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Duality

(Chapter IV)

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Introduction
 Every LP has associated with it a related LP called its dual.
 The original problem in relation to its dual is called the primal
 This LP has the property of being in close relation with the 1st LP.
 Each maximization LP has a corresponding minimization LP.
 Solving a LP is equivalent to solving its corresponding dual.
 Sometimes It's simpler to solve the Dual LP than solve the Primal
LP.
 We go back to the example of the furniture factory to illustrate this
new concept and to interpret economically the solution of the dual.

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Primal-Dual Relationship
 Let the primal LP of the furniture factory manager:
 Max Z = 300 x1 + 200 x2 (Company’s Profit)
s.t: x1 ≥ 0, x2 ≥ 0.
x1 + 2x2 ≤ 20. (Sawmill)
2 x1 + x2 ≤ 22. (Assembly)
x1 + x2 ≤ 12. (Sandblasting)
With x1 = number of desks of M1 type
x2 = number of desks of M2 type

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Primal-Dual Relationship
 Suppose a customer wants to buy all available resources. The
factory manager will certainly accept this proposal if the price
offered by this customer gives him the same profit from the sale of
the desks.
 Let us assume that:
 y1 the price of one hour of sawmill
 y2 the price of one hour of assembly
 y3 the price of one hour of sandblasting
The customer's problem is to minimize the cost of buying
resources, i.e.
Min Zy = 20 y1+22 y2+12 y3
under the constraints that prices satisfy the factory manager.
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Primal-Dual Relationship
 The factory manager will only sell his resources if the revenue
yielded by the sale of the resources necessary for the production of
a unit of a given product is at least equal to the revenue generated
by the production of that unit and its sale.
 The production of each M1 desk requires 1h of sawmill, 2h of
assembly and 1h of sandblasting, so the income generated by the
sale of these resources is y1 + 2 y2 + y3 and we know that the unit
profit of M1 desk is 300. Hence the constraint is expressed as
follows:y1 + 2 y2 + y3 ≥300.
 Similarly, the production of each M2 desk requires 2h of sawmill,
1h of assembly and 1h of sandblasting. The income generated by the
sale of these resources is : 2y1 + y2 + y3 and we know that the
unit profit of M2 desk is 200 thus: 2y1 + y2 + y3 ≥200
 The resources prices are positive: yi ≥ 0, with i=1,..3.
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Primal-Dual Relationship

 Then, the customer problem is the following dual LP:

Min Zy = 20 y1+22 y2+12 y3


s.t: y1 + 2 y2 + y3 ≥300.
2y1 + y2 + y3 ≥200.
yi ≥ 0, with i=1,..3.

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Primal-Dual Relationship
 To each Dual variable corresponds a Primal constraint and to each dual
constraint corresponds a primal variable.
 Canonical Form of the primal Problem (Maximization Problem):
Max Zx = c x
s.t: Ax ≤ b
x≥0
With x,b,c vectors with the respective dimensions n, m and A a matrix with
dimension (m,n).
 Canonical Form of the Dual Problem: Min Zy =tb y
s.t: tA y ≥ tc
y≥0
With y a vector with dimension m and tA transposed of the A matrix.

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Primal-Dual Relationship
 In general, the primal is not always in canonical form.
 So we use the following table which summarizes the primal / dual
correspondences :
Maximization Minimization
Number of Constraints Number of variables
Number of variables Number of Constraints
Type of Contraints Type of variables
= Unconstrained
≤ ≥0
≥ ≤0
Type of variables Type of Contraints
Unconstrained =
≥0 ≥
≤0 ≤
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Examples:
𝑀𝑎𝑥 𝑍=3𝑥1 +5𝑥2 𝑀𝑖𝑛 𝑍=6𝑥1 +10𝑥2 +3𝑥3
2𝑥1 +4𝑥2 ≤12 2𝑥1 +𝑥2 +2𝑥3 +𝑥4 ≥20
6𝑥1 +7𝑥2 ≤24 2𝑥1 −𝑥2 −4𝑥4 ≥2
𝑥𝑖 ≥0;𝑖=1,2 3𝑥1 +5𝑥3 ≥5
𝑥𝑖 ≥0;𝑖=1,2,3,4

𝑀𝑎𝑥 𝑍=2𝑥1 +3𝑥2 +5𝑥3 𝑀𝑖𝑛 𝑍=5𝑥1 −7𝑥2 +4𝑥3


𝑥1 +𝑥2 −𝑥3 ≥−5 −𝑥2 ≥6
−6𝑥1 +7𝑥2 −9𝑥3 =4 𝑥3 ≤−15
𝑥1 +𝑥2 +4𝑥3 ≤10 3𝑥1 −2𝑥2 +𝑥3 =42
𝑥1 ≥0;𝑥2 ≥0 𝑥1 ≥0;𝑥2 ≤0;𝑥3 ≤0

𝑀𝑎𝑥 𝑍=300𝑥1 +150𝑥2 +100𝑥3


𝑥1 +2𝑥2 ≥40
5𝑥1 +6𝑥3 =50
4𝑥1 +𝑥2 +3𝑥3 ≤30
𝑥1 ≥0; 𝑥2 ∈𝑅; 𝑥3 ≤0
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Duality Properties
 Weak Duality Theorem:
 If we choose any feasible solution to the maximization problem and any
feasible solution to the minimization problem, the Z value for the
minimization solution will be at least as large as the Z value for the
maximization solution :
Z max ≤ Z min
 Strong Duality Theorem:
 The inequality is strict except at optimal solution where equality holds:
Z max = Z min

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Primal/Dual Relationship: Duality Theorms
 Given a primal problem (LP) and its dual, one of the following
situations takes place :
1. If one of a pair of primal and dual problems has an optimal
solution, then the other also has an optimal solution and the
optimal values of their objective functions are equal.
(Zx= Zy)
2. If one of the problems is unbounded then the other is
infeasible.
3. If one of the problems is infeasible, then the other is
unbounded or infeasible.
 Remark: The dual of the dual is the primal

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Primal Optimal Tableau:
• Optimal Primal Tableau:

Ci 300 200 0 0 0
VB x1 x2 s1 s2 s3 bi
0 s1 0 0 1 1 -3 6
300 x1 1 0 0 1 -1 10
200 x2 0 1 0 -1 2 2
j 0 0 0 -100 -100 3400
Dual e1 e2 y1 y2 y3 Zy
Solution 0 0 0 100 100 3400

With e1 and e2, the slack variables of the first and the second
contraint of the Dual Program.
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Complementarity Slackness Theorem:
 A primal feasible solution (xj, j=1,..n) and a dual feasible solution
(yi i=1, ..m) are optimal if and only if:
y*i s*i=0
e*j x*j=0
Where si and ej are respectively the Primal and the Dual slack
variables.
i.e:
 If a Primal slack variable si* is a BV, then, its corresponding Dual
variable yi* is a NBV. And vice versa.
 If the Primal Decision Variable xj* is a BV then, its corresponding
Dual slack variable ej* is a NBV. And vice versa.

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Duality Theorems
 The complementary slack theorem and the coeff. of the last line
of the simplex table (j) will allow the deduction of the optimal
Dual solution.

 If the two LP’s admit finite solutions, we have:


 yi* = |j|of si (for yi* ≥ 0)

 ej* = j of xj.

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Economic Interpretation of the  j of a slack
variable (Value of the dual variable)

 Measures the change in optimal profit due to a unit


change in resource i
 If it is a Maximization LP, we call it marginal gain.
 If it is a minimization LP, we call it marginal cost.
 Since the j of the slack variable determines the value of
the dual variable, it is also called shadow price.
 A shadow price can be interpreted as the additional unit
profit that could be made by acquiring additional units of
resource i.

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 In particular, when a resource is not totally consumed at
optimal exploitation the related constraint is inactive (non
binding) and the corresponding shadow price must be zero.
 Note that in that case, the corresponding slack variable is
basic.
 If however the constraint is active (binding) (i.e., the
resource is entirely consumed at optimal exploitation), then
the corresponding shadow price is positive and therefore it
will be profitable to acquire additional units of that resource.

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 Ex (Furniture Factory):
 Sawmill: y1=0: In order to acquire one more hour of sawmill, the
producer will be willing to pay additional cost of 0 dinars in addition to its
market value.
 Price of one hour of sawmill =0: The factory does not require anything for
1 hour of sawmill leased or sold to customers because it has left unused
sawmill time (s1>0).
 Assembly: y2= 100: To acquire one more hour of assembly, the producer
will be willing to pay additional cost of 100 dinars in addition to its market
value.
Price of one hour of assembly = 100: The assembly time is fully used.
Selling 1h is equivalent to losing 1 production hour and therefore decreases
the total profit. To get the same profit, one have to demand a selling price =
the marginal cost.

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Economic Interpretation of the
j of a Decision Variable
 It is called the reduced cost of the corresponding decision
variable.
 It is interpreted as the deficit for the decision variable to
become basic.

 The net evaluation of the variable in the value of Z when


this variable becomes a BV.

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