Directional derivatives of the solution of a parametric nonlinear program

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. We show, under the additional assumption of constant rank of the active constraint gradients, that the optimal solution is actually piecewise smooth, hence B-differentiable. We 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.This author's research was supported by the Australian Research Council.