On the (non-)differentiability of the optimal value function when the optimal solution is unique

DOI10.1016/J.JMATECO.2018.02.004zbMath1388.90113OpenAlexW3122740827MaRDI QIDQ1748367

Tomoyuki Takenawa, Daisuke Oyama

Publication date: 9 May 2018

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2018.02.004

zbMATH Keywords

sensitivity analysisvalue functionenvelope theoremparameterized optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Sensitivity, stability, parametric optimization (90C31) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02)

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On capital allocation for a risk measure derived from ruin theory ⋮ First- and second-order optimality conditions in optimistic bilevel set-valued programming ⋮ The envelope theorem, Euler and Bellman equations, without differentiability

Cites Work

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• On the Differentiability of the Value Function in Dynamic Models of Economics
• Directional Derivatives for Extremal-Value Functions with Applications to the Completely Convex Case
• Envelope Theorems for Arbitrary Choice Sets
• The Theory of Max-Min, with Applications
• Implicit Functions and Optimization Problems without Continuous Differentiability of the Data

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