Analysis of subdifferentials of marginal and performance functions

DOI10.1007/S00245-025-10251-9MaRDI QIDQ6995604zbMATH OpenFDO

Authors Duong Thi Viet An, Jean-Paul Penot

Publication date 21 April 2025

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00245-025-10251-9

marginal function multiplier parameterized optimization problem performance function subdifferential value function

Nondifferentiability (nondifferentiable functions, points of nondifferentiability), discontinuous derivatives (26A27) Nonsmooth analysis (49J52) Set-valued and variational analysis (49J53) Convex programming (90C25) Derivative-free methods and methods using generalized derivatives (90C56)

Review text

Let \(X\) be a Banach space, \(W\) a normed space and \(j\colon W\times X\to \overline{\mathbb{R}}\) be a given function. In this paper, the authors study the \textit{marginal function} \N\[\Nm(w):=\sup_{x\in X}j(w,x) \quad w\in W, \N\]\Nand the \textit{performance function} \N\[\Np(w):=\inf_{x\in X}j(w,x) \quad w\in W.\N\]\NIn general, these functions are nonsmooth, and their analysis requires the tools of generalized differentiation. Hence, in this paper, the authors study generalized derivatives of these functions via the theoretical framework of abstract subdifferentials. Formulas for estimating the subdifferential of performance functions are provided, and the role of qualification conditions for the existence of multiplies are considered. In addition, the article explores some properties of the marginal function for parametric maximization probles. Finally, the theoretical developments are illustrated through applications to infimal convolution, minimal time function, consumer problem and optimal control.

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