Inference Duality as a Basis for Sensitivity Analysis
journal contributionposted on 01.01.1967, 00:00 by John N. Hooker
The constraint programming community has recently begun to address certain types of optimization problems. These problems tend to be discrete or to have discrete elements. Although sensitivity analysis is well developed for continuous problems, progress in this area for discrete problems has been limited. This paper proposes a general approach to sensitivity analysis that applies to both continuous and discrete problems. In the continuous case, particularly in linear programming, sensitivity analysis can be obtained by solving a dual problem. One way to broaden this result is to generalize the classical idea of a dual to that of an ldquoinference dual,rdquo which can be defined for any optimization problem. To solve the inference dual is to obtain a proof of the optimal value of the problem. Sensitivity analysis can be interpreted as an analysis of the role of each constraint in this proof. This paper shows that traditional sensitivity analysis for linear programming is a special case of this approach. It also illustrates how the approach can work out in a discrete problem by applying it to 0-1 linear programming (linear pseudo-boolean optimization).