Revisiting implicit variables in mathematical optimization: simplified modeling and a numerical evidence

Abstract Implicit variables of an optimization problem are used to model variationally challenging feasibility conditions in a tractable way while not entering the objective function. Hence, it is a standard approach to treat implicit variables as explicit ones. Recently, it has been shown in terms of a comparatively complex model problem that this approach, generally, is theoretically disadvantageous as the surrogate problem typically suffers from the presence of artificial stationary points and the need for stronger constraint qualifications. The purpose of the present paper is twofold. First, it introduces a much simpler and easier accessible model problem which can be used to recapitulate and even broaden the aforementioned findings. Indeed, we will extend the analysis to two more classes of stationary points and the associated constraint qualifications. These theoretical results are accompanied by illustrative examples from cardinality-constrained, vanishing-constrained, and bilevel optimization. Second, the present paper illustrates, in terms of cardinality-constrained portfolio optimization problems, that treating implicit variables as explicit ones may also be disadvantageous from a numerical point of view.

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Publication Details

Journal
Computational Optimization and Applications
Published
2026-05-30
DOI
https://doi.org/10.1007/s10589-025-00755-z
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
0.00

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article

Revisiting implicit variables in mathematical optimization: simplified modeling and a numerical evidence

Patrick Mehlitz
Computational Optimization and Applications
Risk and Portfolio Optimization
article

Revisiting implicit variables in mathematical optimization: simplified modeling and a numerical evidence

Patrick Mehlitz
article en

Abstract

Abstract Implicit variables of an optimization problem are used to model variationally challenging feasibility conditions in a tractable way while not entering the objective function. Hence, it is a standard approach to treat implicit variables as explicit ones. Recently, it has been shown in terms of a comparatively complex model problem that this approach, generally, is theoretically disadvantageous as the surrogate problem typically suffers from the presence of artificial stationary points and the need for stronger constraint qualifications. The purpose of the present paper is twofold. First, it introduces a much simpler and easier accessible model problem which can be used to recapitulate and even broaden the aforementioned findings. Indeed, we will extend the analysis to two more classes of stationary points and the associated constraint qualifications. These theoretical results are accompanied by illustrative examples from cardinality-constrained, vanishing-constrained, and bilevel optimization. Second, the present paper illustrates, in terms of cardinality-constrained portfolio optimization problems, that treating implicit variables as explicit ones may also be disadvantageous from a numerical point of view.

Computational Optimization and Applications
Philipps-Universität Marburg
Openalex Percentile: Top 99%
Risk and Portfolio Optimization
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