Abstract
For certain types of mathematical programming problems, a related dual problem can be constructed in which the objective value of the dual problem is equal to the objective function of the given problem. If these two problems do not have equal values, a duality gap is said to exist. No such gap exists for pairs of ordinary dual linear programming problems, but this is not the case for linear programming problems in which the nonnegativity conditionx ⩾ 0 is replaced by the condition thatx lies in a certain convex setK. Duffin (Ref. 1) has shown that, whenK is a cone and a certain interiority condition is fulfilled, there will be no duality gap. In this note, we show that no duality gap exists when the interiority condition is satisfied andK is an arbitrary closed convex set inR n.
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References
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Communicated by M. Avriel
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Soyster, A.L. A note on duality gaps in linear programming over convex sets. J Optim Theory Appl 13, 484–489 (1974). https://doi.org/10.1007/BF00934942
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DOI: https://doi.org/10.1007/BF00934942