A viscosity solution approach to regularity properties of the optimal value function

DOI10.1016/J.JMAA.2021.125470MaRDI QIDQ2235894zbMATH OpenOpenAlexFDO

Authors Pablo Ochoa, V. N. Vera de Serio

Publication date 22 October 2021

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2012.03401

zbMATH Keywords

optimalityviscosity solutionsLipschitz continuityoptimal value functionparametric optimization

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Viscosity solutions to PDEs (35D40)

Abstract: In this paper we analyze the optimal value function $v$ associated to a general parametric optimization problems via the theory of viscosity solutions. The novelty is that we obtain regularity properties of $v$ by showing that it is a viscosity solution to a set of first-order equations. As a consequence, in Banach spaces, we provide sufficient conditions for local and global Lipschitz properties of $v$. We also derive, in finite dimensions, conditions for optimality through a comparison principle. Finally, we study the relationship between viscosity and Clarke generalized solutions to get further differentiability properties of $v$ in Euclidean spaces.

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Cited in

(1)

• Asymptotic \(C^{1,\gamma}\)-regularity for value functions to uniformly elliptic dynamic programming principles

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