Dual

Linear Programming Problem

Dual Linear Programming Problem
With every LPP, there is an associated LPP
which is called the dual of the original
problem (or the primal problem)

The two problems are so closely related

that the optimal solution of one yields the
optimal solution of the other problem.
Definition of the dual problem
Primal (Original) LP P (in standard form)

Maximize z = c1 x1 + c2 x2 + ... + cn xn
subject to a11 x1 + a12 x 2 + ... + a1 n x n = b1
a 21 x1 + a 22 x 2 + ... + a 2 n x n = b2
.
.
a m 1 x1 + a m 2 x 2 + ... + a mn x n = bm
x1 , x 2 , ..., x n 0
The dual problem is the LP:
Minimize w = b1 y1 + b2 y 2 + ... + bm y m
subject to
a11 y1 + a 21 y 2 + ... + a m1 y m c1
a12 y1 + a 22 y 2 + ... + a m 2 y m c2
.
.
a1n y1 + a 2 n y 2 + ... + a mn y m cn
y1 , y 2 ,..., y n unrestricted in sign
If the primal problem (in standard form) is
Minimize z = c1 x1 + c 2 x 2 + ... + c n x n
subject to
a11 x1 + a12 x2 + ... + a1n xn = b1
a21 x1 + a22 x2 + ... + a2 n xn = b2
.
.
am1 x1 + am 2 x2 + ... + amn xn = bm
x1 , x2 ,..., xn 0
Then the dual problem is the LP
Maximize w = b1 y1 + b2 y 2 + ... + bm y m
subject to
a11 y1 + a 21 y 2 + ... + a m 1 y m c1
a12 y1 + a 22 y 2 + ... + a m 2 y m c 2
.
.
a1 n y1 + a 2 n y 2 + ... + a mn y m c n
y1 , y 2 , ..., y n unrestricted in sign
Let y j be the dual variable
1. Number of dual variables y j =
Number of constraints in the primal.

2. Number of variables ( xi ) in the primal =

Number of constraints in the dual
3. If the primal is maximization then the
dual is minimization and all constraints
are .
If the primal is minimization then the
dual is maximization and all
constraints are .

4. In the primal, all variables are 0

while in the dual all the variables are
unrestricted in sign.
5. The objective function coefficients ci of
the primal are the RHS constants of the
dual constraints.
6. The RHS constants bj of the primal
constraints are the objective function
coefficients of the dual.
7. The coefficient matrix of the constraints
of the dual is the transpose of the
coefficient matrix of the constraints of
the primal.
Matrix Form
Primal Problem (in the Standard Form) :

M a x. z = C X
S u b je c t to
AX = b
X 0
Where x1 b1
x b
2 2
C = [ c1 c2 . . cn ] X = . , b= .
,
. .
xn bm

a11 a12 . . a1 n
a a 22 . . a2 n
21
A= .

.
a m 1 am 2 . . a mn
Dual Problem:
Min. w = b Y T

Subject to
A Y C
T T

Y Unrestricted in sign
where Y = ( y1 y 2 y m ) T
Primal Problem (in the Standard Form) :

M in . z = C X
S u b je c t to
AX = b
X 0
Dual Problem:
Max. w = b Y T

Subject to
A Y C
T T

Y Unrestricted in sign
where Y = ( y1 y 2 y m ) T
Write the dual of the LP

Maximize z = 5 x1 + 2 x2
subject to
x1 x2 2
2 x1 + 3 x2 5
x1 , x2 0
Thus the primal in the standard form is:
Maximize z = 5x1 + 2x2 + 0S1 + 0S2
subject to
x1 x2 S1 =2
2 x1 + 3x2 + S2 = 5
x1 , x2 , S1 , S2 0
Hence the dual is:
Minimize w = 2 y1 + 5 y2
subject to
y1 + 2 y 2 5
y1 + 3 y 2 2
y1 0
y2 0 y1 0, y2 0
y1 , y 2 unrestricted in sign
Write the dual of the LP

Minimize z = 6 x1 + 3x2
subject to
6 x1 3 x2 + x3 2
3 x1 + 4 x2 + x3 5
x1 , x2 , x3 0
Thus the primal in the standard form is:
Minimize z = 6x + 3x + 0x + 0S + 0S
1 2 3 1 2

subject to
6 x1 3 x2 + x3 S1 =2
3 x1 + 4 x2 + x3 S2 = 5
x1 , x2 , x3 , S1 , S2 0
Hence the dual is:
Maximize w = 2 y1 + 5 y2
subject to
6 y1 + 3 y 2 6
3 y1 + 4 y 2 3
y1 + y2 0
y1 0
y2 0 y1 , y2 0
y1 , y 2 u n r e s t r i c te d i n s i g n
Write the dual of the LP

Maximize z = x1 + x2
subject to
2 x1 + x2 = 5
3x1 x2 = 6
x1 , x2 unrestricted in sign
Thus the primal in the standard form is:
+ +
Maximize z = x x +x x
1 1 2 2
subject to
+ +
2x 2x + x x = 5
1 1 2 2
+ +
3x 3x x + x = 6
1 1 2 2
+ +
x ,x ,x ,x 0
1 1 2 2
 Hence the dual is:
Minimize w = 5 y1 + 6 y 2
subject to
2 y1 + 3 y 2 1 2 y1 + 3y2 = 1
2 y1 3 y 2 1
y1 y2 1
y1 y2 = 1
y1 + y2 1
y 1 , y 2 u n r e s tr i c te d in s i g n
An unrestricted primal variable always corresponds
to an equality dual constraint.
Theorem: The dual of the dual is the primal

Proof: Consider the primal problem (in

standard form)
Maximize z = c1 x1 + c 2 x 2 + ... + c n x n
subject to a 1 1 x1 + a 1 2 x 2 + ... + a 1 n x n = b1
a 2 1 x1 + a 2 2 x 2 + ... + a 2 n x n = b 2
.
.
a m 1 x1 + a m 2 x 2 + ... + a m n x n = b m
x1 , x 2 , ..., x n 0
 The dual problem is the LP
Minimize w = b1 y1 + b2 y 2 + ... + bm y m
subject to
a11 y1 + a 21 y 2 + ... + a m1 y m c1
a12 y1 + a 22 y 2 + ... + a m 2 y m c2
.
.
a1n y1 + a 2 n y 2 + ... + a mn y m cn
y1 , y 2 ,..., y m unrestricted in sign
Case (i): All ci 0. Then the dual problem in
the standard form is the LP
Minimize w = b1 y 1+ b1 y 1 + ... + b m y m+ b m y m
+ 0 s 1 + 0 s 2 + ... + 0 s n
subject to
a1 1 y1+ a11 y1 + ... + a m 1 y m+ a m 1 y m s1 = c1
+ +
a1 2 y a12 y + ... + a m 2 y a m 2 y s 2 = c 2
1 1 m m

.
.
a1 n y1+ a1 n y1 + ... + a m n y m+ a m n y m s n = c n
y1+ , y1 , ..., y m+ , y m , s1 , s 2 , ..., s n 0
Hence its dual is the LP
Maximize z = c1 x1 + c 2 x 2 + ... + c n x n
a11 x1 + a12 x 2 + ... + a1n x n b1
subject to
a11 x1 a12 x 2 ... a1n x n b1
.
a m1 x1 + a m 2 x 2 + ... + a mn x n bm
a m1 x1 a m 2 x 2 ... a mn x n bm
x1 0, x 2 0,..., x n 0
x1 , x 2 ,..., x n unrestricted in sign
 Which is nothing but the LP
Maximize z = c1 x1 + c 2 x 2 + ... + c n x n
subject to a 11 x1 + a 12 x 2 + ... + a 1 n x n = b1
a 21 x1 + a 22 x 2 + ... + a 2 n x n = b 2
.
.
a m 1 x1 + a m 2 x 2 + ... + a mn x n = b m
x1 , x 2 ,..., x n 0
This is the primal problem.
Case (ii): All ci 0 except c1. Then the dual
problem in the standard form is the LP
Minimize w = b1 y 1+ b1 y 1 + ... + b m y m+ b m y m
+ 0 s 1 + 0 s 2 + ... + 0 s n
Subject to
+ +
a y + a y + ... a y + a y + s1 = c1
11 1 11 1 m1 m m1 m
+ +
a y a y + ... + am 2 y am 2 y s2 = c2
12 1 12 1 m m

.
.
a1n y1+ a1n y1 + ... + amn ym+ amn ym sn = cn
y1+ , y1 ,..., ym+ , ym , s1 , s2 ,..., sn 0
Hence dual of dual is the LP:
Maximize z = c1v1 + c 2 x 2 + ... + c n x n

subject to a11v1 + a12 x 2 + ... + a1n x n b1

a11v1 a12 x 2 ... a1n x n b1
.
a m1v1 + a m 2 x 2 + ... + a mn x n bm
a m1v1 a m 2 x 2 ... a mn x n bm
v1 0, x 2 0,..., x n 0
v1 , x 2 ,..., x n unrestricted in sign
 Which is nothing but the LP
Maximize z = c1 v1 + c 2 x 2 + ... + c n x n
subject to a 11 v1 + a 12 x 2 + ... + a 1 n x n = b1
a 21 v1 + a 22 x 2 + ... + a 2 n x n = b 2
.
.
a m 1 v 1 + a m 2 x 2 + ... + a mn x n = b m
v1 0 , x 2 ,..., x n 0

Putting x1 = v1
 This is nothing but the primal (original) LP:
Maximize z = c1 x1 + c 2 x 2 + ... + c n x n
subject to a 1 1 x1 + a 1 2 x 2 + ... + a 1 n x n = b1
a 2 1 x1 + a 2 2 x 2 + ... + a 2 n x n = b 2
.
.
a m 1 x1 + a m 2 x 2 + ... + a m n x n = b m
x1 , x 2 , ..., x n 0
Hence dual of dual is the primal itself.
Cases where other ci are < 0 are similarly treated.
Weak Duality Theorem:
For any pair of feasible primal and dual
solutions (X, Y), the value of the objective
function in the minimization problem is an upper
bound for the value of objective function in the
maximization problem.
Objective Value in the Objective Value in the
Maximization problem Minimization problem
 Proof : Let the Primal be a Maximization problem

Max z = C X
A X = b,
X 0, b 0
Then the dual problem

Min w = b Y T

A YC
T T

Y unrestricted in sign
 x1 y1
Where x y
2 2
X = . , Y =

C = [ c1 c2 . . cn ] .
,
xn ym

a1 1 a1 2 . . a1 n
b1
a a 22 . . a 2 n b
21 2
A= . b= .

. .
a m 1 bm
am 2 . . a m n
Given X is a feasible solution of the Primal problem,

A X = b,
X 0,
Pre-multiplying the first part of the equation by
T (feasible solution of dual), we get
Y

Y A X=Y b= b Y = w
T T T

(1)
 Y be a feasible solution of the dual problem

A YC
T T

Y u n re s tr ic te d in s ig n

A YC
T T
Y A C
T

Post-multiplying the inequality by the vector X ( 0)

we get

Y A X CX = z
T

(2)
 Combining equations (1) and (2) we get

w z
The proof when the primal is a minimization
problem is similar.
Corollary: If X* is a feasible solution of the primal
and Y* is a feasible solution of the dual such that

z* = cX* = b Y* = w * T

then X* is an optimal solution of the primal and

Y* is an optimal solution of the dual.
The following result tells us how we can find the
optimal solution of the dual from the optimal table
of the primal :
Given the optimal primal basis B and its objective
coefficient vector CB, the optimal solution of the
dual problem is

Y = CB B
T -1
Proof Let the primal be a maximization problem.

z j c j 0 for all j
That is
1
CBB A C 0
YT A C
AT Y CT
So Y is feasible.
 The optimal solution of the primal is

z*= CB XB
1
= CBB b
= Y b = b Y =w
T T

And hence by the corollary of weak duality theorem,

Y is the optimal solution of the dual.
 Consider the following LP:

Maximize z = 2x1 + 4x2 + 4x3 3x4

Subject to x1 + x2 + x3 =4
x1 + 4 x2 + x4 = 8
x1 , x2 , x3 , x4 0

(a) Verify that B= (A2, A3) is optimal.

(b) Write the dual.
(c) Find the associated optimal dual solution.
Solution:
(a) B = [ A2 1 1
A3 ] =
4 0

B 1 0
=
1/ 4
CB = [4 4]
1 1 / 4
For non-basic variables x1, x4 ,check zj - cj :

0 1 / 4 1
z1 c1 = C B B A1 c1 = [ 4
1
4] 2
1 1 / 4 1
1
= [4 0] 2 = 4 2 = 2 0
1
 0 1 / 4 0
z 4 c 4 = C B B A4 c 4 = [ 4
1
4] ( 3)
1 1 / 4 1
0
= [ 4 0 ] + 3 = 3 0,
1
Thus optimality of the primal is satisfied (zj-cj 0):
x2
X B = = B 1b
x3
0 1 / 4 4 2
= =
1 1 / 4 8 2
Optimal primal solution:

x1 = 0, x2 = 2, x3 = 2, x4 = 0 and Max z = 16
(b) The dual problem is:

Minimize w = 4 y1 + 8 y2

s. t.
y1 + y2 2
y1 + 4 y2 4
y1 4
y2 -3
y1, y2 unrestricted in sign.
(c) Y T
= ( y1 y 2 ) = C B B -1

= [ 4 4] 0 1/ 4
1 = [ 4 0]
1 / 4
Thus the dual optimal solution is:

Y=[y1, y2] = CB B-1 = [4, 0]

y1 = 4, y2= 0
Min w = 4 y1 + 8 y2 =16
Estimate a range for the optimal objective
value of the following LPP:

Minimize z = 5 x1 + 2 x 2
subject x1 x2 3
to
2 x1 + 3 x2 5
x1 , x2 0
An obvious feasible solution is:

x1=3, x2=0 with z = 15.

Thus z* 15.
The dual of the given LP is the LP:
Maximize w = 3 y1 + 5 y 2

Subject to y1 + 2 y2 5
y1 + 3 y2 2
y1 , y2 0
An obvious feasible solution of the dual is:

y1=3, y2=1 with w = 14. Thus w* 14.

Hence by the weak duality theorem:

14 z* 15.
Four possibilities:

Primal optimal, dual optimal.

Primal unbounded, dual infeasible.

Primal infeasible, dual unbounded.

Primal infeasible, dual infeasible.

Corollary : If one of the problems has an unbounded solution
then the other has an infeasible solution.

The converse of Corollary need not be true.

Example: Consider the Primal LP:
Maximize
z = x1 + x 2
Both the problems have infeasible
s. t.
x1 x 2 1 solutions as we can easily show
graphically.
x1 + x 2 1
x1 , x 2 0
Its dual is the LP:

Minimize w = y1 y 2
y1 y2 1
s. t.
y1 + y2 1
y1 , y2 0
 x2
Primal
x1 x2 1

x1 + x2 1
x1

y2 Dual
y1 + y2 1
y1 y2 1
y1
 Weak Duality Theorem:

Objective Value in the Objective Value in the

Maximization problem Minimization problem

Corollary: If X* is a feasible solution of the primal and

Y* is a feasible solution of the dual such that

z* = c X * = b Y * = T
w*
then X* is an optimal solution of the primal and Y* is
an optimal solution of the dual.
Given the optimal primal basis B and its objective
coefficient vector CB, the optimal solution of the
dual problem is

Y =CBB
T -1

Optimal Row vector of

Original objective Optimal
values of
= coefficients of X primal
dual
optimal primal basic inverse
variables
variables
Method 2:
 Consider the following LP:

Maximize z = 2x1 + 4x2 + 4x3 3x4

Subject to
x1 + x2 + x3 =4
x1 + 4 x2 + x4 = 8
x1 , x2 , x3 , x4 0
The Optimal primal objective row is given as:
z + 2 x1 + 0 x2 + 0 x3 + 3x4 = 16
Use this information to find the optimal solution of
the associated dual problem