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arXiv · 1309.3022

A penalization approach to linear programming duality with application to capacity constrained transport

Jonathan Korman·Robert J. McCann·Christian Seis
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Abstract

A new approach to linear programming duality is proposed which relies on quadratic penalization, so that the relation between solutions to the penalized primal and dual problems becomes affine. This yields a new proof of Levin's duality theorem for capacity-constrained optimal transport as an infinite-dimensional application.

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Jonathan Korman, Robert J. McCann, Christian Seis. 2013-09-12. A penalization approach to linear programming duality with application to capacity constrained transport. https://arxiv.org/abs/1309.3022

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