On the (non-)differentiability of the optimal value function when the optimal solution is unique

DOI10.1016/J.JMATECO.2018.02.004zbMATH Open1388.90113OpenAlexW3122740827MaRDI QIDQ1748367FDOQ1748367

T. Takenawa, Daisuke Oyama

Publication date: 9 May 2018

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2018.02.004

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zbMATH Keywords

sensitivity analysisvalue functionenvelope theoremparameterized optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Sensitivity, stability, parametric optimization (90C31) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Envelope Theorems for Arbitrary Choice Sets
• Title not available (Why is that?)
• On the Differentiability of the Value Function in Dynamic Models of Economics
• The Theory of Max-Min, with Applications
• Implicit Functions and Optimization Problems without Continuous Differentiability of the Data
• Directional Derivatives for Extremal-Value Functions with Applications to the Completely Convex Case

Cited In (4)

• First- and second-order optimality conditions in optimistic bilevel set-valued programming
• The envelope theorem, Euler and Bellman equations, without differentiability
• On capital allocation for a risk measure derived from ruin theory
• The converse envelope theorem

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