Article ID: | iaor2004855 |
Country: | United States |
Volume: | 23 |
Issue: | 2 |
Start Page Number: | 433 |
End Page Number: | 442 |
Publication Date: | May 1998 |
Journal: | Mathematics of Operations Research |
Authors: | Smith R.L., Romeijn H.E., Cross W.P. |
The property that an optimal solution to the problem of minimizing a continuous concave function over a compact convex set in ℝn is attained at an extreme point is generalized by the Bauer Minimum Principle to the infinite dimensional context. The problem of approximating and characterizing infinite dimensional extreme points thus becomes an important problem. Consider now an infinite dimensional compact convex set in the nonnegative orthant of the product space R∞. We show that the sets of extreme points En of its corresponding finite dimensional projections onto ℝn converge in the product topology to the closure of the set of extreme points E of the infinite dimensional set. As an application, we extend the concept of total unimodularity to infinite systems of linear equalities in nonnegative variables where we show when extreme points inherit integrality from approximating finite systems. An application to infinite horizon production planning is considered.