06-10-2008

Duality theory

DUALITY THEORY AND

SENSITIVITY ANALYSIS

Every linear programming problem (primal) has a

dual problem.

Most problem parameters are estimates, others (as
resource amounts) represent managerial decisions.

The choice of parameter values is made based on a
sensitivity analysis.

Interpretation and implementation of sensitivity
analysis are key uses of duality theory.

Joo Miguel da Costa Sousa / Alexandra Moutinho

Primal and Dual Problems

Primal problem
(standard form)

Example: Wyndor Glass Co.

Maximize Z = c j x j

Minimize W = y i bi
subject to

j =1

a x
ij

subject to

i =1

ya

bi , for i = 1,2, , m

i ij

j =1

c j , for j = 1,2, , n

i =1

and x j 0, for j = 1,2, , n.

and y i 0, for i = 1,2, , m.

Joo Miguel da Costa Sousa / Alexandra Moutinho

Dual problem

x1
Maximize Z = [ 3 5] ,
x2

subject to
n

Primal problem

Dual problem

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Primal-dual table for LP

4
Minimize Z = y 1 y 2 y 3 12 ,
18
subject to

1 0
4
0 2 x 1 12

x2

3 2
18

x 1 0
and .
x 2 0

1
y 1 y 2 y 3 0

0
2 [ 3 5 ]
2

and y 1 y 2 y 3 [0 0 0 ].

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Example: Wyndor Glass Co.

Primal problem

xn

Right
side

a22

a2n

b2

am1

am2

amn

bm

c1

c2

cn

y2

a21

ym

Dual problem

b1

a12

Coefficients of
objective function
(Minimize)

a1n

a11

Right
side

Coefficient of:

y1

x1

x2

Right side

y1

y2

12

y3

18

x2

x1

Right
side

Coefficient of:

Coefficients of objective function

(Maximize)
Joo Miguel da Costa Sousa / Alexandra Moutinho

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Joo Miguel da Costa Sousa / Alexandra Moutinho

110

06-10-2008

Duality theory

Primal-dual relationships

General relations between primal and dual problems:

1. The parameters for a (functional) constraint in
either problem are the coefficients of a variable in
the other problem.
2. The coefficients in the objective function of either
problem are the right-hand sides for the other
problem.

Weak duality property: If x is a feasible solution for

the primal problem and y is a feasible solution for
the dual problem, then
cx yb

Strong duality property: If x* is an optimal solution
for the primal problem and y* is an optimal solution
for the dual problem, then
cx* = y*b

Joo Miguel da Costa Sousa / Alexandra Moutinho

Joo Miguel da Costa Sousa / Alexandra Moutinho

111

Primal-dual relationships

Primal-dual relationships

Complementary solutions property: At each

iteration, the simplex method identifies a CPF
solution x for the primal problem and a
complementary solution y for the dual problem,
where
cx = yb
If x is not optimal for the primal problem, then y is
not feasible for the dual problem.

Joo Miguel da Costa Sousa / Alexandra Moutinho

112

Complementary optimal solutions property: At

the final iteration, the simplex method identifies an
optimal solution x* for the primal problem and a
complementary optimal solution y* for the dual
problem, where
cx* = y*b
The yi* are the shadow prices for the primal
problem.

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Primal-dual relationships

Joo Miguel da Costa Sousa / Alexandra Moutinho

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Primal-dual relationships

Symmetry property: For any primal problem and its

dual problem, all relationships between them must
be symmetric because the dual of this dual problem
is this primal problem.

Duality theorem: The following are the only
possible relationships between the primal and dual
problems:

2. If one problem has feasible solutions and an unbounded

objective function, then the other problem has no
feasible solution.
3. If one problem has no feasible solutions, then the other
problem has either no feasible solutions or an unbounded
objective function.

1. If one problem has feasible solutions and a bounded

objective function, then so does the other problem, so
both the weak and strong duality properties are
applicable.
Joo Miguel da Costa Sousa / Alexandra Moutinho

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Joo Miguel da Costa Sousa / Alexandra Moutinho

116

06-10-2008

Primal-dual relationships

Primal-dual relationships

Relationships between complementary basic solutions

Primal basic
solution

Complementary
dual basic
solution

Both basic solutions

Primal feasible?

Dual feasible?

Suboptimal

Superoptimal

Yes

No

Optimal

Optimal

Yes

Yes

Superoptimal

Suboptimal

No

Yes

No

No

Neither feasible Neither feasible

nor superoptimal nor superoptimal

Joo Miguel da Costa Sousa / Alexandra Moutinho

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Applications of duality theory

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Duality theory in sensitivity analysis

If the number of functional constraints m is bigger

than the number of variables n, applying the SM
directly to the dual problem will achieve a substantial
reduction in computational effort.

Evaluating a proposed solution for the primal
problem. i) if cx=yb, x and y must be optimal even
without applying the SM; ii) if cx<yb, yb provides an
upper bound on the optimal value of Z.

Economic interpretation
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Joo Miguel da Costa Sousa / Alexandra Moutinho

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The essence of sensitivity analysis

Sensitivity analysis investigates the effect in the

optimal solution of changing parameters aij, bi, cj.

It can be easier to study these effects in the dual
problem:
 Optimal solution of the dual problem are the shadow prices
of the primal problem.
 Changes in coefficients of a nonbasic variable. Only changes
one constraint in the dual problem. If this constraint is
satisfied the solution is still optimal.
 Introducing a new variable. Only introduces a new constraint
in the dual problem. If the dual problem is still feasible,
solution is still optimal.
Joo Miguel da Costa Sousa / Alexandra Moutinho

120

Simplex tableau with parameter changes

What changes in the simplex tableau if changes are
made in the model parameters, namely bb , c c ,
A A ?

One assumption of LP is that all the parameters of

the model (aij, bi and cj) are known constants.

Actually:
 The parameters values used are just estimates based on a
prediction of future conditions;
 The data may represent deliberate overestimates or
underestimates to protect the interests of the estimators.

Coefficient of:
Eq.

Original variables

Slack variables

(0)

(1,2,,m)

An optimal solution is optimal only with respect to

the specific model being used to represent the real
problem sensitivity analysis is crucial!

Revised final
(0)
tableau
(1,2,,m)

z * c = y * A c

y*

Z * = y *b

A* = S * A

S*

b* = S *b

Joo Miguel da Costa Sousa / Alexandra Moutinho

Joo Miguel da Costa Sousa / Alexandra Moutinho

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New initial
tableau

Right side

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06-10-2008

Applying sensitivity analysis

Applying sensitivity analysis

Changes in coefficients of nonbasic variable:

Changes in bi:
 Allowable range: range of values for which the current
optimal BF solution remains feasible (find range of bi such
that b* = S * b 0 , assuming this is the only change in the
model). The shadow price for bi remains valid if bi stays
within this interval.
 The 100% rule for simultaneous changes in RHS: the shadow
prices remain valid as long as the changes are not too large.
If the sum of the % changes does not exceed 100%, the
shadow prices will definitely still be valid.

Joo Miguel da Costa Sousa / Alexandra Moutinho

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 Allowable range to stay optimal: range of values over which

the current optimal solution remains optimal(find c j y * A j ,
assuming this is the only change in the model).
 The 100% rule for simultaneous changes in objective function
coefficients: if the sum of the % changes does not exceed
100%, the original optimal solution will definitely still be
valid.

Introduction of a new variable:

 Same as above.
Joo Miguel da Costa Sousa / Alexandra Moutinho

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Other simplex algorithms

Dual simplex method
 Modification useful for sensitivity analysis, based on the
duality theory.

Parametric linear programming

 Extension for systematic sensitivity analysis. Vary one or
more parameters continuously over some interval(s) to
see when the optimal solution changes.

Upper bound technique

 A simplex version for dealing with decision variables
having upper bounds: xj uj, where uj is the maximum
feasible value of xj.
Joo Miguel da Costa Sousa / Alexandra Moutinho

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