In this paper we construct dual pairs of problems, of both the Wolfe and Mond-Weir types, in which the objective contains a a support function and is therefore not differentiable. A special case which appears repeatedly in the literature is that in which the support function is the square root of a positive semidefinite quadratic form. This and other special cases can be readily generated from our result.
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Mond et al. (1996) studied this question.