On a conjecture in Moreau-Yosida approximation of a nonsmooth convex function (Q1375821)

Consider a function \(f:\mathbb{R}^n \to [-\infty, \infty]\) with \(f(x)= \max\{f_i(x): i\in J\}\), where \(J\) is a finite index set and \(f_i\), \(i\in J\), are proper convex functions. \(p_\lambda (x)\) is the unique minimizer of the Moreau-Yosida approximation \(F_\lambda\) of \(f\), defined by \[ F_\lambda (x)= \min_{y\in\mathbb{R}^n} \left\{f(y) +{1\over 2 \lambda} \| y-x \|^2 \right\}. \] Define \(J(p_\lambda (x))= \{i\in J: f_i(p_\lambda (x))= f(p_\lambda (x))\}\). Constant Rank Constraint Qualification (CRCQ) is said to hold at \(p_\lambda(x)\) if there exists a neighborhood \(V\) of \(p_\lambda (x)\) such that for every subset \(K\subset J(p_\lambda (x))\), the family of vectors \(\{{\nabla f_i(z) \choose 1}\}\) has the same rank (which depends on \(K)\) for all vectors \(z\in V\). This note proves that if \(f_i\), \(i\in J\), are \(C^2\)-convex functions and CRCQ holds at \(p_\lambda(x)\), then there exists an open neighborhood \(N\) of \(x\) such that the derivative of \(F_\lambda\), \(G_\lambda(x): ={1\over \lambda} (x-p_\lambda (x))\), is piecewise smooth in \(N\).