On the (non-)differentiability of the optimal value function when the optimal solution is unique

Daisuke Oyama and Tomoyuki Takenawa

Journal of Mathematical Economics, 2018, vol. 76, issue C, 21-32

Abstract: We present examples of a parameterized optimization problem, with a continuous objective function differentiable with respect to the parameter, that admits a unique optimal solution, but whose optimal value function is not differentiable. We also show independence of Danskin’s and Milgrom and Segal’s envelope theorems.

Keywords: Parameterized optimization; Sensitivity analysis; Value function; Envelope theorem (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:76:y:2018:i:c:p:21-32

DOI: 10.1016/j.jmateco.2018.02.004

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