Given P and Q convex compact sets in R k and R s , respectively, and u a continuous real valued function on P × Q, we consider the following pair of dual problems: Problem I—Minimize ƒ so that ƒ: P × Q → R and ƒ ⩾ Cav p Vex q × max(u, ƒ) . Problem II—Maximize g so that g: P × Q → R and g ⩽ Vex q × Cav p min( u, g). Here Cav p is the operation of concavification of a function with respect to the variable p ϵ P (for each fixed q ϵ Q). Similarly, Vex q is the operation of convexification with respect to q ϵ Q. Maximum and minimum are taken here in the partial ordering of pointwise comparison: ƒ ⩽ g means ƒ(p, q) ⩽ g(p, q) ∀(p, q) ϵ P × Q . It is proved here that both problems have the same solution which is also the unique simultaneous solution of the following pair of functional equations: (i) ƒ = Vex q max(u, ƒ) . (ii) ƒ = Cav p min(u, ƒ) . The problem arises in game theory, but the proof here is purely analytical and makes no use of game-theoretical concepts.
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