Duality Theorem for a Minimax Vector Optimization Problem

A duality theorem is stated and proved for a minimax vector optimization problem where the vectors are elements of the set of products of compact Polish spaces. A special case of this theorem is derived to show that two metrics on the space of probability distributions on countable products of Polish spaces are identical. The appendix includes a proof that, under the appropriate conditions, the function studied in the optimisation problem is indeed a metric. The optimisation problem is comparable to multi-commodity optimal transport where there is dependence between commodities. This paper builds on the work of R.S. MacKay who introduced the metrics in the context of complexity science in [4] and [5]. The metrics have the advantage of measuring distance uniformly over the whole network while other metrics on probability distributions fail to do so (e.g total variation, Kullback–Leibler divergence, see [5]). This opens up the potential of mathematical optimisation in the setting of complexity science.