INFORMS

Directional Stability Theorem and Directional Metric Regularity

Author(s): Aram V. Arutyunov and Alexey F. Izmailov
Source: Mathematics of Operations Research, Vol. 31, No. 3 (Aug., 2006), pp. 526-543
Published by: INFORMS
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MATHEMATICS
OFOPERATIONS
RESEARCH
infTTnTTTS
?
Vol.

31, No. 3, August

issn0364-765X
|eissn

pp. 526-543

2006,

1526-547110613103

DOI10.1287/moor.

10526

1060.0203

?2006

Stability Theorem

Directional

Aram
Peoples

Friendship

University,

of Computational
Mathematics
State University,
Leninskiye

Regularity

V. Arutyunov

Miklukho-Maklaya

Str. 6,

117198 Moscow,

Russia,

arutun@orc.ru

F. Izmailov

Alexey
Faculty
Moscow

Metric

and Directional

and Cybernetics,
Department
119992 Moscow,
Gori, GSP-2,

of Operations
Research,
izmaf@ccas.ru
Russia,

a new regularity concept, unifying metric regularity, Robinson's

and directional
constraint qualification,
the directional
present
regularity. On one
stability theorem and the related concept of directional metric
directional
stability theorem [Arutyunov, A. V. 2005. Covering of
stability theorem immediately
implies Robinson's
as a particular case, while on the other
of abnormal point. Math. Notes 77 447-460.]
maps on cone in neighborhood
used in sensitivity
theorem easily implies various stability results under the directional
regularity condition, widely
of this kind are also presented.
Some applications

We

develop

We

directional
constraint qualification;
Key words: metric
regularity; Robinson's
feasible arc; sensitivity
MSC2000
secondary: 90C31
subject classification:
Primary: 49K40, 49K27;
OR/MS subject classification:
Primary: programming/nonlinear
History:

June 6, 2005;

Received

revised October

INFORMS

regularity;

directional

metric

regularity.
hand, our
nonlinear
hand, our
analysis.

regularity;

7, 2005.

=
1. Introduction.
Throughout this paper, let X he a normed linear space, let Y Rl, and let Q be a fixed
smoothness
closed convex set in Y. Let F: X -? Y be a smooth mapping
hypotheses will be specified
(our
x e F~l(Q)
to
at
if the estimate
with
F
called
is
Recall
that
the
Q
respect
metrically regular
mapping
below).

dist(jc,F~\Q-

y)) = 0(dist(F(x) + y, Q))

holds for (x,y) eX xY close to (Jc,0) (Bonnans and Shapiro [6, p. 65]). This notion dates from Robinson
[16]
[9]); see also Dmitruk et al. [7]). For more
(or even from the classical works (Lyusternik [12], Graves
and
recent developments
and extensions of the metric regularity theory, see Mordukhovich
[13], Mordukhovich
and Wang [15], Ioffe [10], and references therein.
Shao [14], Mordukhovich
As is well known (see, e.g., Bonnans and Shapiro [6, Proposition 2.89]), metric regularity is equivalent to the
constraint qualification (CQ) at Jc,which consists of saying that
so-called Robinson's
0 e int(F(i)

+ imF'(x)

Q).

The fact that Robinson's CQ implies metric regularity is a consequence of the so-called Robinson's
stability
theorem [17] (see also Bonnans and Shapiro [6, Theorem 2.87]). To state the latter, let 2 be a topological space
-> Y be a mapping satisfying the appropriate continuity and smoothness
(the space of parameters), let F: 2 x X
requirements,

and

for

each

e 2,

set

D(a) = {xeX\F(a,x)eQ}.
For a given

(base) parameter value a e 2, Robinson's

0 e int( F(a,

and this condition

(1)

CQ at x e D(a)

?
x) + im

(a, x)

takes the form

(2)
J,

implies that the estimate

dist(;c,D(a))

= 0(dist(F(a,

jc),Q)) (3)

holds for (a, x)

2 x X close to (a, x).
Another very useful regularity concept is the so-called directional regularity at x with respect to a given
direction d e 2, which becomes relevant when 2 is a normed linear space. This condition has the form

0e

int(F(a,x)+im?(a,x)

+conel

(a,x)d \ Q J, (4)

526
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Directional
and Izmailov:
Stability Theorem and Directional
of Operations Research 31(3), pp. 526-543, ? 2006 INFORMS 527

Arutyunov
Mathematics

Metric

Regularity

and it finds numerous applications, especially in sensitivity analysis for optimization problems (Bonnans and
Shapiro [6]). In the context of mathematical programming problems, directional regularity is known as Gollan's
condition [8], and it was extended to the general setting in Bonnans and Cominetti
[4].
In this paper, we present the directional stability theorem (with a quite simple and self-contained proof),
of which Robinson's
stability theorem [17] is a particular case. The significance of this result is in that it
enables unification of the diverse regularity concepts playing a crucial role in modern optimization
theory and
directional
and
those
the
the results employing Robinson's
variational analysis. Specifically,
CQ
employing
regularity condition were previously derived separately (see, e.g., Bonnans and Shapiro [6]). For example, each
new result about the existence of a feasible arc of a needed given form under the directional regularity condition
required a new (and usually highly nontrivial) proof. Now, the results of this kind can be derived directly from
Theorem 4.1 presented below, and without any auxiliary technical tools, e.g., from the multifunctions
theory.
In addition, our directional stability theorem suggests a new form of weakened
(restricted) metric regularity,
which may be a meaningful
concept for the cases when the usual metric regularity does not hold. We believe
that this concept may find multiple applications in the future, but of course, these applications could be mainly
expected in the field of nonsmooth problems.
It is important to stress that in our setting, Y is a finite-dimensional
space. This is strongly related to the
method of proof being used, because it relies on (completely finite-dimensional)
Brouwer's fixed point theorem.
Y but possibly infinite-dimensional X) is rich enough
On the other hand, this setting (with finite-dimensional
to cover many applications (e.g., in optimal control, not to mention mathematical
semidefinite
programming,
semi-infinite

programming,

programming,

etc.).

This paper is organized as follows. In ?2, we present some auxiliary lemmas. In ?3, we prove our basic
stability theorem for constraint systems comprised by equality constraints and set constraints. Section 4 contains
the directional stability theorem, and in ?5, we develop the related directional metric regularity concept. Section 6
deals with the case of directional regularity. Finally, in ?7, we present some applications to sensitivity analysis
of optimization problems, in the cases of directionally regular constraints, Holder stable solutions, and empty
sets of Lagrange multipliers.
Some comments on our (fairly standard) notation are in order. For a given normed linear space X, X* is its
?
=
<
(topologically) dual space, and B8(x)
{? e X | ||?
jc|| 8] is a ball centered at jcg X and of radius 8 > 0.
=
<
a
If K c X is
0 V? g K] stands for its polar cone. For a given set S CX,
intS
cone, K?
{/ e X* \ (I, ?)
stands for its interior, cl S stands for its closure, span S stands for the linear space spanned by S (span S is not
necessarily closed), conv S (cone S, aff S) stands for its convex (conic, affine) hull, i.e., the smallest convex set
= 0 Vjc g
=
(cone, affine set) containing S, and S1
{/ G X* \ (I, x)
S] is the annihilator of S. Furthermore, if
0 G S, then riS is the relative interior of S, i.e., its interior with respect to span S. The convex hull of a finite set
?
will be referred to as a finitely generated set. Furthermore, dist(jc, S) =
is the distance from x eX
inf^e5 ||? jc||
to S, and if S is a closed convex set in a finite-dimensional
stands
the
for
X, 7rs(x)
projection of jc onto S, i.e.,
the (uniquely defined) point ? g S such that ||x? ?|| = dist(x, S). For a given point jcg S, Rs(x) = cone(S ? jc),
is the so-called radial cone to S at x,
Ts(x)

{h e X

|3{tk} c R+\{0}

such that {tk} -+ 0, dist(jc +

tkh, S)

o(tk)}

= 0
is the contingent cone to S at x, and Ns(x)
(T5(jc))? is the normal cone to S at jc (if x g S, then A^(jc)
=
by definition). Recall that for a convex S, Ts(x)
c\Rs(x).
If Y is another normed linear space, 3?(X,Y)
stands for the space of continuous linear operators from X to Y.
For a given linear operator A: X - Y, im A stands for its range (image space).
2. Auxiliary
normed

linear

lemmas.

The proof of our basic

stability theorem employs

the following

lemmas. Let Z be a

space.

The first lemma can be regarded as a far-reaching extension of some well-known

results on the right inverse
case
to
a
on
the
when
a
linear
is
convex
cone in Z rather than on
considered
mapping,
operator
only
given
the entire Z. In the case of infinite-dimensional
Y, such results are closely related to the Banach open mapping
theorem and its generalizations
(see Arutyunov
[1]). Note also that here, we establish not only the "restricted"
a
but
the
of
existence
continuous
inverse function as well.
property
covering
Let K C Z be a closed convex cone, and let A g 2?(Z, Y).
and c> 0 such that for each A G ^?(X, Y)
satisfies the inclusion y G int A(K), then there exist 8>0

Lemma 2.1.
IfyeY
close

enough

to A,

there

exists

a continuous

AcpA(y)=y,

mapping

cpA: cone

B8(y)

\\<pA{y)\\<c\\y\\

satisfying

Vy econeB8(y).

the following

(5)

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requirements'.

and

Arutyunov

Proof.

Let

rjl

y +

eel,

i=

1,...,

Izmailov:
Directional
Stability Theorem and Directional Metric Regularity
528 Mathematics of Operations Research 31(3), pp. 526-543, ?2006
INFORMS

/, r//+1 =y

el, where

e^Li

with e > 0 being fixed. It is easy to see that y e intconvf^1,...,

el,...

,el

is a standard

basis

in Y = Rl,

i]l+l}', i.e., there exists 8X > 0 such that

(6)

^.(^Cconv^1,...,^1}.

On the other hand, by the condition y e int A(K), one can choose e > 0 small enough, so that in1,...,
rjl+l e
=
= 1,...,
/+ 1. For each A e 5?(X, Y) close enough to A,
A(K); i.e., there exist ?' e K such that A?'
17', i
the points if (A) = A?' are close to if, i= l,...
,1+ 1, and hence, by (6), it can be easily derived that

(1)

B8l(y)cS(A),

= conv
S(A)
{i}l(A),...,
t//+1(A)}.
/+1,
Furthermore, each point y e S(A) can be uniquely expanded as v = X^*J @iVl0^)>where 0( > 0, /= 1,...,
= 1. The numbers
=
are
the
so-called
coordinates
in
the
of
sim
/-dimensional
y
0j;
0f
barycentric
0,(A; j)
?jil
-?
some
and
e
Tikhomirov
Fix
8
and
define
K
the
plex S(A) (Ioffe
(0, 8j]
[11, ?3.5.2]).
mapping <pA:coneB8(y)
as follows:
where

MO) = 0,

^00 -M

y e (coneB5(j))\{0},

?0,.(A; ^p)f.

where

7=

'llyll, ify#o,
5,

ify

= 0.

It can be easily seen that if 8 is taken small enough, then in any case, yy/||y||
and according to (7), this mapping is correctly defined. Moreover,

=
i.e., (5) holds with

c = maxi=1

i(.

e (coneB8(y))\{0},
BS{(y) Vy

y \\y\\y
y,

max

/+1 H^H/y. Continuity

||f||)||y||;
of <pAcan be easily verified.

Lemma 2.2. Let A e S?(Z, Y), and let P C Z be a closed convex set.
If for some y eY it holds that

(8)

yeintA(P),
then

there

exist

zl e P,

i=l,.

. . ,1+1

such

that

(9)

yeintA(conv{zl,...,zl+l}).
Proof.

According

to (8), there exist i)1e Y, i=

yeintcon\{i)1,.

I,...

,1+
. .

1 such that, on one hand,

,i]l+l},

(10)

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and Izmailov:
Directional
Stability Theorem
of Operations Research 31(3), pp. 526-543, ?2006

Arutyunov
Mathematics

and on the other hand,

rjl+l

?
y

sY!i=\

rf e A(P)

e'> where

Wi =
, el

el,...

and Directional
INFORMS529

I+

1,...,
is a

there exist z[ e P such that 77'= Az1Wi =

standard

/+

1,...,
,

conviV,

VM)

Metric

Regularity

= y + se',
1 (for instance, one can take 77':
basis

in Y =

with

Rl,

1. It can be easily

0 being

small

i=

1,...,

/,

Then,

enough).

seen that

. .

C A(conv{zl,.

e >

,z/+1}).

The latter relation combined with (10) implies (9). D

The role of Lemma 2.2 in the proof of Theorem 3.1 below can be characterized as follows: sometimes it
is possible to replace, without affecting the related regularity conditions, an arbitrary convex closed set in the
constraints by its finitely generated (and hence finite-dimensional)
subset, which is more tractable.
Lemma 2.3. Let P C Z be a closed convex set, and let P C Z be a finitely
it holds that P\{z} C int P.
given zeP,
Then, there exists s > 0 such that the inclusion

z+ (cone(P-i))nBe(0)cP
holds for each z G P close enough

generated

set. Assume

that for a

(11)

to z.

It can be easily seen that there exists e > 0 such that z + (cone(P ? z)) H (#e(0)\{0})
Proof.
c int P. We
next prove by a contradiction argument that this s is the one we need. Indeed, suppose that there exist sequences
?
?
z, \\?k \\< s, and zk+ ?k & P Wk. Since P is convex, one may
{zk} CP and [?k] C cone(P
z) such that [zk]
=
s Wk. Then, without loss of generality, one may suppose that the sequence
suppose that ||?*||
{?*} converges
to some ? gcone(P ? z) (recall that cone(P-z)
is finitely generated, and hence finite dimensional and closed),
= s. Then,
-^ z + ?; hence z + ? gintP, which contradicts the choice of s.
and moreover,
||?||
{zk+ f*}
3. Basic stability theorem: Equality-type
constraints and set constraints.
In this section, we present our
basic stability result in the following setting. Let Z be a normed linear space, and let P he a fixed closed convex
set in Z. Let <?:2 x Z ?>>Y he a given mapping, and assume that z G A(cf), where for each a eL
k(cr)

{zeP\<S>((T,z)=0}.

(12)

We

shall employ the following hypotheses (H):

(HI) The restriction of O to X x P is continuous at (a, ?).
(H2) For each (cr, z) G 2 x P close enough to (a, z), there exists Aaz

g S?(Z, Y) such that for z

the

estimate

^(cr,z)-^((T,z)-A^z(z-z)

o(\\z-z\\)

is continuous at (a,z). Any selection of Aa z

uniformly in (cr,z), and the mapping
(cr, z) -^ Aaz
these
as
will
a
be
to
referred
of <J>
derivative
with respect to z at (a, z), and will be
satisfying
assumptions
denoted by (d<&/dz)(a, z).
For (HI) and (H2) to be satisfied, it suffices to assume that O is continuous at
(a, z) and Frechet differentiable
with respect to z near (a,z),
and its derivative with respect to z is continuous at (a, z). In this case, the
derivative of 4> with respect to z is uniquely defined near (o-,z)> On the other hand,
(HI) and (H2) may hold
even when O is defined only on S x P.
holds

Theorem

3.1.

If y eY

satisfies

Let ze A(o:),
the inclusion

and let 0

satisfy hypotheses

(HI) and (H2). Assume

yeint?(a,z)(P-z),
then there exists 8>0

(13)

such that the estimate

dist(z,A(0-)) = 0(||*(<r,z)||)
holds for

that riP^0.

(a, z) e 2 x P close

to (a, z) and satisfying

-

<&(cr,z)e

(14)

the inclusion
cone Bs(y).

(15)

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Metric Regularity
Directional
Izmailov:
Stability Theorem and Directional
INFORMS
530 Mathematics of Operations Research 31(3), pp. 526-543, ?2006

and

Arutyunov

To begin with, without loss of generality, we may assume that intP ^ 0. Indeed, if int P = 0,
?
=
<?:2 x Z -> Y defined by
Z
by Z
z), replace 4> by the mapping
replace
span(P
Proof.

?((T,z)

?(o-,z

then

+ z),

and for each a e 2 replace A(cr) by the set

=

A(o-)

=
$>(<t,l + z)
0}.

p-i\

{z

Then A(cj-) = A(cr) + z, and it is evident that estimate

the inclusion (15) if and only if the estimate

(14) holds for (cr, z) e 2 x P close to (a, z) and satisfying

dist(z,A(<r))
holds for (a, z)

?
2 x (P
z) close

= 0(||*(<r,z)||)

to (a, 0) and satisfying

cone B8(y).

-<Z>(a,z)e
Furthermore,

(13) is evidently

the inclusion

to the inclusion

equivalent

yeint?

dz

(a,0)(P-z).

?
?
?
z with respect to spanZ = aff (P
On the other hand, the interior of the set P
z),
z) coincides with ri(P
which is assumed to be nonempty. Thus, throughout the rest of the proof, we suppose that intP / 0.
to (13) and Lemma 2.2, there exist z'eP,
i=l,...
,1+1 such that
According
(16)

yeint?(a,-z)(P--z),
oz
where
P =

com{zl,...,zt+l,z}.

intP ^ 0, by a small perturbation of the points zl e P, it can be achieved

hence
P\{z} C intP) and the inclusion (16) will still be valid.
(and
From (16), it evidently follows that

Since

d$>

int --(cr,
dz

z)(cone(P

that zl e int P V /=

1,...,

/+

z)).

Then, by (H2) and Lemma 2.1, there exist 8X > 0 and c > 0 such that for (cr, z) close enough to (a, z), there
?
exists a continuous mapping
cpa z: coneB8i (y) -> cone(P
z) satisfying the following requirements:
?

\\<P*,z(y)\\<c\\y\\

dz (<r,z)<pa,z(y)=y,

VyeconeB8i(y).

(17)

Furthermore, by (17), by Lemma 2.3, and by (H2), one can choose 82 > 0 such that for any (a,z)
enough to (a, z) and any y e (coneB8x (y)) PiB8j(0) it holds that z + <Po-,z(y)? P and

(18)

|*(<r,Z+^G0)-^

2c

?zII II

where

y=

Linli.ll,

\2\\yW)

[l,
For such (cr, z), define

the mapping

Ga

z: (coneB8|

ify/0,

(19)

ify

= 0.

-> F,
(y)) D Bg2(0)

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close

Arutyunov
Mathematics

Metric

Directional
and Izmailov:
Stability Theorem and Directional
of Operations Research 31(3), pp. 526-543, ? 2006 INFORMS 531

Regularity

D
set
and for each y e (cone
B?2 (0),
B8{ (y))
=

n^Jy)
By

(H2), Ga

z is evidently

continuous

lin^OOII

-$>(*,

on its domain,
<&(<7,z +

(20)

z)-Ga>z(y).

to (17) and (18),

and according
-

*(<r,

<pa,z(y))

z)

z)<Pa.t(y)
^(<r,

Vye(C(mcBSi(y))nBS2(0).

<lh\\

(21)

the following property: if 77e cone B8(y),

It can be easily seen that there exists 8 e (0,8J2]
possessing
=
case
is
If <&(a,z)^0
then ||||j||t7/||77|| -y\\ <8,/2.
According
trivial), set 82(a,z)
(the opposite
||*(o\z)||.
we
fl
to (HI), for (a, z) close enough to (a, z) and satisfying (15), and for any y e (cone
B8x(y))
B2&2(a,z)(0),
then obtain: if y ^ 0, then according to (19), (21), it holds that

^'^
_?2L*(0P,Z)_^!L_a
{y)-y\<_m?o^.yU
||?I?(cr,z)||
\m<r,z)\r"-zKy}
y\\- m<r,z)\\
?

-<

2
=
taking into account

and hence

m
K(T,Z)
A_|M|,
yril*(cr,Z)||4||y||imi'

S?

(20),

= Y, and the inclusion

On the other hand, if y = 0, then cone
Ga
B8] (y)
to
according
(20),

z(y) e cone B8] (y) holds trivially. Finally,

<
< II*(t. z)ll+
<
IIG^GOII ll*(^. *)ll+ lin^ooil
-2\\y\\ 2?2(<r,z).
for (a, z) close enough to (a, z), Ga z continuously maps the convex compact set (coneB8 (y)) fl
int0 itself. Thus, according to Brouwer's theorem, this mapping has a fixed point in this set; that is,
B282((T,z)(fy
D
there exists y = y(a, z) e
such that y = Ga z(y); i.e.,
(coneB8] (y)) B282^ z)(Q)
Therefore,

?(<r,z
Moreover,

according

< cM < 2cS2(cr, z)= 0(||*(<r, z)\\),

and it remains to recall (12) and the inclusion z +

= 0, we obtain
Applying Theorem 3.1 with y
3.1.

<paiZ(y))=0.

to (17),

II^OOII

Corollary

Under

the assumptions

(22)

<pa z(y) e P.

of Theorem

3.1, if

OGint?(a,z)(P-z),
oz
then the estimate

(14) holds for

(a, z) G 2 x P close

to (a, z).

Remark 3.1. Theorem 3.1 has an evident directional

that there exists 6 > 0 such that

flavor, since (13) can be replaced by the assumption

6yeint?(a,z)(P-z).
oz
It can be easily
in the following

seen (e.g., using the separation argument)

form:
homogeneous

that in its turn, the latter condition

yeint?(a,i)(RP(i)).
dz

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can be presented

4. Directional
stability theorem.
be defined according to (1).

Directional
Izmailov:
Metric Regularity
Stability Theorem and Directional
INFORMS
532 Mathematics of Operations Research 31(3), pp. 526-543, ?2006

and

Arutyunov

now get back to the setting discussed

We

in ?1: for each a e 2,

Let x

let F be continuous at (a, x) and Frechet differentiable

D(a),
(a, x), and let its derivative with respect to x be continuous at (a, x).
IfyeY
satisfies the inclusion
Theorem

4.1.

y e intfF(a, x) + im
?(a,

x)

QJ,

let D(a)

with respect to x near

(23)

then there exists 8 > 0 such that the estimate

diSt(x,D(a)) = 0(\\F(a,x)-q\\)
holds for

(a, x, q) G 2 x X x Q close

to (a, x, F(a,

x)) and satisfying

Set Z = X x Y, P = X x Q, and define

0(cr,

z)

the mapping

F(a,

the inclusion
(25)

-(F(a,x)-q)econeB8(y).
Proof.

(24)

<?:2 x Z -* Y,
z=

x)-y,

(x, y).

(26)

Set z =

Jc)) e P. Then, for an arbitrary triple (a, x, q) e 2 x X x Q close to (a, x, F(a, x)) and
(x, F(a,
we
0 (since
have: z = (x, q) e P, z is close to f, and (15) holds. Moreover, riP = X xriQ^
satisfying (25),
=
convex
a
to
a
Y
set
Theorem
and
in
and
3.1
is
finite-dimensional
hence, according
space
Q
(12), there
Rl),
exists r = r(o~, z) = (?, )|) Z such that

Then,

||r||= 0(||cD(cr,z)||).

^(a,z + r) = 0,

z+ reP,
from (26), we obtain

q+ V Q,

=
||?||+ \\r,\\ 0(\\F(a,x)

+ 71)= 0,

F(a,x + {)-(q

q\\),

and hence

U\\ = 0(\\F(a,x)-q\\).

F((T,x + ?)eQ,
This implies (24).

Note that with q = irQ(F(a, x)), the assertion of Theorem 4.1 takes the following form: if (23) holds, then
there exists 8 > 0 such that the estimate (3) holds for (cr, x) e 2 x X close to (a, x) and satisfying the inclusion
-(F(<7,

x)

ttq(F(ct,

x))) e coneB8(y).

stability theorem (see Robinson

[17], or Bonnans
Among the immediate consequences of this fact is Robinson's
to
with
and Shapiro [6, Theorem 2.87]). To obtain the latter, it suffices
y = 0. Note that
apply the result above
on
the
Robinson-Ursescu
our argument does not rely
stability theorem
any set-valued analysis, and in particular,
we
stress it again
[18, 16] (see also Bonnans and Shapiro [6, Theorem 2.83]) is not employed here. However,
to
not
X
is
be complete!)
that in our setting, Y is a finite-dimensional
space. (Note, however, that
supposed
Under the assumptions of Theorem
4.1.
Corollary
mate (3) holds for (a, x) e 2 x X close to (a, x).

4.1,

if Robinson's

CQ

(2) is satisfied,

Of course, Corollary 4.1 can also be derived from Corollary 3.1.

Remark 4.1.
Clearly, assumption (23) in Theorem 4.1 can be replaced by the assumption
>
0 such that
0
?
Q \,
dy e int fF(a, x) + im
(a, x)
and it can be easily

seen that the latter condition

y e intAm

can be presented

??(a,

x)

in the following

RQ(F(a,

x))j.

homogeneous

(27)

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then the esti

that there exists

form:

Arutyunov
Mathematics

Directional
and Izmailov:
Stability Theorem
of Operations Research 31(3), pp. 526-543, ?2006

Metric

and Directional
INFORMS533

Regularity

In this section, we temporarily get back to the nonparametric case to

metric
5. Directional
regularity.
introduce and study the following concept.
5.1. We say that the mapping F: X -* Y is metrically regular at x e F~X(Q) with respect to Q
Definition
a
in direction y e Y if there exists 8 > 0 such that the estimate

= 0(\\F(x)+y-q\\)

dist(x, F-\Q-y))
holds for (jc, y, q) e X x Y x Q close

to (Jc,0, F(x))

+y-q)e

-(F(x)

the inclusion

and satisfying

coneB8(y).

= 0 is
equivalent to the usual metric regularity (to prove
Clearly, metric regularity in a direction y
=
to
take q
former implies the latter, it suffices
ttq(F(x) + y)).
By Theorem 4.1 and Remark 4.1, under the appropriate smoothness assumptions, condition

that the

y e int(imF'(Jc) RQ(F(x))) (28)

(compare with

(27)) implies metric

regularity

in a direction

y. The converse

is at issue in our next

implication

result.

Proposition
at

near Jc,and let its derivative

Let x e F~l (Q), let F be Frechet differentiable

5.1.

be continuous

Jc.

Then, F

is metrically

regular at x with respect to Q in a direction

which

is equivalent

if and only if condition

regular at x with respect to Q in a direction

there exists p e Y\{0} such that

Suppose that F is metrically

hold. Then, by the separation argument,
Proof.

</*, y)

y eY

< 0<
(p, ri)

Vtj e imF'(x)

(28) holds.

y e Y, but (28) does not

RQ(F(x)),

to

Set 0 = 8/||/jl||, where

>
t 0, it holds that

<M,y) < 0,

8 > 0 is taken from Definition

+ y(t) -q)

-(F(x)
and hence, by Definition

(imF^x))1 n (RQ(F(x)))?. (29)

pe

5.1. Then,
t(y

for x = x, q = F(x),

and y(t) = ?t(y

0/x),

Sp) e coneB8(y),

5.1, the estimate

dist(x, F-\Q-y(t)))

holds for t > 0. This means

0(\\F(x)+y(t)-q\\)
= 0(t\\y-6vL\\)
= 0(t)

that for each t > 0 small enough,

F(x(t)) eQ-

y(t) = Q + t(y- Op),

there exists x(t) e X such that

\\x(t) x\\= 0(t).

Then, by (29), we obtain

(Vi,F(x(t))-F(x))<-dM2t,
while

on the other hand,

(,i, F(x(t))

x)) + o(||;r(0
jc||)
F(x)) = (ti, F'(x)(x(t)
=

o(t),

which is a contradiction.
Theorem 4.1 and Proposition 5.1 imply the following important property: under the assumptions of Propo
sition 5.1, metric regularity in a given direction y e Y is stable subject to perturbations of F, such that the

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and

Arutyunov

Izmailov:

Directional
Metric Regularity
Stability Theorem and Directional
534 Mathematics of Operations Research 31(3), pp. 526-543, ? 2006 INFORMS

let F be metrically
corresponding perturbation of F(x) and F'(Jc) is small enough. Specifically,
regular at x
with respect to Q in a direction y. Then, by Proposition 5.1, condition (28) holds. Let the space 2 be comprised
?
Y, which are Frechet differentiable near Jc, let a = F, and let a topology in 2 be defined
by mappings a: X
in such a way that a(x) -> F(x), af(x) -> F'(x) as a -> <r and jc?> Jc.Applying Theorem 4.1, we obtain the
- y Frechet differentiable near Jcand
such that for jce X close enough to Jc,
following: For any mapping F: X
close enough to x,
respectively, and for any x e F~l(Q)
F(x) and F'(x) are close enough to F(x) and F'(*),
F is metrically regular at Jcwith respect to Q in a direction y. Moreover,
the following uniform version of this
statement is valid: there exist neighborhood & of (jc, 0, F(Jc)) in X xY xY, 8 >0 and c > 0 (all independent
of F)

such that the estimate

+ y-q\\

dist(x, F-l(Q-y))<c\\F(x)
holds for (jc, y, q) e & such that qeQ

and
-(F(x)+y-q)e

coneB8(y).

6. Applications:
The case of directional
regularity.
Throughout the rest of this paper, let 2 be a normed
linear space. It can be easily seen that for any d e 2, the directional regularity condition (4) can be expressed
in the following equivalent form:
?

dF

dF

\
(30)

(a,x)deintlRQ(F(a,x))-imj-(a,x)\.
Indeed,
y*\{0}

suppose first that (4) holds while

such that

dF
\

dF

lp, ?(a,

dF

/
the inclusion Q ? F(cr,
(/*>, 17)<0

Vt7GF(<7-,jc)

im?

(a, x),

there exists p e

(31)

dF
WqeQ,

Jc)) was

jc)c RQ(F(a,

x))

+ y + 0?(a,x)d)<0

U,F(a,x)-q

Then, by the separation argument,

V77 G RQ(F(a,

x)d) <0<(p,v)

and hence

where

(30) is violated.

V0>O,

Wyeim?(a,x),

(32)

taken into account. Thus

dF
+ im?(a,

x) + cone{

djc

?\dF

I da

_ _ 1Q, (33)
(cr,x)d\

which

contradicts (4).
Now, suppose that (30) holds while (4) is violated. Then, again by the separation argument, there exists
such that (33) holds, while the latter can be written in the form (32). From (32), it easily follows that
p e y*\{0}

U,?

dF

\
(a,x)d)

<0 <lp,

-(q

F(a,x))

-y)

dF
WqeQ,

V0>O,

Wy eim?(cr,x),

while the latter evidently gives (31), which contradicts (30).

We next demonstrate how Theorem 4.1 can be used to easily prove the two lemmas playing the crucial role in
sensitivity analysis under the directional regularity condition. The first lemma essentially corresponds to Bonnans
and Shapiro [6, Lemma 4.10].
6.1. Under the assumptions of Theorem 4.1, let F be Frechet differentiable at (a, x).
If the directional regularity condition (4) holds at x with respect to a direction d e 2, then for any sequences
-> 0, pk = o(tk), and
{tk} C R+\{0},
{pk} C 2 and {xk} C X such that {tk}
Lemma

\\xk-x\\
the

=
o(tk),
tkd+ pk, xk), Q)

0(tk),

dist(F(ff

=
0(dist(F(a
tkd+ pk))

(34)

estimate

dist(jc^, D(a

tkd+ pk, xk), Q)) (35)

holds.

Since directional regularity

Proof.
is applicable with y = ?(dF/da)(a,x)d.

condition
Hence,

(4) is equivalent to (30), and by Remark 4.1, Theorem 4.1

there exists 8 > 0 such that the estimate (24) holds for

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Arutyunov
Mathematics

(a, x, q) e 2 x X x Q close

to (a, x, F(a,
F(a,

Metric

and Directional
INFORMS535

Directional
and Izmailov:
Stability Theorem
of Operations Research 31(3), pp. 526-543, ?2006

Regularity

Jc)) and satisfying

the inclusion

?
B81

(a, Jc)d J.

cone

x)-qe

For each k set rk = dist(F(<7 + tkd+ pk, xk), Q), and suppose
By taking y > 0 large enough, we can ensure the inclusion

(36)

that rk ^ 0 (since the opposite

dF {dF

x)d + BY(0) c cone B8l?(a,

y?(a,

case is trivial).

(37)

x)d
J.

For each k set

Ok= (y + l)-?. (38)

Tk

? 0 as k ~> oo.
that according to the second relation in (34), 6k
to the first relation in (34), for each k, we have
According
dF
? dF _ _
=
F(a, x) + tk
(a, x)d + ?(cr,
F(a + tkd+ pk, xk)
da
dx

Note

x)(xk -x)

+ o(tk),

and taking into account the second relation in (34), we derive

and thus, by setting yk =
irQ(F(a + tkd+ pk, xk))
the equality
_
- ? dF
- _
? dF
tk
F(a,x)
(a,x)d + o(tk).
x) =yk
(a,x)(xk
do
dx

By this equality and the first relation in (34), for each k large enough,
dF
=
+
F(a + tkd+ pk,xk)-0k~(a ox
F(a + tkd+ pk,xk-6k(xk-x))
=
=
and hence,

taking into account

F(cf +
=

F(<T +
+

F(a

? dF
ox (<T,x)(xk-x)

tkd+ pk,xk)-0k

+ o(ek\^

tkd+ pk,xk)(xk-x)
+ o(6ktk)

? dF
+ ektk
(a,x)d
da

tkd+ pk,xk)-Ok(yk-F(a,x))

+ o(0ktk),

(38), we obtain that

tkd+ pk,xk-dk(xk-i))-(yk-dk(yk-F(<T,x)))
F((r +

F(a

+ (y+l)Tk

tkd+ pk,xk)-yk
+

? dF
oa (a,x)d

tkd+ pk,xk)-yk

dF,_

+ o(Tk)
\

+^ + pA^-ZII+^^'^J

^'^ll^

+ dF,_
^^^^

_, ,

+ ,
^V

to (37), the first term in the right-hand side belongs to coneBs((dF/dcr)(a,

According
x)d). The second term
for
all
k
and
for
also belongs to coneBs((dF/da)(a,
such
k inclusion, (36) holds
hence,
large enough,
x)d)
with

a- =

a +

tkd +

pk,

x =

xk -6k{xk

-x),

yk

dk(yk

-F(a,

x)).

fact that the projection operator irQ is Lipschitz

the well-known
Furthermore, employing
modulus
1, by the mean value theorem and the first relation in (34), we obtain

||/-F(<r,x)||

=
Thus, from (24), the mean

with

\\iTQ(F(*+ tkd+ pk,xk))-TrQ(F(<T,x))\\

<\\F(a

continuous

tkd+ pk,xk)-F(a,x)\\

0(tk) + 0(\\xk-x\\)
0(tk).

value theorem, the first relation in (34), and (38), it follows

that

dist(*\ D{a + tkd+ pk)) < dist(jc* 6k(xk-x), D{a + tkd+ pk))+ $k\\xk x\\
=

O(\\F((T +

0(\\F(a + tkd+ pk,xk)-yk\\) + 0(6k\\xk-x\\) + 0(9k\\yk-F((T,x)\\)

0(dist(F(^ + tkd+ pk, xk), Q)) + 0(6ktk)

=
=
This gives

0(dist(F(a

tkd+ pk,xk-6k(xk-x))-(yk-0k(yk-F(a,x)))\\)

+ tkd+ pk,xk),Q)).

(35).

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+ dk\\xk-x\\

Arutyunov

and

Directional
Izmailov:
Metric Regularity
Stability Theorem and Directional
INFORMS
536 Mathematics of Operations Research 31(3), pp. 526-543, ?2006

The assertion in Bonnans and Shapiro [6, Lemma 4.10] is slightly stronger than in our Lemma 6.1, but the
derivative near (a, Jc).However,
it
assumptions are stronger too: F is supposed to have Lipschitz-continuous
seems that what is actually needed in sensitivity analysis is precisely our Lemma 6.1. Specifically,
this lemma
can be immediately used to derive sufficient conditions for the existence
(for given ? e X or f1,^2 G X)
of feasible arcs of the form Jc+1? + o(t), Jc+ t? + 0(t2)
(see Bonnans and Shapiro [6, Lemma 4.57]), or
x + tt;1 + t2?2 + o(t2), corresponding
to the given arc a + td + o(t) (or a + td + 0(t2))
in the space of
> 0.
t
arcs
to
most
such
leads
the
results
in
the case when the
parameters,
along
sharp sensitivity
Analysis
solution can be expected to possess Lipschitzian
Bonnans
and
stability (see
Shapiro [6, ??4.5 and 4.7]).
On the other hand, assuming that F has a Lipschitz-continuous
derivative near (a, x), one can easily modify
the above proof of Lemma 6.1 to establish Bonnans and Shapiro [6, Lemma 4.10] in full generality.
Our next lemma essentially corresponds to Bonnans and Shapiro [6, Lemma 4.109].
6.2.
Under the assumptions of Theorem 4.1, let F be Frechet differentiable at (a, Jc).
the
directional
regularity condition (4) holds at x with respect to a direction d e 2, then there exists c > 0
If
-> 0,
the
possessing
following property: for any sequences {tk} C R+\{0],
{pk} C 2, and {xk} C X such that {tk}
?
->
and
Jc,
pk
o(tk), {xk}
Lemma

dist(F(a + tkd+ p\ jc*),Q) = o(tk), (39)

and for any 6 > 0, the inequality

dist(jc*.D(a + (1+ 0)tkd+ pk)) < c6tk(40)

holds for each k large enough.
Proof.
By the same argument as in the proof of Lemma 6.1, we obtain the existence of 8 > 0 such that the
estimate (24) holds for (a, jc, q) e 2 x X x Q close to (a, x, F(a,
Jc)) and satisfying the inclusion (36).
For each k, we have
F(a

and thus, by setting yk =

obtain

? dF
+ tkd+ pk, xk) + 6tk
(a, x)d + o(tk),
da

=
(1 + 0)tkd + pk, xk)
F(a
7rQ(F(a +

F(<T +

tkd + pk, xk)) and taking into account

(l+0)hd

+ pk,xk)-yk

e
i.e., inclusion (36) holds with a = a +
From (24), it follows that
dist(xk,D(a^(l

? dF
6tk da (*,x)d
coneB8(?(a,x)d),

(39), for each k large enough, we

+ o(tk)
(41)

= xk, =
q
yk.
(1 + d)tkd + pk, x

+ 0)tkd^pk))

O(\\F(a^(l^e)tkd

+ pk,xk)-yk\\),

and by the equality in (41), the needed estimate (40) with some c> 0 follows.
Lemma 6.2 can be immediately used to derive sufficient conditions for the existence (for given ?*, ?2 e X)
to the arc a + td + o(t) in the space of
of feasible arcs of the form x + f 1/2?*+ t?2 + o(t), corresponding
> 0. Known
can be expected to possess Holder
case
when
solution
in
the
t
results
the
sensitivity
parameters,
arcs
and
on
Bonnans
are
such
the
based
Shapiro [6, ??4.5 and 4.8]).
(see
analysis along
stability only
7. Applications:
stability and empty sets of Lagrange multi
Sensitivity
analysis in the cases of Holder
were
cases
this
in
section
the title of
The
previously studied by means of square root-linear
appearing
pliers.
section
at the very end of the previous
feasible arcs mentioned
(see Bonnans and Shapiro [6, ?4.8.3] or the
in these cases, it seems quite natural to
and
Cominetti
Bonnans
[5])). However,
original works (Bonnans [3],
>
a
t
for
root
Jc
that
consider pure square
arcs;
0,
is, + tl/2?;+ o(tl/2),
given f e X. This line of analysis is more
to
not
it
does
in
used
and
direct than those
any duality argument, and the resulting
earlier,
appeal
particular,
and
self-contained.
is
Morever, we believe that short arcs do the job
quite complete
theory (presented below)
in the case when there are no Lagrange multipliers, while longer ones should come into play when the set of
Lagrange multipliers

is nonempty.

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Arutyunov
Mathematics

and Directional
INFORMS537

Directional
and Izmailov:
Stability Theorem
of Operations Research 31(3), pp. 526-543, ?2006

Metric

Regularity

the so-called conicity property

the rest of this paper, let us assume that the set Q possesses
Throughout
coincides with
of 0, the set Q ? F(a,x)
at F(a,x)\
that is, within some neighborhood
(the
RQ(F(a,x))
=
same property can also be expressed by saying that
is closed, or by the equality
TQ(F(a, x))
RQ(F(a, x))
a
case
set
is
in
the
of
is
automatic
when
the
Note
that
Q
polyhedral
(and hence,
conicity property
Jc))).
RQ(F(a,
mathematical programming problems). Also, as was pointed out by the referee, conicity can actually be replaced
(with the appropriate changes in the analysis and statements) by a much weaker property of cone reducibility,
to
as defined in Bonnans and Shapiro [6, Definition
3.135]. This gives rise to a possibility of applications
semidefinite

programming

problems

(Bonnans and Shapiro

[6, Example

and let F be Frechet differentiable

7.1. Let Jce D(a),
Proposition
with respect to x at (a,x).
Then, for any d e 2, the following assertions are valid:
and
(i) If for a given ? e X there exist sequences {tk} C R+\{0}

3.140]).
at (a, x) and twice Frechet differentiable

such that {tk} -> 0, pk = o(tk),

{pk} C 2

and

dist(;c +

tlk/2?,D(a

tkd+ pk))

o(txk'2),

then? e ((dF/dx)(a, x))~l(TQ(F(a, x))) and

?

dF
(a,x)d

dF\ (

?- 1 d2F

(42)

(a,x)[t,Z]ecl\RQ(F(a,x))-

(ii) Let F be Frechet differentiable with respect to x near (a, x), and let its derivative with respect to x be
the conicity property at F(a,
continuous at (a, Jc). Suppose that the set Q possesses
Jc), and the directional reg
a
x
to
at
e
d.
with
condition
holds
direction
Then,
any
respect
ularity
for
i; ((dF/dx)(a,
(4)
Jc))"1 (TQ(F(a, Jc)))
?
2 such that p(t) = o(t), the estimate
satisfying (42), and for any mapping p: R+

dist(i + tl,2?,D(a + td+ p(t))) = o(t1'2) (43)

holds for

t>0.

Proof.
We first prove (i). Fix a sequence {jc*}c X such that xk = x + t\/2i; + o(tlk2)
-* jc) and jc*6 D(a + tkd+
{jc*}
pk) Wk. Then,
Q B F(a
=

F(a +

tkd+ pk,xk)
tkd+ pk,x + tlk/2{+ o(tl/2))

= F(a,x) +
dF
Q-im?(a,x)dx

_
b F(a+

tl'2d?(a,x)Z

tkd+pk

dF
,xk)-(a, dx

+ o{t\12), (44)
x)(xk

*)d
fo{?'
+2^{?'
(44), it follows

x)

1 f)2F \

(BF

From

(note that by necessity

i)[f'

+ ?(tk)'
^]J

(45)

that

tl/2d?(cr,

x)? + o(tl'2) eQ- F(a, x) c RQ(F(a, x)).

Dividing the left- and right-hand sides of the latter relation by txk2,and passing onto the limit as k -> oo, we come
=
to the inclusion (dF/dx)(a,
jc)f clRQ(F(a,
jc)) TQ(F(a, x)), i.e., f
((dF/dx)(a,
jc))).
x))~](TQ(F(a,
from
it
follows
that
Moreover,
(45),
{dF

^(^^

1 d2F

^+2^(^'i)^'f7+^*)

dF \

G Q~F(a,x)-im?(a,x)
C

RQ(F(a,

x))

dF

im?(cr,
dx

x).

Dividing the left- and right-hand sides of the latter relation by tk, and passing onto the limit as k -> oo, we come
to the inclusion (42).

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Metric Regularity
Directional
Stability Theorem and Directional
INFORMS
538 Mathematics of Operations Research 31(3), pp. 526-543, ?2006

and

Arutyunov

Izmailov:

We now prove (ii). For that purpose, we first show that the set of ? GX satisfying (43) is closed. We argue
by a contradiction. Suppose that there exists a sequence {i;k} CX such that it converges to some |G X, and for
such that
each k, (43) holds with ? = ?*, but at the same time, there exist y > 0 and a sequence {tj} C R+\{0}
-> 0, and for each j,
{tj}

>
dist(jc+1)/2?, D(a + tjd+ p(tj))) yt)11. (46)

The

that V jcg D(a

latter means

tjd + p(tj)),

\\x+ ty2i-x\\>yty\ (47)

On the other hand, for each k large enough

it holds

*-

that ||f

?\\

<

y/2. Hence,

according

to (46) and (47),

^/2-b']/2

that is,

D(a + tjd+ p(tj))) > \yt)'\

dist(jc+ if?,

But this contradicts (43) with ? = f *.

From (30) and (42), it follows that for each fixed 0 e [0,1),
?

1 d2F

dF
(ct,jc)J+-02

inclusion holds:

the following

dF

?(<t,jc)^

By the same argument as in the proof of Lemma 6.1, it can now be shown that Theorem 4.1 is applicable with
=
> 0 such that the estimate (24)
y
x)[?, ?], and hence there exists 8
~(dF/da)(a,x)d
\62(d2F/dx2)(a,
holds for (a, x, q) e 2 x X x Q close to (a, Jc,F(a, x)) and satisfying the inclusion
?

(a,x)d+-

F(a,x)-qeconeB8(?

(48)

(a,x)[d^,d^\.

x = x + tx/20i;, q = F(a, x) + tl/2(dF/dx)(a,

For each t > 0 small enough, by setting a = a + td+p(t),
Jc)0?,
and taking into account the conicity property of Q at F(a, x) and the inclusion ? e ((dF/dx)(a,
x))~l(TQ(F(a,
and
Jc))), we obtain qeQ

F(a, x)-q

x)d +
t(j^(a,

\^&,

x)[6?> *

+ o(t)
])

(49)
cone^^(a,jc)^+^0(a,i)[^,^;

i.e., (48) holds. Hence,

by (24) and the equality

dist(jc"+

tl/26?, D(a

in (49), we obtain the estimate

td + p(t)))

0(\\F(a,

x) -q\\)

O(t).

It remains to note that Og

? as 0 -> 1, and to employ the above-proved fact that the set of ? e X satisfying
(43) is closed.
Let /: 2 x X -> R be a smooth function, and for each a e 2, consider the optimization problem
minimize

f(a,x)

(50)

subject to xeD(a).
Let

jc be a local solution of problem

= a and define
(50) with a

the critical cone

(51)
C{arx)^e(^?{a,x)) (TQ(F(a,x)))\i^(^x),^j<0^
and the following

second-order

tightened critical cone

C2(a,x)= Ue C(a, x) I
|?(a,

*)H>& e

c1(rq(F(v,

x))

- im
^-(a, if) J

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(52)

Directional
and Izmailov:
Stability Theorem
of Operations Research 31(3), pp. 526-543, ?2006

Arutyunov
Mathematics

of this problem

at Jc.Furthermore,

Regularity

the set

define

A(a,x) =
of Lagrange multipliers

Metric

and Directional
INFORMS539

(53)

lxeNQ(F(a,x))\^(a,x,\)=o\

associated with x, where L: 2 x X x Y* -? R,

x, A) = f(a,

L(a,

x) +

(A, F(a,

x))

is the Lagrangian of problem (50).

Let 8 > 0 be fixed small enough, so that Jc is a global solution of problem (50) with a = a and with the
additional constraint jce B8(x). Define the local optimal value function of problem (50) as follows: v: 2 -> R,
inf

v(a)=

xeD((r)nBs(x)

/(cr,jc).

With this definition, v(a) =f(a,

Jc).Of course, v depends on the choice of 8, but such optimal value function
a
local (asymptotic) analysis.
for
relevant
is completely
object
For each d e 2, consider the following auxiliary optimization problem:
minimize

I)

(?-(a,x),
dx

subject to ? e al/2(a,

(54)

x; d),

where
1 .32

c{I .3

teC(a,x)\?(a,x)d
and let

vl/2(a,

TP
\3 1 /

TT

+ ?-

(55)
(a,x^)[Z,?]ecl^

x; d) he the optimal value of problem

vl/2(a,x;d)

(54):

inf
?eBl/2((r,x;d)\dx

?(a,x),
( I

?). (56)

regularity condition (4) with respect to a direction d e 2 is equivalent to (30), and

jc) close enough to 0 satisfies (42), and from (55) it follows that such ? belongs to

Recall that the directional

hence, an arbitrary ? C(a,
In particular,
B1/2(o% Jc;d).
and from (56), it immediately

follows

(57)

d),

0eal/2(a,x;
that

(58)

vl/2(a,x-,d)<0.

Theorem
7.1. Under the assumptions of Theorem 4.1, let F be Frechet differentiable at (cr, Jc) and twice
Frechet differentiable with respect to x at (a, jc). Let f be Frechet differentiable with respect to x at (a, Jc).
the conicity property
let x be a local solution of problem (50) with a = a, let the set Q possess
Furthermore,
at F(a, x), and let the directional regularity condition (4) hold at x with respect to a direction d e 2.
Then, for any mapping p: R+ -> 2 such that p(t) = o(t), the estimate
lim sup
holds. Moreover,
If

vl/2(a,

x; d)

the ? = 0 is a feasible
is finite,

the estimate

v(a + td + p(t))-v(a)
-^--t??-K?L
point of problem
(59) can be written

<

vl/2(a,

x; d) (59)

(54), and in particular,

(58) holds.

in the form of inequality

<
v(a + td + p(t))
v(a) + vl/2(a,

x; d)tl/2 + o(tl/2)

(60)

for t > 0.

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and

Arutyunov

Izmailov:
Directional
Metric Regularity
Stability Theorem and Directional
540 Mathematics of Operations Research
INFORMS
31(3), pp. 526-543, ?2006

Proof.
to (51) and (55), from Assertion
According
(ii) of Proposition 7.1, it follows that for any element
? G E1/2(cr, x; d) (recall that E1/2(cr, x\ d) ^ 0; see (57)), there exists a mapping r: R+ -> X such that r(t) =
o(tl/2) and

x + tl/2?+ r(t) e D(a + td+ p(0)

for each f > 0 small enough. Then, for such t, it holds

that

v(a + td+ p(t)) v(a) < f(a + td+ p(t), x +11/2? + r(t)) f(a, x)

=
l^{a,x),^y2

+ o(t^

and since ? is an arbitrary element in

E1/2(<7, x\ d), (56) implies (59).
Theorem 7.1 is closely related to Bonnans and Shapiro [6, Proposition
4.117],
bound was expressed in terms of the optimal value of the auxiliary problem
minimize

Idf _

\dx

(?(a,x),

where,

however,

the upper

(61)

subject to f GE1/2(o% x; d),

where,

under

the

conicity

~
H1/2(cr, x;d)=Ue

assumption,

_
dF
C(a, x) ?(a,

x)d +

- 1 d2F
^7(0"

+
GclN?e(F(a,Jc))

>XM >?]

(62)
spanj^

(&@3) in Bonnans and Shapiro [6, p. 359]). It can be easily seen from (55), (62) that the set
is, in general, smaller than E1/2(cr, jc;d), and in particular, the set appearing in the constraints
defining H1/2(o:, Jc;d) is not necessarily closed. Note, however, that our auxiliary problem (54) corresponds to
in Bonnans and Shapiro [6, p. 361], and according to Bonnans and Shapiro [6, Lemma 4.118],
problem (95^'*)
the optimal values of problems (54) and (61) are actually the same. (These can be shown via the chain of

(see problem
E1/2(<7, Jc;d)

auxiliary subproblems, by employing the duality argument.)

If A(a, x) 7^0, then under the assumptions of Theorem 7.1,
follows
vl/2(a,x; d)=0. This
the following observation: according to (53), for any A GA(a, jc) and any ? G ((dF/dx)(a,x))~l
holds that

>

from (51), (55), and

it
(TQ(F(a,x))),

0.

In this case, estimate (59) does not make much sense, since the stronger estimates are available (see, e.g.,
Bonnans and Shapiro [6, Propositions 4.21, 4.22]).
On the other hand, if A(<7, Jc)= 0, estimate (59) may be meaningful.
For instance, if Q is a polyhedral set,
< 0. Indeed, if we suppose that
then under the assumptions of Theorem 7.1,
x;
d)
vl/2(a,

,
-?(<?,*) ((^((7, it)) (TQ(F(a,x))))
then from the Farkas lemma (Bonnans and Shapiro [6, Proposition 2.42]) and (53), it follows that A(a, x)
cannot be empty. Thus, there exists ? G ((dF/dx)(a,
x))) such that ((df/dx)(a,
x), f) < 0, and
x))~l(TQ(F(a,
according to the discussion above, 0? e B1/2(<7, x; d), for all 0 > 0 small enough.
can be equal to ?00.
The next example demonstrates that under the assumptions of Theorem 7.1,
vl/2(a, x; d)
In such cases, estimate (59) means that the rate of decrease of v(a + td + p(t)) as t grows from 0 is higher
than

that

of -tl/2.

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Arutyunov
Mathematics

Directional
and Izmailov:
Stability Theorem
of Operations Research 31(3), pp. 526-543, ?2006

7.1. Let 5=
Example
?
?
=
a), Q
{(0, y2)
x\
x\
of problem (50) with a =
such that ^ = ?3 it holds

Metric

and Directional
INFORMS541

Regularity

?
?
=
=
=
jc3 x\,x\ +
1, n = 3, 1= 2, f(a,x)
xx, F(a,x)
(jc,
(Fx(a,x),F2(a,x))
e R21 y2 < 0}. It is easy to see that D(a) = {0}, and in particular, Jc= 0 is a solution
= 0, and for any d > 0 and any ? e R3
a. Moreover,
Jc)^ 0, F2(a, x)
(dFJda)(a,
that
=

+ -?(a,x)?
dx

-?(a,x)d
da

dF,

dF?
-l(a,x)d

?l-i;3
0,

= -d

+
^(a,-x)?

<0.

This means

that Gollan's
latter is equivalent to the
Take d = 1. It is easy
(0, ?dl/2, 0) are feasible

in ?1, the
condition (see Bonnans and Shapiro [6, (4.21)]) holds, and, as mentioned
directional regularity condition (4).
=
= 0,
<
to see that
jc;d) = {? e R3 ^
?2
?2 + ?2
1}, and, e.g., the ?
|
?3
E1/2(o\
same
for
such
e
the
R.
At
for
each
0
of
time,
?,
problem (54), (55)
points

0 ->

?oo

as

0 ?>

?oo.

Note that in this example, C2(a, jc)= {? e R31 ^ = ?3, ?2 = 0, ^ < 0} ^ {0}.
For any s > 0 and any cr 6 2, point jce X is called e-solution of problem (50) if x e D(a)
v(a) + e.

and /(cr,

jc)

<

problem

7.2. Under the assumptions of Theorem 7.1, for any sequences {tk} c R+\{0},
{pk} c 2, ant/
-> x, and for each k the point jc* w an
smc/z r/iar {tk} -> 0, p* = o(^),
of
{jc*}
o(tlk2)-solution
?
= a +
a
a
is
solution
the
with
accumulation
+
any
sequence
of
point
of
{(xk
tkd pk,
(50)
x)/txk2}

problem

(54).

Proposition
{jc*} C X

?
Without
Proof.
loss of generality, let us suppose that the entire sequence {(jc*
converges to
x)/t\12}
=
x+
some t; eX. Then xk
+ o(tlk2), and since jc*e D(a + tkd + p*) for each k, from Assertion
(i) of
tlk/2J
and
holds.
e
it
follows
that
7.1,
(42)
?
Jc))),
((dF/dx)(a,
Proposition
x))~l(TQ(F(a,
Furthermore, by the estimate (59), we obtain
f(a

+ tkd+ pk,xk)-f(a,x)
hm
sup-Yji-=
k-+oo
tk

lim
k^-oo

V(a +

tkd+ pk)-v(a)

SUP
-?i/T"^
tk

<
vl/2(a,x;d).

On the other hand,

f(a + tkd+ pk,xk)=f(a,x)

+
l^-(a,x),iyk/2

+ o(tl/2),

and hence
[fa(v>x)>?)<vl/2(a,x\d).
Thus, by (55) and (58), we obtain

that ?

E1/2(cf,

x\ d), and moreover,

according

to (56), ? is a solution of

problem

(54).
Throughout the rest of this section, we assume for simplicity
it then easily follows that if

that dimX < oo. From (51), (52), (55), and (56),

=
C2(c?,jc) {0}, (63)
> -oo (compare with Example 7.1).
then
t>i/2(cr, x; d)
In Arutyunov and Izmailov [2], it was shown that condition (63) implies the standard second-order sufficient
if A(cr, jc)= 0, then the two
optimality condition (e.g., Bonnans and Shapiro [6, (3.137)]), and moreover,
conditions

are

equivalent.

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and

Arutyunov

Theorem

7.2.

Under

Then, for any mapping

the assumptions of Theorem 7.1, let dimX < oo, and let (63) hold.
=
p: R+ ~> 2 such that p(t)
o(t), equality
v(a +

holds for

t>0,

o(tl/2)-solution

Directional
Izmailov:
Metric Regularity
Stability Theorem and Directional
542 Mathematics of Operations Research 31(3), pp. 526-543, ?2006
INFORMS

td + p(t)) = v(a) +
vl/2(a,

and moreover, for any solution ? of problem

of the form Jc+ tl/2? + o(tl/2).

jc;d)tl/2 + o(tl/2),

(64)

= a +
(50) with a

(54), problem

td + p(t)

has an

Proof.
Since the upper estimate (60) is already established in Theorem 7.1 (recall that under the assumption
(63), it holds that vl/2(a, x; d) > ?oo) to establish (64), it remains to derive the lower estimate
v(a +
for t > 0. We
{^}-+0and

td + p(t)) > v(a) +

vx/2(a,

argue by a contradiction.
Vic,
v(a +

jc;d)tl/2 + o(tl/2),

that there exist a sequence

Suppose

tkd+ p(tk))-v(a)

x; d)
-1/2-< vx/2(a,

{tk} c R+\{0}

and s > 0 such that

- e.
(65)

an arbitrary sequence {jc*} C B8(x) such that xk e D(a + tkd + p(tk)) and f(a + tkd + p(tk), xk) =
v(a + tkd+ p(tk)) V? (evidently, such sequence exists since dimX < oo, and hence B8(x) is compact).
For each k set ?k = (xk ? x)/tlk/2. Recall that (63) implies the second-order sufficient optimality condition.
Thus, from Bonnans and Shapiro [6, Theorem 4.53], it follows that the sequence {?*} is bounded, and without
loss of generality, we may suppose that this sequence converges to some ? e X, and according to Proposition 7.2,
? must be a solution of problem (54).

Consider

Furthermore,

v(a + tkd+ p(tk))

v(a)

f(a

=
(g(^,i),^2
and since i

is a solution of problem
,.

(54), it follows

f(a,

+ o(rl/2),

Idf

-jp-=!

-\

fe(<7'x)'V
=
vl/2(a,x;

d).

This contradicts (65), and this contradiction completes the proof of (64).
Let now ? be an arbitrary solution of problem (54). By Assertion (ii) of Proposition
r: R+ -> X such that r(t) = o(tl/2) and
5c+

tx/2i+r(t)eD(a

for all t > 0 small enough. Then, according

x)

that

tkd+ p(tk))-v(a)

v(a +

tkd+ p(tk), xk)

7.1, there exists a mapping

td + p(t)),

to (64), for such t, we obtain

f(v + td+ p(t),x + tl'2t + r(t))=f(a,x)

+
^

v(a) + vl/2(a,x',d)tl/2

<

v(a +

+ o(tl/2)

td + p(t)) + o(tl/2),

tl/2 + r(t) is an <9(fl/2)-solution of problem (50) with a = a + td + p(t).

Proposition 7.2 and Theorem 7.2 are strongly related to Bonnans and Shapiro [6, Theorem 4.120]. Note,
however, that in the latter reference, the directional expansion of the optimal value function and the result similar
to that of Proposition 7.2 are derived in terms of the auxiliary problem (54) rather than (61) used for the upper
bound. At the same time, our analysis relies solely on auxiliary problem (54). Finally, Bonnans and Shapiro [6,
Theorem 4.120] does not contain the last assertion of Theorem 7.2, which is an important characterization of
solution sensitivity. Recall that the proof of this assertion relies on Proposition 7.1, which we believe to be new.
i.e., x +

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Arutyunov
Mathematics

The authors would

Acknowledgments.
ments,

and Directional
INFORMS 543

Directional
and Izmailov:
Stability Theorem
of Operations Research 31(3), pp. 526-543, ?2006

which

improved

the presentation

Metric

Regularity

like to thank two anonymous

one

In particular,

substantially.

of

for their constructive

referees
the

referees

out

pointed

an

com

inconsis

tency in the proof of Proposition 5.1 in the original version of this paper, while the other referee suggested the
possibility of a very promising extension of the results presented in ?7 to the case of cone reducibility (instead of
conicity). We plan to study this possibility in the future. Research of the first author is supported by the Russian
Foundation for Basic Research Grant 05-01-00193
and RF President's Grant NSh-1889.2003.1
for the support of
schools.
The
second
author
is
the
Russian
Foundation
Basic
scientific
for
Research Grant
leading
supported by
and RF President's Grant NS-1815.2003.1
for the support of leading scientific schools, as well as
04-01-00341
for the support of young doctors of sciences.
by RF President's Grant MD-2723.2005.1
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properties

spaces.

Internat.

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of
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