Convex programs having some linear constraints.
The problem of concern is the minimization of a convex function over a normed space (such as a Hilbert space) subject to the constraints that a number of other convex functions are not positive. As is well known, there is a dual maximization problem involving Lagrange multipliers. Some of the constraint functions are linear, and so the Uzawa, Stoer, and Witzgall form of the Slater constraint qualifications is appropriate. A short elementary proof is given that the infimum of the first problem is equal to the supremum of the second problem.
Department of Mathematics, Carnegie-Mellon University, Pittsburgh, Pennsylvania 15213.
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Duffin