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Duality Theory

One of the most important discoveries in the


early development of linear programming was
the concept of duality.
Every linear programming problem is associated
with another linear programming problem called
the dual.
The relationships between the dual problem and
the original problem (called the primal) prove
to be extremely useful in a variety of ways.
The dual problem uses exactly the same parameters
as the primal problem, but in different location.
Primal and Dual Problems
Primal Problem Dual Problem
Max
s.t.
Min
s.t.

=
=
n
j
j j
x c Z
1
,

=
=
m
i
i i
y b W
1
,

=
s
n
j
i j ij
b x a
1
,

=
>
m
i
j i ij
c y a
1
,
for for . , , 2 , 1 m i = . , , 2 , 1 n j =
for
. , , 2 , 1 m i =
for
. , , 2 , 1 n j = , 0 >
j
x , 0 >
i
y
In matrix notation
Primal Problem Dual Problem
Maximize
subject to
. 0 > x
. 0 > y
Minimize
subject to
b Axs
c yA>
, cx Z = , yb W =
Where and are row
vectors but and are column vectors.
c
| |
m
y y y y , , ,
2 1
=
b
x
Example
Max
s.t.
Min

s.t.
Primal Problem
in Algebraic Form
Dual Problem
in Algebraic Form
, 5 3
2 1
x x Z + =
, 18 12 4
3 2 1
y y y W + + =
18 2 3
2 1
s + x x
12 2
2
s x
4 s
1
x
0 x , 0 x
2 1
> >
5 2 2
3 2
> + y y
3 3
3
> + y
1
y
0 y , 0 y , 0 y
3 2 1
> > >
Max
s.t.
Primal Problem
in Matrix Form
Dual Problem
in Matrix Form
Min
s.t.
| | , 5 , 3
2
1
(

=
x
x
Z
(
(
(

s
(

(
(
(

18
12
4
,
2
2
0
3
0
1
2
1
x
x
.
0
0
2
1
(

>
(

x
x
| | | |. 0 , 0 , 0 , ,
3 2 1
> y y y
| | | | 5 , 3
2
2
0
3
0
1
, ,
3 2 1
>
(
(
(

y y y
| |
(
(
(

=
18
12
4
, ,
3 2 1
y y y W
Primal-dual table for linear programming
Primal Problem
Coefficient of: Right
Side
R
i
g
h
t

S
i
d
e

D
u
a
l

P
r
o
b
l
e
m

C
o
e
f
f
i
c
i
e
n
t

o
f
:

m
y
y
y
2
1

21
11
a
a
22
12
a
a
n
n
a
a
2
1
1
x
2
x
n
x


1
c
2
c
n
c

VI VI VI
Coefficients for
Objective Function
(Maximize)
1
b s
mn
a
2 m
a
1 m
a
2
b s

m
b s
C
o
e
f
f
i
c
i
e
n
t
s

f
o
r


O
b
j
e
c
t
i
v
e

F
u
n
c
t
i
o
n

(
M
i
n
i
m
i
z
e
)

One Problem Other Problem
Constraint Variable
Objective function Right sides
i
i
Relationships between Primal and Dual Problems
Minimization Maximization
Variables
Variables
Constraints
Constraints
0 >
0 >
0 s
0 s
s
s
>
>
=
=
Unrestricted
Unrestricted
The feasible solutions for a dual problem are
those that satisfy the condition of optimality for
its primal problem.
A maximum value of Z in a primal problem
equals the minimum value of W in the dual
problem.
Rationale: Primal to Dual Reformulation
Max cx
s.t. Ax b
x 0
L(X,Y) = cx - y(Ax - b)
= yb + (c - yA) x
>
s
Min yb
s.t. yA c
y 0
>
>
Lagrangian Function )] , ( [ Y X L
X
Y X L
c
c )] , ( [
= c-yA
The following relation is always maintained
yAx yb (from Primal: Ax b)
yAx cx (from Dual : yA c)
From (1) and (2), we have (Weak Duality)
cx yAx yb
At optimality
cx* = y*Ax* = y*b
is always maintained (Strong Duality).
>
s
s s
s
>
(1)
(2)
(3)
(4)
Complementary slackness Conditions are
obtained from (4)
( c - y*A ) x* = 0
y*( b - Ax* ) = 0
x
j
* > 0 y*a
j
= c
j
, y*a
j
> c
j
x
j
* = 0
y
i
* > 0 a
i
x* = b
i
, a
i
x* < b
i
y
i
* = 0
(5)
(6)
Any pair of primal and dual problems can be
converted to each other.
The dual of a dual problem always is the primal
problem.
Min W = yb,
s.t. yA c
y 0.
Dual Problem
Max (-W) = -yb,
s.t. -yA -c
y 0.
Converted to
Standard Form
Min (-Z) = -cx,
s.t. -Ax -b
x 0.
Its Dual Problem
Max Z = cx,
s.t. Ax b
x 0.
Converted to
Standard Form
s
s
>
>
> >
>
>
Min
s.t.
6 4 . 0 6 . 0
6 5 . 0 5 . 0
7 . 2 1 . 0 3 . 0
2 1
2 1
2 1
> +
= +
s +
x x
x x
x x
0 , 0
2 1
> > x x
2 1
5 . 0 4 . 0 x x +
Min
s.t.
] [y 6 4 . 0 6 . 0
] [y 6 5 . 0 5 . 0
] [y 6 5 . 0 5 . 0
] [y 7 . 2 1 . 0 3 . 0
3 2 1
-
2 2 1
2 2 1
1 2 1
> +
>
> +
>
+
x x
x x
x x
x x
0 , 0
2 1
> > x x
2 1
5 . 0 4 . 0 x x +
Max
s.t.
. 0 , 0 , 0 , 0
5 . 0 4 . 0 ) ( 5 . 0 1 . 0
4 . 0 6 . 0 ) ( 5 . 0 3 . 0
6 ) ( 6 7 . 2
3 2 2 1
3 2 2 1
3 2 2 1
3 2 2 1
> > > >
s + +
s + +
+ +
+
+
+
+
y y y y
y y y y
y y y y
y y y y
Max
s.t.
. 0 , URS : , 0
5 . 0 4 . 0 5 . 0 1 . 0
4 . 0 6 . 0 5 . 0 3 . 0
6 6 7 . 2
3 2 1
3 2 1
3 2 1
3 2 1
> >
s + +
s + +
+ +
y y y
y y y
y y y
y y y
Application of
Complementary Slackness Conditions.

Example: Solving a problem with 2 functional
constraints by graphical method.
0 , ,
10 4
30 4 3 . .
3 7 2 max
3 2 1
3 2 1
3 2 1
3 2 1
>
s +
s + +
+ =
x x x
x x x
x x x t s
x x x Z
Optimal solution
x
1
=10
x
2
=0
x
3
=0