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Facial reduction for a cone-convex programming problem

  • Jon M. Borwein (a1) and Henry Wolkowicz (a2)
Abstract

In this paper we study the abstract convex program

where S is an arbitrary convex cone in a finite dimensional space, Ω is a convex set and p and g are respectively convex and S (on Ω). We use the concept of a minimal cone for (P) to correct and strengthen a previous characterization of optimality for (P), see Theorem 3.2. The results presented here are used in a sequel to provide a Lagrange multiplier theorem for (P) which holds without any constraint qualification.

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Journal of the Australian Mathematical Society
  • ISSN: 1446-7887
  • EISSN: 1446-8107
  • URL: /core/journals/journal-of-the-australian-mathematical-society
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