摘要
In this paper,the relation between the shadow price and the Lagrange multiplier for nonsmooth optimization problem is explored.It is obtained that the Lagrange multipliers are upper bounds of the shadow price for a convex optimization problem and a class of Lipschtzian optimization problems.This result can be used in pricing mechanisms for nonsmooth situation.Several nonsmooth functions involved in this class of Lipschtzian optimizations are listed.Finally,an application to electricity pricing is discussed.
基金
supported by the National Natural Science Foundation of China(No.72071130).