Parametrized linear optimization problem
Submitted by Anonymous on Mon, 08/27/2007 - 15:29.
Let be L different probability distributions over M elements:
where
, and
.
Let be L real, positive constants. Let
be a real positive constant, and let
.
We have the following linear optimization problem:
Maximize
Such that:
- are M positive real variables;
-
-
We know that for some value of , the optimization problem accepts a solution with the maximum objective
. I would like to know the minimum value of
such that the problem still accepts a solution.
Thank you for your help.