of model reduction is reasonable (in regard to the optimal value) and what kind is not. In this article we propose a way … how to address this question. We introduce a sort of derivative of the optimal value as a function of the transition … probabilities, which can be used to measure the (first-order) sensitivity of the optimal value w.r.t. changes in the transition …

consequence, for the multiplier derivatives. Keywords: Sensitivity, optimal value function, shadow price, Karush-Kuhn- Tucker … ddtλ(t). For this purpose one could first introduce the optimal value function v(t) := optx{f(x,t) : h(x,t) = 0}; second … called a shadow price. Since our results about derivatives of optimal value functions and Lagrange multipliers can be …