Linear programming
Chapter V: Duality Theory
Asma Ben Yaghlane Riahi
Fedia Daami Remadi
Tunis Business School
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Content
• Introduction & Motivation
• Definition of the dual of LP
• Primal-Dual Relationships
• Results on duality theory
• Dual of LP in non-canonical form
• Economic interpretations
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Introduction & Motivation
•The notion of duality within LP asserts that every LP has associated with it a
related LP called its dual
•The original problem in relation to its dual is termed the primal
•It is the relationship between the primal and its dual, both on a mathematical and
economic level, that is truly the essence of duality theory
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Introduction & Motivation
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Example 1
There is a small company in Melbourne which has recently
become engaged in the production of office furniture.
The company manufactures tables, desks and chairs.
The production of a table requires 8 Kgs of wood and 5
Kgs of metal and is sold for $80.
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Example 1-continued
A desk uses 6 Kgs of wood and 4 Kgs of metal and is sold
for $60; and a chair requires 4 Kgs of both metal and
wood and is sold for $50.
We would like to determine the revenue maximizing
strategy for this company, given that their resources are
limited to 100 Kgs of wood and 60 Kgs of metal.
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Formulation-example 1
tables desks chairs Total
Resources
wood 8 6 4 100
metal 5 4 4 60
Revenue 80$ 60$ 50$
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Duality-example 1
Now consider that there is a much bigger company in
Melbourne which has been the only producer of this type of
furniture for many years.
They don't appreciate the competition from this new
company; so they have decided to tender an offer to buy all
of their competitor's resources and therefore put them out of
business.
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Formulating the dual LP
The challenge for this large company then is to develop a
linear program which will determine the appropriate
amount of money that should be offered for a unit of
each type of resource, such that the offer will be
acceptable to the smaller company while minimizing the
expenditures of the larger company.
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Problem D1
tables desks chairs Total
Resources
wood 8 6 4 100
metal 5 4 4 60
Revenue 80$ 60$ 50$
•DV: Determine the appropriate amount of money that should be offered for a unit of
each type of resource:
Y1: The appropriate amount of money for a unit of Wood.
Y2: The appropriate amount of money for a unit of metal.
•OF: minimizing the expenditures of all their competitor's resources
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The factory manager will accept the proposal of the bigger company only if the price offered
brings him at least the same profit from the sale of tables, desks and chairs.
tables desks chairs Total
Resources
wood 8 6 4 100
metal 5 4 4 60
Revenue 80$ 60$ 50$
•C1: The Tables: the income generated by selling the
two resources is 8y1+5y2, and the profit generated by
the production of the sale of tables is 80$.
•C2: The Desks: the income generated by selling the two
resources is 6y1+4y2, and the profit generated by the
production of the sale of tables is 60$.
•C3: The Chairs: the income generated by selling the two
resources is 4y1+4y2, and the profit generated by the
production of the sale of tables is 50$.
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tables desks chairs Total
Resources
wood 8 6 4 100
metal 5 4 4 60
Revenue 80$ 60$ 50$
Primal LP Dual LP
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Definition
Primal Problem Dual Problem
b is not assumed to be
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non-negative
Example
Max Z = 10X1 + 5X2
2X1 + 3X2 ≤ 10
6X1 + X2 ≤ 15
4X1 – 5X2 ≤ 35
X 1, X 2 ≥ 0
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Max ZX= X10
1
+ X25
X1 2 X2 ≤+ 3 10 Y1
X1 6 X2 +≤ 15 Y2
X1 4 X2 ≤– 5 35 Y3
X 1, X 2 ≥ 0
1st constraint 2nd constraint
Min ZY = Y1 Y2 Y3
+ +
Y1 Y2 Y3 ≥
+ +
Y1 Y2 Y3 ≥
Y1,Y2,Y3 ≥ 0
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Example
Primal
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Dual
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Example 2
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Dual
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FINDING THE DUAL OF
NON-CANONICAL LP
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Streamlining the conversion ...
equality unrestricted
constraint in sign dual
in the variable
primal
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Streamlining the conversion ...
unrestricted inequality
sign variable inconstraint
the primal in the dual
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Primal-Dual relationship
Primal Problem Dual Problem
opt=max opt=min
Constraint i : Variable i :
<= form yi >= 0
= form yi urs
Variable j: Constraint j:
xj >= 0 >= form
xj urs = form 23
Equivalent non-standard form
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Dual from the recipe
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Example
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What about min ?
It is instructive to
Can use the usual
use this method i.e, what is the
trick of
to construct the dual of the dual
multiplying the
dual of the dual of the standard
objective
of the standard primal problem?
function by -1
form
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What is the dual of
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Example
3x1 − 5 x2 ≥ 12
x1 + 2 x 2 = −8
5x1 − x2 ≤ 10
x1, x2 ≥ 0
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Equivalent form
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Dual
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Maximization Minimization
Number of constraints Number of variables
constraint ≤ Variable positive or zero
constraint ≥ Variable negative or zero
constraint = Unconstrained Variable
Number of variables Number of constraints
Variable positive or zero constraint ≥
Variable negative or zero constraint ≤
Unconstrained Variable constraint =
Coefficient of the jth variable RHS of the jth constraint
In the objective function
th Coefficient of the ith variable
RHS of the i constraint
In the objective function
Technological coefficient of the Technological coefficient of the ith
jth variable in the ith constraint variable in the jth constraint
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Important Observation
•FOR ANY PRIMAL LINEAR PROGRAM, THE DUAL OF THE DUAL IS
THE PRIMAL
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Theorem
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Example
Primal Dual
Max ZX = 5X1 + 4X2 – 2X3 Min ZY = 20Y1 + 5Y2 + 30Y3
2X1 + 3X2 ≤ 20 2Y1 + Y2 + Y3 ≥ 5
X1 – 4X3 ≥ 5 3Y1 + Y3 ≥ 4
X1 + X2 + X3 = 30 - 4Y2 + Y3 =-2
X1, X2 ≥ 0 , X3 ∈ IR Y1 ≥ 0 , Y2 ≤ 0 , Y3 ∈
IR 37
Primal Dual
Min ZX = 15X1 + 2X2 Max ZY = 10Y1+50Y2+2Y3+120Y4
X1 – X2 ≥ 10 Y1 + 7Y2 - Y3 + 9Y4 ≤ 15
7X1 + 2X2 ≤ 50 -Y1 + 2Y2 +3Y3 + Y4 = 2
- X1 + 3X2 ≥ 2 Y1 ≥ 0 , Y2 ≤ 0 , Y3 ≥ 0 , Y4 ∈
IR
9X1 + X2 = 120
X1 ≥ 0, X2 ∈ IR
Note that the dual of the dual is the primal
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Results
• Consider the primal and dual LP:
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Various theorems related to duality (without proof)
If x* is primal feasible and y*
If x is primal feasible and y is
is dual feasible and cTx* =
dual feasible, then cTx ≤ bTy
bTy* then x* and y* are
(weak duality theorem).
optimal
If one of a pair of primal and
dual problems has an optimal
solution, then the other also
has an optimal solution and
the optimal values of their
objective functions are equal.
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Theorem-continued
If the primal is feasible and If the dual is feasible and
unbounded then the dual is unbounded, then the primal is
infeasible. infeasible.
Complementary Slackness
Theorem: A primal feasible
solution x* and a dual feasible
solution y* are optimal if and
only if (b-Ax*)Ty* = 0 and
(ATy* - c)Tx* = 0.
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Interpretation of Duality
The fact that profit would
The dual variable y* increase by yi* if an
measures the change in additional unit of resource
optimal profit due to a unit i was available imputes a
change in resource i. value or price to resource
i.
This value or price is
called a shadow price.
Thus, the shadow price is
the amount of contribution
of an additional unit of a
resource to total profit.
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Discussion
• Note from the weak duality theorem that we always have
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Discussion-continued
The inequality is Weak duality
strict except at At optimality, yi is theorem:
optimal solution interpreted as the
where equality worth of resource i the profit is ≤
holds worth of resources
Resources are not exploited
according to the best yi's: shadow prices
allocation except at of resources
optimality
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Discussion-continued
Shadow price: additional unit
profit that could be made by
acquiring additional units of
resource i
Resource not totally consumed at optimal Active constraint (i.e., the resource is entirely
exploitation: consumed at optimal exploitation):
• related constraint is inactive • corresponding shadow price is positive
• corresponding shadow price must be zero • it will be profitable to acquire additional
• corresponding slack variable is basic units of that resource.
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Example
Consider the following LP and its dual :
Max ZX = 5X1 + 2X2 + 7X3
Min ZY = 50Y1 + 75Y2
X1 + X2 + X3 ≤ 50
Y1 + 2Y2 ≥ 5
2X1 + 4X2 + 3X3 ≤ 75
Y1 + 4Y2 ≥ 2
X1, X2, X3 ≥ 0
Y1 + 3Y2 ≥ 7
Y1 ≥ 0 , Y2 ≥ 0
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The optimal tableau is given by
CJ 5 2 7 0 0
Basis X1 X2 X3 S1 S2 bI
0 S1 0 -1 -1/2 1 -1/2 12,5
5 X1 1 2 3/2 0 1/2 37,5
ΔJ 0 -8 -1/2 0 -5/2 187,5
Dual E1 E2 E3 Y1 Y2 ZY
Solution 0 8 1/2 0 5/2 187,5
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Economic Interpretation of
the dual problem
The production process
Assume that in the requires the use of 2
context of the previous resources R1 & R2 ,
LP, 3 products P1, P2 et which are available in
P3 are to be limited quantities of 50
manufactured and 75 units
respectively
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Reconsider the following example
Max ZX = 5X1 + 2X2 + 7X3
X1 + X2 + X3 ≤ 50 (R1)
2X1 + 4X2 + 3X3 ≤ 75 (R2)
X1, X2, X3 ≥ 0
CJ 5 2 7 0 0
Basis X1 X2 X3 S1 S2 bi
0 S1 0 -1 -1/2 1 -1/2 12,5
5 X1 1 2 3/2 0 1/2 37,5
CJ-ZJ 0 -8 -1/2 0 -5/2 187,5
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From the corresponding optimal Tableau, the marginal value or
shadow price of R1 is 0 and the shadow price of R2 is 2.5
An additional unit of R1 has no effect on the value of Z, whereas
an additional unit of R2 will increase Z by 2.5 dinars
The producer will not be ready to cede a unit of R1 (respectively
R2) unless he obtains against it at least 0 (respectively 2.5 dinars)
additional gain
Equivalently, in order to acquire one more unit of R1
(respectively R2), the producer will be willing to pay additional
cost of 0 (respectively 2.5 dinars)
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The CJ-ZJ of a decision variable
CJ-ZJ is called
the reduced It is interpreted
as the deficit for
cost of the
the decision
corresponding variable to
decision become basic
variable
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The CJ-ZJ of a decision variable
In the last tableau, C2-Z2 =-8. This says
that the unit profit of P2 must increase at
least by 8 dinars for P2 to become
profitable.
By forcing one unit of P2 to be produced,
the profit will be reduced by 8 dinars.
The unit profit of P3 must increase at least
by 0.5 dinars for P3 to become profitable.
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