Two Optimal Value Functions in Parametric Conic Linear Programming

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 L...

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Bibliographic Details
Published in:Journal of optimization theory and applications 2022-06, Vol.193 (1-3), p.574-597
Main Authors: Luan, Nguyen Ngoc, Kim, Do Sang, Yen, Nguyen Dong
Format: Article
Language:English
Subjects:
Applications of Mathematics
Calculus of Variations and Optimal Control
Optimization
Engineering
Euclidean geometry
Euclidean space
Feasibility
Linear programming
Mathematical analysis
Mathematics
Mathematics and Statistics
Operations Research/Decision Theory
Optimization
Perturbation
Theory of Computation
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Summary: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.
ISSN:0022-3239
1573-2878
DOI:10.1007/s10957-021-01959-z