Duality Theory for Infinite Horizon Convex Models

Martin Weitzman

Management Science, 1973, vol. 19, issue 7, 783-789

Abstract: Often it is desirable to formulate certain decision problems without specifying a cut-off date and terminal conditions (which are sometimes felt to be arbitrary). This paper examines the duality theory that goes along with the kind of open-ended convex programming models frequently encountered in mathematical economics and operations research. Under a set of general axioms, duality conditions necessary and sufficient for infinite horizon optimality are derived. The proof emphasizes the close connection between duality theory for infinite horizon convex models and dynamic programming. Dual prices with the required properties are inductively constructed in each period as supports to the state evaluation function.

Date: 1973
References: Add references at CitEc
Citations: View citations in EconPapers (48)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.19.7.783 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:19:y:1973:i:7:p:783-789

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().