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Operations Research 1
LP Dual
The original LP is referred to as primal
The dual is another LP associated with the given LP
It is defined systematically
An LP and its dual are closely related:
an optimal solution of one provides information about an optimal
solution of the other one
Rules of the dual LP formulation: consider LP in a standard form
To each equation assign a variable
The objective coefficients in the dual are given by the right-hand side
of the primal (system of equations): if primal objective is max
the dual objective is min (and v.v)
To each primal variable assign a constraint
The column coefficients of a primal variable define the row coefficients
of a dual constraint, while the objective cost of the variable defines
the right-hand side of the constraint in the dual
Operations Research 2
Rules for Standard Form: MAXIMIZATION
Standard LP (primal) problem
maximize z = c1x1 + c2x2 + + c n xn
subject to a11x1 + a12x2 + + a1nxn = b1 y1
a21x1 + a22x2 + + a2nxn = b2 y2
.. .. .. .. .. ..
am1x1 + am2x2 + + amnxn = bm ym
xj 0, j = 1, . . . , n
Dual problem
minimize v = b1y1 + b2y2 + + bmym
subject to a11y1 + a21y2 + + am1ym c1 (x1)
a12y1 + a22y2 + + am2ym c2 (x2)
.. .. .. .. ..
a1ny1 + a2nx2 + + amnym cn (xn)
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Example
Primal Problem
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Primal Problem Another Example
There is an alternative way to write the dual from general rules (primal does
not have to be in the standard form)
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General rules (the book, page 155)
Maximization Minimization
Constraints Variables
0
0
= unrestricted
Variables Constraints
0
0
unrestricted =
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Primal-Dual Properties
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If one problem is unbounded, the other one is infeasible
If one problem has an optimal solution, so does the other, and the
optimal values are the same
Having an optimal solution for one of them, we can determine a dual
optimal solution for the other
There are two ways to do this
Both use the data from the optimal simplex table: the original problem,
initial basis, and the optimal table
Valid only for the problems in standard form.
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Determining Dual Optimal Solution from Optimal Simplex Table
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First Method: Uses Dual Problem and Optimal Simplex Table
Primal
maximize 5x1 + 12x2 + 4x3
subject to x1 + 2x2 + x3 10
2x1 x2 + 3x3 8
x1 , x 2 , x 3 0
Basic x1 x2 x3 x4 x5 Solution
z 0 0 3/5 29/5 2/5 54&4/5
x2 0 1 1/5 2/5 1/5 12/5
x1 1 0 7/5 1/5 2/5 26/5
How can we find an optimal dual? - Look at the optimal basis and the dual
problem
Operations Reseaech 13
minimize 10y1 + 8y2
maximize 5x1 + 12x2 + 4x3 subject to y1 + 2y2 5 (x1)
subject to x1 + 2x2 + x3 + x4 = 10 2y1 y2 12 (x2)
2x1 x2 + 3x3 + x5 = 8 y1 + 3y2 4 (x3)
x1 , x 2 , x 3 , x 4 , x 5 0 y1 0 (x4)
y2 0 (x5)
Optimal basic variables: x1 and x2
In the dual: take the inequalities corresponding to x1 and x2 and solve
the system in dual variables corresponding to these constraints as equalities:
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Second Method: Initial Simplex Table and Optimal Table
Basic x1 x2 x3 x4 x5 Solution
z 0 0 3/5 29/5 2/5 54&4/5
x2 0 1 1/5 2/5 1/5 12/5
x1 1 0 7/5 1/5 2/5 26/5
Operations Reseaech 15
Take the dual variables corresponding to x4-row and x5-row: y1 and y2
Take the original objective coefficients of the variables in the basis
(respecting the order): 12 and 5
Set up the system:
optimal dual = objective coeff. of the basis optimal inverse
" #
h i h i 2/5 1/5
y1 y2 = 12 5
1/5 2/5
y1 = 29/5, y2 = 2/5
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Relations in Simplex Table
Given a simplex table at any iteration i, we have
Column Rule
xj -column data = inverse at iteration i original xj -column
Here, column data does not include the z -row values. The rule applies
to rhs-column as well.
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Relations in Simplex Table
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Relations in Simplex Table
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Relations in Simplex Table
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19