Sensitivity analysis for variational inequalities and nonlinear complementarity problems

differentiability properties Lipschitz continuity nonlinear complementarity parametric generalized complementarity problem parametric variational inequality sensitivity analysis solution set map

Mathematics Subject Classification ID

Variational inequalities (49J40) Nonlinear programming (90C30) Sensitivity, stability, parametric optimization (90C31) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Review text

The general parametric variational inequality problem in finite- dimensional spaces is defined as ``find \(x\in R(\epsilon)\) s.t. \(F(x,\epsilon)^ T(y-x)\geq 0\), \(\forall y\in R(\epsilon),\) where F is a mapping from \({\mathbb{R}}^ n\times {\mathbb{R}}^ k\) to \({\mathbb{R}}^ n\), R is feasible point-to-set (set-valued) map and \(\epsilon \in {\mathbb{R}}^ k\) is the parameter vector. Its solution set is \(S(\epsilon)=\{x\in R(\epsilon)|\) \(F(x,\epsilon)^ T(y-x)\geq 0\), \(\forall y\in R(\epsilon)\}.\) If R(\(\epsilon\))\(\equiv K\), a closed convex subset of \({\mathbb{R}}^ n\), this problem is equivalent to the parametric generalized complementarity problem ``find x s.t. \(x\in K\), \(F(x,\epsilon)\in K^*\), \(F(x,\epsilon)^ Tx=0\), where \(K^*\) is the positive dual cone of K. A special significant case is that \(K={\mathbb{R}}^ n_+.\) The subject of sensitivity analysis for variational inequalities and nonlinear complementarity problems is to investigate continuity and differentiability properties of the solution set map S as a set-valued or single-valued map. This paper surveys the main results in the area of sensitivity analysis for finite-dimensional variational inequality and nonlinear complementarity problems. It provides an overview of Lipschitz continuity and differentiability properties of S for variational inequality problems, defined on both a fixed K and general perturbed sets R(\(\epsilon\)), and for nonlinear complementarity problems. Concluding remarks and directions of future research are proposed in the last section.

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