Article ID: | iaor200971242 |
Country: | Netherlands |
Volume: | 44 |
Issue: | 3 |
Start Page Number: | 375 |
End Page Number: | 394 |
Publication Date: | Jul 2009 |
Journal: | Journal of Global Optimization |
Authors: | Meng Fanwen |
Keywords: | lagrange multipliers |
In this paper, we consider the Lagrangian dual problem of a class of convex optimization problems, which originates from multi-stage stochastic convex nonlinear programs. We study the Moreau–Yosida regularization of the Lagrangian-dual function and prove that the regularized function