Given probability spaces (Xi,Ai,Pi),i = 1,2, let M(P1,P2) denote the set of all probabilities on the product space with marginals P1 and P2 and let h be a measurable function on (X1 × X2,A1 ⊗ A2). Continuous versions of linear programming stemming from the works of Monge (1781) and Kantorovich-Rubinštein (1958) for the case of compact metric spaces are concerned with the validity of the duality
... [Show full abstract] sup{ ∫ h dP : P ∈ M (P1,P2)} = inf {∑i=12 ∫ hi dPi : hi ∈ L1(Pi) and h ≤ ⊕i hi} ;} (where M (P1, P2) is the collection of all probability measures on (X1 × X2, A1⊗ A2) with P1 and P2 as the marginals). A recently established general duality theorem asserts the validity of the above duality whenever at least one of the marginals is a perfect probability space. We pursue the converse direction to examine the interplay between the notions of duality and perfectness and obtain a new characterization of perfect probability spaces.