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Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients

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de Wolf, Daniel | Smeers, Yves

Edité par CCSD ; Elsevier -

International audience. We present here a characterization of the Clarke subdifferential of the optimal value function of a linear program as a function of matrix coefficients. We generalize the result of Freund (1985) to the cases where derivatives may not be defined because of the existence of multiple primal or dual solutions.

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