ME407/PGA/23.8.

12
LP-DUAL PROBLEMS AND DUALITY
LP-DUAL PROBLEM FOR EQUALITY_CONSTRAINTS_FORM PRIMAL
PROBLEM
Consider the LP in standard equality form
[P2] v(b) = { Max ( z = c'x ) s.t. { Ax =b ; x>=0 } } where
-> A has m rows and n columns, and m < n
-> A has rank m
-> b>=0
[See Example 4.1-1 /Taha-Ed.9/p.172 and its dual; and Tables 4.1 & 4.2 /TahaEd.9/p.172 & 174.]
The LP Dual of this LP [P2] is another Linear Program, say [P3], whose variables are in
the space of the column vector b, i.e. m-space; and such that the shadow prices or
Simplex multipliers corresponding to an optimal Basic Feasible Solution of [P2]
constitute an optimal solution to the Dual LP [P3].
Consider the problem where the Hard Constraints { Ax = b } are removed and instead
we permit Ax to equal ( b + epsilon), say, where epsilon is only subject to the condition
that the system { Ax = (b + epsilon ) ; x>=0 } has a feasible solution.; and we incorporate
in the objective function an additional linear term whose value depends on epsilon. This
operation is referred to as Dualizing the Constraints. The said linear term added in the
objective function will be considered to be
w.epsilon = w.( b -Ax)
Now consider the problem:
Max { cx + w(-Ax + b) } s.t. {x>=0} (1)
Since the original Hard Constraints {Ax=b} amounted to having an infinite negative
gain whenever Ax was not equal to b, whereas in (1) the term (w(Ax b) ) is finite for
finite w, we see that
v(b) <= Max { cx + w(-Ax + b) | x>=0} .(2)
Now we ask the question: for what values of w, does the r.h.s. in (2) yield a non-trivial (
i.e. not equal to infinity ) upper bound on v(b)? The answer is obviously:
{ w | c - wA <= 0 } ..(3)

because otherwise at least one component of x go to infinity and show that the r.h.s. in
(2) is in fact equal to infinity in that case, yielding only a trivial upper bound on v(b).
So when we restrict w to satisfy (3), the upper bound on v(b) that we get is wb.
Now we see the sharpest ( least ) such upper bound. Thus we get a Linear Program which
is called the LP Dual of [P2], say
[D2]: Min {bw} s.t. { wA >=c or Aw >= c } .(4)
We thus have:
v(b) = { Max ( z = c'x ) s.t. { Ax =b ; x>=0 } }
<= Min {bw} s.t. { wA >=c or Aw >= c } ..( 4A)
[Note: w is not restricted in sign in (4)]
We shall refer to [P2] as a Primal LP and [D2] as its Dual LP.
Now we shall see that Dual of the Dual is the Primal. To see that, let us rewrite [D2] as
[D2~]:
[D2~]: Min { bw } s.t. {Aw s = c, s>=0 }
Now since w is unrestricted in sign, let us write w as
w = w1 w2, where w1>=0, w2 >=0
So we re-write [D2~] as:
[D2~]:
Min { b(w1-w2) } s.t. {A(w1-w2) s = c, s>=0,w1>=0, w2>=0 } ..(5)
= - Max { b(w2-w1) } s.t. {A(w1-w2) s = c, s>=0,w1>=0, w2>=0 } ..(6)
Now just as we arrived at [D2] as the Dual of [P2], applying the same logic to the
Maximization problem occurring in the r,h.s. of (6), we get the Dual of Dual of [P2] as
the problem ( wherein we use variable vector y ), obtained by considering only the Max
term occurring in the r.h.s of (6),
Max { b(w2-w1) } s.t. {A(w1-w2) s = c, s>=0,w1>=0, w2>=0 }
= Min { cy } s.t. { Ay>=-b, -Ay>=(+b), (-I.y) >=0 } .(7)
= Min { cy } s.t. { Ay=-b, y<=0 } ..(8)
= - Max {c(-)y} s.t. { Ay=-b, y<=0 } ..(9)

= - Max {cy} s.t. {Ay=b,y>=0 } (10)

From (5) ..(10) we see that we can rewrite [D2~] as:
[D2~]
Min { b(w1-w2) } s.t. {A(w1-w2) s = c, s>=0,w1>=0, w2>=0 }
= Max {cy} s.t. {Ay=b,y>=0 } ..(11)
This gives us the Dual of the Dual of P2, say D(D(P2)) as the linear Program:

D(D(P2)): Max {cy} s.t. {Ay=b,y>=0 } ..(12)

Which is exactly the same as [P2], except for change of name of variable from x to y.
Thus we have seen that Dual of the Dual is the Primal.
[See Example 4.1-1 /Taha-Ed.9/p.172 and its dual; and Table 4.1/Taha-Ed.9/p.172 &
Table 4.2]
LP-DUAL PROBLEM FOR INEQUALITY_CONSTRAINTS_FORM PRIMAL
PROBLEM
Here we shall follow a similar approach as above for the problem:
[P1] v(b) = { Max ( z = c'x ) s.t. { Ax <=b ; x>=0 } } where
-> A has m rows and n columns, and m < n
-> A has rank m
We rewrite [P1] as:
[P1~] v(b) = { Max ( z = c'x ) s.t. { Ax +I.s =b ; x>=0 } }
Now since this problem is in equality form, we can write its dual as:
[D1] Min { bw } s.t. { Aw >=c, I.w >=0 }
i.e.
[D1] Min { bw } s.t. { Aw >= c, w >=0 }.
We can write this problem in terms of a Max problem as:

[D1] Min { bw } s.t. { Aw >= c, w >=0 }.

= - Max { -bw } s.t. { -Aw <= -c, w>=0 }
[ now applying the logic that led us from [P1] to [D1], to write the Dual of [D1] ]
= - Min { -cy } s.t. { -Ay >= -b, y>=0 }
= Max { cy } s.t. { Ay <=b, y>= 0 }
Which brings us back to [P1]. Thus here again we note, in this form also, that
Dual of the Dual is the Primal.
[See Examples 4.1-1,2,3 /Taha-Ed.9/p.172-173 and their duals; and Table 4.1/TahaEd.9/p.172 & Table 4.2]
INEQUALITIES AND EQUALITY AMONG OBJECTIVES IN DUAL LPS
Consider the pair of Dual problems [P2] in x and [D2] in w in the inequality seen above:
v(b) = { Max ( z = c'x ) s.t. { Ax =b ; x>=0 } }
<= Min {bw} s.t. { wA >=c or Aw >= c } ..( 4A)
[P2]: { Max ( z = c'x ) s.t. { Ax =b ; x>=0 } }
[D2]: Min {bw} s.t. { wA >=c or Aw >= c }
Fact 1: Suppose x is feasible in [P2] and w is feasible in [D2]. The we have, from (4A)
that
cx <= bw ..(13)
Now we inquire about conditions under which quality holds in (13).
Since x is feasible in [P2] and w feasible in [D2], we can write:
cx <= wAx ..(14)
= wb
Thus we see that for equality to hold in (13), it is necessary and sufficient that equality
holds in (14), which happens iff
{ x[j] >0 only if (Aw)[j] = c[j] ( for all j ) .(15)
in which case x is Optimal in [P2] and w is Optimal in [D2]

Which is called the Complementary Slackness Condition (CS).

Now let us check that when we have solved [P2] by Simplex method and have found
Simplex Multipliers vector w given by
w= (c_B)inv(B) (16)
the C.S. condition is met; because x[j] can be positive only when x[j] is Basic, in which
case we already know that:
(wA)[j] = c[j] (17)
which ensures that the CS condition in (15 ) holds.
Thus we see that:
The Simplex Method, when it finds an Optimal Basis B for solving [P2], the
corresponding vector w of Simplex Multipliers given by (16) does constitute an
Optimal solution to [D2]
This gives us the result:
When [P2] is solved to optimality by Simplex method, yielding an Optimal Basis B
and its BFS, ( in which case [P2] has a finite Maximum ), we have:
{ the Max in [P2] = the Min in [D2] }
and w= (c_B)inv(B) constitutes an optimal solution to [D2].
This fact corresponds to Theorem 7.4-2 in Taha/Ed.9/p.325.
In class we shall see Examples from Tahas Text Ch.4/Ed.9 of Dual LPs.
At home students can solve LP examples through the TORA system given by Taha
related to his O.R. book.