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Rajesh P Mishra 1228A: Duality and Post Optimal Analysis

- The document discusses the concept of duality and post optimal analysis in linear programming (LP). - It defines the dual problem associated with any given primal LP problem. The dual problem has constraints associated with the primal's variables and variables associated with the primal's constraints. - It shows examples of writing the dual problem for different primal LPs and outlines rules ("SOBB rules") for determining the correct form of the dual based on whether the primal is a maximization or minimization problem. - It proves that the dual of the dual problem is always the original primal problem.

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34 views

Rajesh P Mishra 1228A: Duality and Post Optimal Analysis

- The document discusses the concept of duality and post optimal analysis in linear programming (LP). - It defines the dual problem associated with any given primal LP problem. The dual problem has constraints associated with the primal's variables and variables associated with the primal's constraints. - It shows examples of writing the dual problem for different primal LPs and outlines rules ("SOBB rules") for determining the correct form of the dual based on whether the primal is a maximization or minimization problem. - It proves that the dual of the dual problem is always the original primal problem.

Uploaded by

jadgug
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Duality and Post Optimal Analysis

Rajesh P Mishra
1228A
[email protected]

Rajesh P Mishra lect 17

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Rajesh P Mishra lect 17

Dual Problem of an LPP


1. Given a LPP (called the primal problem), we shall
associate another LPP called the dual problem of the
original (primal) problem.
2. We shall see that the Optimal values of the primal and
dual are the same provided both have finite feasible
solutions.
3. This topic is further used to develop another method of
solving LPPs and is also used in the sensitivity (or
post-optimal) analysis.

Rajesh P Mishra lect 17

Definition of the dual problem


Given the primal problem (in standard form)

z c1 x1 c2 x2 ... cn xn

Maximize
subject to

a11 x1 a12 x2 ... a1n xn b1


a21 x1 a22 x2 ... a2 n xn b2
.
.
am1 x1 am 2 x2 ... amn xn bm
x1 , x2 ,..., xn 0, b1 , b2 ,..., bm 0
Rajesh P Mishra lect 17

the dual problem is the LPP


Minimize
subject to

w b1 y1 b2 y2 ... bm ym
a11 y1 a21 y2 ... am1 ym c1
a12 y1 a22 y2 ... am 2 ym c2
.
.
a1n y1 a2 n y2 ... amn ym cn
y1 , y2 ,..., yn unrestricted in sign
Rajesh P Mishra lect 17

If the primal problem (in standard form) is


Minimize z c1 x1 c2 x2 ... cn xn
subject to

a11 x1 a12 x2 ... a1n xn b1


a21 x1 a22 x2 ... a2 n xn b2

.
.
am1 x1 am 2 x2 ... amn xn bm
x1 , x2 ,..., xn 0, b1 , b2 ,..., bm 0
Rajesh P Mishra lect 17

Then the dual problem is the LPP


Maximize w b1 y1 b2 y2 ... bm ym
subject to
a11 y1 a21 y2 ... am1 ym c1
a12 y1 a22 y2 ... am 2 ym c2
.
.
a1n y1 a2 n y2 ... amn ym cn
y1 , y2 ,..., yn unrestricted in sign
Rajesh P Mishra lect 17

We thus note the following:


1. In the dual, there are as many (decision)
variables as there are constraints in the
primal.

We usually say yi is the dual variable


associated with the ith constraint of the
primal.
2. There are as many constraints in the dual
as there are variables in the primal.
Rajesh P Mishra lect 17

3. If the primal is maximization then the


dual is minimization and all constraints
are
If the primal is minimization then the dual
is maximization and all constraints are

4. In the primal, all variables are 0 while


in the dual all the variables are
unrestricted in sign.
Rajesh P Mishra lect 17

5. The objective function coefficients cj of


the primal are the RHS constants of the
dual constraints.

6. The RHS constants bi of the primal


constraints are the objective function
coefficients of the dual.
7. The coefficient matrix of the constraints
of the dual is the transpose of the
coefficient matrix of the constraints of
the primal.
Rajesh P Mishra lect 17

10

Write the dual of the LPP


Maximize
subject to

z 5x1 2 x2

x1 x2 2
2 x1 3 x2 5
x1 , x2 0
Rajesh P Mishra lect 17

11

Thus the primal in the standard form is:


Maximize z 5x1 2 x2 0 x3 0 x4
subject to

x1 x2 x3
2 x1 3x2

2
x4 5

x1 , x2 , x3 , x4 0
Rajesh P Mishra lect 17

12

Hence the dual is:

Minimize

w 2 y1 5 y2

subject to
y1 2 y2 5

y1 3 y2

y1

y2

y1 0, y2 0

y1 , y2 unrestricted in sign
Rajesh P Mishra lect 17

13

Write the dual of the LPP


Minimize z 6 x1 3x2
subject to

6 x1 3x2 x3 2

3x1 4 x2 x3 5
x1 , x2 , x3 0
Rajesh P Mishra lect 17

14

Thus the primal in the standard form is:


Minimize z 6 x1 3x2 0 x3 0 x4 0 x5
subject to

6 x1 3x2 x3 x4
3x1 4 x2 x3

2
x5 5

x1 , x2 , x3 , x4 , x5 0
Rajesh P Mishra lect 17

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Hence the dual is:


Maximize w 2 y1 5 y2
subject to
6 y1 3 y2 6
3 y1 4 y2 3
y1
y1

y2 0
0

y2 0

y1 , y2 0

y1 , y2 unrestricted in sign
Rajesh P Mishra lect 17

16

Write the dual of the LPP


Maximize
subject to

z x1 x2
2 x1 x2 5
3x1 x2 6
x1 , x2 unrestricted in sign
Rajesh P Mishra lect 17

17

Thus the primal in the standard form is:

Maximize

z x x x x

subject to

2x 2x x x 5
3x 3x x x 6

x ,x ,x ,x 0
Rajesh P Mishra lect 17

18

Hence the dual is:

w 5 y1 6 y2

Minimize

subject to
2 y1 3 y2 1

2 y1 3 y2 1

2 y1 3 y2 1
y1

y2 1

y1

y2 1

y1 y2 1

y1 , y2 unrestricted in sign
Rajesh P Mishra lect 17

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From the above examples we get the


following SOB rules for writing the dual:

Label
Sensible
Odd
Bizarre
Sensible
Odd
Bizarre

Maximization
Constraints
form
= form
form
Variables
0
unrestricted
0

Rajesh P Mishra lect 17

Minimization
Variables
0
unrestricted
0
Constraints
form
= form
form
20

Theorem: The dual of the dual is the primal


(original problem).
Proof. Consider the primal problem (in standard
form)
z c1 x1 c2 x2 ... cn xn
Maximize
subject to

a11 x1 a12 x2 ... a1n xn b1


a21 x1 a22 x2 ... a2 n xn b2
.
.
am1 x1 am 2 x2 ... amn xn bm
x1 , x2 ,..., xn 0
Rajesh P Mishra lect 17

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The dual problem is the LPP


Minimize w b1 y1 b2 y2 ... bm ym
subject to

a11 y1 a21 y2 ... am1 ym c1


a12 y1 a22 y2 ... am 2 ym c2
.
.
a1n y1 a2 n y2 ... amn ym cn
y1 , y2 ,..., yn unrestricted in sign
Rajesh P Mishra lect 17

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Case (i): All cj 0. Then the dual problem in


the standard form is the LPP
Minimize

w b1 y1 b1 y1 ... bm ym
bm ym

0t1 0t 2 ... 0t n

subject to

11 1

11 1

a y a y ... am1 y am1 y t1 c1


a12 y1 a12 y1 ... am 2 ym am 2 ym t 2 c2
.
.
a1n y1 a1n y1 ... amn ym amn ym t n cn
y1 , y1 ,..., ym , ym , t1 , t 2 ,..., t n 0
Rajesh P Mishra lect 17

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Hence its dual is the LPP


Maximize z c1 x1 c2 x2
subject to

... cn xn

a11 x1 a12 x2 ... a1n xn b1


a11 x1 a12 x2 ... a1n xn b1
.
am1 x1 am 2 x2 ... amn xn bm
am1 x1 am 2 x2 ... amn xn bm
x1 0, x2 0,..., xn 0
x1 , x2 ,..., xn unrestricted in sign
Rajesh P Mishra lect 17

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Which is nothing but the LPP


Maximize z c1 x1 c2 x2 ... cn xn
subject to

a11x1 a12 x2 ... a1n xn b1


a21x1 a22 x2 ... a2 n xn b2
.
.
am1 x1 am 2 x2 ... amn xn bm
x1 , x2 ,..., xn 0

This is the primal problem.

Rajesh P Mishra lect 17

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Case (ii): All cj 0 except c1. Then the dual


problem in the standard form is the LPP

w b1 y1 b1 y1 ... bm ym
bm ym

Minimize

0t1 0t 2 ... 0t n

Subj

ect a11 y1 a11 y1 ... am1 ym am1 ym t1 c1

a12 y1 a12 y1 ... am 2 ym am 2 ym t 2 c2


to
.
.

1n 1

1n 1

a y a y ... amn y amn y t n cn

Rajesh P Mishra lect 17


m
m 1 2

y , y ,..., y , y , t , t ,..., t n 0

26

Hence its dual is the LPP


Maximize z c1v1 c2 x2 ... cn xn
subject to

a11v1 a12 x2 ... a1n xn b1


a11v1 a12 x2 ... a1n xn b1
.
am1v1 am 2 x2 ... amn xn bm
am1v1 am 2 x2 ... amn xn bm
v1 0, x2 0,..., xn 0
v1 , x2 ,..., xn unrestricted in sign
Rajesh P Mishra lect 17

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Which is nothing but the LPP

z c1v1 c2 x2 ... cn xn

Maximize
subject to

a11v1 a12 x2 ... a1n xn b1


a21v1 a22 x2 ... a2 n xn b2
.
.
am1v1 am 2 x2 ... amn xn bm
v1 0, x2 ,..., xn 0

Putting x1 v1

Rajesh P Mishra lect 17

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This is nothing but the LPP


Maximize
subject to

z c1 x1 c2 x2 ... cn xn
a11 x1 a12 x2 ... a1n xn b1
a21 x1 a22 x2 ... a2 n xn b2
.
.
am1 x1 am 2 x2 ... amn xn bm
x1 , x2 ,..., xn 0

This is the primal problem. Cases where


other cj are 0 are similarly treated.
Rajesh P Mishra lect 17

29

Duality theorems
Finding the dual optimal solution from the
primal optimal tableau

Dual problem in Matrix form


In this lecture we shall present the primal
and dual problems in matrix form and
prove certain results on the feasible and
optimal solutions of the primal and dual
problems.

Dual problem in Matrix form


Suppose the primal in (Matrix and ) standard
form is
Maximize
subject to

z cX

A X b,
X 0, b 0

where
C c1

c2

a11
a
21
A .

.
am1

. . cn ,

x1
x
2
X .

.
xn

a12
a22

.
.

.
.

am 2

a1n

a2 n

amn

b1
b
2
b .

.
bm

Letting

Y y1 y2 . . ym

the dual LPP in matrix form becomes


Minimize w Y b

subject to

Y A c,
Y unrestricted in sign

If the primal LPP is a minimization problem


Minimize

z cX

subject to A X b,
X 0, b 0

the dual LPP in matrix form becomes


Maximize

w Yb

subject to Y A c,

Y unrestricted in sign

Rajesh P Mishra lect 17

36

Optimal Dual Solution


The primal and dual solutions are so closely
related that the optimal solution of either
problem directly yields (with little additional
computation) the optimal solution to the
other.
Thus, in an LP model in which the number of
variables is considerably smaller than the
number of constraints, computational savings
may be realized by solving the dual, from
which the primal solution is determined
automatically
Rajesh P Mishra lect 17

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