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- Title
A natural extension of the classical envelope theorem in vector differential programming.
- Authors
García Castaño, F.; Melguizo Padial, M.
- Abstract
The aim of this paper is to extend the classical envelope theorem from scalar to vector differential programming. The obtained result allows us to measure the quantitative behaviour of a certain set of optimal values (not necessarily a singleton) characterized to become minimum when the objective function is composed with a positive function, according to changes of any of the parameters which appear in the constraints. We show that the sensitivity of the program depends on a Lagrange multiplier and its sensitivity.
- Subjects
DIFFERENTIAL equations; VECTOR algebra; MATRICES (Mathematics); LINEAR operators; LAGRANGE equations
- Publication
Journal of Global Optimization, 2015, Vol 63, Issue 4, p757
- ISSN
0925-5001
- Publication type
Article
- DOI
10.1007/s10898-015-0307-2