Duality and Stability in Convex Optimization (Extended Results for the Saddle Case)

  • Karl Frauendorfer
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 392)


Due to the first chapter we realize that convex programs of the type (5.4) with random parameters (η,ξ) in the objective and in the right-hand side play an essential role in stochastic two-stage programs. We are aware of the fact that we have to integrate (at least approximately) the optimal value function (recourse function) of (5.4), given — for a fixed first-stage decision x — only implicitly by the infimum of (5.4). Although the optimal value function changes with x, we take into account that it remains a saddle function. This fact motivates to derive suitable approximates for the optimal value function, that are computable and allow conclusions about the goodness of the first-stage decision x. Such approximates will be derived in chapter III. At this point it is only of importance to stress that the existence of these approximates essentially depend on the existence of subgradients of the optimal value function at distinguished points. Hence, at first, we are confronted with investigating under which assumptions subgradients for the optimal value function at a certain distinguished point, say (η00),exist. In other words we have to ensure dual solvability of the convex optimization problem — of the type (5.4) — with respect to (η,ξ) at (η00).


Equivalence Class Dual Pair Convex Optimization Problem Duality Relation Strong Duality 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 1992

Authors and Affiliations

  • Karl Frauendorfer
    • 1
  1. 1.Institute for Operations ResearchUniversity of ZurichZurichSwitzerland

Personalised recommendations