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Sensitivity and stability analysis for nonlinear programming

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Abstract

We give a brief overview of important results in several areas of sensitivity and stability analysis for nonlinear programming, focusing initially on “qualitative” characterizations (e.g., continuity, differentiability and convexity) of the optimal value function. Subsequent results concern “quantitative” measures, in particular optimal value and solution point parameter derivative calculations, algorithmic approximations, and bounds. Our treatment is far from exhaustive and concentrates on results that hold for smooth well-structured problems.

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Authors and Affiliations

  1. School of Engineering and Applied Science, The George Washington University, 20052, Washington, DC, USA

    Anthony V. Fiacco

  2. Sophia University, 102, Tokyo, Japan

    Yo Ishizuka

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  1. Anthony V. Fiacco
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  2. Yo Ishizuka
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Research supported by National Science Foundation Grant ECS-86-19859 and Grant N00014-89-J-1537 Office of Naval Research.

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Fiacco, A.V., Ishizuka, Y. Sensitivity and stability analysis for nonlinear programming. Ann Oper Res 27, 215–235 (1990). https://doi.org/10.1007/BF02055196

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