The Tolerance Approach to Sensitivity Analysis of Matrix Coefficients in Linear Programming: General Perturbations

In the tolerance approach to sensitivity analysis of matrix coefficients in a linear programme, the maximum tolerance percentage characterizes the largest percentage within which selected matrix coefficients may vary simultaneously and independently while retaining the same set of optimal basic variables. While it is difficult to calculate exactly the maximum tolerance percentage under perturbations in multiple rows or columns, we show herein how it can be approximated.