Corpus ID: 84845835

Derivative of a Conic Problem with a Unique Solution

@article{Busseti2019DerivativeOA,
  title={Derivative of a Conic Problem with a Unique Solution},
  author={E. Busseti},
  journal={arXiv: Optimization and Control},
  year={2019}
}

E. Busseti

Published 2019

Mathematics, Economics

arXiv: Optimization and Control

We view a conic optimization problem that has a unique solution as a map from its data to its solution. If sufficient regularity conditions hold at a solution point, namely that the implicit function theorem applies to the normalized residual function of [Busseti et al., 2018], the problem solution map is differentiable. We obtain the derivative, in the form of an abstract linear operator. This applies to any convex optimization problem in conic form, while a previous result [Amos et al., 2016… CONTINUE READING

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