Lecture notes on sensitivity, stability, and differential behavior in multi-parametric nonlinear programs.
These notes collect definitions and sensitivity results for multi-parametric nonlinear programs, with emphasis on optimal-value continuity, convexity, differential stability, and directional differentiability of local solutions.
The Problem
We begin with the abstract parametric optimization problem P(ϵ):
where f,gi,hj:Rn→R. It is assumed in this section that f, every gi and every hj are twice continuously differentiable around
x0∈K={x∈Rn:gi(x)≤0,i∈[m];hj(x)=0,j∈[p]}.
The Lagrangian function associated with (NLP) is defined as:
L(x,u,w):=f(x)+i∈[m]∑uigi(x)+j∈[p]∑wjhj(x).
Let x0∈K be a local minimum for (NLP) and let an appropriate constraint qualification (to be stipulated) hold at x0: Then, the Karush-Kuhn-Tucker (KKT) conditions hold at x0; i. e. there exist Lagrange-Kuhn-Tucker multiplier vectors u0 and w0 such that:
Define the set of active indices of the inequality constraints at x0∈K:
I(x0):={i∈[m]:gi(x0)=0};
and the set of strictly active inequality constraints at x0∈K:
I+(u0,w0)={i∈I(x0):∃(u0,w0) satisfying (KKT), with ui0>0}.
Constraint Qualifications
There are many constraint qualifications which assure the validity of the (KKT) conditions. Let x0∈K,
(a).The Mangasarian-Fromovitz Constraint Qualification (MFCQ) holds at x0 if (i). ∇hj(x0),j∈[p] are linearly independent, and (ii). ∃z such that ∇gi(x0)z<0,∀i∈I(x0), and ∇hj(x0)z=0,∀j∈[p].
Applying a theorem of the alternative (see, e. g., Mangasarian (1969)), the equivalent dual form of (MFCQ) states that: zero is the unique solution of the relations
(b). The Linear Independence Constraint Qualification (LICQ) holds at x0 if the vectors
{∇gi(x0),i∈I(x0);∇hj(x0),j∈[p]}
are linearly independent.
(c). The Strict Mangasarian-Fromovitz Constraint Qualifications (SMFCQ) holds at x0 if: (i). The gradients {∇gi(x0),i∈I+(u0,w0);∇hj(x0),j∈[p]} are linearly independent, and (ii). ∃z such that ∇gi(x0)z<0,∀i∈binding but not strictly activeI(x0)\I+(u0,w0), ∇gi(x0)z=0,∀i∈I+(u0,w0), and ∇hj(x0)z=0,j∈[p].
(d). The Constant Rank Condition (CR) holds at x0 if for any subset L⊂I(x0) of active constraints, the family
∇gi(x),i∈L;∇hj(x),j∈[p]
remains of constant rank near the point x0.
(e). The Weak Constant Rank Condition (WCR) holds at x0 if for any subset L⊂I+(u0,w0) of strictly active constraints, the family
∇gi(x),i∈L;∇hj(x),j∈[p]
remains of constant rank near the point x0.
The following implications hold.
(i). (LI) ⇒ (SMFCQ) ⇔ Uniqueness of (KKT) multipliers ⇒ (MFCQ) + (WCR),
(ii). (LI) ⇒ (MFCQ) + (CR) ⇒ (MFCQ) + (WCR),
(iii). (CR) ⇒ (WCR),
(iv). (SMFCQ) ⇏ (CR); (CR) ⇏ (MFCQ).
The next theorem states the classical second order necessary conditions for local optimality in problem (NLP). These conditions are essentially due to McCormick (1967, 1976); see also Fiacco and McCormick (1968).
Suppose that x0 is a local solution of (NLP) and that the (LI) conditions hold at x0: Then, the (KKT) conditions hold at x0 with associated unique multiplier vectors u0 and w0; and the additional Second Order Necessary Conditions (SONC) hold at x0:
z⊤∇x2L(x0,u0,w0)z≥0,∀z∈Z(x0),
where Z(x0) is the so-called critical cone or cone of critical directions, defined as follows:
Z(x0):=⎩⎨⎧z∈Rn:∇gi(x0)z≤0,i∈I(x0),∇gi(x0)z=0,i∈I(x0) such that ui0>0,∇hj(x0)z=0,j∈[p].⎭⎬⎫
By strengthening (SONC) one obtains the following standard second order sufficient conditions for local strict optimality, conditions due to Pennisi (1953), McCormick (1967) and Fiacco and McCormick (1968).
Suppose that the (KKT) conditions hold at x0∈K for (NLP) with multipliers vectors u0 and w0; and that the following additional Second Order Sufficient Conditions (SOSC) hold at x0:
z⊤∇x2L(x0,u0,w0)z>0,∀0=z∈Z(x0).
Then, x0 is a strict local minimum for (NLP), i. e. f(x0)<f(x) for all feasible x in some neighborhood of x0, x=x0.
Han and Mangasarian (1979) noted that if the (KKT) conditions are verified at x0∈K; the restrictions on z are equivalent to: z=0; ∇f(x0)z=0;∇gi(x0)z≤0;∀i∈I(x0); and ∇hj(x0)z=0 for every j=[p].
Robinson (1982) pointed out that the sufficient conditions of the second-order sufficient conditions theorem do not assure that x0 is an isolated (i. e. locally unique) local minimum for (NLP), as indicated by Fiacco and McCormick (1968). See also Fiacco (1983a). Robinson (1982) provides the following counterexample in R:
Minimize f(x)=21x2; x∈R, subject to h1(x)=x6sin(x1)=0; where h1(0)=0 by definition. One can verify that the conditions of the second-order sufficient conditions theorem are verified at x0=0: Moreover, every point of the set
{(nπ)−1,n=±1,±2,...},
is an isolated feasible point, and therefore also a local minimum. Thus x0=0 is not an isolated local minimum.
Other second order sufficient optimality conditions for (NLP), used in the literature, are the following ones,
The Strong Second Order Sufficient Conditions (SSOSC) hold at x0∈K with multipliers (u0,w0) if for all z=0 such that ∇gi(x0)z=0,∀i,ui0>0 and ∇hj(x0)z=0,j∈[p].
The General Second Order Sufficient Conditions (GSOSC) hold at x0∈K if (SOSC) hold at x0∈K with (u0,w0) for every (u0,w0) satisfying (KKT).
The General Strong Second Order Sufficient Conditions (GSSOSC) hold at x0∈K if (SSOSC) hold at x0∈K with (u0,w0) for every (u0,w0) satisfying (KKT).
The following conditions, due to Robinson (1982), are sufficient for x0∈K to be an isolated local minimum for problem (NLP).
Let x0∈K and suppose that the (KKT) conditions hold at x0 with some u0 and w0. Suppose that the Mangasarian-Fromovitz constraint qualification holds at x0; moreover, assume that the General Second Order Sufficient Conditions hold at x0. Then x0 is an isolated local minimum of (NLP), i. e. there exists a neighborhood of x0 such that x0 is the only local minimum of (NLP) in that neighborhood.
Remark 1. Note that if the (LICQ) or also the (SMFCQ) is substituted for (MFCQ) in the isolated minimum theorem, then (GSOSC) coincides with (SOSC), since the multipliers vectors u0 and w0 are unique, under the said constraint qualifications.
Basic Sensitivity Results under Second Order Differentiability for NLP(epsilon)
Preliminaries
This section collects two preliminary notions.
A function ϕ:Rr→Rl is said to be locally Lipschitz near zˉ∈Rr if there is a neighborhood N(zˉ) of zˉ and a L>0 such that
∥ϕ(z1)−ϕ(z2)∥≤L∥z1−z2∥,∀z1,z2∈N(zˉ).
The directional derivative of ϕ at the point zˉ in the direction v∈Rr is defined as
Dϕ(zˉ;v):=β→0+limβ1[ϕ(zˉ+βv)−ϕ(zˉ)].
If the above limit exists for every v∈Rr, we say ϕ is directionally differentiable at zˉ. Directionally differentiability does not imply differentiability.
Continuity
In this section we will consider conditions under which the optimal-value function f⋆ and the optimal solution map S are continuous. We begin with definitions of continuity of a point-to-set map. Let T be a metric space, ψ:T→2Rn, and ϵˉ∈T.
A point-to-set function ψ is said to be upper (lower) semi-continuous at ϵˉ if for each open set O⊂Rn satisfying ψ(ϵˉ)∈O (ψ(ϵˉ)∩O=∅), there exists a neighborhood N(ϵˉ) such that ψ(ϵ)⊂O (ψ(ϵ)∩O=∅), for all ϵ∈N(ϵˉ).
A point-to-set function ψ is said to be closed at ϵˉ if ϵn∈T,ϵn→ϵˉ,xn∈ψ(ϵn), and xn→xˉ imply xˉ∈ψ(ϵˉ).
A point-to-set function ψ is said to be open at ϵˉ if ϵn∈T,ϵn→ϵˉ, and xˉ∈ψ(ϵˉ) imply that ∃m and {xn} such that xn∈ψ(ϵn) for all n≥m and xn→xˉ.
A point-to-set function ψ is said to be uniformly compact near ϵˉ if the set ∪ϵ∈N(ϵˉ)ψ(ϵ) is bounded for some neighborhood N(ϵˉ).
Let {An} be a sequence of subsets of Rn. The inner limit of {An} is defined as
limn→∞An:={x∈Rn:∃m,{xn} such that xn∈An,∀n≥m,xn→x}.
Hogan showed that (a) lower semicontinuity and openness at a point are equivalent, and (b) if ψ is uniformly compact near ϵˉ, then ψ is closed if and only if ψ(ϵˉ) is compact and ψ is upper semicontinuous at ϵˉ.
ψ is closed (open) at ϵˉ if and only if limn→∞ψ(ϵn)⊂(⊃)ψ(ϵˉ), for any {ϵn}⊂T such that ϵn→ϵˉ.
ψ is continuous at ϵˉ if it is upper semicontinuous and lower semicontinuous at ϵˉ.
For P(ϵ), we have
(a). If R is lower semicontinuous at ϵˉ, and f is usc on R(ϵˉ)×{ϵˉ}, then f⋆ is usc at ϵˉ.
(b). If R is upper semicontinuous at ϵˉ, R(ϵˉ) is compact, and f is lsc on R(ϵˉ)×{ϵˉ}, then f⋆ is lsc at ϵˉ.
For P(ϵ), if
(1). f is continuous on R(ϵˉ)×{ϵˉ};
(2). R is closed and open (i.e. lower semi-continuous) at ϵˉ;
(3). S(ϵˉ) is nonempty and a singleton;
(4). S is uniformly compact near ϵˉ;
then S is closed and open (under (4), S is continuous) at ϵˉ.
Note that (1) openness is equivalent to lower semi-continuity, and (2) uniform compactness + closedness imply upper semi-continuity. Therefore, S is continuous.
For P(ϵ), if
(1). f is quasi-convex in x for every fixed ϵ∈T and continuous on Rn×T;
(2). R is closed at every ϵ near ϵˉ and open at ϵˉ.
(3). R is convex-valued near ϵˉ (i.e. R(ϵ) is convex near for ϵ near ϵˉ);
then S(ϵ) is nonempty and uniformly compact near ϵˉ if and only if S(ϵˉ) is nonempty and compact.
For P(ϵ), if
(1). f(x,ϵ)=max{f1(x,ϵ),f2(ϵ)}, where f1 is continuous on Rn×T and strictly quasi-convex in x for each fixed ϵ∈T, and f2 is continuous on T;
(2). R is nonempty, convex-valued, and continuous on T;
then S is continuous and convex-valued on T.
In order to specialize these general theorems to the concrete nonlinear (or linear) programming problem P1(ϵ), we need to know the conditions that guarantee the continuity of an inequality and/or equality constraint map R of P1(ϵ). The following two theorems are concerned with the constraint map:
R(ϵ):={x∈M:g(x)≤ϵ},
where M⊂Rn,g:Rn→Rp, and ϵ∈Rp.
For the map R of the constraint map, suppose that M=Rn, g is continuous on Rn, and that R(ϵˉ) is compact. Then
(1). R is upper semi-continuous at ϵˉ if and only if there exists a vector ϵ′>ϵˉ such that R(ϵ′) is a compact set.
(2). if the set R0(ϵˉ):={x∈Rn:g(x)<ϵˉ} is nonempty, then R is lower semi-continuous at ϵˉ if and only if R0(ϵˉ)=R(ϵˉ), namely,
{x∈Rn:g(x)<ϵˉ}=R0(ϵˉ)=R(ϵˉ)={x∈Rn:g(x)≤ϵˉ}
Note that in (1) of the above theorem, the compactness of R(ϵˉ) and the upper semi-continuity of R at ϵˉ imply the closedness of R at ϵˉ.
For the map R of the constraint map, suppose that M is compact and convex, and that gi are lsc and strictly convex on M. Then R is closed (i.e. upper semi-continuous, under the assumptions) and open (i.e. lower semi-continuous) at every ϵ∈dom(R) relative to dom(R), where dom(R):={ϵ∈Rp:R(ϵ)=∅}.
The next theorem, dut to Dantzig et al., is concerned with a linear inequality (and equality) constraint:
R(A,b):={x∈M:Ax≥b},
where M⊂Rn, A is a p×n real matrix, and b∈Rp.
Let Aˉ be a p×n real matrix consisting of p row vectors aˉi⊤∈Rn,i=1,...,p, bˉ∈Rp, and
I:={i=1,...,p:aˉi⊤x=bˉi,∀x∈R(Aˉ,bˉ)}.
If the matrix AˉI, whose rows are aˉi⊤,i∈I, has full rank, then, for every sequence {(An,bn)} converging to (Aˉ,bˉ), either
limn→∞R(An,bn)=R(Aˉ,bˉ),
or R(An,bn) is empty for infinitely many n, and consequently, R is closed and open at (Aˉ,bˉ) relative to dom(R) if (Aˉ,bˉ)∈dom(R).
We next consider nonlinear inequality constraints. Let
R(ϵ):={x∈M:g(x,ϵ)≤0}.
For the map R of the nonlinear inequality constraint map, suppose that M is closed, g is continuous on M×{ϵˉ}, and that
{x∈M:g(x,ϵˉ)<0}=R(ϵˉ),
then R is closed and open at ϵˉ.
For the map R of the nonlinear inequality constraint map, suppose that M is compact and convex, g is continuous on M×T, and that gi are strictly convex on M for each fixed ϵ∈T. Then R is closed and open at every ϵ∈dom(R) relative to dom(R).
By using implicit function theorem, Aiyoshi extends Theorem 2.8 to the inequality-equality constrained case.
Stein-Topkis essentially show that, for P(ϵ), if f and R are locally Lipschitz (in the sense of Hausdorf distance), then f⋆ is locally Lipschitz. For the inequality-equality constrained problem P1(ϵ), some constraint qualifications (e.g. MFCQ and LICQ) and the uniform compactness of R are sufficient for f⋆ to be (locally Lipschitz) continuous.
Convexity
Throughout this section it is assumed that T⊂Rr is nonempty and convex.
A point-to-set map R:T→2Rn is said to be convex (concave) on T if for all ϵ1,ϵ2∈T and λ∈(0,1)
λR(ϵ1)+(1−λ)R(ϵ2)⊂(⊃)R(λϵ1+(1−λ)ϵ2).
If in the convex-map condition, the inclusion ⊂ holds only for all ϵ1=ϵ2∈T and λ∈(0,1), then R is said to be essentially convex on T.
R is said to be essentially affine on T if R is both essentially convex and concave on T.
For P(ϵ), suppose that f is jointly convex on {(x,ϵ):x∈R(ϵ),ϵ∈T}, and that R is essentially convex on T. Then f⋆ is convex on T.
A function ϕ:M→R is said to be (strictly) quasi-convex on a convex set M if, for all x1,x2∈M and λ∈(0,1)
ϕ(λx1+(1−λ)x2)≤(<)min{ϕ(x1),ϕ(x2)}.
For P1(ϵ), suppose that gi are jointly quasi-convex on M×T, hj are jointly affine on M×T, and that M is convex. Then R is convex on T.
For P(ϵ), suppose that f is jointly concave on Rn×T, and that R is concave on T. Then f⋆ is concave on T.
For P0(ϵ), suppose that f is concave in ϵ on T for all x∈M. Then f⋆ is concave on T.
For P(ϵ), suppose that f is jointly affine on Rn×T, R is essentially affine on T, and that T⊂dom(R). Then f⋆ is both convex and concave on T, and S is essentially affine on T.
Differential Stability of Optimal-value functions
A number of results on the rate of change in f⋆ under small perturbations have been obtained by means of the first- and second-order directional derivatives of f⋆ in the direction along which the perturbation is made. The first result is due to Danskin.
For P0(ϵ), suppose that T=Rr, and that f and ∇ϵf are continuous on M×N(ϵ), where N(ϵ) is a neighborhood of ϵ∈Rr. Then f⋆ is locally Lipschitz near ϵ, directionally differentiable at ϵ, and
Df⋆(ϵ;v)=x∈S(ϵ)min∇ϵf(x,ϵ)v.
Another theorem, due to Gauvin-Dubeau and Fiacco, gives lower and upper bounds for the directional derivative of f⋆ in P1(ϵ). In the sequel, we assume in P1(ϵ), M=Rn, and that f,g, and h are continuously differentiable in (x,ϵ). The Lagrangian and the set of multipliers of P1(ϵ) are defined as follows:
(1). the vectors {∇xhj(x,ϵ),j∈[p]} are linearly independent;
(2). there exists z∈Rn such that
∇xgi(x,ϵ)z<0,i∈A(x,ϵ)∇xhj(x,ϵ)z=0,∀j∈[q],
where A(x,ϵ):={i∈[p]:gi(x,ϵ)=0}.
For P1(ϵ), suppose that M=Rn, that R(ϵ)=∅ and R is uniformly compact near ϵ∈Rr, and that (MFCQ) holds at each x∈S(ϵ). Then f⋆ is locally Lipschitz near ϵ, and for any v∈Rr,
Furthermore, if f and g are convex on Rn×{ϵ}, and if h is affine on Rn×{ϵ}, then f⋆ is directionally differentiable at ϵ, and
Df⋆(ϵ;v)=x∈S(ϵ)min(u,w)∈K(ϵ)max∇ϵL(x,u,w,ϵ)⊤v,
where, under the assumptions K(x,ϵ)=K(ϵ) is constant for x∈S(ϵ).
There are two immediate consequences of Theorem 4.2. Under stronger CQ than (MFCQ) at x∈S(ϵ) (e.g. (SMFCQ), or (LICQ)), K(x,ϵ) reduces to a singleton, say {u(x),w(x)}, so the directional derivative formula reduces to
Df⋆(ϵ;v)=x∈S(ϵ)min∇ϵL[x,u(x),w(x),ϵ]⊤v
Another special case is the jointly convex case: if f and g are jointly convex and h is jointly affine on Rn×Rr, then for each (u,w)∈K(x,ϵ), ∇ϵL(x,u,w,ϵ) does not depend on x∈S(ϵ), and hence the directional-derivative formula becomes
Df⋆(ϵ;v)=(u,w)∈K(ϵ)max∇ϵL(x,u,w,ϵ)⊤v,
where x∈S(ϵ). Since in this case, f⋆ is convex (since f is jointly convex and R(ϵ) is convex for all ϵ. See Theorem 3.1). The above equation means that for each x∈S(ϵ) and (u,w)∈K(x,ϵ), ∇ϵL(x,u,w,ϵ) is a subgradient of f⋆ at ϵ.
Sensitivity Analysis under Second-order Conditions
Differential Stability of Optimal Solution
Assume x(ϵ) is a local solution to P1(ϵ) and let z(ϵ):=(ϵ,x(ϵ)). Given (u,w)∈K(x(ϵ),ϵ), let Au(ϵ):={i∈[p]:ui>0}, and Au0(ϵ):=[p]−Au.
The critical cone of the system of constraints g(x,ϵ)≤0 and h(x,ϵ)=0 with respect to u is
The critical cone at z(ϵ) with respect to u in the direction of d∈Rr is
Ku(ϵ;d):={v∈Rn:(d,v)∈Ku(ϵ)}.
For each (u,w)∈K(x(ϵˉ),ϵˉ), and each v=0 such that ∇xgi(z(ϵˉ))v=0,∀i∈Au(ϵˉ) and ∇xh(z(ϵˉ))v=0,
v⊤∇xx2L(z(ϵˉ),u,w)v>0.
For P1(ϵ), assume that (1) f, g, and h are C2 near z(ϵˉ); (2) MFCQ holds at x(ϵˉ)∈R(ϵˉ); and (3) (GSSOSC) holds at x(ϵˉ). There exist neighborhoods U of ϵˉ and V of x(ϵˉ), and a mapping x(⋅) from U to V such that
(1). x(⋅) is continuous and, for each ϵ∈U, x(ϵ) is the unique local solution of P1(ϵ) in V; and
(2). x(⋅) is directionally differentiable; indeed for each ϵ∈U, d∈Rn there exists (u,w)∈K(x(ϵ),ϵ) such that Dx(ϵ;d) is the unique solution to the convex quadratic program QPu,w(ϵ;d)
Unfortunately, Dx(ϵ;d) is not given in a constructive way by part (2) of the above theorem since we do not know which (u,w)∈K(x(ϵ),ϵ) to use. However, if the constant rank constraint qualification (CRCQ) is assumed, Dx(ϵ;d) is the solution to QPu,w(ϵ;d) for some extreme (u,w)∈K(x(ϵ),ϵ).
Constant Rank Constraint Qualification
We say that (CRCQ) holds at x(ϵˉ) if there exists a neighborhood W of z(ϵˉ) such that for any subsets I of A(x(ϵˉ),ϵˉ):={i∈[p]:gi(x(ϵˉ),ϵˉ)=0} and J⊂[q], the family of gradients {∇xgi(x(ϵ),ϵ):i∈I} and {∇xhj(x(ϵ),ϵ),j∈J} has the same rank for all z∈W.
We can choose (u,w) specially, namely as a member of
Note that S(ϵ;d) is nonempty because K(z(ϵ)) is nonempty and compact (by MFCQ); and that linear programming methods provide a practical way to calculate an element of S(ϵ;d). Furthermore for fixed d, Theorem 1(2) holds when assumption (GSSOSC) is weakened to only include those u corresponding to some (u,w)∈S(ϵ;d).
Piecewise Smoothness
A function is said to be PC1 near ϵˉ if it is continuous and there is a finite family of C1 functions y1(ϵ),...,yN(ϵ) defined on a neighborhood of ϵˉ such that y(ϵ)∈{y1(ϵ),...,yN(ϵ)} for each x in that neighborhood. The PC1 property is a kind of piecewise smoothness.
Under the conditions in Theorem 1 and furthermore assume (CRCQ). Then for some open neighborhood U of x(ϵˉ) and V of ϵˉ, there is a function x(⋅) from U to V such that in addition to conclusions in Theorem 1 (1),
(1). x(⋅) is PC1, hence locally Lipschitz and B-differentiable.
(2). Dx(ϵ;⋅) is piece-wise linear such that for each ϵ∈U,d∈Rn, and (u,w)∈S(ϵ;d), Dx(ϵ;d) is the unique solution to the convex quadratic program QPu,w(ϵ;d).
We mention that each multiplier (u,w)∈S(ϵ;d) is a vector of marginal costs or shadow prices of constraint perturbations. To explain this, consider
Df⋆(ϵ;d)=∇ϵf(z(ϵ))⊤d+∇xf(z(ϵ))⊤Dx(ϵ;d),
By examing the KKT conditions of QPu,w(ϵ;d), it is easy to see that the second summand is the optimal value of the multiplier-selection linear program:
Since (∇ϵg(z(ϵ))d,∇ϵh(z(ϵ))ds) is the marginal perturbation of the constraints, it follows that each (u,w)∈S(ϵ;d) is the marginal cost of such perturbations.
Ku(ϵ;d) is nonempty if and only if (u,w)∈S(ϵ;d).
Assume the hypothesis of Theorem 2, let U,V and x(⋅):U→V be given by the theorem.
then Dx(ϵ;d) is the unique solution to QPu,w(ϵ;d).
(2) If g and h do not depend on ϵ, then for each ϵ∈U,d∈Rn, and (u,w)∈K(x(ϵ),ϵ), Dx(ϵ;d) is the unique solution to QPu,w(ϵ;d).
Proof. Note part (2) follows from part (1). To prove part (1), use the fact that the condition on ranges implies Ku(ϵ;d)=∅ for the chosen x,d, and (u,w).
Monotonicity Note
Rewrite the statement as:
a⊤[H(x)−H(y)]<0⇔a⊤[x−y]<0,∀a∈R++2,x,y∈R2,
where a:=[a1,a2]⊤,x:=[x1,x2]⊤, y:=[y1,y2]⊤, and H(x):=[h(x1),h(x2)]⊤:R2↦R2.
Let x,y be fixed. For any a∈R++2, it is clear that either
∈R2×2[(H(x)−H(y))⊤(x−y)⊤]a<[00],
or
[(H(x)−H(y))⊤(x−y)⊤]a≥[00],
holds. Equation (42) implies H(x)−H(y)≤0 and x−y≤0. Similarly, the second matrix alternative implies H(x)−H(y)>0 and x−y>0. Put them together, we obtain
[H(x)−H(y)]⊤(x−y)≥0,∀x,y∈R2,
which means H is monotone. If we choose x and y to be such that x2=y2=0, we have [h(x1)−h(y1)]⋅[x1−y1]≥0.
References
Anthony V. Fiacco and Yo Ishizuka, "Sensitivity and stability analysis for nonlinear programming," Annals of Operations Research, 1990.
Daniel Ralph and Stephan Dempe, "Directional derivatives of the solution of a parametric nonlinear program," Mathematical Programming, 1995.