Article ID: | iaor20122532 |
Volume: | 6 |
Issue: | 3 |
Start Page Number: | 393 |
End Page Number: | 402 |
Publication Date: | Mar 2012 |
Journal: | Optimization Letters |
Authors: | Zalinescu C |
Keywords: | duality, Programming (cone) |
In their paper ‘Duality of linear conic problems’ Shapiro and Nemirovski considered two possible properties (A) and (B) for dual linear conic problems (P) and (D). The property (A) is ‘If either (P) or (D) is feasible, then there is no duality gap between (P) and (D)’, while property (B) is ‘If both (P) and (D) are feasible, then there is no duality gap between (P) and (D) and the optimal values val(P) and val(D) are finite’. They showed that (A) holds if and only if the cone