Sensitivity Analysis of the Value Function for Parametric Mathematical Programs with Equilibrium Constraints

@article{Guo2014SensitivityAO,
  title={Sensitivity Analysis of the Value Function for Parametric Mathematical Programs with Equilibrium Constraints},
  author={Lei Guo and Gui-Hua Lin and Jane J. Ye and Jin Zhang},
  journal={SIAM J. Optim.},
  year={2014},
  volume={24},
  pages={1206-1237}
}
In this paper, we perform sensitivity analysis of the value function for parametric mathematical programs with equilibrium constraints (MPEC). We show that the value function is directionally differentiable in every direction under the MPEC relaxed constant rank regularity condition, the MPEC no nonzero abnormal multiplier constraint qualification, and the restricted inf-compactness condition. This result is new even in the setting of nonlinear programs in which case it means that under the… 

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