Abstract
In this paper a definition is proposed for the concept of shadow prices in nonconvex programming. For a nonlinear program with equality and inequality constraints, existence of these prices and bounds for their possible values are obtained under the Mangasarian—Fromowitz regularity condition. Their exact values and some continuity properties are obtained under the more restrictive linear independence regularity condition. A definition of equilibrium prices is also proposed. Under convexity assumptions, all definitions and results coincide with those already known on this subject in convex programming.
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This research was supported by the Natural Sciences and Engineering Research Council of Canada under Grant A-9273.
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Gauvin, J. Shadow prices in nonconvex mathematical programming. Mathematical Programming 19, 300–312 (1980). https://doi.org/10.1007/BF01581650
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DOI: https://doi.org/10.1007/BF01581650