Sensitivity Analysis of the Maximal Value Function with Applications in Nonconvex Minimax Programs

Abstract

In this paper, we perform a sensitivity analysis for the maximal value function, which is the optimal value function for a parametric maximization problem. Our aim is to study various subdifferentials for the maximal value function. We obtain upper estimates of Fréchet, limiting, and horizon subdifferentials of the maximal value function by using some sensitivity analysis techniques sophisticatedly. The derived upper estimates depend only on the union of all solutions and not on its convex hull or only one solution from the solution set. Finally, we apply the derived results to develop some new necessary optimality conditions for nonconvex minimax problems. In the nonconvex-concave setting, our Wolfe duality approach compares favorably with the first-order approach in that the necessary condition is sharper and the constraint qualification is weaker. Funding: L. Guo was supported by the National Natural Science Foundation of China [Grants 72131007, 72140006, and 12271161] and the Natural Science Foundation of Shanghai [Grant 22ZR1415900]. J. J. Ye was partially supported by the Natural Sciences and Engineering Research Council of Canada. J. Zhang was supported by the National Natural Science Foundation of China [Grant 12222106], the Shenzhen Science and Technology Program [Grant RCYX20200714114700072], and the Guangdong Basic and Applied Basic Research Foundation [Grant 2022B1515020082].