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Optimality, identifiability, and sensitivity

Dmitriy Drusvyatskiy(dd379***at***cornell.edu)
Adrian S. Lewis(aslewis***at***orie.cornell.edu)

Abstract: Around a solution of an optimization problem, an ``identifiable'' subset of the feasible region is one containing all nearby solutions after small perturbations to the problem. A quest for only the most essential ingredients of sensitivity analysis leads us to consider identifiable sets that are ``minimal''. This new notion lays a broad and intuitive variational-analytic foundation for optimality conditions, sensitivity, and active set methods.

Keywords: active set, sensitivity analysis, optimality conditions, normal cone, subgradient, identifiability, critical cone, prox-regularity, partly smooth, fast track

Category 1: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Citation:

Download: [PDF]

Entry Submitted: 07/27/2012
Entry Accepted: 07/27/2012
Entry Last Modified: 07/27/2012

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