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Moreau–Yosida regularization of Lagrangian-dual functions for a class of convex optimization problems

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Abstract

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 η is piecewise C 2, in addition to the known smoothness property. This property is then used to investigate the semismoothness of the gradient mapping of the regularized function. Finally, we show that the Clarke generalized Jacobian of the gradient mapping is BD-regular under some conditions.

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Authors and Affiliations

  1. The Logistics Institute – Asia Pacific, National University of Singapore, 7 Engineering Drive 1, Singapore, 117574, Singapore

    Fanwen Meng

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  1. Fanwen Meng
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Correspondence to Fanwen Meng.

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Meng, F. Moreau–Yosida regularization of Lagrangian-dual functions for a class of convex optimization problems. J Glob Optim 44, 375–394 (2009). https://doi.org/10.1007/s10898-008-9333-7

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  • DOI: https://doi.org/10.1007/s10898-008-9333-7

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