Two optimal value functions in parametric conic linear programming
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Publication:2139272
DOI10.1007/S10957-021-01959-ZzbMATH Open1492.90081arXiv2012.09330OpenAlexW3212606832MaRDI QIDQ2139272FDOQ2139272
Nguyen Ngoc Luan, Nguyen Dong Yen, Do Sang Kim
Publication date: 17 May 2022
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Abstract: We consider the conic linear program given by a closed convex cone in an Euclidean space and a matrix, where vector on the right-hand-side of the constraint system and the vector defining the objective function are subject to change. Using the strict feasibility condition, we prove the locally Lipschitz continuity and obtain some differentiability properties of the optimal value function of the problem under right-hand-side perturbations. For the optimal value function under linear perturbations of the objective function, similar differentiability properties are obtained under the assumption saying that both primal problem and dual problem are strictly feasible.
Full work available at URL: https://arxiv.org/abs/2012.09330
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Cited In (5)
- Two optimality tests for differentiable concave value functions in linear multi-objective programming problems
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