A note on solution sensitivity for Karush-Kuhn-Tucker systems

Mikhail Solodov | Izmailov, Alexey

Keywords: KKT system | perturbation | sensitivity analysis | 2-regularity

We consider Karush-Kuhn-Tucker (KKT) systems, which depend on a parameter. Our contribution concerns with the existence of solution of the directionally perturbed KKT system, approximating the given primal-dual base solution. To our knowledge, we give the first explicit result of this kind in the situation where the multiplier associated with the base primal solution may not be unique. The condition we employ can be interpreted as the 2-regularity property of a smooth reformulation of the KKT system. We also give a strictly sharper, compared to other statements in the literature, estimate for the contingent derivative of the KKT solution multifunction.

Anexos:

• r.pdf