Subdifferential of the Supremum via Compactification of the Index Set

Abstract

We give new characterizations for the subdifferential of the supremum of an arbitrary family of convex functions, dropping out the standard assumptions of compactness of the index set and upper semi-continuity of the functions with respect to the index (J. Convex Anal. 26, 299–324, 2019). We develop an approach based on the compactification of the index set, giving rise to an appropriate enlargement of the original family. Moreover, in contrast to the previous results in the literature, our characterizations are formulated exclusively in terms of exact subdifferentials at the nominal point. Fritz–John and KKT conditions are derived for convex semi-infinite programming.