| Article ID: | iaor19961360 |
| Country: | Netherlands |
| Volume: | 65 |
| Issue: | 1 |
| Start Page Number: | 107 |
| End Page Number: | 121 |
| Publication Date: | May 1994 |
| Journal: | Mathematical Programming (Series A) |
| Authors: | Flm Sjur D., Seeger Alberto |
A differential inclusion is designed for solving cone-constrained convex programs. The method is of subgradient-projection type. It involves projection, penalties and Lagrangian relaxation. Non-smooth data can be accommodated. A novelty is that multipliers converge monotonically upwards to equilibrium levels. An application to stochastic programming is considered.