A new perspective on parameter study of optimization problems

09/23/2022

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by   Alen Alexanderian, et al.

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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.