Exact penalty functions and calmness for mathematical programming under nonlinear perturbations

Abstract In the present paper, the effects of nonlinear perturbations of constraint systems are considered over the relationship between calmness and exact penalization, within the context of mathematical programming with equilibrium constraints. Two counterexamples are provided showing that the crucial link between the existence of penalty functions and the property of calmness for perturbed problems is broken in the presence of general perturbations. Then, some properties from variational analysis are singled out, which are able to restore to a certain extent the broken link. Consequently, conditions on the value function associated to perturbed optimization problems are investigated in order to guarantee the occurrence of the above properties.

[1]  A. Zaslavski Existence of Exact Penalty and Its Stability for Nonconvex Constrained Optimization Problems in Banach Spaces , 2008 .

[2]  Zhi-Quan Luo,et al.  Exact penalization and stationarity conditions of mathematical programs with equilibrium constraints , 1996, Math. Program..

[3]  Exact Penalty Functions and Problems of Variation Calculus , 2004 .

[4]  D. Azé,et al.  Variational pairs and applications to stability in nonsmooth analysis , 2002 .

[5]  A. Ioffe Metric regularity and subdifferential calculus , 2000 .

[6]  S. Rolewicz Φ-Convex Functions Defined on Metric Spaces , 2003 .

[7]  A. Uderzo On Some Regularity Properties in Variational Analysis , 2009 .

[8]  Xi Yin Zheng,et al.  Metric Subregularity and Constraint Qualifications for Convex Generalized Equations in Banach Spaces , 2007, SIAM J. Optim..

[9]  S. M. Robinson Generalized equations and their solutions, Part I: Basic theory , 1979 .

[10]  R. Rockafellar,et al.  Implicit Functions and Solution Mappings , 2009 .

[11]  Alexander D. Ioffe,et al.  On Metric and Calmness Qualification Conditions in Subdifferential Calculus , 2008 .

[12]  J. Pang,et al.  Existence of optimal solutions to mathematical programs with equilibrium constraints , 1988 .

[13]  Amos Uderzo,et al.  Convex Approximators, Convexificators and Exhausters: Applications to Constrained Extremum Problems , 2000 .

[14]  Michal Kočvara,et al.  Optimization problems with equilibrium constraints and their numerical solution , 2004, Math. Program..

[15]  A. Zaslavski Existence of Exact Penalty for Constrained Optimization Problems in Metric Spaces , 2007 .

[16]  Stephan Dempe,et al.  Foundations of Bilevel Programming , 2002 .

[17]  S. Scholtes,et al.  Exact Penalization of Mathematical Programs with Equilibrium Constraints , 1999 .

[18]  J. Frédéric Bonnans,et al.  Perturbation Analysis of Optimization Problems , 2000, Springer Series in Operations Research.

[19]  A. Ioffe Necessary and Sufficient Conditions for a Local Minimum. 1: A Reduction Theorem and First Order Conditions , 1979 .

[20]  B. Luderer,et al.  Multivalued Analysis and Nonlinear Programming Problems with Perturbations , 2002 .

[21]  S. Dolecki,et al.  Exact Penalties for Local Minima , 1979 .

[22]  J. Burke An exact penalization viewpoint of constrained optimization , 1991 .

[23]  S. M. Robinson Some continuity properties of polyhedral multifunctions , 1981 .

[24]  V. F. Demʹi︠a︡nov,et al.  Quasidifferentiability and related topics , 2000 .

[25]  Kok Lay Teo,et al.  Calmness and Exact Penalization in Vector Optimization with Cone Constraints , 2006, Comput. Optim. Appl..

[26]  S. Dempe Annotated Bibliography on Bilevel Programming and Mathematical Programs with Equilibrium Constraints , 2003 .

[27]  Gui-Hua Lin,et al.  Some Exact Penalty Results for Nonlinear Programs and Mathematical Programs with Equilibrium Constraints , 2003 .

[28]  Vladimir F. Demyanov,et al.  Conditions for an Extremum in Metric Spaces , 2000, J. Glob. Optim..

[29]  Francisco Facchinei,et al.  Exact penalization via dini and hadamard conditional derivatives , 1998 .

[30]  Kim C. Border,et al.  Infinite dimensional analysis , 1994 .

[31]  Boris S. Mordukhovich,et al.  Necessary Conditions for Nonsmooth Optimization Problems with Operator Constraints in Metric Spaces , 2008 .

[32]  B. Mordukhovich Variational Analysis and Generalized Differentiation II: Applications , 2006 .

[33]  A. Rubinov Abstract Convexity and Global Optimization , 2000 .

[34]  Diethard Pallaschke,et al.  Foundations of Mathematical Optimization , 1997 .

[35]  Bethany L. Nicholson,et al.  Mathematical Programs with Equilibrium Constraints , 2021, Pyomo — Optimization Modeling in Python.

[36]  Vladimir F. Demyanov,et al.  An old problem and new tools , 2005, Optim. Methods Softw..

[37]  René Henrion,et al.  Calmness of constraint systems with applications , 2005, Math. Program..

[38]  A. Zaslavski Existence and stability of exact penalty for optimization problems with mixed constraints , 2009 .

[39]  James V. Burke,et al.  Calmness and exact penalization , 1991 .

[40]  W. Zangwill Non-Linear Programming Via Penalty Functions , 1967 .

[41]  Frank H. Clarke,et al.  A New Approach to Lagrange Multipliers , 1976, Math. Oper. Res..

[42]  Boris S. Mordukhovich,et al.  Optimization and equilibrium problems with equilibrium constraints in infinite-dimensional spaces , 2008 .

[43]  Michal Kočvara,et al.  Nonsmooth approach to optimization problems with equilibrium constraints : theory, applications, and numerical results , 1998 .