Second order sensitivity analysis and asymptotic theory of parametrized nonlinear programs |
| |
Authors: | Alexander Shapiro |
| |
Affiliation: | (1) Department of Mathematics and Applied Mathematics, University of South Africa, P.O. Box 392, 0001 Pretoria, South Africa |
| |
Abstract: | In this paper we study second-order differential properties of an optimal-value function(x). It is shown that under certain conditions(x) possesses second-order directional derivatives, which can be calculated by solving corresponding quadratic programs. Also upper and lower bounds on these derivatives are introduced under weaker assumptions. In particular we show that the second-order directional derivative is infinite if the corresponding quadratic program is unbounded. Finally sensitivity results are applied to investigate asymptotics of estimators in parametrized nonlinear programs. |
| |
Keywords: | Marginal Function Optimal Value Nonlinear Programming Sensitivity Analysis Parametric Programming Asymptotic Distribution |
本文献已被 SpringerLink 等数据库收录! |