A general duality theorem for the Monge-Kantorovich transport problem

DOI10.4064/SM209-2-4zbMATH Open1270.49045arXiv0911.4347OpenAlexW2962734381MaRDI QIDQ2889262FDOQ2889262

Mathias Beiglböck, Walter Schachermayer, Christian Léonard

Publication date: 6 June 2012

Published in: Studia Mathematica (Search for Journal in Brave)

Abstract: The duality theory of the Monge--Kantorovich transport problem is analyzed in a general setting. The spaces $X,Y$ are assumed to be polish and equipped with Borel probability measures $mu$ and $u$. The transport cost function $c:XimesYo[0,infty]$ is assumed to be Borel. Our main result states that in this setting there is no duality gap, provided the optimal transport problem is formulated in a suitably relaxed way. The relaxed transport problem is defined as the limiting cost of the partial transport of masses $1-varepsilon$ from $(X,mu)$ to $(Y,u)$, as $varepsilon>0$ tends to zero. The classical duality theorems of H. Kellerer, where $c$ is lower semi-continuous or uniformly bounded, quickly follow from these general results.

Full work available at URL: https://arxiv.org/abs/0911.4347

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zbMATH Keywords

dualityMonge-Kantorovich problemBorel probability measuresno duality gaprelaxed transport problem

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20)

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