Conservative parametric optimality and the ridge method for tame min-max problems
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Abstract: We study the ridge method for min-max problems, and investigate its convergence without any convexity, differentiability or qualification assumption. The central issue is to determine whether the parametric optimality formula provides a conservative field, a notion of generalized derivative well suited for optimization. The answer to this question is positive in a semi-algebraic, and more generally definable, context. The proof involves a new characterization of definable conservative fields which is of independent interest. As a consequence, the ridge method applied to definable objectives is proved to have a minimizing behavior and to converge to a set of equilibria which satisfy an optimality condition. Definability is key to our proof: we show that for a more general class of nonsmooth functions, conservativity of the parametric optimality formula may fail, resulting in an absurd behavior of the ridge method.
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