A natural extension of the classical envelope theorem in vector differential programming

作者：Garcia Castano F; Melguizo Padial M A

来源：Journal of Global Optimization, 2015, 63(4): 757-775.

DOI：10.1007/s10898-015-0307-2

• Envelope theorem
• Set-valued map
• Tangential regularity
• Contingent or bouligand derivative
• Clarke derivative

The aim of this paper is to extend the classical envelope theorem from scalar to vector differential programming. The obtained result allows us to measure the quantitative behaviour of a certain set of optimal values (not necessarily a singleton) characterized to become minimum when the objective function is composed with a positive function, according to changes of any of the parameters which appear in the constraints. We show that the sensitivity of the program depends on a Lagrange multiplier and its sensitivity.

• 出版日期2015-12