Sensitivity Analysis of the Maximal Value Function with Applications in Nonconvex Minimax Programs

• 成果类型: Article
• 署名作者: Guo, Lei; Ye, Jane J.; Zhang, Jin
• 署名单位: East China University of Science & Technology; University of Victoria; Southern University of Science & Technology; Peng Cheng Laboratory
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2023.1366
• 发表日期: 2024
• 关键词: parametric mathematical programs; kuhn-tucker condition; optimality conditions; constraints; pseudonormality; STABILITY

摘要

In this paper, we perform a sensitivity analysis for the maximal value function, which is the optimal value function for a parametric maximization problem. Our aim is to study various subdifferentials for the maximal value function. We obtain upper estimates of Fre ' chet, limiting, and horizon subdifferentials of the maximal value function by using some sensitivity analysis techniques sophisticatedly. The derived upper estimates depend only on the union of all solutions and not on its convex hull or only one solution from the solution set. Finally, we apply the derived results to develop some new necessary optimality conditions for nonconvex minimax problems. In the nonconvex-concave setting, our Wolfe duality approach compares favorably with the first-order approach in that the necessary condition is sharper and the constraint qualification is weaker.