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Duality: Complementary Slackness theorem and Farkas Lemma

Duality: Complementary Slackness theorem and Farkas Lemma

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Published by Shameer P Hamsa
complementary slackness condition and theorem helps in checking the optimality of lpp solutions. also helps to find out the solution of dual/primal if the optimal solution of the other is given.
farkas' lemma- to check the feasibilty of solutions
complementary slackness condition and theorem helps in checking the optimality of lpp solutions. also helps to find out the solution of dual/primal if the optimal solution of the other is given.
farkas' lemma- to check the feasibilty of solutions

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Categories:Types, Research
Published by: Shameer P Hamsa on Mar 05, 2011
Copyright:Attribution Non-commercial

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03/05/2011

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DEPT OF FUTURES S TUDIES
Complementaryslackness&Farkas’ lemma
SHAMEER P H
 
DEPT OF FUTURES S TUDIES
STRONG DUALITYTHEOREM
If Z
LP
or W
LP
is finite, then both P and D havefinite optimal value and Z
LP
= W
LP
 
COROLLARY:
There are only four possibilities for a dual pair of problems P and D
i.Z
LP
or W
LP
are finite and equalii.Z
LP
= ∞ and D is infeasibleiii.W
LP
=
-∞
and P is infeasibleiv.both P and D are infeasible
 
DEPT OF FUTURES S TUDIES
ComplementarySlackness
PRIMAL:
u = max{cx : Ax b, x≥ 0}
DUAL:
w = min{by : Ay ≥ c, y ≥ 0}
let
s
’ 
be the vector of 
slack 
variables of the primal&
’ 
isthe vector of 
surplus variables
 of dual
s= b-Ax≥0
and
t= yA-c≥0

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