Lipschitz-Like Property for Linear Constraint Systems

Wenfang Yao () and Xiaoqi Yang ()
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Wenfang Yao: The Hong Kong Polytechnic University
Xiaoqi Yang: The Hong Kong Polytechnic University

Journal of Optimization Theory and Applications, 2023, vol. 199, issue 3, No 16, 1296 pages

Abstract: Abstract In this paper, we consider a linear constraint system with a set constraint. We investigate the Lipschitz-like property of such systems with an explicit set constraint under full perturbations (including the matrix perturbation) and derive some sufficient and necessary conditions for this property. We also make use of some other approaches like outer-subdifferentials and error bounds to characterize such a property. We later apply the obtained results to linear portfolio selection problems with different settings and obtain some sufficient conditions for the parametric feasible set mapping to enjoy the Lipschitz-like property with various stock selection constraints.

Keywords: Linear systems; Coderivatives; Lipschitz-like property; Linear portfolio selection; 49J53; 93C05; 91B28; 60K10; 90C05 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10957-023-02300-6

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