, Volume 99, Issue 2, pp 311-327
Date: 01 Sep 2003

Coderivatives in parametric optimization

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Abstract.

We consider parametric families of constrained problems in mathematical programming and conduct a local sensitivity analysis for multivalued solution maps. Coderivatives of set-valued mappings are our basic tool to analyze the parametric sensitivity of either stationary points or stationary point-multiplier pairs associated with parameterized optimization problems. An implicit mapping theorem for coderivatives is one key to this analysis for either of these objects, and in addition, a partial coderivative rule is essential for the analysis of stationary points. We develop general results along both of these lines and apply them to study the parametric sensitivity of stationary points alone, as well as stationary point-multiplier pairs. Estimates are computed for the coderivative of the stationary point multifunction associated with a general parametric optimization model, and these estimates are refined and augmented by estimates for the coderivative of the stationary point-multiplier multifunction in the case when the constraints are representable in a special composite form. When combined with existing coderivative formulas, our estimates are entirely computable in terms of the original data of the problem.

This research was partly supported by the National Science Foundation under grant DMS-0072179.