d l i bl h i d i d h i ll

Th LP
Lecture 3 The Dual Problem
dual is an problem that is derived mathematically
from a given primal model

.
The L
L
P
P
the primal is a problemthe dual will be a
problem and visa v
max min
er
, If LP
sa.
this lecturewe introduce the of the dual problem
based on the
definition
standard form
,
.
In
such by defining the dual problem f standard rom the
the results will be
form
consistent with the info
, , As
rmation contained in
the
singledefinitionwegivehereisgeneral inthesensethatit
simplex tableau.
The single definition we give here is general in the sense that it
automatically accounts for all the forms given in the other
treatments

.
The
LP
of a primal
o
standard form
r
The
Maximize Minimize
LP
or

1 1 2 2 n n
Maximize Minimize
Sub
z c x c x c x
ject o t
= + + +

1 1 2 2 n n 1 1 1 1
Sub
a x a x a x
ject
a x a x a x
o
b
b
t
+ + +
+ +
=
+ =

1 1 2 2 2 n n 2 2 2
a x a x a x b + + + =

a x a x a x b + + + =
. , , ,

1 1 2 2 n
j
m m m m n
a x a x a x
x 0 j =
b
1 n
+ + + =
>

or

Maximize i M

T
n z c x imize = or Maximize i M
( )
0 ,
n z c x
Ax = b x
imize
Subject to >
( ). , ,
1 2 n
= x x x x . . .
that the variables include the and
th f t ti th d l th
, , , . Note
F
j
n x artif slacks icials
the purpose of constructing the dual, we arrange the
coefficients of the primal schematically as shown in
di

.
For
Table 1
h h h d l i b i d i ll diagr The am shows that the dual is obtained symmetrically
from the primal according to the following rules:
a dual variable
a dual
every primal c there is
there
onstraint
every primal varia i s ble
.

For
For
1.
2. constraint.
constraint coefficients of a primal variable form the
left-side coefficients of the corresponding dual constraint;
The 3.
p g ;
and the objective coefficient of the samevariable becomes
t

he right side of the dual constraint.
( ) , e.g., the tinted column under .
j
ee x S
Table 1
Table 2
dual problem rules indicate that the will These
have variables( ) and constraints
( )
, , ... ,
corresponding to
1 2 m
n
x
m y
x
y y
x ( ) corresponding to , , ... , .
1 2 n
x x x
following examples are designed to illustrate The
the use of these rules and more important to show
that our definition incorporates all forms of the
, ,
primal.
Example 1
P
Example
rimal
1
M
P

rimal

1 2 3
10
5 12 4
2
Max
Subject to
z x x x
x x x
= + +
+ + s


1 2 3
1 2 3
10
8
2
j


x x x
2x x 3x
+ + s
+ =
. , ,
1 2 3
x 0 x 0 x 0 > > >
Example 1- con.
Standard Primal
Max z 5x 12x 4x x 0 + + +
1 2 3 4
Max
Subject to
z 5x 12x 4x x 0 = + + +
1 2 3 4
j

x 2x x x
2x x 3x x
1
0 8
0 + + + =
+ + =

. , , ,
1 2 3 4
1 2 3 4
2x x 3x x
x 0 x 0 x
0
0 x
8
0
+ +
> > > >
N slack
zerocoeffic
that is
ient
a in the first constraint;
hence it has intheobjective s
otice
4
x
zero coefficient hence it has in the objective
function and the second constrain.
s
t
,
. Example 1- con

Dual
1 2
8 10 Min y y w = +
:
1 1 2
5
Subj
y y
ect to
x 2 + >
:

1
2
1 2
1 2
1
4
2
y y
y x 2 y
x y 3y
>
+ > :
:
1 2 3
4
4

x
x
y 3y + >
( ) implies that
1 2 1
0 0 y y y 0 + > >

h "i d i db
, unrestricted
" d O
1 2
y
0
y
that "is dominated by
dual constraint associated with .
" unrestricted .

Observe
The
1 1
4
0 y
x
y >
4
, the should read as dual problem Thus
1 2
10 8 Min
Subject to
w y y = +

1 2
5
12
Subject to
2
2
y y
y y
+ >
>
1 2
1 2
12
4


2



y y
y 3y
>
+ >
, unrestricted
1 2
0 y y >
the changes in the dual shown if its primal Indicat e
Exerc ise 1
[ :
minimization maximizat is instead of ion
. Changes are , first three constraints are
.
Maximiz A w e ns
] of the type , and .
1
0 y s s
5 12 1 Mi
Example 2

Primal Form
1 2
1 2
1.
5 12
5
1 Min
Subject to
z x x
x x


= +
+ >
,
1 2
1 2
1 2
5 2x 3x


x x 0
+ s
> ,
1 2
x x 0
z 1 Min 5x 12x
>
+
Standard F rm o
1 2
z 1 Min 5x 12x
S
= +
1 2 3 4
x x x x
ubj
1
ect
.5 0
to
+ + =

, , ,
1 2 3 4
1 2 3 4
1 2 3 4
2x 3x x x
x x x
5
x 0
0 + + + =
> , , ,
1 2 3 4
Example 3
Primal
z 5x 6x Max = +
1 2
z 5x 6x Max
Subject to
= +


1 2
x 2x
x 5x
j
5
3
+ =
+ > -
1 2
1 2
x 5x
4x 7x
3
8
+ >
+ s
unrestricted
1
x
0 >
2
x 0 >
h
.
' '' ' ''
L 0
Example 3- con
w
standard prim
here
the becomes al
, , .

' '' ' ''
Let
Then
1 1 1 1 1
x x x x x 0

= >
s d dp e beco es
Standard prima
e
l

' ''
1 1 2
z 5x 5x 6x Max
S bj
= +

' ''
1 1 2 3 4

Subject to
x x 2x x x 0 0 5 + + + =

1 1 2 3 4
-
' ''
' ''
1 1 2 3 4
x x 5x x x 0 3 + + + =
, , , ,
' ''
' ''
1 1 2 3 4
1 1 2 3 4
4x 4x 7x x x
x x x x x 0
8 0 + + + =
> , , , ,
1 1 2 3 4
x x x x x 0 >
.
D l
Example 3 - con

Dual
1 2 3
5y 3y 8y w Min
Subject

to
= + +
( ) implies that

`
)
1 2 3
1 2 3
1 2 3
- -
y y y
y y
4 5
4 5
4 5
Subject to
y
y y y



+ >
+ =
+ >
( ) implies that
) 1 2 3
1 2 3
-
4 5
2 5 7 6
y y y
y y
0
y
y y 0




+ >
+ + >
> s ( ) implies that
2 2
- 0

y

y 0

> s
3
y 0 >
that the first and second constraints can be
replaced by the equation
dual
.
Observe
1 2 3
y y y 4

5 + =
will always be the case when the primal variable is
unrestricted, meaning that an unrestricted
This
d
primal variable
ill l l d i l ( ) h l h dua will always lead to a equation l ( ) rather inequali han ty t .
Exercise 2
the changes in the dual just shown Indicate
if the objective is minimization and thefirst
constraintisof thetype" " >
[
constraint is of the type
. , first three constraints are of
.
Maxim w ize Ans
>
[ . , first three constraints are of
the type" ", and
Maxim w ize Ans
y s ] , .
2 3
y 0 0 s >

3. The dual problem in matrix form
now provide a general matrix definition
of the problemba dual sedonthefollowing
We
of the problem ba dual
standard
sed on the following
primal model: LP
T T
Primal
X X Max C z C = +
I II I II
X X Max
Su

bject
C z C = +
to Subject
I II
to

Ax Ix
0
b
0
+ =
,
I II
x 0 x 0 > >
( ) be the vector.
l i i ldth
.
f
dual
d ll i
.
l
. , , , Let
Th
1 2 m

T bl 2
Y y y y =
rules in yield the f dua ollowing : l
T
The Table 2
Min w Y b =
T
Subject to
A C Y >
I
I
I

A C

Y
Y C
>
>
Y
that mayoverridetheunrestrictedstatusof
unrestricted vector
Note C Y Y > that may override the unrestricted status of
the primal problem is changed to the dual
bl
minimization
i f i i i i h d i i
.
,
Note
If
II
C Y Y >
problem sens maxim e of optimization is changed izat to
andt
n
h
io
e first two sets of constraints are changed to with Y s
remaining unrestricted.
Duality - Conclusion
T
Dual
Primal

I
T
T T
I I I II
Min
Max
Subject to
Subject to
w
z C X C X
Y b

=
= +
I II
Subject to
Subject to

AX IX
X 0 X 0
b + =
I
II
A C
C
Y
Y
>
>
,
I II
X 0 X 0 > >
unrestricted vector
II
C

Y
Y
>
the of Dual nonsta a ndard Finding LP

1 1 2 2 n n
z c x c x c x
Max problem
= + + +

'
+
It s dual

1 1 2 2 n n
1 1 2 2 1 1 1 1
z
a x a
Subj
x a x
ect to
b s + + +


+

1 1 2 2 m m
Min problem
w b y b y b y = + + +

1 1 2 2 1 1 1 1
2 2 2 2
n n
1 1 2 2 n n
a x a x a x
a x a x a x
b
b
s
s
+ + +
+ + +

1 1 2 2 m m
1 1 2 2 1 1 1 1
Subject
a
y y y
y a a c y y
to
> + + +
m m 1 1 2 2
a x a x + +
. , , ,

1 1 2 2 m m
m
1 1 1 1
n
j
m n
a y a a c
a x a
x 0 j
y y
= 1
b
n
> + + +
s +
>

1 1 2 2 m m 2 2 2 2
a a c y y y + + + >

.

, , ,

'
|
It s dual
j
x 0 j 1 n >
. , , ,

1 1 2 2 n n n
i
n m m
a a y y y
y 0 i = 1 m
a c +
>
+ + >
. , , ,
i
y 0 i 1 m >
thefollowingpair of primal an dual d problems Consider
Example 4
the following pair of primal an dual d problems
Primal D
Cons
u
ider
al


1 2
1
z 5x 2x
w
Max
Min 12y 9
Subjec


t to
=
=
+
+
2 3
y 20y
Subject to
+

1 2
1 2 2
1
3
4
x x
x x
12 y
9 y
1
3
+ s
s
1 2 3
1 2 3
y y y
y y y
5
2
1
3 4 8
3 7
j
>
>
+ +
+

,

1 2
1 2
3
8 x x
x x 0
y 2 7 0 + s
>
, ,
1 2 3
1 2 3
y y y
y 0 y y >
,
1 2

3 1 1
Original constraints Dual constraints
s 2
1 2
1 2
x x
x x
3
4
1

1

8 7
3
s
s
+

1 2 3
1 2 3
y y y 5
2
9
y
1 3
y y
2
3 8 2 4
7
0
>
>
+ +
+
1 2
x x 8 7 s +
1 2 3
y y y
2
3 8 2 4
0
> +
h f ll i i f i l dd l bl C id
Examp le 5
the following pair of primal and dual problems
Primal Prim
Consid
al
er

1 2
z 0.4x 0.5x z 0 Min Min
Subjec

o t

t
= = +

1 2
.4x 0.5x
Subject to
+
1 2
0.3 0.1 x x 2.7
Subjec o t t
+ s

1 2 1
y 2.7 0.3 0.1 x x - -
Subject to
>

1 2
1 2
0.5
0.6
x x
x x
0.5
0.4
6
6
+ =
+ >
-

- -

1 2
1 2
2
2
y 6
y 6
0.5
0.5
0.5
0.5
x x
x x
+
+ >
>
,
1 2
x x 0 >
,

1 3 2
1 2
0. 0.6x x y
x x
4 6
0
+ >
>

,
1 2
x x 0 >

.
Dual
Primal
Example 5 - con
-
( )
Dual
Primal
1 2
1 2 2 3


2.7y 6 y y 6y w
z 0.4x 0.5x
- Max
Mi

n
Subject to
S bj t t

+
= + +
= +

1 2 1
0.1 y 2.7 x x 0.3

- -
Subject to
Subject to
+
>

-
-
( )
( )
1 2 2 3
y y y y 0.4
0 5
0.3 0 - .5 0.6
0 1 0 5 0 4
+
+
+ + s
+ + s

-

- -

1 2
1 2
2
2
0.5
0.
y 6 0.5
0.5
x x
x x 5 y 6
+

+ >
>
-
- ( )
, , ,
1 2 2 3
1 2 2 3
y 0.5
0
y y y 0.1 0.5 0.
y y y y
4
+
+
+ + s

>
,

1 2
2
3
1

0.6x x
x x 0
0

y 6 .4 + >
>
Dual

1 2 3
2.7y 6y w - 6y Max
Subject to
= + +


1 2
0.3 0.5 0 - y y
Subject to
+ +
-
3
1 2 3
0.1 0.5 0.4
y
y y
.
y
0.4 6
.5 0
s
+ + s
,
1 2 3
1 3
0.1 0.5 0.4

y y y

.5
0 y y
0 + + s
>
objectivevaluesinapair of prim problemsmust al dual
Primal Dual Relationship Between And Objective Values
The objective values in a pair of prim problems must
satisfy the following relations
al dual
hip:
The
carefully that these say nothing about which
problemisprimal andwhichisdual
two resuts l Observe
problem is primal and which is dual
is the sense of optimization( )
h i hi
.
maximization and minimization It
that matters in this case
prove
.
To the validity of these results let( ) and bethe , ,
I II
X Y X
feasible primal and dual solutions corresponding to the primal
-dual definitions given in matrix form.
premultiplying the primal constra , Then ints by we get
T T
, Y
postmultiplyingthedual constraintsby and

T T
, , Now
I II
I II
AX X w
X X
( Y b Y ) + =
postmultiplying the dual constraints by and
we get
,
T T T T T
I I II II
, , Now
I II
I II
X X
X A C X X X Y Y C > >
that ; hence the direction of the inequality
remains unchanged
,
.
Observe
I II
X 0 X 0 > >
g
adding the two constraints yields
T T T T T
,
+
Then
Y X A X C X C X Y > +
the left- hand sides of th
I II I II

+
Since
I II
Y X A X C X C X z Y > +
e and identities above are equal,
l d h
w z
we conclude that
whichprovesthefirst resultgivenabove
z w s
which proves the first result given above
to show that at the optimum solutions observe
.
, Now z w = that is
associatedwith isassociatedwith maximization minimization

, . but
z
w associated with is associated with
means that seeks the highest value among all feasible(
maximizatio
)
and seeksthelowest valueamongall feas
n minimizatio
l
n
ibe
, .
,
.
but
This
I II
w
z X
w Y
X
and seeks the lowest value among all feas l ibe .

w Y
( ) for all feasible solutions including the optima , the two
problems will reach optimality only when . m
z w
z w ax
Si ce
min
n
=
s
p p y y z
th f ll i i f i l d bl d l C id
Example 6
the following pair of primal and problem dua s l Consider
feasible solutions given above are determined by inspecting
theconstraintsof bothproblems
The
the constraints of both problems
objective value in the maximization problem( ) is less
thantheobjectivevalueintheminimiza
.
The dual
tionproblem( ) primal than the objective value in the minimization problem( )
result means that
( )
.
This
primal
min max 14 z w 15 s = s ( )
the range( ) is relatively narrow we can actually

to , Since
min max 14 z w 15
14 15
s = s
think of the two feasible solutions above as being near optimal
essence the given inequality can be used to test the goodness
.
, " " In
two limit
of the feasible solutions
the happen to be equal, the corresponding solutions s
.
If pp q , p g
are optimal.
Tutorial 3
optima
determine whether or not the following
feasible solutions are l
,
.
. In Example 6 Q1
( )
( )
;
;
, ,
, ,
1 2
1
1 2
1 2 2
y x 3 x 1 4 1
x 4 x 1 1
y
0 y y
= = = =
= = = = ( )

; , ,
1 1 2 2
x 4 x 1 1 0 y y
( ) ; , ,
1 2 1 2
x 3 x 0 5 0 y y
Q2
= = = =
the of the following linear pr du g al o ram: . Write
1 2 3
z 5x Max 12x 4x
Q2
= + +

1 2 3
1 2 3
z 5x Max
Subject to

12x 4x
x 5 2x x


+ +
+ + s
1 2 3

1 2 3
2x x 3x
x 0 x 0 x 0
2 + =
> > > . , ,
1 2 3
x 0 x 0 x 0 > > >
the of the following probl du em al . Write Q 3 gp

1 2
z x x 5 2 Max
Q
= +
x 1 x 12 3
Subject to
s +

1 2
1 2
x 1 x
x x
12
9
3
3 4
s
s
+

1 2
x x
x
20
x 0
8 7 s
>
+
,
1 2
x x 0 >