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Characterizing Shadow Price via Lagrangian Multiplier for Nonsmooth Problem

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  • Yan Gao

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.

Suggested Citation

  • Yan Gao, 2019. "Characterizing Shadow Price via Lagrangian Multiplier for Nonsmooth Problem," Papers 1905.13622, arXiv.org, revised Dec 2021.
    • Handle: RePEc:arx:papers:1905.13622
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    File URL: http://arxiv.org/pdf/1905.13622
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