SENSATIVITY ANALYSIS AND DUALITY

1. SENSATIVITY ANALYSIS
Sensitivity Analysis is concerned with the study of ‘Sensitivity ‘of the optimal
solution of an LPP with decision variables (changes) in parameters .The degree of
sensitivity of the solution due to those variations can range from no change at all
to a substantial change in the optimal solution of the given LPP. Thus, in
sensitivity analysis, we determine the range over which the LP model parameters
can change without affecting the current optimal solution. The process of
studying the sensitivity of the optimal solution of an LPP is called post-
optimal analysis.

The two sensitivity analysis approaches are:

I. Analytical approach
II. Trial and error approach and

1.1. Analytical approach

Five types of discrete changes in the original LP model may be investigated
during the sensitivity analysis:
A. Changes of the coefficients of the objective function (cj)
B. Changes of the RHS Quantity( bj)
C. Changes of the input-output coefficient
D. Add/delete constraints
E. The addition of a new variable to the problem

A. Changes of the coefficients of the objective function (cj)

Decision variables can be:
i. Basic (in the solution)
ii. Non-basic (out-of the solution)

Note:

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 Instead of resolving the entire problem as a new problem with new
parameters, we may take the original optimal solution table as an initial
solution table for the purpose of knowing ranges both lower and upper
within which a parameter may assume value.

a. Range for the coefficients of basic decision variables

The range of optimality is the range over which a basic decision variable
coefficient in the objective function can change without changing the optimal
solution mix. However, this change will change only the optimal value of the
objective function.
Example:
Max.Z=5x1 +4.5x2 +x3
Subject to:
15 x1+15.8x2 < 150
5x1+6.4x2+15x3 < 77
2.8x2+11.8x3 < 36
x1, x2 , x3 > 0
The optimal tableau for this solution is:

Cj 5 4.5 1 0 0 0

SV X1 X2 X3 S1 S2 S3 Q

5 X1 1 1.053 0 0.067 0 0 10

1 X3 0 0.67 1 -0.022 0.067 0 1.8

0 S3 0 1.924 0 0.258 -0.773 1 15.12

Zj 5 5.342 1 0.311 0.067 0 51.8
C j - Zj 0 -0.842 0 -0.311 -0.067 0

Determine the range of optimality for the coefficients of the basic-decision

variables.

Solution:

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 Analysis of basic decision variables
The analysis will be conducted on products on X1 and X3 which are in the
basic solution. Divide each Cj - Zj row entry for variables not in the solution
(for instance, by X2, S1 and S2 values) by the associated variable aij from X1or
X3 row.

I. Analysis of X1
Steps:
a. Take the Cj - Zj row of the optimal solution of the non-basic variables
b. Take the X1 row of the non-basic variables
c. Cj - Zj row
X1 row Non-basic variables

X2 S1 S2
Cj - Zj row -0.842 -0.311 -0.067
❖ Upper X1 row 1.053 0.067 0 Limit
The Cj - Zj row smallest
X1 row -0.8 -4.64 -∞
positive
number
in the Cj - Zj row tells how much the profit
X1
of X1 can be increased before the solution is changed.
Upper Limit= Cj (for X1) +the smallest positive value of Cj - Zj row
=5+∞=∞ X1 row
Note: Cj (for X1) =5(Look in the OF of the LP problem)

❖ Lower Limit
The smallest negative number (negative amount closest to 0) zero

Lower Limit= Cj (for X1 )+The largest negative value of Cj - Zj row

=5+ (-0.8)= 4.2 X1 row

Therefore, the range of optimality for the coefficient of X1 is 4.2< Cj (for X1) < ∞ (The
coefficient of X1 in the objective function can change between 4.2 and ∞ without changing the optimal
solution mix X1=10, X3=1.8 and S3=15.12)

II. Analysis of X3

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 X2 S1 S2 Non-basic variables
Cj - Zj row -0.842 -0.311 -0.067
X3 row 0.67 -0.022 0.067
Cj - Zj row
X1 row -1.26 14.13 -1

❖ Lower
Limit= Cj (for X3 )+ The largest negative value of Cj - Zj row
=1+ (-1) =0 X1 row
Note: Cj (for X3) =5(Look in the OF of the LP problem)

❖ Upper Limit= Cj (for X3 )+ The smallest positive value of Cj - Zj row

=1+ (-14.13) = 15.13 X1 row

Therefore, the range of optimality for the coefficient of X3 is 0 < Cj (for X3) < 15.13
(The coefficient of X3 in the objective function can change between 0 and 15.13 without changing the
optimal solution mix X1=10, X3=1.8 and S3=15.12).However, this change will change only the optimal
value of the objective function(i.e.MaxZ will change)

Exercise:

Max.Z=50x1 +120x2
Subject to:
2 x1+4x2 < 80
3x1+x2< 60
x1, x2 > 0

Determine the range of optimality for the coefficient of the basic variables.
Optimal Solution
Cj

SV X1 X2 S1 S2 Q

5 X1 1/2 1 1/4 0 20
1 S2 5/2 0 -1/4 1 40
Zj 60 120 30 0 $2,400
Cj - Zj $-10 $0 $-30 $0

Ans: The range of optimality for X2’s profit coefficient is: $100 < Cj (for X2) < ∞

b. The range for the non-basic variables

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If there is a decision variable, not participating in the optimal basis, then, in
order for the variable to be included in the optimal solution, its coefficient in the
objective function will have to change from the existing Cj to a new level Cj(new).

Cj(new)> Zj

The range of insignificance is the range over which Cj rates for non-basic
variables can vary without causing a change in the optimal solution mix
(variable) is called the range of insignificance.

Example:
Max.Z=5x1 +4.5x2 +x3
Subject to:
15 x1+15.8x2 < 150
5x1+6.4x2+15x3 < 77
2.8x2+11.8x3 < 36
x1, x2 , x3 > 0

The optimal tableau for this solution is:

Cj 5 4.5 1 0 0 0

SV X1 X2 X3 S1 S2 S3 Q

5 X1 1 1.053 0 0.067 0 0 10

1 X3 0 0.67 1 -0.022 0.067 0 1.8

0 S3 0 1.924 0 0.258 -0.773 1 15.12

Zj 5 5.342 1 0.311 0.067 0 51.8
C j - Zj 0 -0.842 0 -0.311 -0.067 0

Calculate the range of insignificance for the coefficient of non-basic variable(X2)

Solution

Cj(for X2)=4.5 and Zj( for X2) =5.342

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Cj(new for X2)>5.342==> Cj(new for X2).If the profit contribution of X2 is greater
than 5.342,then X2 will be included in the solution.

Thus,- ∞< Cj(new for X2)< 5.342 is the range of insignificance for X2.
Cj (new for X2) can vary with in the given range without causing a change in the
optimal solution mix(X1=10, X2=0, X3=1.8, S1= S2=0 and S3=15.12).

B. Change in the Right Hand—Side Quantity (RHS)

Or
Change in the availability of resource (Capacity) (bj)

❖ RHS ranging is the range over which shadow prices remain valid.

❖ Shadow prices:
==>How much should a firm be willing to pay to make additional resources
available?

Shadow prices signify the change in the optimal value of the objective function
for 1 unit increases in the value of the RHS of the constraint that represent the
availability of scarce resources.

The negative of the number of Cj - Zj row in its slack variable columns provide
us with shadow prices. Or: shadow prices are found in the Zj row of the final
simplex tableau in the slack variable columns.

Example:
Max.Z=3x1+4x2
Subject to:
3 x1+5x2 < 15
2x1 + x2 < 8
x2 < 2
x1, x2 > 0

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 The optimal tableau is given as:
Cj 3 4 0 0 0

SV X1 X2 S1 S2 S3 Q

3 X1 1 0 -0.143 0.714 0 3.57

0 S3 0 0 -0.286 0.428 1 1.143

4 X2 0 1 0.286 -0.428 0 0.857

Cj - Zj 0 0 -0.714 -0.428 0

Required:
1. Determine the shadow price for each constraint
2. Determine the RHS ranges over which the shadow prices are valid

❖ Analysis of the 1st constraint (S1)

Q S1 Q/ S1

3.57 -0.143 -24.96

1.143 -0.286 -3.99

0.857 0.286 3.00

Lower Limit=bj-the smallest positive number in the Q/ Sj column

Upper Limit=bj+the smallest negative number in the Q/ Sj column

Lower Limit=b1-the smallest positive number in the Q/ S1column

=15-3=12
Upper Limit=b1-the largest negative number in the Q/ S1 column
=15-(-3.99) =18.99
Therefore, 12< b1< 18.99 (The range of resource 1 over which the shadow price $0.714 per unit is
valid).

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 ❖ Analysis of the 2nd constraint (S2)
Q S2 Q/ S2

3.57 0.714 5

1.143 0.428 2.67

0.857 -0.428 -2

Lower Limit=b2-the smallest positive number in the Q/ S2 column

=8-(2.67)=5.33
Upper Limit=b2-the largest negative number in the Q/ S2 column
=8-(-2) =10
Therefore, 5.33< b2< 10 (The range of resource 2 over which the shadow price $0.428 per unit is
valid).

❖ Analysis of the 3rd constraint (S3)

Q S3 Q/ S3

3.57 0 -

1.143 1 1.143

0.857 0 -

Lower Limit=b3-the smallest positive number in the Q/ S3 column

=2-(1.143)= 0.857

Upper Limit=b3-the largest negative number in the Q/ S3 column

=2-(-∞) =∞
Therefore, 0.857< b3< ∞ (The range of resource 3 over which the shadow price $0 per unit is valid).

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Exercise:
1. Max.Z=50x1+40x2
Subject to:
3 x1+5x2 < 150 (Assembly time)
x2 < 20 (Portable display)
8x1 + 5x2 < 300 (Warehouse space)
x1, x2 > 0

The final simplex tableau is:

Cj 50 40 0 0 0

SV X1 X2 S1 S2 S3 Q

40 X2 0 1 8/25 0 -3/25 12

0 S2 0 0 -8/25 1 3/25 8

50 X1 1 0 -5/25 0 5/25 30
Zj 50 40 14/5 0 26/5 1980
Cj - Zj 0 0 -14/5 0 -26/5

Determine the shadow prices for the three constraints for the High Tech Co.

Answer:
The Zj values for the three slack variables are 14/5, 0 and 26/5, respectively.
Thus, the shadow price for the assembly time constraint is 14/5(i.e.1 additional assembly time
over the existing 150 is $2.8)
T he shadow price for the portable display constraint is 0.
T he shadow price for the Warehouse space constraint is26.5
Therefore, we see that obtaining more warehouse space will have the biggest
positive impact on High Tech’s profit.

Note:
With a greater than or equal to constraint, the value of the shadow price will be
less than or equal to zero because a 1 unit increase in the value of the RHS cannot
be helpful; it makes it more difficult to satisfy the constraint. As a result, for a
maximization problem the optimal value of the objective function can be

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expected to decrease when the RHS side of a greater than or equal to constraint is
increased.
2. Solve the following LPP using simplex method. A firm that manufactures both
lawn mowers and snow blowers:
X1 =the number of lawn mowers
X2 =the number of snow blowers
Max.Z=$30x1+$80x2
Subject to:
2 x1+4x2 < 1000 Labor hours available
6x1 + 2x2 < 1,200lb of steel available
x2 < 20 snow blower engine available
x1, x2 > 0
a. What is the best product mix? What is the optimal profit?
Answer:
x1=100, x2=200 and profit =$19,000
b. What are the shadow prices? When the optimal solution has been reached,
which resource has the highest marginal value?
Answer:
The shadow price for 1 additional labor=$15
The shadow price for 1 additional pound of steel=0
The shadow price for 1 additional snow blowers engine made available =$20
Thus, snow blower engine have the highest marginal value at the optimal
solution.
c. Over what range in each of the RHS values are these shadows valid?
Answer:
The shadow price for labor hours is valid from 800 hours to 1,066.66 hours
The shadow price for pounds of steel is valid from 1,000pounds up to an infinite number
of pounds
The shadow price for snow blower engines ranges from 180 engines up to 250 engines
d. What are the ranges over which the objective function coefficients can vary for
each of the two decision variables?
Answer:
With out changing the current solution mix, the profit coefficient for the mowers can
range from $0 to 40, while the coefficient for the blowers can range from $60 to infinity.

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4.3. DUALITY
Every LPP has another LPP associated with it, which is called its dual. The
first way of stating a linear problem is called the primal of the problem. The
second way of stating the same problem is called the dual. The optimal
solutions for the primal and the dual are equivalent, but they are derived
through alternative procedures.

Note:
• The dual contains economic information useful to management, and it may also
be easier to solve, in terms of less computation, than the primal problem.
• Corresponding to every LPP, there is another LPP.
• The given problem is called the primal.
• The related problem to the given problem is known as the dual.
• The dual of a dual is the primal
• If the primal has optimal solution ,the dual will have optimal solution
• If the primal has no optimal solution, the dual will not have optimal solution.
• Whether we follow the dual or primal system, the optimal solution will remain
equal.
Table
Primal-Dual Relationship
Primal Dual
Objective is minimization Objective is maximization and vice versa

> type constraints < type constraints

No of columns No of rows

No of rows No of columns

No of decision variables No of constraints

No of constraints No of decision variables

Coefficient of Object function RHS value

RHS value Coefficient of Object function

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Duality Advantage
1. The dual form provides an alternative form
2. The dual reduces the computational difficulties associated with some
formulation
3. The dual provides an important economic interpretation concerning the value
of scars resources used.

Example:
Write the duals to the following problems
a. Max.Z=5x1+6x2
Subject to:
2x1+3x2 < 3000 (Labor constraint)
5x1 + 7x2 < 1000 (Machine constraint)
x1 + x2 < 5000 (Market constraint)
x1, x2 > 0
Solution
Represent primal in the conventional table as follows
Dual variables x1 x2 Constraints
u1 2 3 < 3000
u2 5 7 < 1000
u3 1 1 < 500
MaxZ 5 6

By referring the above table, dual for this can be stated as:
MinZ*=3000 u1 +1000 u2 +500 u3
St::

2u1+5u2 + u3> 5
3u1+7u2 + u3> 6
u1, u2 , u3> 0

Note:
1. For maximizing, all constraints must be brought to “<” form
2. For minimizing, all constraints must be brought to “>” form
3. If they are not, use multiplication factor -1
4. “=” is an intersection of “>” and “< “

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b. Max.Z=60x1+50x2
Subject to:
2x1+4x2 < 80
3x1 + 2x2 < 60
x1 < 15
2x2 < 36
x1, x2 > 0
Solution
Primal is represented in the table as follows:

Dual variables x1 x2 Constraints

u1 2 4 < 80
u2 3 2 < 60
u3 1 0 < 15
u4 0 2 < 36
MaxZ 60 50

The dual form is:

MinZ*=80 u1 +60u2 +15u3+36u4

St::

2u1+3u2 + u3 > 60
4u1+2u2 + u4 > 50
u1, u2 , u3, u4 > 0

c. Obtain the dual problem of the following primal LPP

Min.Z=x1+2x2
Subject to:
2x1+4x2 < 160
x1 - x2 = 30
x1 > 10
x1, x2 > 0

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Solution
Rule:
1. For a maximization primal with all < type constraints there exists a
minimization dual problem with all > type constraints and vice versa.
Thus, the inequality sign is reversed in all the constraints except the non-
negativity conditions.
2. Transform the < type constraint to a > type constraint by multiplying the
constraint by -1.
3. Write the = type constraint equivalent to two constraints of the type >
and <.
The standard primal LPP so obtained is:
Min.Z=x1+2x2
Subject to:
-2x1-4x2 > -160
x1 - x2 > 30
-x1 + x2 > -30
x1 > 10
x1, x2 > 0
Let u1, u2 , u3, and u4 be the dual variables corresponding to the four
constraints in given order, then the dual of the given primal problem can be
formulated as follows:
MaxZ*=-160 u1+30 u2-30 u3+10
St:
-2u1+ u2- u3+ u4 < 1
-4u1- u2+ u3 <2
u1, u2 , u3, u4 >0
Let u= u2-u3, then the above dual problem reduces to the form:

MaxZ*=-160 u1+30 u2-30 u3+10

St:
-2u1+ u+ u4 < 1
-4u1-u <2
u1, u4 > 0, u unrestricted in sign

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 Here it may be noted that the second constraint in the primal is equality.
Therefore, the corresponding dual u2 should be unrestricted in sign.
d. Obtain the dual problem of the following primal LPP
Max.Z=x1-2x2+3x3
Subject to:
-2x1+x2 +3x3=2
2x1 + 3x2 +4x3=1
x1, x2 , x3 > 0
Solution:
Since the given constraints are both equality, both the corresponding dual
variables, u1 and u2 will be unrestricted in sign .The dual of the given primal LPP
is:
MinZ*=2 u1+ u2
St:
-2u1+ 2u2> 1
u1+ 3u2 >-1
3u1+ 4u2 >3
u1, u2 , unrestricted in sign
e. A firm manufactures two products A and B on machine I and II as shown
below:
_____________________________________________________________________
Machine Product Available Hours
A B
I 30 20 300
II 5 10 110
Profit/unit ($) 6 8

The total time available is 300hrs and 110hrs on machine I and II respectively
.Product A and B contribute $6 and $8 per unit respectively.

i. Formulate the LPP model for the primal and determine the optimal
solution using simplex method.
ii. Formulate the LPP model for the dual and determine the optimal solution
from the final primal simplex tableau

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 Solution
Let X1=No of units of product A produced
X2=No of units of product B produced
Max.Z= 6X1+ 8X2
Subject to:
30 X1+ 20X2 <300
5 X1+ 10X2 <110
X1 , X2 > 0
The final simplex tableau is:

Cj 6 8 0 0

SV X1 X2 S1 S2 Q

6 X1 1 0 1/20 -1/10 4

8 X2 0 1 -1/40 3/20 9

Zj 6 8 1/10 6/10 96
Cj - Zj 0 0 -1/10 -6/10
The optimal solution is:
X1=4 units of product A produced
X2=9 units of product B produced and Max.Z= $96
ii. Let u1=Cost of one hour on machine I
u2=Cost of one hour on machine II
MinZ*=300 u1+ 110u2
St:
30u1+ 5u2> 6
20u1+ 5u2 >8
u1, u2 > 0
NOTE:
The value in the Cj - Zj row under columns of the slack /surplus variables with change in
sign give directly the optimal values of the dual/primal basic variables.
Therefore,

uj=-(Cj - Zj)

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 Note: The column s1 corresponds to u1 and the column s2 corresponds to u2
u1=-$(-1/10) per hr on machine I
u2=-$(-6/10) per hr on machine II
MaxZ=MinZ*=$96(Total minimum cost)
Note: The dual variables uj are also called as the shadow prices
g. Max.Z= 300X1+ 250X2
Subject to:
2 X1+ X2 <40
X1+ 3X2 <45
X1 <12
X1 , X2 > 0
The final primal solution is:
Cj 300 250 0 0 0

SV X1 X2 S1 S2 S3 Q

0 S1 0 0 1 -1/3 -5/3 5

250 X2 0 1 0 1/3 -1/3 11

300 X1 1 0 0 0 1 12

Zj 300 250 0 250/3 650/3 6350

Cj - Zj 0 0 0 -250/3 -650/3

Required:
I. What are the solution of the dual variables (i.e. Shadow prices) u1, u2 and u3?
II. What is the optimal dual cost?
Solution:
I. Note: The column s1 corresponds to u1, s2 to u2 and s3 to u3.
uj=-(Cj - Zj)
Therefore, u1=0, u2 =250/3 and u3=650/3
II. Min Z*=$6350

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Exercise
Write the dual of the following primal LP problems
1. Min.Z=3x1-2x2 +4x3
St: 5. Min.Z=8x1+3x2
3x1+5x2 +4x3> 7 St:
6x1 + x2 +3x3> 4 x1-6x2 > 2
7x1 -2x2 - x3 < 10 5x1 + 7x2 =-4
4x1 +7x2 - 2x3> 2 x1, x2 > 0
x1, x2 ,x3 > 0
6. Min.Z=3x1+x2 +x3-x4
2. Max.Z= 2x1+5x2 +6x3 St:
St: 2x1-x2 +3x3 +x4 =1
5x1+6x2 -x3 < 3 x1 + x2 -x3 +x4 =3
-2x1 + x2 +4x3< 4 x1, x2 ,x3 ,x4 > 0
x1 -5 x2 +3x3< 1
-3x1 -2x2 +7x3 < 6
x1, x2 ,x3 > 0

3. Min.Z=7x1+3x2 +8x3
St:
8x1+2x2 +x3> 3
3x1 + 6x2 +4x3> 4
4x1 +x2 + 5x3 > 1
x1 +5x2 +2x3 > 7
x1, x2 ,x3 > 0
4. Max.Z= 2x1+3x2 +x3
St:
4x1+3x2 +x3 = 6
x1+2x2 +5x3=4
x1, x2 ,x3 > 0

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ASSIGNMENT III
1.A manufacturer of toys makes two types of toys: A and B. Processing of these
two toys is done on two machines X and Y. The toy A requires two hours on
machine X and six hours on machine Y. Toy B requires fours on machine X and
five hours on machine Y. here are sixteen hours of time per day available on
machine X and thirty hours on machine Y. The profit obtained on both the toys
is same, i.e. $5 per toy.
a. What should be the daily production of each of the two toys?
b. Formulate the primal and the dual LPP model
c. Find the optimal solution for the dual LPP
d. Relate the dual optimal solution to the primal optimal solution
e. Give the proper interpretation to the primal and the dual solutions.
2.A company produces P, Q and R from three raw materials A, B and C. One
unit of P requires 2 units of A and 3 of B .Product Q requires 2 units of B and 5
of C. one unit of R requires 3 units of A, 2 units of B and 4 units of C. Company
has 8 units of material A, 10 units of material B and 15 units of material C
available to it. Profit per unit of products P, Q and R are $3, $5 and $4
respectively.
a. Formulate the problem mathematically
b. How many units of each product should be produced to maximize profit?
c. Write the DUAL problem
3.The 3rd and final simplex tableau for the LPP is:
Max.Z= 200x1+200x2
St:
2x1+x2 < 8
x1+3x2 <9
x1, x2 > 0
Cj $200 $200 $0 $0

SV X1 X2 S1 S2 Q

$200 X1 1 0 3/5 -1/5 3

250 X2 0 1 -1/5 2/5 2

Zj $200 $200 $80 $40 $1,000

Cj - Zj 0 0 -$80 -$40

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What are the solutions of the dual variables, u1, u2 and u3? What is the optimal
dual cost?

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