Lipschitz-Like Property for Linear Constraint Systems

Wenfang Yao, Xiaoqi Yang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

Abstract

In this paper, we consider a linear constraint system with a set constraint. We investigate the Lipschitz-like property of such systems with an explicit set constraint under full perturbations (including the matrix perturbation) and derive some sufficient and necessary conditions for this property. We also make use of some other approaches like outer-subdifferentials and error bounds to characterize such a property. We later apply the obtained results to linear portfolio selection problems with different settings and obtain some sufficient conditions for the parametric feasible set mapping to enjoy the Lipschitz-like property with various stock selection constraints.

Original languageEnglish
Pages (from-to)1281-1296
Number of pages16
JournalJournal of Optimization Theory and Applications
Volume199
Issue number3
DOIs
Publication statusPublished - Dec 2023

Keywords

  • Coderivatives
  • Linear portfolio selection
  • Linear systems
  • Lipschitz-like property

ASJC Scopus subject areas

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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