New Sequential Lagrange Multiplier Conditions Characterizing Optimality without Constraint Qualification for Convex Programs
V. Jeyakumar, G. M. Lee, N. Dinh · SIAM Journal on Optimization · 2003
In this paper a new sequential Lagrange multiplier condition characterizing optimality without a constraint qualification for an abstract nonsmooth convex program is presented in terms of the subdifferentials and the $\epsilon$-subdifferentials. A sequential condition involving only the subdifferentials, but at nearby points to the minimizer for constraints, is also derived. For a smooth convex program, the sequential condition yields a limiting Kuhn--Tucker condition at nearby points without a constraint qualification. It is shown how the sequential conditions are related to the standard Lagrange multiplier condition. Applications to semidefinite programs, semi-infinite programs, and semiconvex programs are given. Several numerical examples are discussed to illustrate the significance of the sequential conditions.