Strong Duality of Linear Optimisation Problems over Measure Spaces

Abstract

In this work we present two particular cases of the general duality result for linear optimisation problems over signed measures with infinitely many constraints in the form of integrals of functions with respect to the decision variables (the measure in question) for which strong duality holds. In the first case the optimisation problems are over measures with $L^p$ density functions with $1 < p < \infty$. In the second case we consider a semi-infinite optimisation problem where finitely many constraints are given in form of bounds on integrals. The latter case has a particular importance in practice where the model can be applied in robust risk management and model-free option pricing.