Sensitivity Analysis in Convex Optimization through the Circatangent Derivative

F. García () and M. A. Melguizo Padial ()
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F. García: Universidad de Alicante
M. A. Melguizo Padial: Universidad de Alicante

Journal of Optimization Theory and Applications, 2015, vol. 165, issue 2, No 6, 420-438

Abstract: Abstract The main goal of this paper is to analyse the sensitivity of a vector convex optimization problem according to variations in the right-hand side. We measure the quantitative behavior of a certain set of Pareto optimal points characterized to become minimum when the objective function is composed with a positive function. Its behavior is analysed quantitatively using the circatangent derivative for set-valued maps. Particularly, it is shown that the sensitivity is closely related to a Lagrange multiplier solution of a dual program.

Keywords: Convex optimization; Sensitivity analysis; Set-valued map; Circatangent derivative; 90C25; 90C29; 54C60 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10957-014-0609-4

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