Strong Duality Theorem for Continuous-Time Linear Programming Problems

Abstract: This paper is aimed to prove the strong duality theorem for continuous-time linear programming problems in which the coefficients are assumed to be piecewise continuous functions. The previous paper proved the strong duality theorem for the case of piecewise continuous functions in which the discontinuities are the left-continuities. In this paper, we propose the completely different type of discretized primal and dual problems that can be used to prove the strong duality theorem for the general situation of discontinuities.