Suppose that the objective in each period t for each scenario k is a general convex function  and, in addition to the linear constraints, there is an additional convex constraint  Assuming relatively...

Suppose that the objective in each period t for each scenario k is a general convex function
 and, in addition to the linear constraints, there is an additional convex constraint
 Assuming relatively complete recourse for simplicity and that your solver can return the primal solution and dual multipliers for the K-K-T system of equations, describe how you would modify the nested decomposition steps to accommodate these nonlinear functions.