Faculty of Economics, University of Tokyo
Faculty of Marine Technology, Tokyo University of Marine Science and Technology
We present an example of a parameterized optimization problem, with a continuous objective function differentiable with respect to the parameter, that admits a unique optimal solution, but whose optimal value function is not differentiable. We also show independence of Danskin's and Milgrom and Segal's envelope theorems. Journal of Economic Literature Classification Number: C61.
Key Words: parameterized optimization; sensitivity analysis; value function; envelope theorem.
First draft: December 25, 2013; this version: January 27, 2017. PDF file