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Duality

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21 views13 pages

Duality

Uploaded by

Ahmed Diab
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© © All Rights Reserved
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Duality

Chapter Four
Hamdy Taha

1 Maha El-Ashram
Definition of the Dual Problem

• The dual problem is defined systematically from the


primal (original) problem.

• The two problems are closely related in the sense


that the optimal solution of one problem
automatically provides the optimal solution to the
other.

2 Maha El-Ashram
Definition of the Dual Problem
• The key ideas for constructing the dual from the primal are:
1. Assign a dual variable for each primal constraint.
2. Construct a dual constraint for each primal variable.
3. The (column) constraint coefficients and the objective
coefficient of the jth primal variable respectively define the
left-hand sides of the jth dual constraint.
4. The dual objective coefficients equal the right-hand sides of
the primal constraints.
5. If the dual objective is minimization, then the constraints are
all of type ≥. The opposite applies when the dual is
maximization.
6. For a constraint in (=) form, the corresponding dual variable
is unrestricted in sign.
3 Maha El-Ashram
Example: Find the dual problem for each of the
following problems

4 Maha El-Ashram
5 Maha El-Ashram
Right-hand side of dual constraints

Primal Variables
x1 x2 x3 ………… xj ………… xn

c1 c2 c3 ….……. cj ………... cn Dual Variables


a11 a12 a13 ………. a1j ……….. a1n b1 y1
a21 a22 a23 ………. a2j ……….. a2n b2 y2
. . . . . . .
. . . . . . .
. . . . . . .
am1 am2 am3 amj amn bm ym

Left-hand side coefficients


of dual constraints Dual objective coefficients
Jth dual constraint

6 Maha El-Ashram
Economic Interpretation of Duality
• The LP problem can be viewed as a resource allocation model
in which the objective is to maximize revenue subject to the
availability of limited resources.
• The general primal and dual problems representation

Primal Dual

n
Max . Z  c
j 1
j xj
Min . W 
m

by i i
i 1
subject to : subject to :
n

a
m
x j  bi i  1,...., m
j 1
ij
a
i 1
ij yi  c j j  1,...., n
xj  0 j  1,....., n yi  0 i  1,....., m

7 Maha El-Ashram
Economic Interpretation of Duality

• The primal problem has n economic activities and m


resources.

• cj represents the revenue per unit of activity j.


• bi represents the availability of resource i.
• aij represents the rate of consumption of resource i per
unit of activity j.

8 Maha El-Ashram
Economic Interpretation of Duality
• For any 2 primal & dual feasible solutions, the values of the
objective functions, when finite, must satisfy the following
inequality:
n m
Z   c j x j   bi yi  Wi
j 1 i 1

• At the optimum, Z = W. In terms of resource allocation model,


this implies:
m
$revenue bi yi  units of resoucei  $ per unit of resourcei 
i 1

• So, the dual variable yi represents the worth per unit of


resource i (shadow price).

9 Maha El-Ashram
Economic Interpretation of Duality
• The inequality Z < W (for any 2 feasible primal & dual
solutions) can be interpreted as:

Revenue < Worth of resources

• This relationship says that as long as the total revenue for all
activities is less than the worth of the resources, the
corresponding primal and dual solutions are not optimal.

10 Maha El-Ashram
How to read the optimal solution of the dual from
the solution of the primal
• The optimal values of the dual variables = the coefficients of
the slack variables of the primal.
• So, the value of the slacks for the dual = the coefficients of the
decision variables in Z* .
• Let si denotes the slack of primal constraint i.
• Let kj denotes the slack of dual constraint j.

Z x1 x2 x3 s1 s2 Solution
Z 1 5 2 0 1 0 10
x3 0 4
s2 0 3

• Optimal solution: x1* = x2* = 0, x3* = 4, Z* = 10


S1* = 0, S2* = 3
11 Maha El-Ashram
• So, the optimal solution of the dual problem is:
y1* = 1, y2* = 0, W* = 10
K1* = 5, K2* = 2, K3* = 0

W y1 y2 k1 k2 k3 Solution
W 1 0 -3 0 0 -4 10
K1 0 5
K2 0 2
y1 0 1

12 Maha El-Ashram
Duality Theorem

(1) If one problem has feasible solutions and a bounded


objective function (optimal solution), then so does
the other.
(2) If one problem has feasible solutions and an
unbounded objective (No optimal), then the other
has no feasible solution.
(3) If one problem has no feasible solution, then the
other has either no feasible solution or an unbounded
one.

13 Maha El-Ashram

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