Gradient of the Value Function in Parametric Convex Optimization Problems
Optimization and Control
2016-07-04 v1
Abstract
We investigate the computation of the gradient of the value function in parametric convex optimization problems. We derive general expression for the gradient of the value function in terms of the cost function, constraints and Lagrange multipliers. In particular, we show that for the strictly convex parametric quadratic program the value function is continuously differentiable at every point in the interior of feasible space for which the Linear Independent Constraint Qualification holds.
Cite
@article{arxiv.1607.00366,
title = {Gradient of the Value Function in Parametric Convex Optimization Problems},
author = {Mato Baotić},
journal= {arXiv preprint arXiv:1607.00366},
year = {2016}
}