Name
Abstract | ||
|---|---|---|
The optimal value function
of the quadratic program
, where
is a given symmetric matrix,
a given matrix,
and
are the linear perturbations, is considered. It is proved that
is directionally differentiable at any point
in its effective domain
. Formulae for computing the directional derivative
of
at
in a direction
are obtained. We also present an example showing that, in general,
is not piecewise linear-quadratic on W. The preceding (unpublished) example of Klatte is also discussed. |
Year | DOI | Venue |
|---|---|---|
2005 | 10.1007/s10898-004-1944-z | J. Global Optimization |
Keywords | Field | DocType |
piecewise linear-quadratic property,nonconvex quadratic pro- gramming problem,optimal value function,directional differentiability,linearly perturbed quadratic program,linear perturbation,quadratic program,symmetric matrix,directional derivative,piecewise linear | Discrete mathematics,Mathematical optimization,Matrix (mathematics),Mathematical analysis,Effective domain,Bellman equation,Symmetric matrix,Differentiable function,Quadratic programming,Directional derivative,Mathematics,Piecewise | Journal |
Volume | Issue | ISSN |
32 | 1 | 0925-5001 |
Citations | PageRank | References |
6 | 0.75 | 2 |
Authors | ||
3 | ||