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:
The Primal has:
x1 <4 y1 2 variables and 3 constraints.
2x2 < 12 y2 So the Dual has:
3x1+2x2 < 18 y3 3 variables and 2 constraints
x1, x2 > 0
Dual
Min. Z’ = 4y1+12y2 +18y3
Subject to constraints:
We define one dual y1 + 3y3 > 3
variable for each primal 2y2 +2y3 > 5
constraint. y1, y2, y3 > 0
 Example

Primal

Min.. Z = 10x1+15x2

Subject to constraints:
5x1 + 7x2 > 80
6x1 + 11x2 > 100
x1, x2 > 0
 Solution

Dual

Max.. Z’ = 80y1+100y2

Subject to constraints:
5y1 + 6y2 < 10
7y1 + 11y2 < 15
y1, y2 > 0
 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
x1, x2 > 0
 Cont…

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

Min. Z’ = 56y1 -20y2 + 40y3´ – 40y3´´

Subject to constraints:

4y1 – 2y2 + 5y3´ – 5y3´´ > 12

7y1 - 5y2 + 4y3´ – 4y3´´ > 4

y1, y2, y3´, y3´´> 0

 Cont…

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

Min. Z’ = 56y1 -20y2 + 40(y3´ – y3´´)

Subject to constraints:

4y1 – 2y2 + 5(y3´ – y3´´) > 12

7y1 - 5y2 + 4(y3´ – y3´´) > 4

y1, y2, y3´, y3´´> 0

 Cont…

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

Let, y3 = y3´ – y3´´
Min. Z’ = 56y1 -20y2 + 40y3
Subject to constraints:

4y1 – 2y2 + 5y3 > 12

7y1 - 5y2 + 4y3 > 4
y1, y2, > 0 and y3 is Unrestricted
 Example

Primal
Min.. Z = 2x2 + 5x3

Subject to constraints:
x1 + x 2 >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
x1, x2, x3 > 0
 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
y1, y2, y3, y4 > 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 + x2 < 3
x1, x2 > 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 where Z’= -Z

Subject to constraints:
-3x1 - x2 < -3
-4x1 - 3x2 < -6
x1 + x2 < 3
x 1, x 2 > 0
 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 Coefficients of: Sol.
Variable Z x1 x2 S1 S2 S3
Z 1 3 2 0 0 0 0
S1 0 -3 -1 1 0 0 -3
S2 0 -4 -3 0 1 0 -6
S3 0 1 1 0 0 1 3
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, S2 is the departing
variable.
•Calculate Ratio = |Z row / S2 row| (S2 < 0)
•Choose minimum ratio. Therefore, x2 is the entering variable.
 Cont…
Basic Coefficients of: Sol.
Variable Z x1 x2 S1 S2 S3
Z 1 1/3 0 0 2/3 0 4
S1 0 -5/3 0 1 -1/3 0 -1
x2 0 4/3 1 0 -1/3 0 2
S3 0 -1/3 0 0 1/3 1 1
Ratio - 1/5 - - 2 -

Therefore, S1 is the departing variable and x1 is the

entering variable.
 Cont…

Basic Coefficients of: Sol.

Variable Z x1 x2 S1 S2 S3
Z 1 0 0 1/5 3/5 0 21/5
x1 0 1 0 -3/5 1/5 0 3/5
x2 0 0 1 4/5 -3/5 0 6/5
S3 0 0 0 -1/5 2/5 1 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 1, x 2 > 0
 Cont…
Let S1, S2 , S3 be three slack variables

Model can rewritten as:

Z + x1 + x2 = 0
x1 + x 2 + S 1 = 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 Coefficients of: Sol.
Variable Z x1 x2 S1 S2 S3
Z 1 1 1 0 0 0 0
S1 0 1 1 1 0 0 8
S2 0 0 -1 0 1 0 -3
S3 0 -1 1 0 0 1 2
Ratio - - 1 - - -

Therefore, S2 is the departing variable and x2 is the

entering variable.
 Cont…
Basic Coefficients of: Sol.
Variable Z x1 x2 S1 S2 S3
Z 1 1 0 0 1 0 -3
S1 0 1 0 1 1 0 5
x2 0 0 1 0 -1 0 3
S3 0 -1 0 0 1 1 -1
Ratio - 1 - - - -

Therefore, S3 is the departing variable and x1 is the

entering variable.
 Cont…

Basic Coefficients of: Sol.

Variable Z x1 x2 S1 S2 S3
Z 1 0 0 0 2 1 -4
S1 0 0 0 1 2 0 4
x2 0 0 1 0 -1 0 3
x1 0 1 0 0 -1 -1 1

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