Duality Theory

Every LP problem (called the Primal) has

associated with another problem called the Dual.
The Dual problem is an LP defined directly and
systematically from the original (or Primal) LP
model.
The optimal solution of one problem yields the
optimal solution to the other.
Duality ease the calculations for the problems,
whose number of variables is large.

Rules for converting Primal to

Dual
If the Primal is to maximize, the dual is to minimize.
If the Primal is to minimize, the dual is to maximize.
For every constraint in the primal, there is a dual
variable.
For every variable in the primal, there is a constraint
in the dual.

Dual Problem
Primal LP :

Associated Dual LP :

Max z = c1x1 + c2x2 + ... + cnxn

Min. z = b1y1 + b2y2 + ... + bmym

subject to:

subject to:

a11x1 + a12x2 + ... + a1nxn b1

a11y1 + a21y2 + ... + am1ym c1

a21x1 + a22x2 + ... + a2nxn b2

a12y1 + a22y2 + ... + am2ym c2

am1x1 + am2x2 + ... + amnxn bm

a1ny1 + a2ny2 + ... + amnym cn

x1 0, x2 0,.xj 0,., xn 0. y1 0, y2 0,.yj 0,., ym 0.

Example
Primal
Max. Z = 3x1+5x2
Subject to constraints:

x1

<4

y1

2x2 < 12

y2

3x1+2x2 < 18

y3

x1, x2 > 0

We define one dual

variable for each primal
constraint.

The Primal has:

2 variables and 3 constraints.
So the Dual has:
3 variables and 2 constraints
Dual
Min. Z = 4y1+12y2 +18y3
Subject to constraints:

y1 + 3y3 > 3
2y2 +2y3 > 5
y1, y2, y3 > 0

Example
Primal
Min.. Z = 10x1+15x2

Subject to constraints:

5x1 + 7x2 > 80

6x1 + 11x2 > 100

Solution
Dual
Max.. Z = 80y1+100y2

Subject to constraints:

5y1 + 6y2 < 10

7y1 + 11y2 < 15

Example
Primal
Max. Z = 12x1+ 4x2

Subject to constraints:

4x1 + 7x2 < 56

2x1 + 5x2 > 20
5x1 + 4x2 = 40
x1, x2 > 0

Solution
The second inequality

2x1 + 5x2 > 20

can be changed to
the less-than-or-equal-to type by multiplying both sides of the
inequality by -1 and reversing the direction of the inequality; that
is,

-2x1 - 5x2 < -20

The equality constraint 5x1 + 4x2 = 40

can be replaced by

the following two inequality constraints:

5x1 + 4x2 < 40

5x1 + 4x2 > 40

-5x1 - 4x2 < -40

Cont
The primal problem can now take the following standard form:

Max. Z = 12x1+ 4x2

Subject to constraints:

4x1 + 7x2 < 56

-2x1 - 5x2 < -20
5x1 + 4x2 < 40
-5x1 - 4x2 < -40

Cont
The dual of this problem can now be obtained as follows:

Min. Z = 56y1 -20y2 + 40y3 40y4

Subject to constraints:

4y1 2y2 + 5y3 5y4 > 12

7y1 - 5y2 + 4y3 4y4 > 4

Example
Primal
Min.. Z = 2x2 + 5x3

Subject to constraints:

x1 + x2

>2

2x1 + x2 +6x3 < 6

x1 - x2 +3x3 = 4
x1, x2, x3 > 0

Solution
Primal in standard form :
Max.. Z = -2x2 - 5x3

Subject to constraints:

-x1 - x2

< -2

2x1 + x2 +6x3 < 6

x1 - x2 +3x3 < 4
- x1 + x2 - 3x3 < -4

Cont
Dual
Min. Z = -2y1 + 6y2 + 4y3 4y4
Subject to constraints:

-y1 + 2y2 + y3 y4 > 0

-y1 + y2 - y3 + y4 > -2
6y2 + 3y3 - 3y4 > -5
y 1, y2, y 3, y 4 > 0

Introduction
Suppose a basic solution satisfies the optimality
condition but not feasible, then we apply dual simplex
method. In regular Simplex method, we start with a
Basic Feasible solution (which is not optimal) and
move towards optimality always retaining feasibility. In
the dual simplex method, the exact opposite occurs. We
start with a optimal solution (which is not feasible)
and move towards feasibility always retaining
optimality condition.The algorithm ends once we
obtain feasibility.

Dual Simplex Method

To start the dual Simplex method, the following
two conditions are to be met:
1. The objective function must satisfy the
optimality conditions of the regular Simplex
method.
2. All the constraints must be of the type .

Example
Min. Z = 3x1 + 2x2
Subject to constraints:

3x1 + x2 > 3
4x1 + 3x2 > 6
x1 + x 2 < 3
x,x >0

Cont
Step I: The first two inequalities are multiplied by 1 to
convert them to < constraints and convert the objective
function into maximization function.
Max. Z = -3x1 - 2x2
Subject to constraints:

-3x1 - x2 < -3
-4x1 - 3x2 < -6
x1 + x2 < 3

where Z= -Z

Cont
Let S1, S2 , S3 be three slack variables
Model can rewritten as:

Z + 3x1 + 2x2 = 0
-3x1 - x2 +S1 = -3
-4x1 - 3x2 +S2 = -6
x1 + x2 +S3 = 3
Initial BS is : x1= 0, x2= 0, S1= -3,
S2= -6, S3= 3 and Z=0.

Cont
Basic
Variable Z

Coefficients of:

Sol.

x1

x2

S1

S2

S3

S1

-3

-1

-3

S2

-4

-3

-6

S3

Ratio
3/4 2/3 Initial Basic Solution is Optimal (as the optimality condition is satisfied) but
infeasible.
Choose the most negative basic variable. Therefore, S 2 is the departing
variable.
Calculate Ratio = |Z row / S2 row| (S2 < 0)
Choose minimum ratio. Therefore, x is the entering variable.

Cont
Basic
Variable Z

Coefficients of:
x1

x2

S1

S2

S3

1/3

2/3

S1

-5/3 0

-1/3 0

-1

x2

4/3

-1/3 0

S3

-1/3 0

1/3

Ratio

1/5

Sol.

Therefore, S1 is the departing variable and x1 is the

entering variable.

Cont
Basic
Variable Z

Coefficients of:

Sol.

x1

x2

S1

S2

S3

1/5

3/5

21/5

x1

-3/5 1/5

3/5

x2

4/5

-3/5 0

6/5

S3

-1/5 2/5

6/5

Optimal Solution is : x1= 3/5, x2= 6/5, Z= 21/5

Example
Max. Z = -x1 - x2
Subject to constraints:

x1 + x2 < 8
x2 > 3
-x1 + x2 < 2
x,x >0

Cont
Let S1, S2 , S3 be three slack variables
Model can rewritten as:

Z + x 1 + x2 = 0
x1 + x2 + S1 = 8
-x2 + S2 = -3
-x1 + x2 + S3 = 2
x1, x2 > 0
Initial BS is : x1= 0, x2= 0, S1= 8,
S2= -3, S3= 2 and Z=0.

Cont
Basic
Variable Z

Coefficients of:

Sol.

x1

x2

S1

S2

S3

S1

S2

-1

-3

S3

-1

Ratio

Therefore, S2 is the departing variable and x2 is the

entering variable.

Cont
Basic
Variable Z

Coefficients of:

Sol.

x1

x2

S1

S2

S3

-3

S1

x2

-1

S3

-1

-1

Ratio

Therefore, S3 is the departing variable and x1 is the

entering variable.

Cont
Basic
Variable Z

Coefficients of:

Sol.

x1

x2

S1

S2

S3

-4

S1

x2

-1

x1

-1

-1

Optimal Solution is : x1= 1, x2= 3, Z= -4