Abstract
The nonlinear parametric programming problem is reformulated as a closed system of nonlinear equations so that numerical continuation and bifurcation techniques can be used to investigate the dependence of the optimal solution on the system parameters. This system, which is motivated by the Fritz John first-order necessary conditions, contains all Fritz John and all Karush-Kuhn-Tucker points as well as local minima and maxima, saddle points, feasible and nonfeasible critical points. Necessary and sufficient conditions for a singularity to occur in this system are characterized in terms of the loss of a complementarity condition, the linear dependence of the gradients of the active constraints, and the singularity of the Hessian of the Lagrangian on a tangent space. Any singularity can be placed in one of seven distinct classes depending upon which subset of these three conditions hold true at a solution. For problems with one parameter, we analyze simple and multiple bifurcation of critical points from a singularity arising from the loss of the complementarity condition, and then develop a set of conditions which guarantees the unique persistence of a minimum through this singularity.
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The research of this author was supported by National Science Foundation through NSF Grant
DMS-85-10201 and by the Air Force Office of Scientific Research through instrument number AFOSR-ISSA-85-00079.
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Poore, A.B., Tiahrt, C.A. Bifurcation problems in nonlinear parametric programming. Mathematical Programming 39, 189–205 (1987). https://doi.org/10.1007/BF02592952
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DOI: https://doi.org/10.1007/BF02592952