A viscosity solution approach to regularity properties of the optimal value function
Let \(X\) and \(U\) be non-empty subsets of real Banach spaces, \(f:X\times U\rightarrow \mathbb{R}\) be continuous, and \(\Phi :U\rightarrow 2^{X}\). The parametric optimization problem under consideration consists in minimizing \( f(x,u)\) subject to \(x\in \Phi (u)\);\ the decision variable is \(x\), and \(u\) is a parameter vector. The authors establish that the optimal value function \(v:U\rightarrow \overline{\mathbb{R}}\), defined by \(v(u):=\inf_{x\in \Phi (u)}f(x,u)\), is a viscosity solution of a first-order partial differential equation, and then, using a general result they obtain for such solutions, they give sufficient conditions for \(v\) to be locally Lipschitz. In the finite-dimensional case, they prove that, under suitable assumptions, \(v\) is the only continuous viscosity solution of that PDE; moreover, they obtain optimality conditions for the given optimization problem and find sufficient conditions for \(v\) to be \(C^{1}\).
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