Constraint augmentation in pseudo-singularly perturbed linear programs

Abstract : In this paper we study a linear programming problem with a linear perturbation introduced through a parameter $\epsilon > 0$. We identify and analyze an unusual asymptotic phenomenon in such a linear program. Namely, discontinuous limiting behavior of the optimal objective function value of such a linear program may occur even when the rank of the coefficient matrix of the constraints is unchanged by the perturbation. We show that, under mild conditions, this phenomenon is a result of the classical Slater constraint qualification being violated at the limit and propose an iterative, constraint augmentation approach for resolving this problem.