Directional derivatives of the solution of a parametric nonlinear program

Directional derivatives of the solution of a parametric nonlinear program

0.00 Avg rating0 Votes
Article ID: iaor19971126
Country: Netherlands
Volume: 70
Issue: 2
Start Page Number: 159
End Page Number: 172
Publication Date: Oct 1995
Journal: Mathematical Programming (Series A)
Authors: ,
Keywords: programming: nonlinear
Abstract:

Consider a parametric nonlinear optimization problem subject to equality and inequality constraints. Conditions under which a locally optimal solution exists and depends in a continuous way on the parameter are well known. The authors show, under the additional assumption of constant rank of the active constraint gradients, that the optimal solution is actually piecewise smooth, hence B-differentiable. They show, for the first time to our knowledge, a practical application of quadratic programming to calculate the directional derivative in the case when the optimal multipliers are not unique.

Reviews

Required fields are marked *. Your email address will not be published.