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A new perspective on parameter study of optimization problems (2209.11580v1)
Published 23 Sep 2022 in math.OC, cs.NA, and math.NA
Abstract: We provide a new perspective on the study of parameterized optimization problems. Our approach combines methods for post-optimal sensitivity analysis and ordinary differential equations to quantify the uncertainty in the minimizer due to uncertain parameters in the optimization problem. We illustrate the proposed approach with a simple analytic example and an inverse problem governed by an advection diffusion equation.