21. 敏感性分析(二)全局敏感性分析及总结

目标函数最优值与向量(b)的关系
在这一部分，我们分析目标函数最优值与向量(b)的关系。

首先，令

[P(b)={x\mid Ax=b,,x\geq 0} ]
为一个可行的集合。令

[S={b\mid P(b)是非空的}. ]
并且观测

[S={Ax\mid x\geq 0}, ]
注意，(S)是一个凸集。对于任意(b\in S)，定义

[F(b)=\min_{x\in P(b)}, c^Tx, ]
它是关于(b)的最优值函数。

在这一部分，我们假设对偶可行域({p\mid p^TA\leq c^T})是非空的。那么，由对偶理论可知对所有(b\in S)，最优值(F(b))是有限的。我们的目标是研究(F(b))的结构。

首先固定(b^\in S)。假设存在一个非退化的原始最优基本可行解，记(B)为相对应的最优基矩阵，那么基本变量(x_B)的值此时为(x_B=B^{-1}b)，并且由非退化知(x_B > 0)。另外，判断数向量也是非负的。如果此时改变(b^{*)为(b)，并且假设(b-b}*)足够小，(B^{-1}b)维持为正值，那么原来的解对于新的问题仍然是一个基本可行解。而判断数由于并不受(b)影响，因此仍然保持非负。综上，(B)也是新问题的一个最优解，而新问题的最优值为

[F(b)=c^T_BB{-1}b=p^Tb,\quad b足够接近b^*, ]
其中(p^T=cT_BB^{-1})是对偶问题的最优解。这说明(F(b))是关于(b)的线性函数，并且梯度为(p)。下面叙述(F(b))的一个全局性质。

定理： 最优值函数(F(b))是关于(b\in S)的凸函数。

证：

令(b^1)和(b2)为(S)中的两个元素。对于(i=1,2)，令(x^i)为问题

[\min_{x}{c^Tx\mid Ax=b^i,,x\geq 0} ]
的最优解。因此，(F(b^1)=cTx^1), (F(b^2)=cTx^2)。对于(\lambda \in [0,1])，向量

[y=\lambda x^1+(1-\lambda )x^2 ]
非负，且满足(Ay=\lambda b^1+(1-\lambda )b^2)。这说明当线性规划问题右侧的向量为(\lambda b^1+(1-\lambda )b^2)时，(y)是一个可行解。因此，

[\begin{align*} &F(\lambda b^1+(1-\lambda )b^2) \ \leq\ & c^Ty \ =\ &\lambda c^Tx1+(1-\lambda )c^Tx2 \ =\ & \lambda F(b^1)+(1-\lambda )F(b^2). \end{align*} ]
证毕。

下面我们从对偶的角度重新观测上面的定理。考虑对偶问题：

[\begin{align*} \max \quad &p^Tb \ \text{s.t.} \quad &p^TA\leq c^T, \end{align*} ]
注意我们之前假设它是可行的。对于任意(b\in S)，(F(b))是有限的，并且根据强对偶定理可知它的值等于对偶问题的最优目标函数值。令(p^1,p2,\cdots,p^{N)为对偶可行域的极点。（由于(A)是行线性无关的，因此(A)的列的扩张为(\mathbb{R}}m)，由线性规划中的几何（四 ）中的定理可知对偶问题至少存在一个极点）。由于对偶问题的最优解必然是落在一个极点上，因此

[F(b)=\max_{i=1,\cdots,N} (pⁱ⁾Tb,\quad b\in S. ]
这说明，(F)等价于有限个线性函数的最大值。因此，它是一个分段线性凸函数。当(F)在线性部分时，存在唯一解，而当(F)在不可导的部分时（两个线性相接的部分），说明解不是唯一的，更进一步说明原始问题的解是退化的（这是因为当原问题非退化时，由前面叙述的局部性质可知，此时它是线性的）。

下面考虑一种特殊情形，将(b)变为(b=b^+\theta d)，其中(b^{*)和(d)固定。令(f(\theta)=F(b}+\theta d))为系数为(\theta)时的最优值。因此，

[f(\theta)=\max_{i=1,\cdots,N} (pⁱ⁾T(b^+\theta d),\quad b^+\theta d\in S. ]

对偶最优解集
这一部分说明任意对偶最优解都可以看作是(F)的“广义梯度”。

定义： 令(F)为定义在凸集(S)上的凸函数，存在(b^\in S)。我们称向量(p)是(F)在点(b^)的次梯度 （subgradient） 是指满足

[F(b^*)+pT(b-b^)\leq F(b),\quad \forall b\in S. ]
注意，如果(b^)在交接点，那么将存在多个次梯度。下图分别给出两种不同情况的次梯度。

定理： 假设问题

[\min_{x}{c^Tx\mid Ax=b^,,x\geq 0} ]
可行并且最优值有界。那么，向量(p)是对偶问题最优解当且仅当(p)是(F)在点(b^)的次梯度。

证：

回忆定义在集合(S)上的函数(F)。假设(p)是对偶问题的最优解，那么由强对偶定理可知(p^Tb=F(b^))。考虑任意(b\in S)，对于任意可行解(x\in P(b))，由弱对偶定理可得(p^Tb\leq c^Tx)。给这个不等式两边关于(x\in P(b))取最小值，可得(p^Tb\leq F(b))。因此

[p^Tb-pTb^\leq F(b)-F(b^). ]
这说明(p)是(F)在(b^*)的次梯度。

下面证另一面，记(p)为(F)在(b^*)的次梯度，那么

[F(b^*)+pT(b-b^*)\leq F(b),\quad \forall b\in S. ]
选择使得(Ax=b)及(x\geq 0)成立的(x\in P(b))。已知(F(b)\leq c^Tx)，因此

[p^TAx=pTb\leq F(b)-F(b^*)+pTb^\leq c^Tx-F(b)+p^Tb. ]
由于上式对任意的(x\geq 0)都成立，因此必然有(p^TA\leq c^{T)（因为如果不满足的话，我们总可以通过扩大x的值使得上述不等式不成立），这说明(p)是对偶问题的一个可行解。另外，令(x=0)，可得(F(b})\leq p^Tb)。由弱对偶可知，对于任意可行解(q)都有(q^Tb\leq F(b^)\leq p^Tb)，这说明(p)是对偶问题最优解。证毕。

目标函数最优值与向量(c)的关系
假设原问题的可行域非空。定义对偶可行域

[Q©={p\mid p^TA\leq c^T}, ]
并且令

[T={c\mid Q©非空}. ]
若(c^1\in T)并且(c^2\in T)，那么存在(p^1)和(p2)使得((p¹⁾TA\leq (c¹⁾T)及((p²⁾TA\leq (c²⁾T)。对于(\lambda \in [0,1])，我们有

[\left(\lambda (p¹⁾T+(1-\lambda) (p²⁾T\right)A\leq \lambda (c¹⁾T+(1-\lambda) (c²⁾T, ]
这说明(\lambda (c¹⁾T+(1-\lambda) (c²⁾T\in T)，与此同时也说明(T)是一个凸集。

若(c\notin T)，对偶问题可行域为空说明原问题的最优值为(-\infty)（因为我们假设原问题可行域非空）。若(c\in T)，那么最优值一定有界。因此，原问题的最优解(G©)有界当且仅当(c\in T)。

记(x^1,x2,\cdots,x^N)是原问题可行域的基本可行解，显然它与(c)无关。由于标准型问题的最优解总是出现在极点，因此

[G©=\min_{i=1,\cdots,N}\ c^Txi. ]
这说明(G©)是有限个线性方程的最小值，因此它是一个分段线性凹函数。如果对于(c^\in T)，原问题有唯一的最优解(x^{i)，那么((c})^Txi < (c^*)Tx^j)对任意(j\not= i)都成立。假设©非常接近(c^*)， 不等式(c^Txi < c^Txj)对于(j\not= i)仍然成立。这说明(x^{i)仍然是原问题的唯一最优解且最优值为(c}Tx^{i)。因此，局部的有(G©=c}Tx^i)。另外，(G)在交叉点时对应多个原问题。

下面的定理总结上面提到的结论。

定理： 考虑可行域非空的标准型的线性规划问题。

集合(T)是凸集，且(T)中©对应的最优值有界。
最优值函数(G©)是关于(c\in T)的凹函数。
如果与©有关的原问题存在唯一最优解(x^{*)，那么(G)在©的邻域内是线性的且梯度等于(x}*)。
参数规划
固定(A,B,C)以及一个与©维度相同的向量(d)。对于任意实数(\theta)，考虑问题

[\begin{align*} \min \quad &(c+\theta d)^Tx \ \text{s.t.}\quad &Ax=b \ &\ \ \ x\geq 0, \end{align*} ]
记(g(\theta))为这个问题的最优值，并且假设可行域非空。对于最优值有界的(\theta)，有

[g(\theta)=\min_{i=1,\cdots,N}\ (c+\theta d)^Txi, ]
其中(x^1,\cdots,xN)是可行域的极点，如下图所示，(g(\theta))是关于(\theta)的一个分段线性凹函数。为了更进一步观察(g(\theta)),我们先观察一个例子。

例： 考虑问题

然后引入松弛变量，是的上述问题转化为标准型问题，接着令松弛变量为基本变量。这样的方式确定了一个基本可行解，然后有如下的单纯形表

若(-3+2\theta\geq 0)且(2-\theta\geq 0)，那么所有的判断数都非负，说明此时得到了最优基本可行解。也即，

[g(\theta)=0, \quad 若3/2\leq \theta\leq 3. ]
若(\theta)增加到高于3，那么(x_2)的判断数此时为负值。此时令(x_2)进入基矩阵，(x_4)出基矩阵，得到如下的单纯形表

如果(3\leq \theta\leq 5.5/1.5)，那么表中的判断数都是非负，此时有

[g(\theta)=7.5-2.5\theta,\quad 若3\leq \theta\leq 5.5/1.5. ]
如果(\theta)增加的超过(5.5/1.5)，那么(x_3)的判断数变为负值。如果我们想要(x_3)进基，但是不存在正的pivot元素，因此此时原问题无界且(g(\theta)=-\infty)。

现在我们回到第一个表再考虑另一面，如果(\theta)增加的小于(3/2)，那么(x_1)的判断数就变为负值，此时使得(x_1)进基，(x_5)出基，得到

如果(5/4\leq \theta\leq 3/2)，那么得到最优解，且

[g(\theta)=-10.5+7\theta,\quad 若5/4\leq\theta\leq 3/2. ]
而对于(\theta < 5/4)，(x_3)的判断数变为负值，但是所对应的列不存在正的pivot元素，因此这时的最优值为(-\infty)。

我们将上述的结果汇总绘制得到如下的图：

接下来，我们总结上面例子的一般步骤。假设现在我们有一个基本可行解以及它所对应的基矩阵(B)，并且假设这个基矩阵对于满足(\theta_1\leq \theta\leq\theta_2)的(\theta)是最优的。令(x_j)为当(\theta >\theta_2)时，它的判断数为负值。又因为当(\theta_1\leq \theta\leq\theta_2)时，(x_j)的判断数为正值，因此当(\theta =\theta_2)时，(x_j)的判断数为0。然后此时考虑令(x_j)进基。

若列(B^{-1}A_j)不存在正的pivot元素，那么对于(\theta > \theta_2)，(x_j)的判断数为负值，因此此时的最优值为(-\infty)。

若列(B^{-1}A_j)至少存在一个正元素，那么我们可以进行基变换得到新的基矩阵(\overline B)。当(\theta = \theta_2)时，进基变量的判断数为0，则新的基矩阵对应的目标函数值不变。并且，对于旧基矩阵，目标函数值是最优值，那么对于新的基矩阵，这个值仍然为最优值。对于(\theta < \theta_2)，由于进基变量的判断数为正值，因此新的基矩阵对应的目标函数值不会小于原基矩阵对应的最优值（注：判断数为负值时是使得目标函数值下降的方向）。这说明新的基矩阵在(\theta < \theta_2)时不可能是最优基矩阵。那么，上述的叙述表明新的基矩阵为最优基矩阵是在(\theta)满足(\theta_2 \leq \theta \leq \theta_3)时成立的。重复上述的操作，我们可以得到一组基矩阵以及相对应的满足最优性的(\theta)的范围。

注意，当一个基矩阵在满足(\theta \in [\theta_i,\theta_{i+1}])时是最优的，那么对于(\theta \geq \theta_{i+1})，这个基矩阵将不可能是最优的（存在判断数为负值，说明存在了下降方向）。因此，若(\theta_{i+1} > \theta_{i})对于所有(i)都成立，那么同一个基矩阵不会出现两次，并且(\theta)的所有范围也将会在有限次迭代后得到。注意，每一次迭代都会得到一个新的交界点。

如果存在(\theta_i = \theta_{i+1})，说明上面提到的操作可能会出现循环（注：这种情形仅会在原问题退化时出现），但是可以使用一些反循环的技巧避免循环的出现。

敏感性分析总结
若加入新变量，检查判断数是否为负值，若是，原单纯形表中加入新的列继续使用单纯形法。
若加入新约束，检查约束是否还满足，若不满足，构造辅助问题继续求解。
若(b)或(c)改变了(\delta)，得到原基矩阵维持最优性的(\delta)的范围。
若(A)中元素变化(\delta)，分析与上述类似。不过，如果变化的是基本列中的元素，分析过程稍有复杂。
假设对偶问题可行域非空，最优值是关于(b)的分段线性凸函数（前提(b)使得原问题存在可行解）。另外，最优值的次梯度与对偶问题的最优解有关。
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https://www.sina.com.cn/mid/search.shtml?q=%E3%80%96%E5%BE%AE1%E2%92%8A26%E2%92%8F1%E2%92%8A29%E2%92%909%E3%80%97%E6%89%BF%E5%BE%B7%E4%BE%9B%E5%8D%B5%E4%BB%A3%E5%AD%95%E4%BB%B7%E6%A0%BC
https://www.sina.com.cn/mid/search.shtml?q=%E3%80%96%E5%BE%AE1%E2%92%8A26%E2%92%8F1%E2%92%8A29%E2%92%909%E3%80%97%E6%89%BF%E5%BE%B7%E4%BE%9B%E5%8D%B5%E4%BB%A3%E5%AD%95%E7%BD%91
假设原问题可行域非空，最优值是关于向量(c)的分段线性凹函数（前提(c)使得原问题有界）。
如果目标函数中系数是参数(\theta)的仿射函数，那么可通过一系列操作得到所有(\theta)的最优值。