Sensitivity analysis of the value function for optimization problems with variational inequality constraints

Authors
Citation
Y. Lucet et Jj. Ye, Sensitivity analysis of the value function for optimization problems with variational inequality constraints, SIAM J CON, 40(3), 2001, pp. 699-723
Citations number
25
Categorie Soggetti
Mathematics,"Engineering Mathematics
Journal title
SIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN journal
03630129 → ACNP
Volume
40
Issue
3
Year of publication
2001
Pages
699 - 723
Database
ISI
SICI code
0363-0129(20011119)40:3<699:SAOTVF>2.0.ZU;2-J
Abstract
In this paper we perform sensitivity analysis for optimization problems wit h variational inequality constraints (OPVICs). We provide upper estimates f or the limiting subdifferential (singular limiting subdifferential) of the value function in terms of the set of normal (abnormal) coderivative (CD) m ultipliers for OPVICs. For the case of optimization problems with complemen tarity constraints (OPCCs), we provide upper estimates for the limiting sub differentials in terms of various multipliers. An example shows that the ot her multipliers may not provide useful information on the subdifferentials of the value function, while the CD multipliers may provide tighter bounds. Applications to sensitivity analysis of bilevel programming problems are a lso given.