Optimization Linear Programming/Simplex Method

The Dual Problem: Minimization with problem

constraints of the form ≥

• Linear programming problems exist in pairs. That is in linear programming

problem, every maximization problem is associated with a minimization
problem.
• Conversely, associated with every minimization problem is a maximization
problem. Once we have a problem with its objective function as
maximization, we can write by using duality relationship of linear
programming problems, its minimization version.
• The original linear programming problem is known as primal problem, and
the derived problem is known as dual problem.

1
Optimization Linear Programming/Simplex Method

Thus, the dual problem uses exactly the same parameters as the primal problem,
but in different locations. To highlight the comparison, now look at these same
two problems in matrix notation.

Primal problem Dual problem

𝑎11 𝑎12 𝑎13 𝑎11 𝑏11 𝑐11

T
A= 𝑏11 𝑏12 𝑏13 A = 𝑎12 𝑏12 𝑐12
𝑐11 𝑐12 𝑐13 𝑎13 𝑏13 𝑐13

2
Optimization Linear Programming/Simplex Method

As an example,

Primal Problem in Dual Problem in algebraic

Primal problem Dual problem
algebraic form form
Minimize C=3x1+5x2 Maximize Z=4y1+12y2+18y3
1 0 4 1 0 3 3
Subject to x1 ≥ 4  A= 0 2 12  T
A= 0 2 2 5 Subject to y1+3y3  3
 2x2 ≥ 12 4 12 18 1 2y2+2y3  5
3 2 18
3x1+2x2 ≥18
3 5 1 and y1≥0 , y2≥0 ,y3≥0
and x1≥0, x2≥0

Consequently, (1) the parameters for a constraint

in either problem are the coefficients of a variable
in the other problem and (2) the coefficients for
the objective function of either problem are the
right sides for the other problem.
3
Optimization Linear Programming/Simplex Method

Summary

4
Optimization Linear Programming/Simplex Method

Example:

5
Optimization Linear Programming/Simplex Method

WORKED –OUT PROBLEM

Form the dual problem:

Minimize C = 16 x1 + 9x2 + 21x3

subject to x1 + x2 + 3x3 ≥ 12
2x1 + x2 +x3 ≥ 16
x1, x2, x3 ≥ 0

6
Optimization Linear Programming/Simplex Method

Example:

Minimize Z= 2X1 + 3X2

Subject to
X1+ X2 ≥ 12
3X1 + 2X2 ≥ 4
X1 , X 2 ≥ 0

7
Optimization Linear Programming/Simplex Method

The solution:
1- construct a matrix for the problem as:

X1+ X2 ≥ 12
3X1 + 2X2 ≥ 4
2X1 + 3X2= Z

2- The transpose of the matrix is created by switching the rows and columns

X1+ 3X2 ≤ 2

X1+ 2X2 ≤ 3

12X1+ 4X2 = Z
The dual problem is:
Maximize Z= 12X1+ 4X2
ST:
X1+ 3X2 ≤ 2
X1 + 2X2 ≤ 3
X1,X2 ≥ 0 8
Optimization Linear Programming/Simplex Method

▪ Then Adding in the slack variables and rewriting the objective function
yield the system of equations:

X1+ 3X2 + S1= 2

X1 + 2X2 + S2= 3
X1, X2 ≥ 0

The initial simplex tableau:

9
Optimization Linear Programming/Simplex Method

X1 X2
value value

10
Optimization Linear Programming/Simplex Method

Minimization in other case

• If objective function is minimization and all constraints are “<=“ , the
solution can be found by multiply objective function by -1, then objective
function will convert to Max and solve the problem as simplex method.
• Example:
Min z= 3x1 – 2x2
ST:
x1+x2<= 12
x2<= 24
x1, x2 >= 0

• Solution:
Max z= -3x1 + 2x2
ST:
x1+ x2 <= 12
x2 <= 24
x1, x2 >= 0
11
Optimization Linear Programming/Excel’s Solver

Software for solving LP

1- Excel’s Solver

• Example:

Maximize profit = $7T + $5C

Subject to
3T + 4C ≤ 2,400 (carpentry time)
2T + 1C ≤ 1,000 (painting time)
C ≤ 450 (maximum chairs allowed)
T ≥ 100 (minimum tables required)
T, C ≥0 (non-negativity)

12
Optimization Linear Programming/Excel’s Solver

13
Optimization Linear Programming/Excel’s Solver

14
Optimization Linear Programming/Excel’s Solver

15
Optimization Linear Programming/Excel’s Solver

16
Optimization Linear Programming/Excel’s Solver

17
Optimization Linear Programming/Excel’s Solver

18
Optimization Linear Programming/Excel’s Solver

19
Optimization Linear Programming/Excel’s Solver

20
Optimization Linear Programming/Excel’s Solver

21
Optimization Linear Programming/TORA

2- TORA

22
Optimization Linear Programming/TORA

23
Optimization Linear Programming/TORA

24
Optimization Linear Programming/TORA

25
Optimization Linear Programming/TORA

26
Optimization Linear Programming/TORA

27
Thank you
28