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OPERATIONS

RESEARCH O R
RESEARCH
O R

ADVANCED TOPICS IN LINEAR PROGRAMMING

ADVANCE TOPICS IN LINEAR PROGRAMMING

  • Duality in Linear Programming

  • The Dual Simplex Method

  • Important & Efficient Computational Technique:

The

Revised

Simplex

Method with Multipliers

Method

/

Simplex

DUALITY IN LINEAR

PROGRAMMING

  • It is interesting that every linear programming model has two forms: The Primal and The Dual.

  • The original form of a linear programming model is called the Primal.

  • The dual

is

an

alternative model form derived

completely from the primal.

The

dual

is

useful

because it

provides the

decision maker with

an

alternative way of looking at a problem.

DUAL OF AN LP PROBLEM:

DUALITY (Cont…)

The dual is derived completely from the primal; for easily getting the dual from the

primal; divide the linear programming problems into two forms:

  • 1. Normal Linear Programming Problem

  • 2. NonNormal Linear Programming Problem

1. NORMAL LINEAR PROGRAMMING PROBLEM:

We call normal maximum LP problem is an LP problem in which all the variables are required to be nonnegative and all the constraints are less than or equal to (≤) form.

For

Example:

a

normal

maximum

LP

problem has the following form:

Maximum: Z = C 1 X 1 +C 2 X 2 + - - - +C n X n Subject to:

a 11 X 1 +a 12 X 2 + - - - +a 1n X n b 1 a 21 X 1 +a 22 X 2 + - - - +a 2n X n b 2

While, a normal minimum LP problem is an

LP problem in which all the variables

are

required to be nonnegative and all the

constraints are greater form.

than or

equal

to

(≥)

For Example: a normal minimum LP problem has the following form:

Minimum: Z = C 1 X 1 +C 2 X 2 + - - - +C n X n Subject to:

a 11 X 1 +a 12 X 2 + - - - +a 1n X n b 1

a 21 X 1 +a 22 X 2 + - - - +a 2n X n b 2

-

 

-

-

 

-

-

 

-

a m1 X 1 +a m2 X 2 + - - - +a mn X n b m

Where,

X j 0, j = 0, 1, 2, - - -,n.

a m1 X 1 +a m2 X 2 + - - - +a mn X n b m

Where,

X j 0, j = 0, 1, 2, - - -,n.

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STEPS FOR PRIMAL PROBLEM TO DUAL PROBLEM IN CASE OF NORMAL LP PROBLEM:

Step1: If the primal problem is in a maximization form then the dual problem will be in minimization form. But if the primal problem is in a minimization form then the dual problem will be in maximization form.

Step2: The number of decision variables in the dual problem is equal to the number of constraints in the primal problem. Step3: The quantities (numerical values) which appear on the right hand side (RHS) of the constraints of the primal problem become the coefficients of the decision variables in the objective function of the dual problem. Step4: The number of constraints in the dual problem is equal to the number of variables in the primal problem. Step5: The coefficients of the variables in the constraints of the primal problem which appear from left to right be placed from top to bottom in the constraints of the dual problem. Step6: If the primal problem has less than or equal to (≤) type constraints then the dual problem will have greater than or equal to (≥) type constraints; But if the primal problem has greater than or equal to (≥) type constraints then the dual problem will have less than or equal to (≤) type constraints. Step7: The coefficients of the objective function of the primal problem which appears on the right hand side (RHS) of the constraints of the dual problem. Step8: Nonnegativity restriction will also apply to decision variable of dual problem.

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DUALITY (Cont…)

DUALITY (Cont…) PRIMAL MAXIMIZATION / DUAL MINIMIZATION Maximum: Z = C X Subject to: Minimum: Z
 

PRIMAL MAXIMIZATION / DUAL MINIMIZATION

Maximum: Z = C T X Subject to:

Minimum: Z = b T Y Subject to:

AX ≤ b

A T Y ≥ C

X

≥ 0

Y ≥ 0

 

PRIMAL MINIMIZATION / DUAL MAXIMIZATION

Minimization: Z = C T X Subject to:

Maximization: Z = b T Y Subject to:

AX ≥ b

A T Y ≤ C

X

≥ 0

Y ≥ 0

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DUALITY (Cont…)

1) Find the dual of the following problem: 2) Find the dual of the following problem:
1) Find the dual of the following problem:
2) Find the dual of the following problem:
Maximize:
Z = 3X 1 + 4X 2
Subject to:
Maximize: Z = 30X 1 + 35X 2 +50X 3
Subject to:
2X 1 + 3X 2 ≤ 16
4X 1 + 2X 2 ≤ 16
X 1 , X 2 ≥ 0
Dual
problem
in
case
of
normal
LP
problem;
6X 1 + 3X 2 + 7X 3 ≤ 53
5X 1 + 3X 2 + 4X 3 ≤ 19
2X 1 + 4X 2 + 5X 3 ≤ 11
X 1 , X 2 , X 3 ≥ 0
Dual problem in case of normal LP problem;
Minimize:
Z = 16Y 1 + 16Y 2
Minimize:
Z = 53Y 1 + 19Y 2 + 11Y 3
Subject to:
Subject to:
2Y 1 + 4Y 2 ≥ 3
3Y 1 + 2Y 2 ≥ 4
Y 1 , Y 2 ≥ 0
6Y 1 + 5Y 2 + 2Y 3 ≥ 30
3Y 1 + 3Y 2 + 4Y 3 ≥ 35
7Y 1 + 4Y 2 + 5Y 3 ≥ 50
Y 1 , Y 2 , Y 3 ≥ 0
Find the dual of the following problem:
Minimize: Z = 40X 1 + 200X 2
Subject to:
4X 1 + 40X 2 ≥ 160
3X 1 + 10X 2 ≥ 60
8X 1 + 10X 2 ≥ 80
X 1 , X 2 ≥ 0
Dual problem in case of normal LP problem;
Maximize: Z = 160Y 1 + 60Y 2 + 80Y 3
Subject to:
4Y 1 + 3Y 2 + 8Y 3 ≤ 40
40Y 1 + 10Y 2 + 10Y 3 ≤ 200
Y 1 , Y 2 , Y 3 ≥ 0
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DUALITY (Cont…)

STEPS FOR PRIMAL PROBLEM TO DUAL PROBLEM IN CASE OF NONNORMAL LP PROBLEM:

Step1: If the given LP problem is in nonnormal form then we first convert it into normal form, for converting the nonnormal LP problem into normal LP problem adopt the following procedure:

IN CASE OF MAXIMIZATION PROBLEM

 

Constraints / Variable Type

 

Procedure

1.

If Less than or equal to (≤) type

No Change is required

2.

If greater than or equal to (≥) type

Convert the ‘≥’ type inequality into ‘≤’ type by multiplying it by ‘–1.

3.

If equal to (=) type

  • a. Convert the equality into two inequalities in which one having ‘≥’ sign while other having ‘≤’ sign.

 
  • b. Convert the ‘≥’ type inequality into ‘≤’ type by multiplying it by ‘–

 

1.

4.

Unrestrictedinsign Decision Variable (X i )

Any unrestricted in sign decision variable can be rewritten ‘X i as the difference X i = X i / X i // of two nonnegative decision variables

 

X i / , X i

//

.

IN CASE OF MINIMIZATION PROBLEM

 

Constraints / Variable Type

Procedure

1.

If Less than or equal to (≤) type

Convert the ‘≤’ type inequality into ‘≥’ type by multiplying it by ‘–1.

2.

If greater than or equal to (≥) type

No Change is required

3.

If equal to (=) type

  • a. Convert the equality into two inequalities in which one having ‘≥’ sign while other having ‘≤’ sign.

 
  • b. Convert the ‘≤’ type inequality into ‘≥’ type by multiplying it by ‘–1.

4.

Unrestrictedinsign Decision

Any unrestricted in sign decision variable can be rewritten ‘X i as the

//

.

Variable (X i )

difference X i = X i / X i // of two nonnegative decision variables X i / , X i

DUALITY (Cont…)

STEPS FOR PRIMAL PROBLEM TO DUAL PROBLEM IN CASE OF NONNORMAL LP PROBLEM (Cont):

Step2: Restate the primal problem after taking step1. Step3: If the primal problem is in a maximization form then the dual problem will be in minimization form. But if the primal problem is in a minimization form then the dual problem will be in maximization form. Step4: The number of decision variables in the dual problem is equal to the number of constraints in the primal problem. Step5: The quantities (numerical values) which appear on the right hand side (RHS) of the constraints of the primal problem become the coefficients of the decision variables in the objective function of the dual problem. Step6: The number of constraints in the dual problem is equal to the number of variables in the primal problem. Step7: The coefficients of the variables in the constraints of the primal problem which appear from left to right be placed from top to bottom in the constraints of the dual problem. Step8: If the primal problem has less than or equal to (≤) type constraints then the dual problem will have greater than or equal to (≥) type constraints; But if the primal problem has greater than or equal to (≥) type constraints then the dual problem will have less than or equal to (≤) type constraints. Step9: The coefficients of the objective function of the primal problem which appears on the right hand side (RHS) of the constraints of the dual problem. Step10: Nonnegativity restriction will also apply to decision variable of dual problem.

Find the dual of the following problem:

Maximize:

Subject to:

Z = 6X 1 + 4X 2 + 6X 3 + X 4

4X 1 + 5X 2 + 4X 3 + 8X 4 = 21 3X 1 + 7X 2 + 8X 3 + 2X 4 48 X 1 , X 2 , X 3 , X 4 0

DUALITY (Cont…)

As the given LP problem is in the form of maximum

nonnormal form

so

we

need to convert

it

into

maximum normal LP problem in which we need all the constraints in the form of less than or equal to ‘≤’.

So,

Constraint–1: 4X 1 + 5X 2 + 4X 3 + 8X 4 = 21; Now we
Constraint–1: 4X 1 + 5X 2 + 4X 3 + 8X 4 = 21; Now we convert it into two inequalities that are:
4X 1 + 5X 2 + 4X 3 + 8X 4 ≤ 21
4X 1 + 5X 2 + 4X 3 + 8X 4 ≥ 21
Inequality having ‘≥’ sign; convert it into ‘≤’ form by multiplying with ‘–1’; we get: –4X 1 – 5X 2 – 4X 3 – 8X 4 ≤ –21

Now restating the primal as below:

Maximize:

Z = 6X 1 + 4X 2 + 6X 3 + X 4

Subject to:

4X 1 + 5X 2 + 4X 3 + 8X 4 21 4X 1 5X 2 4X 3 8X 4 ≤ –21

3X 1 + 7X 2 + 8X 3 + 2X 4 48 X 1 , X 2 , X 3 , X 4 0

Note: Regarding the step4 of the algorithm, the number of decision variables in the dual problem is equal to the number of constraints in the primal problem. But we can see that in the given original primal there are two 2constraints and four 4variables while in dual there are four 4constraints and three 3variables which shows the inconsistency. So in order to remove such an inconsistency: let (Y 1 Y 2 ) = Y / .

Now follow the remaining steps for converting the primal into dual; we will get the dual of the given problem

which is:

Minimize: Z = 21Y / + 48Y 3 Subject to:

4Y / + 3Y 3 ≥ 6 5Y / + 7Y 3 ≥ 4 4Y / + 8Y 3 ≥ 6 8Y / + 2Y 3 ≥ 1 Where Y 3 ≥ 0; Y / (unrestricted in sign)

DUALITY (Cont…)

Find the dual of the following problem:

Maximize: Z = 6X 1 + 8X 2 Subject to:

2X 1 + 3X 2 16 4X 1 + 2X 2 16

2X 1 +

X 2 = 16

As the given LP problem is in the form of maximum nonnormal form so we need to convert it into maximum normal LP problem in which we need all the constraints in the form of less than or equal to ‘≤’. So,

X 1 , X 2 0

Now restating the primal as below:

Maximize: Z = 6X 1 + 8X 2 Subject to:

2X 1 + 3X 2 16 4X 1 2X 2 ≤ –16 2X 1 + X 2 16 2X 1 X 2 ≤ –16 X 1 , X 2 0

DUAL:

Minimize: Z = 16Y 1 16Y 2 + 16Y 3 16Y 4 Subject to:

2Y 1 4Y 2 + 2 Y 3 2Y 4 6

3Y 1 2Y 2 +

Y 3

Y 4 8

Y 1 , Y 2 , Y 3 , Y 4 0

Minimize: Z = 16Y 1 16Y 2 + 16Y / Subject to:

2Y 1 4Y 2 + 2Y / 6 3Y 1 2Y 2 + Y / 8 Where, Y 1 , Y 2 0; Y / unrestricted in sign

Find the dual of the following problem:

Maximize: Z = 12X 1 + 15X 2 + 9X 3 Subject to:

8X 1 + 16X 2 + 12X 3 25 4X 1 + 8X 2 + 10X 3 80 7X 1 + 9X 2 + 8X 3 = 105 X 1 , X 2 , X 3 0

DUALITY (Cont…)

Minimize: Z = 25Y 1 80Y 2 + 105Y / Subject to:

8Y 1 4Y 2 + 7Y / 12 16Y 1 8Y 2 + 9Y / 15 12Y 1 10Y 2 + 8Y / 9 Where, Y 1 , Y 2 0; Y / unrestricted in sign

Find the dual of the following problem: Maximize: Z = 12X + 15X + 9X Subject

Find

the

dual

of

the

following

problem:

 

Maximize: Z = 3X 1 + X 2 + X 3 X 4 Subject to:

X 1 + X 2 + 2X 3 + 3X 4 5 X 3 X 4 ≥ –1 X 1 X 2 = 1

X 1 , X 2 , X 3 , X 4 0

Find the dual of the following problem: Maximize: Z = 12X + 15X + 9X Subject

Minimize: Z = 5Y 1 + Y 2 Y / Subject to:

Where,

Y 1 + Y / 3 Y 1 Y / 1 2Y 1 Y 2 1 3Y 1 + Y 2 ≥ –1 Y 1 , Y 2 0; Y / (unrestricted in sign)

QUESTIONS

QUESTIONS 13