Now, it may be possible to expand the capacity for a certain cost and hence it
is worthwhile knowing what the value of additional capacity is. This is precisely the type of questions
the sensitivity analysis deals with.
Analyzing how the optimal objective value changes when the problem data is changed is called sensitivity
analysis.
8.2 Restrictions
Currently, sensitivity analysis is only available for continuous linear optimization problems. Moreover,
MOSEK can only deal with perturbations in bounds and objective coefficients.
8.3 References
The book [12] discusses the classical sensitivity analysis in Chapter 10 whereas the book [13] presents
a modern introduction to sensitivity analysis. Finally, it is recommended to read the short paper [14]
to avoid some of the pitfalls associated with sensitivity analysis.
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