Stability Score for Local Solutions of Unconstrained Parametric Nonlinear Programs

In many application areas that involve solving parametric optimization problems, it is desirable that solutions of perturbed problems do not deviate too much from the original ones. In this work, we develop a criterion which characterizes the stability of a local solution of an unconstrained paramet...

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Bibliographic Details
Published inProceedings in applied mathematics and mechanics Vol. 21; no. 1
Main Authors Mykhailiuk, Ivan, Schäfer, Kai, Büskens, Christof
Format Journal Article
LanguageEnglish
Published Berlin Wiley-VCH GmbH 01.12.2021
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Summary:In many application areas that involve solving parametric optimization problems, it is desirable that solutions of perturbed problems do not deviate too much from the original ones. In this work, we develop a criterion which characterizes the stability of a local solution of an unconstrained parametric nonlinear program with respect to parameter perturbations. It is defined as the solution of an optimization problem, which we approximate using parametric sensitivity analysis. The presented approach is illustrated with the help of an example.
ISSN:1617-7061
1617-7061
DOI:10.1002/pamm.202100215