DUALITY FOR STOCHASTIC PROGRAMMING INTERPRETED AS L P IN LP-SPACE

The linearly constrained multistage stochastic programming problem is interpreted as a programming problem in L//p-space, linear if the stochastic problem is linear, and a duality theory is developed. The duality is symmetric for linear problems, provided that the stochastic model is suitably generalized, and can be given an economic interpretation. If a certain set, closely related to the epigraph of the perturbation function, is closed, then the stochastic programming problem attains its minimum, which equals the supremum of the dual problem.