The Lagrange approach to infinite linear programs

DOI10.1007/BF02579088MaRDI QIDQ1348714zbMATH OpenFDO

Authors J. Rigoberto Gabriel, Raquiel R. López-Martínez, Onésimo Hernández-Lerma

Publication date 3 September 2002

Published in Top (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02579088

equality constraints infinite-dimensional, inequality-constrained linear program Lagrange multipliers strong duality

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46)

Review text

Let \((X, Y)\) and \((Z, W)\) be two dual pairs of vector spaces and let \(X_+\) and \(Z_+\) be positive cones in \(X\) and \(Z\), respectively. Also, let \(Y_+:= X^*_+\subset Y\) and \(W_+:= Z^*_+\subset W\) the dual cones of \(X_+\) and \(Z_+\). The authors study a general, infinite-dimensional, inequality-constrained linear program \[ \text{IP:}\qquad \text{minimize }\{\langle x,c\rangle\mid Ax- b\in Z_+, x\in X_+\}, \] and the corresponding dual program \[ \text{IP}^*:\quad \text{minimize }\langle b,w\rangle\qquad\text{subject to:} -A^*w+ c\in Y_+,\;w\in W_+. \] They use the method of Lagrange multipliers to determine necessary and sufficient conditions for the strong duality of IP, which means that IP and \(\text{IP}^*\) are both solvable and that their optimal values coincide. The authors also show how the results for IP can be applied to programs with equality constraints and illustrate the results with applications to the general capacity and the mass transfer problems.

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