Duality in Linear Programming

Abstract | Outline | Posted: June 23rd, 2012 | Last Modified: September 24th, 2013 | Prerequisites: Optimization by Linear Programming | Tags: Linear Programming, Mathematic , Optimization | Views: 331! | "o #omment $

My artic%e on %inear programming i a prere&ui ite to thi artic%e' (ua%ity i a concept )rom mathematica% programming' *n the ca e o) %inear programming, dua%ity yie%d many more amazing re u%t '

The dual linear program

+he dua%ity theory in %inear programming yie%d p%enty o) e,traordinary re u%t , becau e o) the peci)ic tructure o) %inear program ' *n order to e,p%ain dua%ity to you, *-%% u e the e,amp%e o) the mart robber * u ed in the artic%e on %inear programming' .a ica%%y, the mart robber /ant to tea% a much go%d and do%%ar bi%% a he can' 0e i %imited by the 1o%ume o) hi bac2pac2 and the ma,ima% /eight he can carry' "o/, %et- notice that /e can /rite the prob%em a )o%%o/ '

+he prob%em /e ha1e /ritten here 3no matter /hich e&ui1a%ent )ormu%ation /e u ed4 i /hat /e ca%% the prima% %inear program' *t- no/ time )or you to %earn about the dua% %inear program5 +he dua% program /i%% tota%%y change our under tanding o) the prob%em, and that- /hy it- o coo%' * hope you are a e,cited a * am5 *n the prima% program, con traint had con tant number on their right' +he e con tant number are our re ource ' +hey ay /hat /e are ab%e to do concerning each con traint' +he dua% prob%em con i t in e1a%uating ho/ much our combined re ource are /orth' *) the o))er meet the demand, our re ource /i%% be 6u t a much a their potentia% , /hich i the /orth o) the robbery' S/eet, right7 8e ource are a concept * ha1e come up /ith' *t- not a tandard concept'

Let- go more into detai% ' *n the dua% prob%em /e /i%% attribute 1a%ue to the re ource 3a in 9ho/ much they-re /orth:4' +he e 1a%ue are ca%%ed the dua% 1ariab%e ' *n our ca e, /e ha1e t/o con traint , o /e /i%% ha1e 2 dua% 1ariab%e ' +he )ir t dua% 1ariab%e, %et- ca%% it re)er to the 1a%ue o) one unit o) 1o%ume' ; you ha1e )igured it out, the econd dua% 1ariab%e re)er to the 1a%ue o) one unit o) /eight' eem %i2e a right name )or it, right7 "o/, * bet you can /rite the 1a%ue o) the robbery /ith the e t/o ne/ 1ariab%e < Letget the ame re u%t' +hat- nice but ho/ are the 1a%ue per 1o%ume and per /eight determined7 *) * /anted to e%% my re ource , potentia% buyer are going to minimize the 1a%ue o) my re ource ' So their 1a%uation are the minimum o) the tota% 1a%ue' .ut a a e%%er, * /i%% argue that each o) my re ource i /orth a %ot, becau e it enab%e the robbery o) more go%d and more bi%% ' Ob1iou %y, the 1a%ue o) re ource depend on the actua% 1a%ue o) go%d and bi%% per 1o%ume' Let- ha1e a thought about the 1a%ue o) go%d 3and then you-%% be ab%e to app%y the ame rea oning to bi%% 4' *) the con traint enab%ed u to tea% one more 1o%ume o) go%d, then incrementa% 1a%ue o) the robbery /ou%d be at %ea t the 1a%ue o) thi one 1o%ume o) go%d, right7 *t cou%d be more, i) /e u e the ne/ con traint to tea% omething e% e than go%d that- /orth more' =hat *-m aying i that, i) the tota% 1o%ume enab%ed u to tea% one more unit o) 1o%ume o) go%d, and i) /e cou%d carry one more unit o) /eight o) one 1o%ume o) go%d, then the 1a%ue o) thi incrementa% tea% /ou%d be at %ea t the 1a%ue o) one more 1o%ume o) go%d' Let- /rite it' ee i) /e

*-%% %et you /rite the imi%ar con traint )or bi%% ' *n )act, /e can do thi rea oning /ith any 1ariab%e o) the prima% prob%em and a 2 our e%1e the &ue tion> 9*) /e add one unit o) the 1ariab%e, ho/ /i%% it a))ect the tota% 1a%uation7: ?rom that /e deduce a con traint on dua% 1ariab%e ' ; you ee, any 1ariab%e in the prima% prob%em i a ociated /ith a con traint in the dua% prob%em and 1ice@1er a' =e are a%mo t done' Let- notice the )act that i) /e increa e the tota% 1o%ume, then /e ha1e more po ibi%itie )or the prima% 1ariab%e , /hich are the 1o%ume o) to%en go%d and bi%% ' +here)ore, the 1a%ue o) a unit o) 1o%ume cannot be negati1e' +hi add t/o more con traint on the ign o) dua% 1ariab%e ' "o/, /e-re done and /e can /rite the dua% prob%em' 0ey, that %oo2 %i2e a %inear program< ;nd it a%/ay doe 5 +he dua% program o) a %inear program i a %inear program5 Let- ha1e a %oo2 at the )ea ib%e et'

*t- important to notice that the in)ormation o) the prima% ob6ecti1e )unction appear in the dua% )ea ib%e et' 0o/e1er, it %o e the in)ormation o) the prima% re ource ' +hi in)ormation /ou%d appear i) /e dra/ the %e1e% et o) the dua% ob6ecti1e )unction' "e1erthe%e , i) /e dra/ the prima% and dua% )ea ib%e et , then /e ha1e a%% the in)ormation o) the %inear program ' +he mo t important re u%t i the trong dua%ity property> optimal alues of the primal and dual problems are the same' =e can o%1e the prima% prob%em imp%y by o%1ing the dua% prob%em5 ;nd ometime , the dua% prob%em can be much more imp%e than the prima% one'

=hat- more, and that- %e ob1iou here, the dua% o) the dua% i the prima%' +hi can be pro1ed /ith ca%cu%u ' +ry to tran )orm the dua% program into a ma,imi ation program /ith %e or e&ua% ine&ua%ity con traint to )ind it dua%, that- a good e,erci e' .ut /hat- intere ting i the rea% rea on /hy the dua% o) the dua% i the prima%' +ry to thin2 about it' *t- 1ery tric2y but e1en more intere ting e,erci e' +hi mean that the 1a%ue o) the re ource o) the dua% con traint are the prima% 1ariab%e ' *n our e,amp%e, i) the 1a%ue o) go%d increa e by 1 unit, then the /orth o) the robbery /ou%d be increa ed by the &uantity o) to%en go%d' +hi mean that the 1a%ue o) the 1a%ue o) go%d i the &uantity o) to%en go%d5 +here- omething e% e &uite intere ting about dua%ity> *t gi1e direct%y a en iti1ity ana%y i ' #on ider our prima% prob%em ' *t-d be intere ting to 2no/ ho/ much more * cou%d get, had my 2nap ac2 been %arger or my body tronger' +hi %oo2 %i2e a di))icu%t &ue tion in the prima% program, but it- 1ery ob1iou in the dua% program' *) * can ha1e one unit o) 1o%ume more in the 2nap ac2, then the incrementa% /orth o) the robbery /i%% be ' +hi i actua%%y a minimizer o) the incrementa% /orth *-%% ha1e, but it- a per)ect appro,imation )or ma%% incrementa% 1o%ume o) the 2nap ac2' .ut that- not a%%' *n %inear programming, dua%ity yie%d p%enty more o) amazing re u%t 5 *n particu%ar, there i a trong connection bet/een the prima% ba e and the dua% ba e '

Dual bases
Let- notice that the prima% prob%em i e&ui1a%ent to the )o%%o/ing )ormu%ation'

+hi e&ui1a%ent )ormu%ation ha introduced the t/o 1ariab%e and ' +he e 1ariab%e are ca%%ed %ac2 1ariab%e ' ;ny %inear prob%em can be /ritten /ith %ac2 1ariab%e and a )u%% ran2 matri, to ha1e the )o%%o/ing )orm'

=e can obtain a imi%ar )ormu%ation )or the dua% program' *n practice, i) you /ant to obtain the e )ormu%ation , * ad1i e you to /rite your prima% program /ith ine&ua%itie on%y and non@negati1e 1ariab%e on%y' +hen, /rite the dua% program a ociated to that 3be care)u%, it hou%d be a %e or e&ua% ine&ua%ity )or the ma,imi er program, and a higher or e&ua% )or the minimi er one4' On%y then, add the %ac2 1ariab%e ' OA, * rea%%y didn-t get the t/o %a t )ormu%a < (on-t /orry, it- not that important' *t- not e1en a tandard )ormu%ation' * %i2e thi )ormu%ation becau e it ho/ the imi%arity bet/een the prima% and dua% program ' *t- a% o a nice /ay to de cribe dua%ity and it propertie ' .e care)u% /ith other )ormu%ation ' +he re u%t *-%% gi1e here can be hard to tran %ate to other )ormu%ation '

=hat you need to notice i that /e no/ ha1e 1ariab%e repre ented by 1ector , , and ' ;% o, each 1ariab%e o) the 1ector and appear a%one in one o) the con traint o) the prima% or dua% program'

+hat- good but * rea%%y don-t under tand /hat the e %ac2 1ariab%e repre ent< +he 1ariab%e can ea i%y be under tood in the )o%%o/ing graph' +he initia% 1ariab%e are the coordinate o) the point , /hi%e the %ac2 1ariab%e repre ent the di tance )rom the di))erent con traint ' +he unit o) the %ac2 1ariab%e i a %itt%e bit more comp%icated' +o imagine it, 2eep in mind that the %imit o) the con traint are %e1e% et ' +he e %e1e% et mo1e a the 1a%ue o) they ta2e 1arie ' Let- denote n the number o) 1ariab%e o) , and m the number o) 1ariab%e o) ' "ote that n i the number o) con traint in the dua% program, and m i the number o) con traint in the prima% program' +here)ore, a prima% ba e i de)ined by the choice o) m 1ariab%e /hich 1a%ue /i%% be et to zero' +he e m 1ariab%e )orm the 9con traint ba e: * mentioned in the artic%e on %inear programming' +he n other 1ariab%e are the 9ba e:, in the u ua% de)inition o) it' .e care)u%, the e notation are not tandard notation ' =hat- intere ting i that the dua% ba e beha1e in the oppo ite /ay' ; a matter o) )act, they re&uire n 1ariab%e in the con traint ba e and m 1ariab%e in the ba e' =hat- e1en more intere ting i that /e can match each prima% ba e to a dua% ba e' ; a matter )act, each 1ariab%e o) the 1ector corre pond to a con traint, /hich corre pond to a 1ariab%e o) the 1ector ' Simi%ar%y, /e match 1ariab%e o) 1ector and ' +here)ore, to any prima% ba e /e can a ociate

a dua% ba e by choo ing to add in the dua% ba e 1ariab%e that match the prima% 1ariab%e that are not in the prima% ba e' ;nother /ay o) aying it i that /hene1er /e ha1e not )i,ed a prima% 1ariab%e to 0, /e )i, the corre ponding dua% 1ariab%e to 0' +hi gi1e u the )o%%o/ing matching o) ba e 3dra/n by the co%or o) dot 4'

+he con traint o) the t/o graph can be matched' "on@negati1ity con traint o) initia% 1ariab%e corre pond to actua% con traint in the other other program' ; ba e de)ined by the inter ection o) t/o co%or o) con traint in one prob%em i matched /ith a ba e de)ined by the inter ection o) the t/o other co%or o) con traint in the other prob%em' On the t/o graph , on%y the prima% ba e a ociated /ith the dua% ye%%o/ ba e ha not been dra/n, becau e the prima% inter ection o) green and b%ue con traint cou%d not be dra/n' =ait< +here- e1en more intere ting> the 1a%ue o) the ob6ecti1e )unction o) a prima% ba e and it a ociated dua% ba e are the ame5 #on idering the /ay /e introduced the dua% program, thi i 1ery urpri ing' Bou may pro1e it /ith ca%cu%u , but the rea% rea on /hy /e ha1e uch a re u%t in1o%1e the con truction o) the Lagrangian' *) /e had done that, /e cou%d ha1e ea i%y pro1ed that, )or any prima% and dua% 1ariab%e ati )ying the e&ua%ity con traint , the di))erence o) the prima% by the dua% ob6ecti1e )unction i e&ua% to ' +hi 1a%ue i ca%%ed the complementary slac!ness' *t i ni% i) the dua% 1ariab%e corre pond to the dua% ba e o) the prima% 1ariab%e ' =ait< *) both program ha1e the ame 1a%ue , hou%dn-t the dua% ob6ecti1e )unction a%/ay be higher than the prima% ob6ecti1e )unction7 ; a matter o) )act the t/o program ha1e the ame 1a%ue ' Since the prima% program i a ma,imization prob%em, the 1a%ue o) it ob6ecti1e )unction i a%/ay %e than the optima% 1a%ue' ;nd it- the oppo ite )or the dua% program' Bet, thi rea oning /or2 )or 1ariab%e in the )ea ib%e et on%y5 +here)ore, the optimization prob%em i e&ui1a%ent to )inding a prima% )ea ib%e ba e /ith an a ociated dua% )ea ib%e ba e5 On the t/o graph , on%y the pin2 dot are prima% and dua% )ea ib%e> they repre ent the o%ution o) the %inear program 5

#oo%5 #an /e u e it to de ign an optimization a%gorithm7 Be /e can' ;nd thi gi1e u < the imp%e, method5 ; a matter o) )act, the imp%e, method con i t in mo1ing )rom prima% )ea ib%e ba e to trict%y better prima% )ea ib%e ba e' .ut it can be e&ui1a%ent%y con idered a an a%gorithm that mo1e )rom prima% )ea ib%e ba e to prima% )ea ib%e ba e /ith an a ociated dua% ba e that get more and more )ea ib%e' +hi 9c%o e@to@)ea ibi%ity: criterium can, )or in tance, mean ha1ing the mo t negati1e 1ariab%e a c%o e to 0 a po ib%e' Once the mo t negati1e 1ariab%e o) the dua% ba e i non@negati1e, /e ha1e a dua% )ea ib%e ba e' +here)ore, /e ha1e reached the optimum' Simi%ar%y, /e cou%d mo1e )rom )ea ib%e dua% ba e to )ea ib%e dua% ba e , a /e try to reach an a ociated )ea ib%e prima% ba e' +hi i e&ui1a%ent to app%ying the imp%e, method to the dua% program and i 2no/n a the dua% imp%e,'

; you can imagine /ith thi remar2, there i a huge %in2 bet/een dua% 1ariab%e and reduced co t ' +hi can be ob er1ed in the graph on the %e)t' ; reduced co t te%% you by ho/ much the ob6ecti1e )unction /i%% increa e i) you %o e one o) the con traint o) the ba e con traint and /a%2 a/ay )rom it on the edge de)ined by the other con traint o) the con traint ba e, by 1 unit o) the %ac2 1ariab%e a ociated /ith thi con traint' +hi reduced co t i the incrementa% 1a%ue o) the ob6ecti1e )unction /hen mo1ing a%ong the green arro/' +hat- a%mo t the ame thing a the dua% 1ariab%e that /i%% te%% you by ho/ much the ob6ecti1e )unction /i%% increa e i) you mo1e one o) the con traint by 1 unit o) the re ource' +hi i the incrementa% 1a%ue o) the ob6ecti1e )unction /hen mo1ing a%ong the ye%%o/ arro/' ; you can ee on the graph, the dua% 1ariab%e i the oppo ite o) the reduced co t o) the %ac2 1ariab%e a ociated to the dua% 1ariab%e' .e care)u% /ith the ign' Our re u%t i 1a%id here becau e /e ha1e %e or e&ua% ine&ua%itie in the prima% program 3or, e&ui1a%ent%y, the %ac2 1ariab%e are

preceded by a 9C:4' *) /e had higher or e&ua% ine&ua%itie or %ac2 1ariab%e preceded by a minu , /e /ou%d ha1e the e&ua%ity o) the reduced co t and dua% 1ariab%e ' * ha1e an idea o) an optimization a%gorithm> =e cou%d %oo2 )or )ea ib%e prima% and dua% 1ariab%e that minimize the comp%ementary %ac2ne < +hat- an a/e ome idea5 *t %ead to< the interior point method5 +he idea o) the interior point method i to remain in ide the )ea ib%e et and to con1erge to/ard the optimum' +hi a1oid the po ib%y numerou iteration to go )rom e,treme point to e,treme point , and it 2ip prob%em o) degeneracy' ?or great number o) 1ariab%e , the interior point method i )a ter than the imp%e, method' Di1en a po iti1e rea% number , the interior point method con i t in )inding the prima% and dua% 1ector that ati )y the e&ua%ity con traint , are po iti1e , and uch that the product o) each prima% 1ariab%e /ith it a ociated dua% 1ariab%e i e&ua%y to ' +hen, a /e decrea e the 1a%ue o) , /e approach to the prima% and dua% optima% o%ution ' +he ad1antage o) uch a method i that /e can u e gradient@ba ed a%gorithm to optimize the prob%em, /hich guarantee a 1ery &uic2 re o%ution' ;nother 1ery intere ting ad1antage i that it can be genera%ized to emi@de)inite programming' +here are p%enty o) other amazing thing /e can do /ith interior point method ' *) you 2no/ them, you hou%d /rite about them' ;% o, emi@de)inite programming enab%e the mode%ing o) a %arge range o) prob%em ' *-m not )ami%iar enough /ith emi@de)inite programming to /rite about it, o, i) you 2no/ it, p%ea e /rite about it5 ; you ee the dua% program yie%d p%enty o) e,traordinary re u%t and pro1ide a 1ery intere ting di))erent under tanding o) the prob%em' En)ortunate%y, it )ace the prob%em o) degeneracy, e pecia%%y /hen app%ying the imp%e, method'

Degeneracy
*n our e,amp%e, each prima% ba e or con traint ba e matche one uni&ue point' Bet, it- po ib%e that three con traint inter ect at the ame point, in /hich ca e, any combination o) t/o o) the e three con traint corre pond to that point' +he matching i no %onger uni&ue' +hi ituation happen )or in tance in the )o%%o/ing ca e at the b%ac2 dot'

=hat- /rong /ith that ca e7 *t- bad )or the imp%e, a%gorithm' ?ir t it )orce u to ma2e a choice' Suppo e that /e /ere at the con traint ba e de)ined by the green and ye%%o/ con traint , and that the imp%e, a%gorithm decide to %o e the green con traint' +hen, /e /ou%d mo1e a%ong the ye%%o/ con traint unti% /e reach the b%ac2 dot' +hi b%ac2 dot can be de)ined by the )act that /e-1e inter ected the red or the b%ue con traint' One o) them /i%% be added to the con traint ba e' =e need to ma2e a choice' +hi i actua%%y not rea%%y a prob%em' .ut the remar2 i a big prob%em' Suppo e the b%ue and ye%%o/ con traint )orm the con traint ba e 3/hich mean that %ac2 1ariab%e corre ponding to green and red con traint are in the ba e4' *) /e put the ye%%o/ con traint out o) the con traint ba e, then /e /ou%d mo1e a%ong the b%ue %ine a/ay )rom the ye%%o/ con traint ' +he direction a%ong the b%ue con traint impro1e the ob6ecti1e )unction, /hich mean that it- a ociated /ith a po iti1e reduced co t' +here)ore, /e hou%d e,pect a trict increa e o) the ob6ecti1e )unction' Bet, becau e o) the red con traint inter ecting at the b%ac2 dot, the red con traint /ou%d be added to the con traint ba e, /hich there)ore /i%% de)ine the ame b%ac2 dot' =e ha1e made an iteration o) the imp%e, method /ithout impro1ing anything' *) /e hand%e the ituation bad%y, it- po ib%e in certain ca e to ne1er get out o) the b%ac2 dot' +heoretica%%y, /e cou%d app%y the .%and- ru%e to a1oid that )rom happening' 0o/e1er, e1en /ith thi ru%e, the re o%ution cou%d be e,treme%y %ong )or 1ery degenerated point 3* mean point that can be de)ined by a %ot o) di))erent ba e 4' *magine the ca e /here the dimen ion o) the )ea ib%e et i 2F and /here /e ha1e F0 con traint inter ecting at the ame point' +hen the number o) ba e de)ining thi point i ' +he .%and- ru%e ha a good chance to 1i it ha%) o) them< +hi /ou%d ta2e %i2e )ore1er5 Maybe day < +hat- 1ery 1ery bad' ;nd yet, a dimen ion o) 2F i 1ery ma%%' OA, you-re right, degeneracy i 1ery bad )or imp%e, method < =hat can /e do about that7

=e cou%d thought o) adding %ight di turbance on con traint ' +hi /ou%d a1oid degeneracy' 0o/e1er, it /ou%dn-t rea%%y impro1ed the re o%ution, a it /ou%d create mu%tip%e point 1ery c%o e to each other' +he imp%e, method /ou%d ti%% mo1e around the e point /ith 1ery ma%% impro1ement o) the ob6ecti1e )unction' .a ica%%y, there i ti%% a good chance o) 1i iting ha%) o) a%% the ba e a ociated to the degenerated point, o that- ti%% not good' Such ca e are o imi%ar to degeneracy that they can be con idered a uch' +he prob%em o) degeneracy i o)ten dea%t by managing the et o) con traint and the et o) 1ariab%e ' *n our ca e, i) /e cou%d detect that the prima% b%ue con traint /a u e%e , then /e /ou%d ha1e o%1ed the prob%em o) degeneracy' *n Montrea%, e1era% method %i2e the (ynamic #on traint ;ggregation 3(#;4, the *ntegra% Prima% Simp%e, 3*PS4 and the *mpro1ed #o%umn Deneration 3*#D4 ha1e a% o been de1e%oped' .rie)%y aid, *-d ay that they c%a i)y 1ariab%e depending on ho/ they appear in the con traint and o%1e o1er a ma%% group o) 1ariab%e on%y' +hey may %oo2 into other 1ariab%e i) the optima%ity criterium i not ati )ied' My under tanding o) the e method i not good enough )or me to popu%arize them' =hat- more, they are %in2ed /ith the co%umn generation that * ha1en-t ta%2ed about' "o/, the rea on /hy * ha1e decided to ta%2 about degeneracy in an artic%e on dua%ity i becau e dua%ity o))er an intere ting under tanding o) degeneracy' Let- notice that the dua% )ea ib%e ha not changed i) /e on%y modi)ied the re ource o) the /eight con traint' +here)ore /e ha1e the )o%%o/ing matching'

; you can ee on the graph, there are )e/er ba e point in the prima% than in the dua%' *n )act, the prima% green dot can be matched /ith the dua% cyan, pin2 and orange dot ' *n )act, the prima% green e,treme point i actua%%y a ociated /ith the dua% green con traint' * a degenerated e,treme point a%/ay a ociated /ith a dua% con traint7 "o' Let- denote n the dimen ion o) the prima% )ea ib%e et' #on ider a degenerated point' Letca%% degeneracy i the number o) con traint that are not re&uired to de)ine it' Let- denote d the degeneracy' *n our ca e, the degeneracy d i e&ua% to 1' +hen the number o) non@ni% prima%

1ariab%e at thi point i e&ua% to n-d' +here)ore, the number o) dua% con traint that are in a%% the dua% con traint ba e a ociated to the degenerated point i n-d too' +heir inter ection de)ine the dua% pace a ociated to the degenerated point' ; the dua% pace re&uire n con traint to de)ine a point, the dua% pace a ociated to the degenerated point repre ent a 1ector pace o) dimen ion d' *t matche a con traint i) d = n-1, but i u ua%%y a 1ector pace /ith a ma%%er dimen ion' ; thi /ho%e 1ector pace matche a ing%e prima% point that ha a ing%e ob6ecti1e 1a%ue, the /ho%e 1ector pace ha a ing%e ob6ecti1e 1a%ue' +here)ore, the /ho%e 1ector pace i inc%uded in a dua% ob6ecti1e )unction %e1e% et' *n the e,amp%e, there are e1era% prima%@dua% )ea ib%e ba e , de)ined by the matching o) the prima% green and dua% pin2 dot , and by the matching o) the prima% green and dua% /hite dot ' (egeneracy at the optimum i actua%%y e&ui1a%ent to the e,i tence o) e1era% prima%@dua% o%ution ' ?rom that, /e can deduce that the dua% cyan, pin2 and orange dot ha1e a ame dua% ob6ecti1e 1a%ue, /hich mean that the green con traint i a %e1e% et o) the dua% ob6ecti1e )unction' =hat happen in a non@optima% degenerated point7 Let- ma2e our degenerated point non@optima% to ee /hat happen ' *n order to do that, /e-%% a ume that the 1a%ue o) go%d ha udden%y dropped, ma2ing the prima% /hite dot optima%' ; a re u%t in the dua% the green con traint /i%% be %o/er 3%oo2 at it de)inition i) you /ant to ma2e it ure4' =e obtain the )o%%o/ing graph'

+he green con traint ti%% repre ent the dua% et a ociated /ith the degenerated point' 0o/e1er, in thi ca e, thi /ho%e dua% et i in)ea ib%e' =hat- intere ting to notice i that it- not po ib%e to go direct%y )rom the dua% orange dot to the dua% optima% /hite dot' *n the prima% prob%em, thi mean that i) the con traint ba e contain the b%ue and ye%%o/ con traint , it /i%% not be ab%e to go direct%y to the prima% optima% /hite dot' More genera%%y, there may be p%enty o) dua% ba e a ociated to a degenerated point that do not enab%e %ea1ing the degenerated point' *n a dua% 1ie/point, thi mean that /e ha1e to mo1e a%% a%ong a dua% in)ea ib%e po%yhedron /ithout impro1ing the dua% ob6ecti1e )unction' Once at a

degenerated point, it i there)ore crucia% to )ind a right a ociated dua% point that /i%% gi1e u a /ay to get out o) the degenerated point' +he (ua% Gariab%e Stabi%ization 3(GS4 )o%%o/ thi idea' *t /a pro1ed to be e))icient to dea% /ith uch ca e , e pecia%%y in the ca e o) co%umn generation' +he idea o) it i that once iteration o) the imp%e, gi1e c%o e dua% point , /e add a pena%ty to dua% point )ar )rom tho e /e ha1e recent%y )ound' 8ead my artic%e on (GS to better under tand it'

Let"s sum up
(ua%ity yie%d p%enty o) amazing re u%t ' *n particu%ar, one 1ery intere ting thing to do i to ob er1e /hat happen in the dua% /hen /e app%y the imp%e, method or the interior point method to the prima% %inear program' ?or the imp%e, method, thi natura%%y de)ine a ne/ method ca%%ed the dua% imp%e, method' Learn more by reading my artic%e on imp%e, method ' ;n important app%ication o) the dua%ity theory i the de)inition o) the price o) the re ource ' +hi i the ca e in the Location Margina% Price 3LMP4 a%gorithm u ed in e%ectricity mar2et ' ; a matter o) )act, thi a%gorithm con i t in minimizing the tota% co t o) production o) e%ectricity /ith con traint on the demand at each geographica% %ocation' +he demand can be 1ie/ed a re ource' *) the demand at a %ocation increa e , then it /ou%d cau e an incremented co t o) production o) e%ectricity' *n the e%ectricity mar2et, thi incremented co t i con idered a the price o) e%ectricity at that point' *t- a great mode% that ta2e into account e%ectricity %o e )or in tance' *) a demand i at a %ocation )ar )rom generator that induce p%enty o) %o e , an increa e o) the demand at that %ocation /i%% induce an important incrementa% production, hence a higher incrementa% co t o) production' +here)ore, the dua% 1ariab%e a ociated to the demand, /hich i the price, /i%% be higher'