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Lipschitz-Like Property for Linear Constraint Systems

Author

Listed:
  • Wenfang Yao

    (The Hong Kong Polytechnic University)

  • Xiaoqi Yang

    (The Hong Kong Polytechnic University)

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.

Suggested Citation

  • Wenfang Yao & Xiaoqi Yang, 2023. "Lipschitz-Like Property for Linear Constraint Systems," Journal of Optimization Theory and Applications, Springer, vol. 199(3), pages 1281-1296, December.
    • Handle: RePEc:spr:joptap:v:199:y:2023:i:3:d:10.1007_s10957-023-02300-6
    DOI: 10.1007/s10957-023-02300-6
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