Lagrangian duality and cone convexlike functions

Hans Frenk and G. Kassay

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: In this paper we will show that the closely K-convexlike vector-valued functions with K Rm a nonempty convex cone and related classes of vector-valued functions discussed in the literature arise naturally within the theory of biconjugate functions applied to the Lagrangian perturbation scheme in finite dimensional optimization. For these classes of vectorvalued functions an equivalent characterization of the dual objective function associated with the Lagrangian is derived by means of a dual representation of the relative interior of a convex cone. It turns out that these characterizations are strongly related to the closely convexlike and Ky-Fan convex bifunctions occurring within minimax problems. Also it is shown for a general class of finite dimensional optimization problems that strong Lagrangian duality holds in case a vector-valued function related to the functions in this optimization problem is closely K-convexlike and satisfies some additional regularity condition.

Keywords: Lagrangian; duality (search for similar items in EconPapers)
JEL-codes: C69 M M11 R4 (search for similar items in EconPapers)
Date: 2005-04-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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