Symmetric Strong Duality for a Class of Continuous Linear Programs with Constant Coefficients

We consider Continuous Linear Programs over a continuous finite time horizon \(T\), with linear cost coefficient functions and linear right hand side functions and a constant coefficient matrix, where we search for optimal solutions in the space of measures or of functions of bounded variation. Thes...

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Bibliographic Details
Published in:	arXiv.org
Main Authors:	Shindin, Evgeny, Weiss, Gideon
Format:	Paper
Language:	English
Published:	Ithaca Cornell University Library, arXiv.org 01.03.2014
Subjects:	Coefficients Linear programming Mathematical models Matrix methods
ISSN:	2331-8422
Online Access:	Get full text
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Summary:	We consider Continuous Linear Programs over a continuous finite time horizon \(T\), with linear cost coefficient functions and linear right hand side functions and a constant coefficient matrix, where we search for optimal solutions in the space of measures or of functions of bounded variation. These models generalize the Separated Continuous Linear Programming models and their various duals, as formulated in the past by Anderson, by Pullan, and by Weiss. We present simple necessary and sufficient conditions for feasibility. We formulate a symmetric dual and investigate strong duality by considering discrete time approximations. We prove that under a Slater type condition there is no duality gap and there exist optimal solutions which have impulse controls at \(0\) and \(T\) and have piecewise constant densities in \((0,T)\). Moreover, we show that under non-degeneracy assumptions all optimal solutions are of this form, and are uniquely determined over \((0,T)\).
Bibliography:	SourceType-Working Papers-1 ObjectType-Working Paper/Pre-Print-1 content type line 50
ISSN:	2331-8422
DOI:	10.48550/arxiv.1403.0112