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Presentation On Duality Theorem

This document provides an overview of duality theory as it relates to linear programming problems. It explains that the dual of a minimization problem with greater-than-or-equal-to constraints is a maximization problem with less-than-or-equal-to constraints, and vice versa. The document also outlines the steps for constructing the dual problem and provides examples of applying duality theory to solve linear programs by solving their dual problems instead. Finally, it states the duality theorem - that a linear program and its dual have the same optimal objective value.

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Pulkit Mehta
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170 views8 pages

Presentation On Duality Theorem

This document provides an overview of duality theory as it relates to linear programming problems. It explains that the dual of a minimization problem with greater-than-or-equal-to constraints is a maximization problem with less-than-or-equal-to constraints, and vice versa. The document also outlines the steps for constructing the dual problem and provides examples of applying duality theory to solve linear programs by solving their dual problems instead. Finally, it states the duality theorem - that a linear program and its dual have the same optimal objective value.

Uploaded by

Pulkit Mehta
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Unit 1 Lesson 12: A Presentation on Duality Theorem

Duality Theory

The duality theory deals with the relationship between original and dual LP problems.

It is very important in optimization and other areas of applied mathematics.

Duality Theory
For the Simplex Method so far, we have only considered maximisation problems, with functional constraints. We will now consider minimisation problems with functional constraints. We still require all variables to be non-negative. We shall use Duality Theory for this purpose.

Duality Theory
min C = 5x1 + 3x 2 s.t. x1 + 3x 2 8 2 x1 4 x2 7 x1 , x 2 0

Consider the following LP problem. Observe that here we use min rather than max, and rather than for the functional constraints.

Since these violate the format we used so far, we cannot use our Simplex Method to solve this problem directly. We shall solve it indirectly via Duality Theory.

Duality Theory

Dual Problem: Given a (min, ) problem, we create a (max, ) problem by the following transformations: min max in the functional constraints RHS Objective function coefficients Objective function coefficients RHS Constraint coefficients are transposed Transpose: Interchange rows and columns of a matrix, table, etc.
5

a b d e

a d c b e f c f

Duality Theory
Constructing the dual problem of the primal problem. Problem D (Dual) Problem P (Primal)

min C = 5x1 + 3x 2 s.t. x1 + 3x 2 8 2x1 4x2 7 x1 ,x 2 0

max P = 8y1 + 7y2 s.t.


?

y1 + 2y 2 5 3y1 4y2 3 y1 , y2 0

Duality Theory

Minimisation Problem in canonical form:

min
s.t. m variables n functional constraints

C = b1 x 1 + b2 x 2 + + bmxm
a11 x1 + a12 x2 + +a1mxm c1 a21 x1 + a22 x2 + + a2mxm c 2 ...... an1 x1 + an2 x2 + + anmxm c n

x1, x 2 , ,x m 0

Duality Theory

Dual Problem:

max
s.t. n variables m functional constraints

P = c1 y 1 + c 2 y 2 + + cn yn
a11 y1 + a21 y2 + +an1 yn b1 a12 y1 + a22 y2 + + an2 yn b2 ...... a1m y1 + a2m y2 + + anmyn bm

y1, y 2 , ,y n 0

Duality Theory

Example 3.2 (see also Ex.1, Section 5-5, B & Z)


Construct the dual of the following problem: Minimise: C = 2x1 + 8x2+ 3x3 s.t. x1 + 2x2 + 4x3 6 x1 + 3x2 5x3 8 x1, x2, x3 0 Dual Problem: Maximize P = 6y1 + 8y2 s.t. y1 + y2 2 2y1 + 3y2 8 4y1 5y2 3 y1 , y2 0
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Duality Theorem

A LP problem has an optimal solution if and only if its dual has an optimal solution. If an optimal solution exists, then the optimal values of the objective functions of the two problems are the same. That is, Max P = Min C

Good News: This theorem is constructive in that


it gives a simple recipe for obtaining an optimal solution for the dual problem from the final simplex tableau of the original problem and vice versa.

10

Duality Theory
Recipe

How can we obtain an optimal solution to a (min, ) problem from the final simplex tableau of its dual (max, ) problem ? Solve the dual (max, ) problem using the Simplex Method. Record the entries of the slack variables in the last row of the final simplex tableau. These coefficients are equal to the optimal values of the respective dual variables.
11

Duality Theory

Example 3.3 (see also Ex.2, Section 5-5, B & Z)


Solve the following problem by first constructing its dual, and then using the simplex method on the dual. Minimise: C = x1 + 2 x2 subject to: x1 + 0.5x2 2 x1 x2 2 x2 3 x1 + x1, x2 0

12

Duality Theory

The dual problem is as follows: Maximize: P = 2y1 + 2y2 + 3y3 subject to: y1 + y2 + y3 1 0.5y1 y2 + y3 2 y1, y2, y3 0 Adding slack variables: Maximize: P = 2y1 + 2y2 + 3y3 subject to: y1 + y2 + y3 + s1 =1 s2 = 2 0.5y1 y2 + y3 + y1, y2, y3 , s1, s2 0
13

Duality Theory
y2 y3 s1
s2

Initial Simplex Tableau


BV y1
s1 s2

P RHS

1 1 2
y1 y2

1 1 3
y3

1 0 0
s1

0 1 0
s2

0 0 1
0 0 1

1 R1

R1 R1 R1

1/ 2 P 2
BV
y3 P

2 R2 R1 0 R3 +3R1
1 1 3

P RHS

1 s2 1/ 2 1

1 2 1

1 0 0

1 1 3

0 1 0

Recipe: optimal solution of the (min, ) problem = entries of slack variables in the last row of the final tableau of the dual (max, ) problem.

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Report: The optimal solution to the dual (max, ) problem is (y1 , y2 , y3) = (0, 0, 1). The optimal solution to the original (min, ) problem is (x1, x2) = (3, 0). The optimal values of the objective functions are: Max P = Min C = 3 Do Questions 1-4, Example Sheet 4. Look at (no need to do unless you want to) the application problems at the end of Sections 5-5, 5-6 and Review, to get an idea of some applications of LP. Do Example 3.5 graphically to check the answer.

Duality Theory

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