Article ID: | iaor20072592 |
Country: | United States |
Volume: | 29 |
Issue: | 3 |
Start Page Number: | 479 |
End Page Number: | 491 |
Publication Date: | Aug 2004 |
Journal: | Mathematics of Operations Research |
Authors: | Shapiro Alexander, Sun Jie |
Keywords: | duality, Lagrangean methods |
A large class of optimization problems can be modeled as minimization of an objective function subject to constraints given in a form of set inclusions. In this paper, we discuss augmented Lagrangian duality for such optimization problems. We formulate the augmented Lagrangian dual problems and study conditions ensuring existence of the corresponding augmented Lagrange multipliers. We also discuss sensitivity of optimal solutions to small perturbations of augmented Lagrange multipliers.