Necessary and Sufficient Conditions for Differentiating under the Integral Sign

Necessary and Sufficient Conditions for Differentiating under the Integral Sign

an 2 00 1 Necessary and sufficient conditions for differentiating under the integral sign

a f(x, y) dy, it is often important to know when F is differentiable and when F (x) = ∫ b a f1(x, y) dy. A sufficient condition for differentiating under the integral sign is that ∫ b a f1(x, y) dy converges uniformly; see [6, p. 260]. When we have absolute convergence, the condition |f1(x, y)| ≤ g(y) with ∫ b a g(y) dy < ∞ suffices (Weierstrass M-test and Lebesgue Dominated Convergence). If we...

Differentiating Under the Integral Sign

The Method of Differentiating under the Integral Sign

The result was that, when guys at MIT or Princeton had trouble doing a certain integral, it was because they couldn’t do it with the standard methods they had learned in school. If it was contour integration, they would have found it; if it was a simple series expansion, they would have found it. Then I come along and try differentiating under the integral sign, and often it worked. So I got a ...

Second Order Necessary and Sufficient Optimality Conditions under Abstract Constraints

In this paper we discuss second order optimality conditions in optimization problems subject to abstract constraints. Our analysis is based on various concepts of second order tangent sets and parametric duality. We introduce a condition, called second order regularity, under which there is no gap between the corresponding second order necessary and second order suucient conditions. We show tha...