Hadamard Directional Diff erentiability of the Optimal Value of a Linear Second-order Conic Programming Problem

In this paper, we consider perturbation properties of a linear second-order conic optimization problem and its Lagrange dual in which all parameters in the problem are perturbed. We prove the upper semi-continuity of solution mappings for the primal problem and the Lagrange dual problem. We demonstrate that the optimal value function can be expressed as a min-max optimization problem over two compact convex sets, and it is a Lipschitz continuous function and Hadamard directionally diff erentiable.

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