Lesson 30 (Section 19.

23)
Duality in Linear Programming
Math 20

December 3, 2007

Announcements
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Problem Set 11 on the WS. Due December 5.

next OH: Monday 12 (SC 323)

next PS: Sunday 67 (SC B-10)

Midterm II review: Tuesday 12/4, 7:30-9:00pm in Hall E

Midterm II: Thursday, 12/6, 7-8:30pm in Hall A

Outline

Recap

Example

Shadow Prices

The Dual Problem

Definition
A linear programming problem is a constrained optimization
problem with a linear objective function and linear inequality
constraints.

Definition
A linear programming problem is a constrained optimization
problem with a linear objective function and linear inequality
constraints.

Definition
An LP problem is in standard form if it is expressed as
max z = c1 x1 + c2 x2 + + cn xn
subject to the constraints
a11 x1 + a12 x2 + + a1n xn b1
a21 x1 + a22 x2 + + a2n xn b2
....
..
am1 x1 + am2 x2 + + amn xn bm
x1 , x2 , . . . , xn 0

In vector notation, an LP problem in standard form looks like

max z = c x
subject to constraints
Ax b

x0

Theorem of the Day for Friday

Theorem (The Corner Principle)

In any linear programming problem, the extreme values of the
objective function, if achieved, will be achieved on a corner of the
feasibility set.

Outline

Recap

Example

Shadow Prices

The Dual Problem

Example

Example
We are starting a business selling two Harvard insignia products:
sweaters and scarves. The profits on each are $35 and $10,
respectively. Each has a pre-bought embroidered crest sewn on it;
we have 2000 crests on hand. Sweaters take four skeins of yarn
while scarves only take one, and there are 2300 skeins of yarn
available. Finally, we have available storage space for 1250 scarves;
we could use any of that space for sweaters, too, but sweaters take
up half again as much space as scarves.
What product mix maximizes revenue?

Formulating the problem

Let x be the number of sweaters and y the number of scarves

made. We want to
max z = 35x + 10y
subject to
x + y 2000
4x + y 2300
3x + 2y 2500
x, y 0

Finding the corners

2300
2000

300
y =2
4x +

1250

Notice one constraint is

superfluous!

z(575, 0) = 20, 125

20

00

z(0, 1250) = 12, 500

3x

z(420, 620) = 20, 900

+
2y

(420, 620)

z(0, 0) = 0

=
00

25
575 833 1
3

2000

Answer

We should make 420 sweaters and 620 scarves.

Outline

Recap

Example

Shadow Prices

The Dual Problem

Suppose our business were suddenly given

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one additional crest patch?

one additional skein of yarn?

one additional unit of storage space?

How much would profits change?

One more patch

2300

Since we werent up against

this constraint in the first place,
one extra doesnt change our
optimal product mix.

At this product mix, the

marginal profit of patches is 0.

2000

300
y =2
4x +

1250

20

01

3x

+
2y

(420, 620)

=
00

25
575 833 1

2000

One more skein

2300
2000

301
y =2
4x +

1250

Well make a little more sweater

and less scarf

The marginal profit is

z = 35(0.4) + 10(0.6) = 8

20

00

3x
2y

(420.4, 619.4)

=
00

25
575 833 1

2000

One more storage unit

2300
2000

Well make a little less sweater

and more scarf

The marginal profit is

z = 35(0.2) + 10(0.8) = 1

1250

20

00

+
3x

(419.8, 620.8)

2y
=
01

25
575 833 1

2000

Shadow Prices

Definition
In a linear programming problem in standard form, the change in
the objective function obtained by increasing a constraint by one is
called the shadow price of that constraint.

Shadow Prices

Definition
In a linear programming problem in standard form, the change in
the objective function obtained by increasing a constraint by one is
called the shadow price of that constraint.

Example
In our example problem,
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The shadow price of patches is zero

The shadow price of yarn is 8

The shadow price of storage is 1

We should look into getting more yarn!

Outline

Recap

Example

Shadow Prices

The Dual Problem

Question
Suppose an entrepreneur wants to buy our businesss resources.
What prices should be quoted for each crest? skein of yarn? unit
of storage?

Question
Suppose an entrepreneur wants to buy our businesss resources.
What prices should be quoted for each crest? skein of yarn? unit
of storage?

Answer.
Suppose the entrepreneur quotes p for each crest patch, q for each
skein of yarn, and r for each storage unit.
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Each sweater takes one patch, 4 skeins, and 3 storage units,

so effectively p + 4q + 3r is bid per sweater

Likewise, p + q + 2r is bid per scarf.

So we must have
p + 4q + 3r 35
p + q + 2r 10
for us to sell out. The entrepreneurs goal is to minimize the total
payout
w = 2000p + 2300q + 2500r

Definition
Given a linear programming problem in standard form, the dual
linear programming problem is
min w = b1 y1 + + bm ym
subject to constraints
a11 y1 + a21 y2 + + am1 ym p1
a12 y1 + a22 y2 + + am2 ym p2
....
..
a1n y1 + a2n y2 + + amn ym pn
y1 , . . . , ym 0

In fancy vector language, the dual of the problem

max z = p x subject to Ax b and x 0
is
min w = b y subject to A0 y p and y 0

Solving the Dual Problem

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The feasible set is unbounded (extending away from you)

r
p
q

Solving the Dual Problem

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The feasible set is unbounded (extending away from you)

(0, 0, 83/4)

r
(0, 8, 1)

(12/3, 81/3, 0)

(0, 10, 0)

(35, 0, 0)
p

Solving the Dual Problem

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The feasible set is unbounded (extending away from you)

w = 21, 875

r
w = 20, 900
w = 22, 500

w = 23, 000 q

w = 70, 000
p

Solving the Dual Problem

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The feasible set is unbounded (extending away from you)

w (0, 8, 1) = 20, 900 is minimal

(0, 0, 83/4)

r
(0, 8, 1)

(12/3, 81/3, 0)

(0, 10, 0)

(35, 0, 0)
p

The Big Idea

The shadow prices are the solutions to the dual problem

The payoff is the same in both the primal problem and the
dual problem