Characterizing shadow price via Lagrange multiplier for nonsmooth problem

DOI10.1007/S40305-022-00416-6MaRDI QIDQ6151006zbMATH OpenOpenAlexFDO

Authors

Publication date 9 February 2024

Published in Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.13622

zbMATH Keywords

nonsmooth optimizationLagrange multipliershadow price

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: In this paper, a relation between shadow price and the Lagrangian multiplier for nonsmooth problem is explored. It is shown that the Lagrangian Multiplier is the upper bound of shadow price for convex optimization and a class of Lipschtzian optimizations. This work can be used in shadow pricing for nonsmooth situation. The several nonsmooth functions involved in this class of Lipschtzian optimizations is listed. Finally, an application to electricity pricing is discussed.

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Cited in

(1)

• Directional shadow price in linearly constrained nonconvex optimization models

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