Limiting Lagrangians: A primal approach (Q761250)

We consider a convex program with either a finite or an infinite number of constraints and its formal Lagrangian dual. We show that either the primal program satisfies a general condition which implies there is no duality gap or that there is a nonzero vector d with the following properties: First, whenever \(\epsilon\) d is added to the objective function, where \(\epsilon\) is a positive number not greater than one, the resulting program satisfies the general sufficient condition cited above for no duality gap. Second, the optimal value of this perturbed program is attained and tends to the optimal value of the original program as \(\epsilon\) tends to zero. Third, the optimal solutions of the perturbed programs form a minimizing sequence of the original program. As a consequence of the above, we derive the limiting Lagrangian theory of Borwein, Duffin, and Jeroslow.