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Kantorovich duality by positive extension

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Optimal transport Kantorovich optimal transport problem Kantorovich duality theorem
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For compact metric spaces and a continuous cost, define the marginal functional ℓ(f(x)+g(y))=∫fdP+∫gdQ. Its majorant envelope p(h)=infs≥h​ℓ(s) is finite and sublinear. The dual value is −p(−c). Assign that value to the cost direction and use the dominated Hahn-Banach theorem to obtain a positive linear functional on all continuous functions of two variables. The Riesz-Markov-Kakutani representation theorem turns it into an optimal transport plan with the prescribed marginals.

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  1. Kantorovich duality theorem
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  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 7 / 4 / Solution

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