Characterizing Shadow Price via Lagrangian Multiplier for Nonsmooth Problem

Yan Gao

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arXiv · 1905.13622

Characterizing Shadow Price via Lagrangian Multiplier for Nonsmooth Problem

Yan Gao

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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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Yan Gao. 2019-05-31. Characterizing Shadow Price via Lagrangian Multiplier for Nonsmooth Problem. https://arxiv.org/abs/1905.13622

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