Twice epi-differentiability of a class of non-amenable composite functions

This paper focuses on the twice epi-differentiability of a class of non-amenable functions, which are the composition of a piecewise twice differentiable (PWTD) function and a parabolically semidifferentiable mapping. Such composite functions frequently appear those optimization problems covering major classes of constrained and composite optimization problems, as well as encompassing disjunctive programs and low-rank or/and sparsity optimization problems. To achieve the goal, we first justify the proper twice epi-differentiability, parabolic epi-differentiability and regularity of PWTD functions, and derive an upper and lower estimate for the second subderivatives of this class of composite functions in terms of a chain rule of their parabolic subderivatives. Then, we employ the obtained upper and lower estimates to characterize the parabolic regularity and second subderivatives and then achieve the proper twice epi-differentiability for several classes of popular functions, which include the compositions of PWTD outer functions and twice differentiable inner mappings, the regularized functions inducing group sparsity, and the indicator functions of the $q(q>1)$-order cone.Comment: 39page