Abstract.
In this paper we study differentiability and semismoothness properties of functions defined as integrals of parameterized functions. We also discuss applications of the developed theory to the problems of shape-preserving interpolation, option pricing and semi-infinite programming.
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Supported by the Hong Kong Research Grant Council under grant PolyU 5296/02P.
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Qi, L., Shapiro, A. & Ling, C. Differentiability and semismoothness properties of integral functions and their applications. Math. Program. 102, 223–248 (2005). https://doi.org/10.1007/s10107-004-0523-x
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DOI: https://doi.org/10.1007/s10107-004-0523-x