Chapter 7 .

Duality I .
 Duality

Dikm .

How can a dietician design the most economical diet that

satisfies the basic

daily nutritional requirements for good healthy ?

F ,
Fa Daily requirement
$120 $180
unit
price
-

Ni 1 1 10

Nz 2 4 24

N 3 3 6 32

let Ui be the number

of units
of Fi that one should eat lit 2)
.
.
.

Min 120 Uit I U2

s it . U , t Uz 3 10 ( for Ni )

Ii t 442 324 ( for Nz )

(P1 )
3h , t 642332 ( for Ns )

Ui , Uz Z O .
 Nwtiieutpiuspioblenr

A pharmaceutical company wants to produce 3 nutrient pills :

Pi ,
Pz ,
Pss ,

each pill of Pi ( it . 2. 3) Contains one unit

of Ni .

The problem is to Max the total revenue from selling this

synthetic diet .

F ,
Fa Daily requirement
$120 $180
unit
price
-

Ni 1 1 10

Nz 2 4 24

N 3 3 6 32

let Ki be the unit

price of Pi ( it . 2 . 3.)

MAX ION , -124 Nz t 32 Us

5.t .
K, t 222 t 323 E 120 ( for Fi )
( P2 )
Ni t 42k t 623 E 180 ( for Fz )

Ui .
Rs .
23 30 .

Max Cio . 24 .
32 ) ( Ffs ) Max E' Je
Aish
I E) Eg ) sf :3 )
s ti sit
f
-
' .

, . 338

( In;) > 8
 Max Cio . 24 .
32 ) ( Ims ) Max ETI
AI ET
I E) Ez ) 'll :o)
en St St
I
.
' .

, . a- as

I :} ) so

where IT -

- C lo , 24 .
32 ) A- = ( ! 2436 ) DIC 120 ,
is )

Nih 120 Uit I U2

sit . U , t Uz Z 10

2h , -1442324
( pp)
3h , t 642332

Ui , Uz Z O .

Nih ( 120 ,
Iso ) ( IL )
Min 5th

( g g) fun, ( go:)
sit .
' ' '

> sin.
a'i > e

a > s

(1) as
 tEinnasmg÷iIE⇐'Duams÷I
Cps R CD ) form a
I 78

dual pair .
I 78

-
P D
-

obj fun : Max -

#
of variables .
: h CIHR" ) -

CI
of
m
# constraints in EIR ) -

coefficient matrix .
A "

cost vector .
I -

rhs vector b
-

constraint E
-

variable .
30 '

E.
G. Up ) Max 2K , -1322 ID) ?

Sst .
3k , -122212

-42 , + 2h E5

5K, -226 El

2e . .
Hs 30 .
 Question : What's the dual of the dual problem ?

Thmt.Thedualofthedualistheprimal.LT
PI CDs Min Tin Max -
EI
.

⇐
St .
A T
T
> I sit .
-
Ain s -
I

I 38 .
I 38

CD
of D) Min -
EE ups Max EI
⇐
St . C-A' 53 > -8 St . AZ EI
I 38 .
I 38 .

# .

G
E. . Min 2 , -122kt 3kg ⇐ Min 2e , -122kt 323

St .
2e , -122cL -

Ks E l S.T. -
K, -
Dez +3cg 3 -

32 , t 422-1523 E -
I
-
32 , -422 -

52.3 3 I

Ki .
Hz . Ks 30 .
2 . .
K2 .
Rs 30 .

CDs ?
Question : what's the dual
if Cp > is in standard form ?

Cp , Max E' I Max EE

⇐

AE I
( Fa ) BELIE)
sa .
-

-
sit .
Atsb
335 -
AE E -
I .

③ 7J .

CD, Min ( Is ) min c 5

'

.
-
E> I
⇐

( f-a) th
sit s 't
I CAT A 's in I
'

-
>
> .

a- 35 .

I 38

let E- ( II )
Eui Eui Min E' cut -

us ,
Min -

⇐ ⇐ sit
A' cut UT ) >I
.

St Atu Atu E
-

,
-

,
>

UT UT 38 .

vi. UT 38 .

let it -_ Ti .
-
UT .

Mihbu
Sit .
Atu > E
tr free .

":÷:÷÷"i¥¥÷÷
Question : What's the dual if I is free in (P) ?

Cps Max Eai Min - EE

⇐
St .
AZ EI St .
-

AI z I
-

I free .
E free .

EI
JT J
CD ) Max -

b u Min
⇐

S.t. C- ATT = - I sit .

Atu =I
I > 8 in 38

"i::I÷÷.""i¥:÷÷
(1) ( P ) Max EZ CD ) Min JI
S.t. AI ET s 't .
Ain > I
3>8 in > 5

(2) CP ) Max EI CD ) Min Tsin

St . AE S.t. ATT > I

338 is free .

(3) CP ) Max Ek CD ) Min Biu

St . AI ET s t - . ATE -_ I

I free .
I 38 .

#
Primal .

#
Dual .

Max -

m constraints . M .
-

h variables n
-

:/ Iz :{ =
-

ith constraint ith variable

jth variable :

{ tree
EO
, th constraint
'

:{ -
E.G .
Max 32 , -1222+23

S.t. 2e , t 2Nz -
23 £4

2K , -

sea Pez =8

2e , -
Nz Eb

K. .
22 70 , 2g free .
EG .
Min 5k, -16k Min 5kt -1622

S.t. se ,
-122.2=5 ⇐ S.t. 2e , -122cL =5

-
K, +52233 -
K , -1522 3 3

42 , +72k E8 -
42 , -72k 3-8

se , free .
Kiso .
N, free .
2230 .

Method Max 5h -1342 ,

-
843

( Dc ) St .
U, -
U2 -
4. Us 5
-

2h , +5 U2
-
7 Uz
-
6

hi -
,
U2 -
, 43 -

Nih 5Mt Gks Max

method Lp > ⇐ -
5k , -
Gks

S.t. K -1276=5
,
S.t. N, -122oz = 5

-
se , +52233 x , -522 E -

42 , +72k E8 4N , +726 E 8

se , free .
Nao .
N, free , 2h30 .

( Dz ) Min 5h , -
342-1843

S t - .
U , t U2 -1443 -5
-

ZU , -
5hL -1743 -6
-

Ui -
>
U2 -
143 -

Question Are And ( D2 > ?

: CD , >
equivalent
CDI ) Max 5h -13ha ,
-
843 ( Dz ) Nih 5h , -
342-1843
-

St .
U, -
U2
-

4. Us =5 S t
- .
U , t U2 + 4U3= -5
-

2h , +5 Uz
-

743 Eb 2h , -

542+7433-6
→

U ,
free ,
U2> 0 , 4330 U , free ,
2<30 , Ks > 0 .

( D2) Max
8h35
⇐ -
5h , -13 Uz -

.t .
-
U ,
-
Uz -

443 =
5

-
2h , -1542-743 E 6

U ,
free ,
4270 , 4370 .

let u 's = -
u , .
then .
Ui is free .

'
⇐ Max 5h , -13ha -
8U3 ( D , > .

Sit . hi -
Uz -

443=5

-15ha -743 Eb
'
Zu ,

free
'
U , ,
42,30 . 4330 .

CD ) . and CDs ) are

equivalent !
 Duality
Theorem

(P ) Max EI CD) Min Tin

St . Asisb Sit .
Atu > I

£35 I 35

w:::÷t::÷::::""i:x:::
Thins ( weak
duality Thm )

then .

Esto e Eai .

PI .
Since Io is a feasible Sol to IP ?

Ako EI
As to 38 ,
Kotaro E UTI = E'Teo

similarly ,
since Pro is a feasible sod to CD ) .

Atuo > I .

UTA > IT
AS Io 35 . UTA Io > E'Eo .

E'Io E UTA Io s Fut . ie .

E'Io a- Elio .

# .

Remarked
, obj value of any feasible sod to CD ) is an
upper bound of the

obj value of Cps .

Obj value of any feasible Sol to CP ) is a lower bound of the

obj value
of CD ) .
 of CP )
⑦ CD ) determines the min
upper bound the
obj value
of

EG . ( Nutrient pills problem > .

(
p) Max E- lose , -12422+3223

S.t. N, -12221-323 €120 ①

Ki -1422 -1GHz E 180 ②

Ki .
2k , Jez 30 .

Construct a LP that finds the Min

upper bound on Z .

EG .
Li ) ① * 12 Z E 12K , -12422+3623 EIZOX 12 .

(ii , ② * 10 Z E 10K , -140kt 60203 E 180×10

let 2 . .
22 > 0 .

2, * ① + 22*20 :

( 2 , -122 ) Kit 122 , -142<722+(321+622) As I 1202 , -118022 .

Sahil Z =
10X , -1242kt 3223 .

if
{
.
2. t 22 3 10 . then Z E 1202, -118022 .

22 , -142, > 24

32 , -1622 332 ,

to Min Z : Nih 1202 , -118022

→
Dual of Cp ) .

St . 2 , -1223,0

22 , +422324

32, + 622332

di 2230
. .
 GFEB-isu.nbownded.thecpsisihfeas.to
③

PI Assume CD ) has a feasible sole UT , then .

It feasible Sol Io by
to
Lp ) ,
weak
duality ,

Ese .
a- Eci . .

(
p) is bounded from above
by Tito , which is a contradiction .

CD , is infeasible .
#

Similarly ,

QTYY.pt#isunbounded.theucpsisihfeasib
Another immediate result from weak
duality :

:÷÷÷::÷÷÷÷÷÷÷:::::::÷:
corollary 7 .

PI ht feasible sod Jc to
up > .
by weak
duality .
.

Est e Eino = Eino

Do is an
opt sod to ups
it feasible Sol Tr to CD ) .
by weak duality .

5'T s E' Eo = Eino

Do is #
an
opt Sol to ID ) .
 The converse of corollary 7 is also correct .

a.et.su:7?:::i.is:.::t:::..*=atea
Thins ( strong Duality Thm )

In Teo is Sol
particular , an
opt
to LD ) .

PI (⇐ ) (
Corollary 7 ) V -

( ) .

Cp, Max E' E Max E' I

⇐
S.t. AI EI St . AB t Im Is =D
Ze > 8 . £ ,
Is 38

Initial
simplex tableau :

I Is rhs

a ÷-
Assume Teo is an BFS Wrt basis B
opt .

tableau :
opt
-
-
N Ks this

⇐:::÷E.t:÷
 8th

( )
(D) Min
" "

By optanai.im :

TBT B- A E 8T
'
'
At 5%3 I
/
'
> ⇐ ( B-

{
-

cis B '
> ST (B-'TEs 35 .

let to = (B
-

JEB
'
C- IRM

Aino 38
{ To feasible
is a Sol to CD ) .

pro

Also ,
Btu = E' ( B- ICTs '
= Est B- I '
= E' Teo .

By corollary 7 Bo is an Sol to CD ) #
opt
.
.
.

¥ .

4) If Cps has an
opt Sol ,
so does the CD ) ,
and they have the

same value
opt .

⑦ If both
Lps and CDs are feasible ,

then Ii ) has opt Sol

Scott
.

Cps an .

Lin's LD ) has an Sol Tio

opt .

Liii ) Eino't = 5# '

.
③ For any LP . it lies in one
of the following 3 categories :

① opt Sol ② unbounded ③ infeasible .

9 possible combinations for up ) and CD ) .

Cp )

opt sod unbounded infeasible .

€
Opt set
"

( D) unbounded

infeasible .

Li ,
strong duality : dis weak duality .

EG ( p)
. Max Kit Nz ( D) Mir -
ZU , -242

S.t. -
2e, -1222 E -
2 Sit .
-
U ,
+ U2 31

x -222 I -2 ZU , -
2h23 l
,

K K2 7- O -
U U2 70
.
.
. . .

NL
, U2

¥¥#
X -
hit U2 = l
K , -222=-2

ZU , -242=1
2e ,
-1222=-2
-
(4) The proof is constructive :

if the opt basis to Cp ) is B then , .

lio*=CB"5EB.

Moreover ,
if Cp > is in feasible canonical form .

opt tableau of Cp ) :

÷. T t
:I
7 N T
. h*o

CD , Min Tin Min 5in

S.t. Ath > I St .
Ain -

Trs = I

I > J T .
Is 35

CEE B- A '
- E' 5 =
AT CB
-
'
5 Is -
I
= AT Cutts -
I
= list .

opt sod t CDs can be read off from row 0

of the opt tableau of Lp)
structural variable surplus variable
{
primal ← dual

primal slack variable ← dual structural variable .

Example. Let the primal problem be
Max x0 = 4x1 + 3x2 2 3
Subject to 2 3 2 3 2 3 x1 2 3
1 0 6 1 0 1 0 0 0 0 6 7
6 x2 7 6
60 60 07 6x 7 6 8 7
6 177  687
6 7 6
6
1 0 1 0 0 7 6 37 6 7
76 7 6 7
6 7 x1 6 7 61 1 0 0 1 0 07 6 x4 7 = 6 7 7
61 17 677 6 76 7 6 7
6 7 x2 6 7 43 1 0 0 0 1 05 6x5 7 4155
43 15 4155 6 7
0 1 1 0 1 0 0 0 0 1 4 x6 5 1
x1 , x2 0. x7

The optimal tableau is given by

x1 x2 x3 x4 x5 x6 x7 b
x3 0 0 1 0 1/2 1/2 0 2
x2 0 1 0 0 3/2 1/2 0 3
x4 0 0 0 1 3/2 1/2 0 5
x1 1 0 0 0 1/2 1/2 0 4
x7 0 0 0 0 1/2 1/2 1 4
x0 0 0 0 0 5/2 1/2 0 25

[x1, x2] = [4, 3] with [x3, x4, x5, x6, x7] = [2, 5, 0, 0, 4]

5 1
[u1 , u2 , u3 , u4 , u5 , u6 , u7 ] = 0, 0, , , 0, 0, 0 .
2 2
The dual of the primal is given by

Min u0 = 6u1 + 8u2 + 7u3 + 15u4 + u5

Subject to 2 3
u1
 6u 7 
6 27
1 0 1 3 0 6 7 4
6 u3 7
0 1 1 1 1 6 7 3
4 u4 5
u5
ui 0, i = 1, 2, 3, 4, 5

Changing the minimization problem to a maximization problem and using simplex

method, we obtain the optimal tableau for the dual:

u1 u2 u3 u4 u5 u6 u7 c
1 1 1 1 1 1
u4 6 2 0 1 2 2 2 2
1 3 3 1 3 5
u3 2 2 1 0 2 2 2 2
u0 2 5 0 0 4 4 3 25
Besides ,

S, Sz S3 Sa Ss
CP)

( D)
t, d .

Vi V2

P D
- -

K, 4 V, O

/
= =

{ sea =3 vz = o

2 0

{
S,

(
=
U, =

Sz = 5 Uz = O

s, = o ↳ = %

Sq = O Ug e Yz

S5 = 4 Us = O

Ni Vi = O b- =L 2

I
. .

sjuj = o
j i. 2 5
-
.
-
- . .

slackness condition)
( complementary .