Optimization Problems with Perturbations: A Guided Tour

  • Authors:
  • J. Frédéric Bonnans;Alexander Shapiro

  • Affiliations:
  • -;-

  • Venue:
  • SIAM Review
  • Year:
  • 1998

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Abstract

This paper presents an overview of some recent, and significant, progress in the theory of optimization problems with perturbations. We put the emphasis on methods based on upper and lower estimates of the objective function of the perturbed problems. These methods allow one to compute expansions of the optimal value function and approximate optimal solutions in situations where the set of Lagrange multipliers is not a singleton, may be unbounded, or is even empty. We give rather complete results for nonlinear programming problems and describe some extensions of the method to more general problems. We illustrate the results by computing the equilibrium position of a chain that is almost vertical or horizontal.