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7 DUALITY Theory Part 1

Duality theory states that every linear programming problem has a corresponding dual problem. The original problem is called the primal and the associated dual problem can be constructed systematically using rules that relate the coefficients and variables of the primal to the constraints and objective of the dual. The dual problem seeks to optimize the pricing of resources subject to competitive pricing constraints, while the primal problem optimizes allocation of resources subject to availability constraints. Duality theory allows solving one problem by solving its dual, providing an alternative method for obtaining optimal solutions.

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46 views9 pages

7 DUALITY Theory Part 1

Duality theory states that every linear programming problem has a corresponding dual problem. The original problem is called the primal and the associated dual problem can be constructed systematically using rules that relate the coefficients and variables of the primal to the constraints and objective of the dual. The dual problem seeks to optimize the pricing of resources subject to competitive pricing constraints, while the primal problem optimizes allocation of resources subject to availability constraints. Duality theory allows solving one problem by solving its dual, providing an alternative method for obtaining optimal solutions.

Uploaded by

sairam
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Duality Theory

Duality Theory
• Every linear programming problem has associated with it another linear
programming problem called the Dual. The original problem is called
Primal.
The watch maker’s Problem
Smith Family: Father (F) and Son (S)

Decision Watch Working hours required of


Variable Type Profit Per Unit ($) F S
x1 1 60 2 3
x2 2 40 1 4
x3 3 80 4 2
Maximum Working Hours available per week 50 60
Production plan to maximize total profit from 3 type of watches
Max W = 60 x1 + 40 x2 + 80 x3
S.t. 2 x1 + x2 + 4 x3 ≤ 50
3 x1 + 4 x2 + 2 x3 ≤ 60
x1, x2, x3 ≥ 0 2
John Blake
Neighbor and owner of similar product line company (competitor)
Wants to hire Father and Son full time

How to convince them (Son and Father) to join him (John Blake)?
Comparable wages with respect to before : “at least” as good as before
Hire them at the minimum possible cost: “just enough” to effect the switch over

F’s wages – $ y1 per hour


S’s wages – $ y2 per hour

Min B = 50 y1 + 60 y2
S.t. 2 y1 + 3 y2 ≥ 60
y1 + 4 y2 ≥ 40
4 y1 + 2 y2 ≥ 80
y1, y2 ≥ 0
Solution: y1 = 15, y2 =10, Objective function B = $1350 per week
3
Solution of John Blake Problem
y2
• Obj B is min at
(0,40)
y1 = 15, y2 =10 3
• Objective function
B = $1350 per week
(0,20) 1

(15,10)
(0,10)
(24,4)
2 y1
(20,0) (30,0) (40,0)
4
Will the solution of John Blake help to solve Watch maker’s problem?
From watch maker’s constraint
2 x1 + x2 + 4 x3 ≤ 50 (1)
3 x1 + 4 x2 + 2 x3 ≤ 60 (2)

Now, (1)x15 + (2) x 10


60 x1 + 55 x2 + 80 x3 ≤ 1350

Also, 60 x1 + 55 x2 + 80 x3 ≤ 1350 ≤ 50 y1 + 60 y2 (for any feasible y1 and y2)

60 x1 + 40 x2 + 80 x3 : Watch maker’s (Smith Family) objective function


Hence, the best Smith Family could do is $1350 per week.
How can they make it?
Only by chance if x2= 0
2 x1 + 4 x3 = 50
3 x1 + 2 x3 = 60 => x1 = 70/4 and x3 = 15/4
Objective function value W = 60 x 70/4 + 80 x 15/4 = $1350
John Blake Problem -> Watch maker’s problem & vice-versa 5
Another Example: Diet Problem
n
Min Z   c j x j Where,
j 1 cj : cost per unit of food j
n
aij: amount of nutrient i available in per unit of food j
S.t. a x
j 1
ij j  bi , i  1,2,..., m
bi: minimum nutritional requirement for nutrient i
xj: amount of food to be included in the diet.
x j  0, j  1,2,..., n

Let us consider a hypothetical dual problem to the diet problem


Salesman: sales pure nutrient pills (i.e. only iron or only vitamins etc.)
 wants to sell pills to the dietician in order to switch completely from foods to pills
 Price pills subject to
(1) A switch takes place – competitive prices in terms of cost of foods
(2) Total revenue to salesman is maximized if minimum requirements are sold

Dual Problem
m
Max W   bi yi Where, yi: price of ith nutrient pill containing one unit of nutrient i
i 1
m
S.t. a
i 1
ij
yi  c j , j  1,2,..., n (Competitive pricing w.r.t. foods)

yi  0, i  1,2,..., m 6
How to get Dual (D) from Primal (P)?
Max Z = c1x1 + c2x2 + … + cnxn Dual Variable
P
S.t. a11x1 + a12x2 + … + a1n xn ≤ b1 y1
a21x1 + a22x2 + … + a2n xn ≤ b2 y2 (Optimal Allocation of Resources)
. .
. .
. .
am1x1 + am2x2 + … + amn xn ≤ bm ym
and xj ≥ 0, for j = 1, 2, …, n

Min W = b1y1 + b2y2 + … + bmym


D
S.t. a11y1 + a21y2 + … + am1 ym ≥ c1
a12y1 + a22y2 + … + am2 ym ≥ c2 (Optimal Pricing of Resources)
.
.
.
a1ny1 + am2y2 + … + amn yn ≥ cn
and yi ≥ 0, for i = 1, 2, …, m 7
Matrix Form of Primal and Dual Problems
P Max Z = cx Dual variable D Min W = yb
S.t. Ax ≤ b y S.t. yA ≥ c
x≥0 y≥0 y = [y1 y2 … ym]

Summary of P-D Relations (Rules for constructing the dual problem)


Primal Problem ↔ Dual Problem To convert into dual
Objective: Maximization ↔ Objective: Minimization  If objective
Cost coefficient ↔ RHS function is Max
type, see the
RHS ↔ Cost coefficient table from left to
Constraints Variables right.
≤ ↔ ≥0
= Unrestricted in sign  If objective
≥ ≤0 function is Min
Variables Constraints type, see the
≥0 ↔ ≥ table from right to
Unrestricted in sign = left.
≤0 ≤ 8
Demonstration of Primal-Dual Rule: Numerical Examples

Example 1: Maximization Type


Max Z = x1+4x2+3x3
Dual Variable Min W = 2y1+y2+4y3
S.t. 2x1+3x2−5x3 ≤ 2 y1 S.t. 2y1+3y2+ y3 ≥ 1
3x1 − x2+6x3 ≥ 1 y2 Dual
3y1 − y2+ y3 ≤ 4
x1 + x2+ x3 = 4 y3 − 5y1 + 6y2+ y3 = 3
x1≥ 0, x2≤ 0, x3unrestricted y1≥ 0, y2≤ 0, y3unrestricted

Example 2: Minimization Type


Min Z = 2x1+x2 − x3
Dual Variable Max W = y1+ 2y2+4y3
S.t. x1 + x2 − x3 = 1 y1 S.t. y1+ y2 ≤ 2
x1 − x2 + x3 ≥ 2 y2 y1 − y2+ y3 ≥ 1
Dual
x2 + x3 ≤ 4 y3 − y1 + y2+ y3 = -1
x1≥ 0, x2≤ 0, x3unrestricted y1unrestricted, y2 ≥ 0, y3 ≤ 0

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