Duality in convex problems of Bolza over functions of bounded variation
Optimization and Control
2013-09-10 v1
Abstract
This paper studies convex problems of Bolza in the conjugate duality framework of Rockafellar. We parameterize the problem by a general Borel measure which has direct economic interpretation in problems of financial economics. We derive a dual representation for the optimal value function in terms of continuous dual arcs and we give conditions for the existence of solutions. Combined with well-known results on problems of Bolza over absolutely continuous arcs, we obtain optimality conditions in terms of extended Hamiltonian conditions.
Keywords
Cite
@article{arxiv.1309.2121,
title = {Duality in convex problems of Bolza over functions of bounded variation},
author = {Teemu Pennanen and Ari-Pekka Perkkiö},
journal= {arXiv preprint arXiv:1309.2121},
year = {2013}
}