Two Optimal Value Functions in Parametric Conic Linear Programming

Nguyen Ngoc Luan (), Do Sang Kim () and Nguyen Dong Yen ()
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Nguyen Ngoc Luan: Hanoi National University of Education
Do Sang Kim: Pukyong National University
Nguyen Dong Yen: Vietnam Academy of Science and Technology

Journal of Optimization Theory and Applications, 2022, vol. 193, issue 1, No 25, 574-597

Abstract: Abstract We consider the conic linear program given by a closed convex cone in an Euclidean space and a matrix, where vector on the right-hand side of the inequality constraint and the vector defining the objective function are subject to change. Using the strict feasibility condition, we prove the locally Lipschitz continuity and obtain some differentiability properties of the optimal value function of the problem under right-hand-side perturbations. For the optimal value function under linear perturbations of the objective function, similar differentiability properties are obtained under the assumption saying that both primal problem and dual problem are strictly feasible.

Keywords: Conic linear programming; Primal problem; Dual problem; Optimal value function; Lipschitz continuity; Differentiability properties; Increment estimates; 49K40; 90C31; 90C25; 90C30 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10957-021-01959-z

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