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Saito
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The weak limit of a sequence of argmax functions

I am currently working on a problem related to argmax functions in the context of operations research. I am trying to figure out if the weak limit of a sequence of argmax functions is again a argmax function.

Assume the following conditions:

  • $I = [0,1]$ and $A$ is a compact subset of $A.$
  • $U_i:A \times \mathbf{R} \to \mathbf{R}$ is a continuous function for all $i \in I$.
  • $\{\sigma_n \}$ is a sequence of $\mathbf{R},$ and $g_n: I \to A$ is a Lebesgue measurable function such that $g_n(i) = \mathrm{argmax}_{a \in A}U_i(a,\sigma_n).$ a.e. $i.$

Here, If $\sigma_n \to \sigma \in \mathbf{R}$ and $g_n \to g\in L^1([0,1])$ in the weak topology of $L^1([0,1]),$ then does it holds that $g(i) = \mathrm{argmax}_{a \in A}U_i(a,\sigma).$ a.e. $i$?

If $g_n$ strongly convege to $g$, then the conclusion follows from the continuity of $U_i$ because a subsequences pointwise converge to $g$. I am wondering if weak convergence is sufficient.

I would greatly appreciate insights or suggestions.

Thank you.

Saito
  • 79
  • 4