UNIT 8 DUALITY THEOREMS

Structure
8.1 8.2

Introduction Objectives

Weak Duality
Strong Duality

8.3

8.5

Summary
AnswerslHints/Solutions
-

8.6

Simplex Method and Duality

Its dual :
Minimize D=b1yl+b2y2+ ... +bmym Subject to

(Dual)

In the matrix notations, the two forms are as follows :

allyl + a2ly2 + ... + amlyi 2 ci a12y1+ a 2 ~ y+ . .. + am2Ym 2 C 2 2

i
alnyl + .. . -IamnYm2 Cn y 2 0 , ..., y m 2 0 1

Maximize z-CX
I

I I

i I

Subject to AX5B

Let K = (X : for the primal.

!

A X 5 B, X 2 0) be the set of all feasible solutions,

Dual
,

--,

Minimize D = B'Y Subject to ATY 2 C" Y 20

.
I

Let E = ( Y : ATY z CVr Y > 0) be the set of all feasible solutions for , the dual. - _ THEOREM 1 (Weak duality theorem). If primal and dual problems .

are both feasible with K and E as their respective feasible regions. The
Z 5 D for every XEK. and YE E.

PROOF : Let X,E K and YO Accordingly we have E.

AX, < B X, 20

Duality Theorems

From (1) and (4) we have

Y,'AX0 -< YCB

Also frorn (2) and (3)

Y,'AXo 2 CX,
From (5) & (6)

(6 )

CXoI Y;AX, orZ<D

I Yo% (=BTYo)

T o iliustrate this theorem, we consider the following example:

I

EXAM,PLE P : Consider the dual pair

Primal
+ ..

Subject to
Sx, 3x,

+ x, 57 + 2x2 I PI
2 0'

XI, Xz

Mininlize

D=

7y,+ l l y ,

Dual
I

Subject to 5y, + 3y2 2 2 Y , + ZY, 2 3 Y , , Y2 2 0

SOLU1'ION : You may notice, solutions x, = 1, x = 2 and y, = 0, y, = 3 ,

1
which are feasible for the above pair of primal and dual problems respectively, give Z = 8 and D = 33 which shows Z < D. This verifies the \ Q, I . statement of weak duality theorem that Z ,< D. You may observe that optimal I < value of the objective'function lies between 8 and 33.
t

b
I

~.
h

Let us further consider another pair of feasible solutions for the primal and 1 dual as x, = 0, x, = 4 ; y'; = 1, y, = 1 which give Z = 12 andD= 18. This again shows that Z < D. But optimal lies now between 12 and 18 i.e. range I within which the optimal solution lies is reduced corresponding to this pair I of feasible solutions.

i!
1

Simplex Method and Dualily

EXERCISE 1

-I

Consider the following dual pair of linear programming problems, Maximize

Z = 5x1+ 6x24x,

Primal
Subject to

Minimize . D=

5y, + 2y2

Dual
Subject to Y, + 2 ~ , 2 5 2y, - y2 2 12 Y, + 3y, 2 4

I.
'

(i)

Verify that

1 x l = 1, x 2 = 1 , x,=- andy, = 7 , y 2 = 2 3 are feasible solutiohs for the two problems respectively. (ii) Verify the weak duality theorem.

THEOREM 2 : Let primal and dual have feasible solutions X, and Yo I respectively, such that
I
I

f ,
?I[
I

I
,

CX, = BTYo

(6)

if,
I

Then Xois the optimal solution for the primal and Yo is optimal for the dtkal. PROOF : Let X be any feasible solution of the primal problem, then a according to weak duality theorem 1
CX5BTY,
I

where Y is any arbitrary feasible solution of the dual Now, relation (7) is in particular true for Yo D i.e.

CX 5BTY, = CX, ... CX" C$,,

--

,
V
7.

(using (6) XEK .

a

'Y

a X, is an optimal solution for the prihal. Aga~d, is in particular t k e for (7) any X,E K, therefore

Y l 1,

J'O

1 8.3
I1

Yois optimal for the dual. STRONG DUALITY

For proving, duality theorems 1 and 2, we took the primal problem (P) in its : feasible canonical form namely :

1:
1

I!
I

!
I

Maximize

I
I

z= cx
Subject to AXIB

_ 'ii 1

1
I

xro

.,Before proving strong duality theorem, we would like you to put the primal
into its standard form introduced to you in Unit 5. You know that why we aje asking you to put the primal intb its standard form, because if you wish solve the primal problem by the Simplex method, you know that in Unit 6, you had to transform the constraint inequalities into equations before you - Codv apply Simplex method.
t

/
'f

:
i

Let, therefore m non-negative elements of the column vector , W = (w,, w,, .. , wm)be the slack variables that transform the constraints of (P) into equations as

AX+Iw=B X,W 20 I is the identity matrix of order mxm.

/
t
:.
1

You can now write the primal as Maximize

= CC.0)
I'

);(
B

\
\

(
~f
'&

~ Subject to 1 )

!I. tl

(A, 1 )

\&.
.

'.
,

.
-

(G)
--

=I;(

..

2 0.
.AC-

Q"

---.

-1

---

.-.

" .

. --

II.*t,

I
I

Simplex Method and Duality

Here 0 = (0,O.. , 0)is an m - component row vector and I is an mxm . identity matrix i.e. I = (e,, e,, ... , em).The dual problem, you can notice, remains the same. Now, we state the strong duality theorem without proof.

THEOREM 3 (Strong Qualitytheorem) : If either of the problems

(primal or dual) has a finite optimal solution, then the other problem also has a finite optimal solution and the optimal values of

corresponding oDjective functions are equal.

The purpose of this theorem is to show that optimal values of the primal and dual problems are equal, In other words, if a finite optimal solution to the primal exists then there also exists a finite optimal solution to the dual and optimal values of the two objective functions are equal. Similarly, you can prove that if dual has finite optimal solution, then primal problem also has a finite optimal solution and optimal values of two objective functions are equal.

1
i

, I

'

In fact this result is always true in linear programming because any one of the two problems : Primal or Dual may be referred to as the primal then the other one is the dual.
We shall now illustrate strong duality theorem by applying regular Simplex method to the following primal and dual problems.
4

EXAMPLE 2

1
4
i,

Maximize
Z=xl+xt+~

(Primal) Subject to

2x1+ x, + 2x3 s 2 4x, + 2x, + X, r 2

Minimize
(Dual)

D = 2yl + 2y,

Subject to

2y, + 4y211 y, + 2y, 2 1 ZY, + Y 2 1 ,

SOLUTION : Let us first try to solve the primal using Simplex method. Adding slack variables the constraints of the primal reduce to
j1
$

' 1

x,,..., ~ $ 0

2x,+x,+2x,+x4 = 2 4x, + 2x, + x, + x, = 2

- .. . .

x, and x5a . slack variables, initial solution to this primal problem is

Duality Theorems

X1=o,X2=o,x4=2,X5 2 ; z = o =

' We, therefore, put the primal problem in the tableau form
.j'

..
,

..-

I.

.iP,

0
A,

0
A,
.

Cs

..

Variables in the basis

x4

A,

.A,

A,

Solution

2
4

2
1

1 0

0 1

2
2

X5

Jp '

.,
I

zj- cj

O I 0

You may notice, all the three non-zero values of Zj - Cj an equal, i.e. there is a tie, therefore any one of the three vectors A,! A, or A, can enter the basis, We let 4 enter the basis. To decide the departing vector, we compute 2 2 2 min , = which indica!es vector A, is to be removed from the basis 1 -2 and is the pivot element. Next tableau is given as follows

{- -) z,

(4
0

Variables in the basis

x4

A, 0

A2

0'

m.
1 0 2
2 ?,

A,

A4 1

AS

Solution

-2
1 2

-+*

X2

'2

I l l " l'r - : l ~ lI i
= min

'
,

18

1. Most negative Zj - Cj -- , therefore column 4 enters into the basis and is 2

{i

, 2) =

. vector A, k to be removed from

2 is the.pivot element,

I
I

Simplex Method and Duality

Next table is

C,

Variables in the basis

*3

A,

*2

A,

8 4

4
1 -2 3 3

Solution

2 3

2 3 2 3

X2

1 -1

VC, 1 1 1 0 1 0 1 3 1 3 1 3
'

Since all Z - Cj 2 0,we now have the optimal solution which is given by , x1=0, 2 x2=3,
X3=?

4 and maximum Z = -. 3

Let us now solve the dual problem using Simplex method (i.e. two phase method that you learnt in Unit 6). Convert the Constraints of the dual intp equations by introducing surplus variables y,, y4 a i d y, and constraints take form

It is obvious that initial identity matrix is not present in the coefficient matrix of this constraint system, therefore we int~oduce artificial variables y,', y; and y,' and in phase I, we solve Maximize

I
I

'!

Do=-y:-y,'-y,'

Subject to

2Y,+4~2-3 + Y Y ; Y, + 2 ~ - Y + Y; 2, ZY, Y,-Y, + Y,' + y, Y, y," . . y," ,

1

=1 =1 =1

20
,

Initial solution is obtained by putting non-basic vanables equal to zero i.e.

Y1 :Yz=

Y3 - Y4 =y5=0
-.

rherefore, yf - 1, y i = 1, y = 1, and ; We put the problem in the tableau form.

= -3

c;
C i
1

- 1- 1

Variables in the basis

A,

A,

A,

A,

A,

Af

A', A j Solution

-------2 1
2 -5

0 2 1 7

0 0 1

1 0 1

0 1 0 1 1

1 0 0

-1
-1

YZ"
: u
z -c p p

:
!

Most negative Z; choose minimum

- C;

is -7, therefore column A, enters the basis and we

=

be removed from the basis and

1 1 {-, 2-' 11 -} 4

1 -. Hence column of mificial vector f is to 4

-

is the pivot element. The new table is

3 Most negative Z - C is - - therefore column A, enters the basis and we ; ; 2 h o em i

{-

1 / 4 314 , 1 / 2 312

= , min , . 2 2
s

{A

i.c. there is tie, ir his

'

..

Simplex Method and Duality

case we decide that an-tificial vecior corresponding to yi is to be removed

from the basis and pivot element is -, 2

again we move to the next table.

1 Most negative 2; - C is --, is therefore column vector A, enters the basis ; 2 and choose minimum

That is to say - ,

{ }

=-in u.3) = 1.

This implies column corresponding to artificial vector y; is to be removed and is the pivot element. Accordingly the next table is
I

Phase 1 terminates, therefore we proceed with ptiase 11. Objective function for phase I% is

Duii

lity Theorems

The final table for phase 1gives initial table for phase 11 (without columns corresponding to artificial vectors)

As all 2J - ( 2 . 5 O , w e have reached the optirnal and optimal for the dual is J given by 1 x=-, 3
1 4 and Max D = - -

K = y , 3 =O, y,=O

Hence for optimal solutions of primal and dual problems wc have

4 Maximum Z = Minimum D = -

3'

You may note if the initial Simplex tableau for the primal problem contains a unit matrix (initial basis matrix corresponding to columns of slack vectors), the solution of the primal problem by Simplex procedure yields an explicit solution to the dual.

In fact, the values of Zj - Cj in the final Simplex tableau for the primal
problem corresponding. to slack variables x, and x, i.e. 2,- C = - and ,
b

1 3

1 2 - C,= - are actually the values of dual variables y, and y i.e. , ,

Simplex Method and Duality

1
I

(I)'("'- 1 / 3 -113) 213

(t'l:)

Similarly, in the final tableau for the dual problem the values of 2 2 Z, - C , = - and Z, - C,= - are actually the values of the primal variables 3 3 x, and x or ,

Hence it is sufficient to solve one of the problems either the primal.or the dual. We can illustrate the principle of duality for the following linear programming problem.

EXAMPLE 3 : Minnmize D = 3y, + 2y2

Subject to 2y, + 3y, 2 2 ZY, + Y2 1 1

SOLUTION : Dual to this linear programming problem is

Maximize z = 2x, 4- x2 Subject to 2x1 + 2x, 1 3 3x1+x, 5 2 x,, x, 20
2
I

I
1

dI

Adding slack variables, constraints reduce to

1
I 1

I
I

2x1 + 2x,
3x, -)
. 2

Xz

-kY4 = 2
I

., ;

=3

xi
ii I
r
I

,%,

X4

20

Tnitisl soluticil is x, = x = O, x, = 2, x, = 2 and Z = 0 ,

i
I
I

We put the problem in the table form as

I

" s

I igEs I :i :

A,

I I 1 I
A,

A,

A, Solution

Most negative Zj - Cj ib -2. Therefore column A, enters the basis and we 3. 2 2 chmse rnin =2' 3 3'

{- -}

Accordingly column A, is to be removed from the basis and pivot element is Next table is

m.

c~
0'

Variables in the basis

At

A,

A, Solution

X3

-2 . 3

5 3
2 -

l o

X1

'1

l
3

1 3

zj- cj

-l
-7.
3

2 3

4 -

1 Most negative Zj - Cj is --, therefore vector A, enters the basis and we 3 choose
minimum 5 1 3

2 {-, / 3 -}1 3 4
1/3

= min

5 2 5 {-' -} = 4 1 4'

which shows that vector A, is to be removed from the basis and

the pivot element. Next table is

Simplex Method and Duality

Since all Zj - Cj 2 O , tl~ereiore current solution is optimal for the du;ll. Optimal Solution of dual is given by

5 7 and Max Z = "1=4* X 2 = - 4 4

1

As pointed out earlier Zj - Cj corresponding to the colutnns of slack variables, provide us with the values of the dual vnrinbles (in this case primal variables),
i.e.

yl=;i and yz=-

' 1

1 7 and Minimum D = 2 4

Hence optimal table for the dual problem also explicitly provides with the primal optimal solution. You may notice here by inspection y, = 1, y, = 0 and x, = 0, x = - are any 2 feasible solutions of the primal and dual problems with D = 3 and Z = 2 7 i.e. Z < D and optimal value of the objective function - certainly lies 4 3 between - and 3. 2
Y V ,

T;Ek~ksh : Illustrate the principle of duality for the following lineat 2 programming problem

Dunlity Tileorems

Minimize D = 3y1+ 2y, Subject to

7y, + 2y2 2 30 Sy, -I 4y2 2 20 2y, -I- 8y, 2 16
L

EXERCISE 3 : Solve the linear programming problem by formulating its dual

Minimize D = 5y, - 8y2- 14y3 Subject to Y1 -Y2 -3y3 1 4 Y1 -2y,--2y3 2 3 ,

EXERCISE 3 : Use duality to solve

Minimize D =3y, + Y,
Subject t o 2~~+3y222 Y, +Y, 2 1 Y1, Y2 2 0

'

8.4

SIGNIFICANCE OF DUALITY

Let us conatcler a 11ne:uprogramming problem in its standard form

Maximize Z=CX
Subject to AX=B

where A is an mxn matrix, B is an mxl vector. The scalars y,, y,, . .., ym ; where m is the number of equations in (6) are called dual varirtbles or simplex multipliers. In Unit 5, you noticed that there is a sjrstem of msimultaneous equations i n n unknowns x,, x ..., xn. Out of these n-primal , variables m are basic whereas(n-m)are non-basic. The rn basic variables can be eliminated if we subtract from the objective value Z the sum formed by multiplying first equation in by y,, second by y, and so on mth by ym. Therefore, you may notice dual variables are defined relative to a given basis :~nd thelr values change when the basic variables change.

x>o

(8)

Slmplcx Method and Duality

Let YT = (yI,y2,,.. , ym).~ u l t i ~the ~ k ~constraint system in (8) by l given YT, have we

Subtract it f?om 2,

where

= c - FA

If y,, y,, .., y, are dual variables, then jh component a basic variable, and you can have

cjof e is zero if 5 is

'i- 1
I

for those j for which xj is a basic variable. This is a system of m linear equationp(as many as the number of basic , variables) in m-unknowns, the dual variables y,, y,, ..., y. Since the basis matrix S (consisting of m - column vectors selected from A corresponding to basic variables) is non-singular, the system (10) has a unique solution if rank of A = m. Therefore, let us assume rank of A = m. As in Unit 6, let C ; represent the coefficients of basic variables in the objective function.
.

i
,
I
I

Solving the system of eqdations (lo), we have

'17r = CsS-l

(11)

AI-so,the vector of relative cost factors is given by

or

cj= - C,S-l A, Cj
= Cj

(where A, is the jth column of A) ' (since Yj= S-'A~) (As defined in Unit 6 ) (sinceZj = C,Yj) j = 1 , ... , n

- C,Yj Cj - 2,

From equations (9) and (ll), we obtain the value of the objective function in
terns of basic and non-basic variables as

Hence, the rate of change of Z as a function of typical non-basic variable xj is

v .
--"
-

az Cj -- - - = Cj- Zj
axj

(the relative Cost factor of A,)

.

Remember that - denotes the panid derivative of % w. r. t .x,. I

ax

az

Duality Theorems

You may now have followirlg interpretation of tile dual variables or Simplex multipliers or 'shaciow costs' or 'implicit costs' and 'opportunity primal costs'. Consider, now the j"' dual constr:tint for a maxi~llizntion r g problem cha 1 we are s t ~ ~ d y iin~this section. This is given by

where $ in the per unit ri:yuirerncnl of the $ primal variable xj fi-om the i" scarce resource 4 and cj is the.c(~fficient xJin the objective function. of According to relation (121, Zj - C, gives the coefficient of xjin the value of ttie objective function (that has beet1 expressed in ternls of basic and nonbasic variables). Accortling to optimality criteria obtained in Unit 6, xjis a promising variable if Z, -- C, < 0. Moreover, primal being a maximization may be regarded as 'profit' while -ZJ Ellay be taken as the cost. problem Cj Tlllls smaller the value of Zj, the more attractive x>will be. From economic point of view, is mgardcd as the 'imputed price' per unit of xj.The dual variables yils thus define the worth per unit of the requirement $.

A non-basic variable xj is thus a promising candidate for the optimum solution as long as its 'profit' per unit Cj exceeds its 'imputed price' per unit Z,i.e. $ > Zj orZj -$ KO. ,
When Zj = C, the coi~esponding variable cannot change the present value of the objective function. Finally, when Z - Cj 0, the variable xj becomes > nal-promising and hence should rema& non-basic at zero level. Therefore, you may conclude that for a basic variable Zj must be equal to Cj indicating that comsponding variable has bcen uskd to the fullest extent and as such canno1 improve the solution ally furthyr.

Irllerpretatian of dual variables or Simplex ~nultiglicrs corresponding to optinaal solution of the primal
Consider a general linear programming problem in its standard form that we in'troduced to you in Unit 5 as

Mnxirnizc
Z=CX

Let(X, , 0) be the optimal solution to (13) with basis matrix S so that

SX, = I3 or Xs =: S-I B.Also Z, = CsXs is tho corresponding optimal value

of the objective function. Then, you have seen in Section 8.3 that an optimal solution 1.0 the dual is given by a vector Yur= CSSm1.
5
J .

Simplex Method and Duality

1
!

Let us now suppose that a small change Al3 in the vector B in (13) does not cause the optimal basis S to change. Thus for the changed right hand side in (13), $e optimal solution is given by
,

1
d
r

2,
where

= S-l(B+ A B)

1
I

i '

= S-lB S-'AB = X,+ AX, A ,= S-I AB X

<

The new value of the objective function corresponding to the solution 2, is given by

= C,X,

+ c, AX, + c, Ax,-2,
(*:

o r

AZ,

= C,X,

= Cs AX,
= C,B-l

2,= C,Xs)

AB

i.e. rate of change of optimal objective function value 2, with respect to bi is Y) , the optimal dual variable ( , .
I

Hence, you may conclude that the vector Yo gives the sensitivity of the optimal cost with respect to small changes in ihe right hand side vector b of , constants i.e. if the problem (13) was to be solved with B changed to B + AB, the change in the optimal value of the objective function would then be YAB. Thus, ( ,i may be considered as the marginal price of the Y) component bi (since if bi is changed to bi + A4, the optimal objective value changes by Yi Ab,, provided optimal basis does not change).

For example, consider the following problem :

A chemical-dye manufacturing fir,mis considering the production of , two new products. Each product requires manufacturing time on two machines A and B given in.a table below. The profits per unit of the products I and I1 are respectively Rs. 5 and Rs. 6. Find the'units of the , each product that should be manufactured every week so that the profit is maximum. Also, give economic interpretation of the optimal values of 1 I primal and dual variables.

Data for manufacture of two prpducts. Product

i
Hours needed on machine B per unit of the product

Duality Theorems

Hours needed on machine Munit of the product

2

I 1 1 Total time available (Hours/week)

3 24

I 1 10

Let us assume that number of units manufactured is x, for the first and x for , the second product. The mathematical formulation of the above problem is
i
I

Maximize

Z = 5x1 -t 6x,

Subject to 2x, + 3x2 5 24 x1 + x2 I10 X1p X2 r0 Where Z represents the profit in rupees; first and second constraint reflect the time resh-ictions (in hours) placed on the production of two products on machines A and B respectively. The last two constraints express the fact that negative number of units of either product cannot be produced. Optimal solution of this primal problem is given by

: xp = 6, x = 4
I

and maximum Z = 54

'

Dud to' the above linsar programming probrem is : .

Minimize

D = 24y, + 10y2
Subject to

Optimal solution to this dual problem is given by

<

yp = 1 y = 3 and Minimum D = 54 , :
'

You can now have an economic interpretation of the dual problem. Now Minimum D = Maximum Z and the primal objective function is evaluated in rupees, therefore, the dual objective function may also be evaluated in rupees. The constants in the primal objective function Z are the profits in rupees, therefore, the right hand side constants in the dual constraints are in rupees . Also, right hand-side constants in the primal constraints are in hours and these heconie constants in Y, the dual variables y, and y, must , the be
I

Simplex Method and Duality

I

,I

Let us now suppose that a small change A 3 in the vector B in (13) does not cause the optimal basis S to change. Thus for the changed right hand side in (13), $e optimal solution is given by
t

i
I
11

1
1

1 '
$ ,

where

S-I @+dB) = S-lB + S-'AB = X + A X, , AX,= S-I AEI

=

<
1 .

The new value of the objective function corresponding to the solution ks is given by

or

AZ,

= CsXs + C, AX,

-Zs
2, = C,X,)

= C AX, , = CSBm1 AB

(*:

i.e. rate of change of optimal objective function value 2, with respect to bi is the optimal dual variable

-1 :
I

,
I

Hence, you may conclude that the vector Yo gives the sensitivity of the optimal cost with respect to small changes in the right hand side vector b of : constants i.e. if the problem (13) was to be solved with B changed to B + AB, the change in the optimal value of the objective function would then be YAB. Thus, (y,),may be considered as the marginal price of the component bi (since if bi is changed to bi + Abi, the optimal objective value changes by Yi Ab,, provided optimal basis does not change).

For example, consider the following problem :

A chemical-dye manufacturing fir,m is considering the production of

.,
I

!.
/
7

II ,
1
1

two new products. Each product requires manufacturing time on two machines A and B given in.a table below. The profits per unit of the products I and I are respectively Rs. 5 and Rs. 6. Find the'units of the I each product that should be manufactured every week so that the profit is maximum. Also, give economic interpretation of the optimal values of 1 primal and dual variables. :I I

I,

Data for manufacture of two prpduets.

i
Hours needed on machine B per unit of the product 1 1 10

Duality Theorems

Product
.

Hours needed on machine Alunit of the product

2

I I1 Total time available (Ho'urdweek)

3
24

Let us assume that number of units manufactured is x, for the first and x for , the second product. The mathematical formulation of the above problem is
1

Maximize Z = 5x, + 6x, Subject to 2x1+ 3x, 5 24 XI+-X2 I10 20 X1' X2 Where Z represents the profit in rupees; first and second constraint reflect the time restrictions (in hours) placed on the production of two products on machines A and B respectively. The last two constraints express the fact that negative number of units of either product cannot be produced. Optimal solution of this primal problem is given by
,

x; = 6, x 0 = 4 ,

and maximum Z = 54

Dual to'the above linear programming problem is : .

1
I

Minimize D = 24y,

-t

10y,

C
I . .

!
I

Subject to 2y1+ Y, 1 5 3y1 + Y2 26 Y1,Yz' 2 0 Optimal solution to this dual problem is given by
4

I
I I

yp = 1, y,0 = 3 and Minimum D = 54

I

!
1

I
~

You can now have an economic interpretation of the dual problem. Now Minimum D = Maximum Z and the primal objective function is evaluated in rupees, therefore, the dual objective function may also be evaluated in rupees. The constants in the primal objective function Z are the profits in rupees, therefore, the right hand side constants in the dual constraints are in rupees . Also, right hand-side constants in the primal constraints are in hours and thtse heconk constants in Y,the dual variables y, and y must.@ the
2,

115

Simplex Method and Duality

costs incurreti (or implicit prices) paid in rupecs for using machines A and B, respectively, for an hour.
According to strong duality theorem, there is the minimum rental cost.
You may no$ look for the interpretation of the optimal prices $ and y as : follows. Since = 1, the increase in the opti~r~al (2 is Re, 1if the time value available o n machine A is increased by 1hr (i.e. from 24 hrs to 25 hrs) provided machine B is available only for 10 hrs and the optimal basis to the does not change. Siniilarly, the increase in profit (i.e, the value of Z)

equilibriutn set of activities

y,'S and a set of prices where the maximum produeti011profit is equal to

yp

by increasing time available on machine B by one hr is Ks. 3 (= y;) provided machine A is available or~ly 24 hrs and the optinlal basis to the for primal does not change. You may note here that if the time available on machine B is kept at 10 hrs, it does not necessuiIy mean that the profit will increase by hyp (= h) if the time available on machine A is increased to (24+h) hours. This is so because the optimal basis to the primal inight change if h is not smiill enough. For primal problem the optimal ba6is is

b = (24, - the vector of right hand side constants in the primal constraints - is changed to (24+h, 1QIT, basis matrix S remains optimal if the the basic solution provided by S is feasible i.e. if

Thus if h > 6, the optimal basis does not rernain the same. The optimal primal value xo , i = 1, 2 represents the rate of change of D whert right hand side curlstant in the iLh constrairit of the dual is changed, provided this change does not change the optimhl basis of the dual problem.'
Advantages of Duality

".

You may have noted that if we are given a linear progranming problem with large number of constraints and relatively few variables, then its dual will have large number of variables and fewer constraints. Therefore, in this case it will be better to solve the dual rather than solving the primal problem because an additional corlstraint requires much more computational effort than an additional variable. Hence, in this case dual normally requires less time and less c&yu tational effort.

F4?

---

--

8.5

SUMMARY
1

Duality Theorems

Let us now sumnliuise what have you done in this unit.

1.

You have shown if a finite optimal solution for the primal gmblern exists, then, there also exists a finite optimal solution for the dual and their respective bptimal objective function values are eqniil.
In order to obtain optimal solutions for primal and dual problems it is sufficient to solve one of the two problems.
4

Interpret dual variables.

El

Feasible solutions for primal and dual found by inspection are

XI = 1,
x2 =

1, ~3 = - and fi = 7, y = 2 respectively, with ,

1 3

Z=12-

and D = 3 9

i.e. Z c D .

E2

Dual is Maximize Z = 30x1+ 20x2+ 16x, Subject to 7x, + 5x2 + 2x, 5 3 2x, + 4x, + 8x, 1 2 XI,x2, x3 2 0

opt .xl solutions of primal & dual are

Maximize Z = 4.x, + 3x2

Maximize
or Subject to

z = 4x, + 3x,

Subject t a x. +x, 11 5

X,,

x 2 20

Simplex Method and Duality

Dual has no optimal solution. Hence primal also has no optimal solution.

E4

Dual is Maximize

z =.2x, + x,

Subject to 2x, + x 13 , 3x, + x l , 1

Optimal Solution is x, = 0, x, = 1, Max Z = 1 ; y, = 0, y, = 1 and Min D = 1.

REVIEW
This is second block of the course and has four units namely units 5 , 6 , 7 and 8. This infad, is the main block of the course because of the 'Simplex Algorithm which is the backbone of the area of Linear Programming. In Unit 5, you have been introduced to the General Linear Programming Problem (GLPP), its standard form as well as its canonical form. You have learnt the technique of converting a given GLPP into its standard and canonical form by introducing slack or surplus variables. You have also been made familiar with the nature and types of the solutions of a LPP namely the feasible solutions, basic feasible solutions, optimal solutions etc. In Unit 6, we have discussed the computational algorithm namely the Simplex Method to find the optimal solution of a LPP both in the standard form arid canonical f o m . Also, we have discussed Two-Phased Method by using artificial variables.

Units 7 and 8 deal with the Duality a very powerful tool to solve the LPP. We have discussed the nieanings of a primal and a dual and also the relevance of duality in the study of linear programming.
How far you have been able to grasp the basic concepts and methods in this block ? To judge this, you should try t~ altempt the following problems and verify your solutions/answers given of the end of the block.
,

PROBLEMS
P l (a) Rewrite the following linear programming problem with constraints in equality foim Maximize

Subject to

(b) Given the linear programming problem Maximize

z = 3x, + 2x,
+ 3x2 5 6
2-1 21 20
x2

Subject to 2x,
I

XI
I

- 3x2

-x, +2x,
X1'

Silnplcx Mcthod and Duality

Reduce its constraints into equations by introcIuction ()I.slitck or surplus vaiables.

f P:!(a)
b:

Rewrite the following inequatiotis in the form of' equntiot~s

1
I

i
i

x, - 2x, -t 3x, 2 5 2x1 -ti x, - 7x, 5 3 xl, x2,xj 20

(b) Reduce the consrmints of following linear programrning problem illto

equations

Minimize
I

Z = 32x, + 24x,

Ii

$ubject to
X~

X?.

1
!

5x,

-t-

2x,

58 5 10 2 45,

X I , x,,

2 0.

P3 (a) Maximize

z = 3x, + 2x, + 5x,

I .

i i.

j
C

>I

!
k

Subject to 2x1 4- 3x2 53 4x1+ 3x, -t 3x, 2 5

2x,
X,
I

t
f

1; Il
$

+ x, 12 unrestricted, x, x, 2 0 ,

(b) Minih~ize

Z = 2x1- 3% -t- 6x,

' >
I

iI

Su bjcct to x,+x2-2% 2-5 -6x, -t- 7x, t 2x, = 15 7x, + 6x, - 12x3 1 1 1 x,, x, 2 0, x, unrestricted.

,i 1

(c) Maximize Z = 8x1- 7 3 - t - 5 x , *

Subject to

x, - 2x, + 3x3 2 5 2x, + x, - 7x3 5 3 x, 2 0, x, unrestricted. x,,

'
\
u

P4 (a) Find the basic and basic feasible solution of

*I\:,

2x, -t 3x,-x, + 4 x 4 = 8 X, - 2x2 + 6 ~-, 7x4 a'- 3. -. . ,.

.,I'

(b) A feasible solution of 2x1- 3x, + 4% + 6x4= 21 xl + 2x,+ 3% -3x,+ 5x,=9

Duality Thcorems

Find a basic feasible solution.

P5 Use Simplex method to solve (a) Maximize

Z = 4x, + 2x2+ x ,

Subject to 2x1+ x, +'4x, 5 7 3x1- x, + 2x31 4

(b) Maxi~nize Z = 2x, + 3x2- x,

Subject to 4x1+ 2x2+ x, 1.5 , 2x1- x, 1- 4x, 2 7 x, + 4x2+ 2x31 9 x1, x, x3 2 0

.

(c) Maximize

Z = 3x1+ 4x,

+ x, + 7x4

'

~6 (a) Maximize Z=2x1+x,

Subject to 3x1+ 5 x 2 5 15 6 5 + 2 x , I 24
I I

Simplex Method and Dualily

I

'

,I-') Maximize

Z = 2x, + 3x, + x ,

Subject to

P7

Use Two Phase Method to solve fc~llcawir~g 1iniea.rprogranmling problems

(a) Minimize = 4.x, + Ilx,

+ 3%

Subject to
2x, + x, 1 5 x, , x 2 0 ,
X, - - , 2 IX

(b) Minimize

2x, -I- 9x,

+ x,

Subject to

4x2 + 2x3 2 5 3x, + x 4- 2x, 2 4 , XI x2 ' X3 2 0

X I 4-

P8

Show how will solve the following problems by the Two-Phase

Met hod:
a

,.

(a) Minimize = XI +.x* 4- X,

Subject to
,

XI-x2+2x3=2 -XI +2x,-x,= 1 XI , x2, x, 5 0

(b) Maximize
Z = x, t 5x,

P9 Write the dual of following

(a) Maximize Z = 5x1 -I- 2x, Subject to

3s,

2x, -I- 4- 4x, 5 7 x, -3x, + 2x, -3x,"* 5 x,- 7x2 + 2x3= 3

(b) Maximize

z = 2x, + x,-3x, -

-- llx,

Subject to
4x,

+ 6x2 -I- 2% + SX, = 4

-- 4x,

3x, 4- 2x,

+ 3x,

=2

, x2vx37x 1 2 0
r

(c) Maximize Z = 3x, 4- 2x, Subject to

.+ Sx3+ +x,

4x, + x + 3x2 - 2x, c; 5 , 4x, + 2x, + 8% -+ 7x, <- 11 2x, - 4x, + 6x, + SX, = 13
\

-?.

PI0 (a) In the syslein of equations 3x1-1- 2x, + $ = 7 22, 4- 4x2 + X4 = 5 XI,x2, 5'x4 2 0
are the va~inbles x, slack or surplus? x3,
/,

I
I

(b) For the system of equations 3x,+ 2x2+ x3= 7 2x, + x, 4- 2x, = 9 XI, , p xj, 2 0 X

is the solution x, = 2, x2= 1, x, = 2 (i) feasible (ii) basic feasible (iii) basic (iv) none
I

II

II

(c) For all the op timnl basic feasible solution of a LPP (i) all Aj 2 0 (ii) atleast one Aj < 0 (iii) One or more Aj < 0 (iv) none of these.

Choose the corrent answer.

Simplex Method and Duality

j

REVIEW / ANSWERS I HINTS I SOLUTIONS

P1 (a) Maximize
Subject to
X,

'I
I

Z = 2x, + 3x2
.

X2

X3 = 4

-x, + 2x2 - x4 = 6 x,, x,, x,, X, 2 0 (x, -slack, x, - surplus)

(b) Maximize z =/3x1+ 3x2
J

Subject to 2x, + 3x2+ x,

x19 x2, x, x41 x5 2 0 , (x, -slack ; x,, X, - surplus)

P2 (a)

x,-2x2+3$-x,=S 2x, + x 2 - 7 % + x , = 3 x,, X2' X3' X,' x5 2 0 (x, - Surplus ; I<, - Slack)

(b) Minimize Z = 32x, + 24x,

a

Subject to

x, + x, = 8 x,+x, = 10 5x, + 2x2- x, = 45 (x,, x, -Slack ; x, - Surplus)

L

P3 (a) Maximize
Z = 3x1 - 3x;

2x2 + 5x3

Subject to

2x; - 2x; 4x; 2x1 -

+ x, = 3 4x; 3x, + 3x, x, 2x1' + x, + x, = 2'

3x,
X27

+ +

= 5

XI?

X3Y

X4, X 5 ~ x6

2
I-.

I
1

14 2

(b) Minimize

Duality Tlleoren~s

I I

Subject to
-X, - X2

1
I

2x; + x = 5 , d x , + 7x2 + 2xj - 2~;' = 15 7x1 - 6x, - 12x5 -t 12xj' + x, = 11

+ 2x; -

XI, Xz,
I

xi,

X3, X4, Xs

I/

2 0

(c) Maximize

Z = 8x,
Subject to

7x;

+ 7xT + 5x5 - 5x;

1 I
I
I
I

x, - 2x; + 2x; + 3xj - 3x; - x, = 5 2x, + x; - XI- x; + 7x;+ x, = 3 X1, xi, x x;, x; X4, Xg 2 0 . ; ,

71

I
I

All the three basic solutions are basic feasible.

(b) x, = 0, x2 5 0, x3 = 10'

39

1
I
I

X,

=-

9 10 '

X5 = 0

I
1
I I

11 ' 13 P5(a)x,=-,x2=--,x,=O,MaxZ=14 5 5 97 x, = 0, Max Z = 14

(b)x,=-

P
9

,+

X I= -

31 14 '
1

(c)

XI =

lg , x,= 0,

16

x,

5 83 0, x = - Max Z = , 19 19

3 33 15 P6 (a) x, =;i- , x,=- 4 Max Z=4

(b)x,=l,x,=3, x,=OMaxZ=11

5 5 (b) x, = 0 , x2 = 0, x3 = - ; Min Z = 2 2
I

i. P8 (a) x l = O , x,=- 4

3 '

x,=-

5 ; Min 2 = 3 3

1 l

Simplex Method atid Duality

(b) xl I; O , x2

P9 (a) MinirlGze

n3

15 - ; Max Z = -;

7y, + 5y,

+ 3y,

Snbject to 2y, - 3y, + 9r, 2 5 y, S 2y2 -7y3 ' 1 2 Jy, -- 3y, + 2y32 --3 y, 2 0 , y, , y, unrestricted
(13) Minimize

D=4u+%v
Sub-jecrto 4u-i-3v 2 2 6 u + 2 v 21 2u .- 4v 2 .-3 5 u + 3 v 2-11 u , v unrestricted
(c) Minimize

I = 5,y141 ly, + 13y, 3

Subject. to
4y1 + 4y, .t 2y, 2 3 y, + Zy, -- 4y, 2 2 3y1'-# 8yz + Gy, 2 5 -2y1 + '7y, Sy, 2 9

y,, y, 2 0 ; yS

unrestri~~~d.