Related papers: Duality in convex problems of Bolza over functions…

We present new results on optimization problems where the involved functions are evenly convex. By means of a generalized conjugation scheme and the perturbation theory introduced by Rockafellar, we propose an alternative dual problem for a…

In this paper we study the value function of Bolza problems governed by stochastic difference equations, with particular emphasis on the convex non-anticipative case. Our goal is to provide some insights on the structure of the…

This paper studies duality and optimality conditions in general convex stochastic optimization problems introduced by Rockafellar and Wets in 1976. We derive an explicit dual problem in terms of two dual variables, one of which is the…

This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations…

This paper studies duality and optimality conditions for general convex stochastic optimization problems. The main result gives sufficient conditions for the absence of a duality gap and the existence of dual solutions in a locally convex…

This paper deals with the optimization of Bolza problem with a system of convex and nonconvex, discrete and differential state variable inequality constraints of second order by deriving necessary and sufficient conditions for optimality.…

This paper investigates general and generalized differentiation properties of the optimal value function associated with perturbed optimization problems. Fundamental results on nearly convex sets and functions in infinite-dimensional spaces…

In this paper, we study the Fenchel-Rockafellar duality and the Lagrange duality in the general frame work of vector spaces without topological structures. We utilize the geometric approach, inspired from its successful application by B. S.…

This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from…

In this paper we are concerned with generalised L 1-minimisation problems, i.e. Bolza problems involving the absolute value of the control with a control-affine dynamics. We establish sufficient conditions for the strong local optimality of…

We present a new duality theory for non-convex variational problems, under possibly mixed Dirichlet and Neumann boundary conditions. The dual problem reads nicely as a linear programming problem, and our main result states that there is no…

This article studies problems of optimal transport, by embedding them in a general functional analytic framework of convex optimization. This provides a unified treatment of a large class of related problems in probability theory and allows…

In this paper we investigate how the subgradients of the value function of a discrete-time convex Bolza problem evolve over time. In particular, we develop a discrete-time version of the characteristic method introduced by Rockafellar and…

This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…

We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a…

We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…

We examine the duality theory for a class of non-convex functions obtained by composing a convex function with a continuous one. Using Fenchel duality, we derive a dual problem that satisfies weak duality under general assumptions. To…

Generalized polyhedral convex optimization problems in locally convex Hausdorff topological vector spaces are studied systematically in this paper. We establish solution existence theorems, necessary and sufficient optimality conditions,…

The aim of this paper is to implement some new techniques, based on conjugate duality in convex optimization, for proving the existence of global error bounds for convex inequality systems. We deal first of all with systems described via…

This paper presents a set of complete solutions of a nonconvex variational problem with a double-well potential. Based on the canonical duality-triality theory, the associated nonlinear differential equation with either Dirichlet/Neumann or…