Abstract
A standard approach to duality in stochastic optimization problems with constraints in L∞ relies upon the Yosida - Hewitt theorem. We develop an alternative technique which employs only "elementary" means. The technique is based on an ε-regularization of the original problem and on passing to the limit as ε → 0 with the help of a simple measure-theoretic fact - the biting lemma.
| Original language | English |
|---|---|
| Pages (from-to) | 237-244 |
| Number of pages | 7 |
| Journal | Journal of Convex Analysis |
| Volume | 9 |
| Issue number | 1 |
| Publication status | Published - 2002 |
Keywords
- Biting lemma
- Bounded sets in L1
- Constraints in L∞
- Convex duality
- Gale's economic model
- Stochastic Lagrange multipliers
- Stochastic optimization