Directional Derivative of the Value Function for Parametric Set-Constrained Optimization Problems

Kuang Bai () and Jane J. Ye ()
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Kuang Bai: The Hong Kong Polytechnic University
Jane J. Ye: University of Victoria

Journal of Optimization Theory and Applications, 2024, vol. 203, issue 2, No 12, 1355-1384

Abstract: Abstract This paper is concerned with the directional derivative of the value function for a very general set-constrained optimization problem under perturbation. Under reasonable assumptions, we obtain upper and lower estimates for the upper and lower Dini directional derivative of the value function respectively, from which we obtain Hadamard directional differentiability of the value function when the set of multipliers is a singleton. Our results do not require convexity of the set involved. Even in the case of a parametric nonlinear program, our results improve the classical ones in that our regularity conditions are weaker and the directional solution set is used which is in general smaller than its nondirectional counterparts.

Keywords: Sensitivity analysis; Directional derivative; Value function; Nonconvex parametric set-constrained program; 49J52; 49J53; 49K40; 90C26; 90C31 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10957-024-02469-4

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