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

DOI10.1016/J.JMAA.2021.125470zbMATH Open1485.90136arXiv2012.03401OpenAlexW3181172357MaRDI QIDQ2235894FDOQ2235894

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)

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.

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

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zbMATH Keywords

optimalityviscosity solutionsLipschitz continuityoptimal value functionparametric optimization

Mathematics Subject Classification ID

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

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