Abstract
A differential inclusion is designed for solving cone-constrained convex programs. The method is of subgradient-projection type. It involves projection, penalties and Lagrangian relaxation. Nonsmooth data can be accommodated. A novelty is that multipliers converge monotonically upwards to equilibrium levels. An application to stochastic programming is considered.
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Flåm, S.D., Seeger, A. Solving cone-constrained convex programs by differential inclusions. Mathematical Programming 65, 107–121 (1994). https://doi.org/10.1007/BF01581692
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DOI: https://doi.org/10.1007/BF01581692