Duality Theory

One of the most important discoveries in the

early development of linear programming was
the concept of duality.
Every linear programming problem is associated
with another linear programming problem called
the dual.
The relationships between the dual problem and
the original problem (called the primal) prove
to be extremely useful in a variety of ways.
Primal and Dual Problems
Primal Problem Dual Problem
n m
Max Z = cjxj, Min W =  bi yi ,
j =1 i =1
s.t. n s.t. m

a x
j =1
ij j  bi , a
i =1
ij yi  c j ,

for i = 1,2, , m. for j = 1,2, , n.

x j  0, for j = 1,2, , n. yi  0, for i = 1,2,, m.

The dual problem uses exactly the same parameters

as the primal problem, but in different location.
In matrix notation
Primal Problem Dual Problem
Maximize Z = cx , Minimize W = yb,
subject to subject to
Ax  b yA  c

x  0. y  0.

Where c and y =  y1 , y2 ,  , ym  are row

vectors but b and x are column vectors.
Example

Primal Problem Dual Problem

in Algebraic Form in Algebraic Form
Max Z = 3 x1 + 5 x2 , Min
s.t. W = 4 y1 + 12 y2 + 18 y3 ,
x1 4 s.t.
2 x2  12 y1 + 3 y3  3
3 x1 + 2 x2  18 2 y 2 + 2 y3  5
x1  0, x 2  0 y1  0, y 2  0, y3  0
 Primal Problem Dual Problem
in Matrix Form in Matrix Form
Max Min 4
 x1 
Z = 3,5 , W =  y1 , y2 , y3 12
s.t.  x2  s.t. 18
1 0 4 1 0
0 2  x1 ,  12  y1 , y2 , y3 0 2  3,5
 x   
3 2  2  18 3 2

 x1  0
 x   0.  y1 , y2 , y3   0,0,0.
 2  
Relationships between Primal and Dual Problems

One Problem Other Problem

Constraint i Variable i
Objective function Right sides

Minimization Maximization
0 
Variables 0  Constraints
Unrestricted =
 0
Constraints  0 Variables
= Unrestricted
The feasible solutions for a dual problem are
those that satisfy the condition of optimality for
its primal problem.

A maximum value of Z in a primal problem

equals the minimum value of W in the dual
problem.
Any pair of primal and dual problems can be
converted to each other.

The dual of a dual problem always is the primal

problem.
Example: Solving a problem with 2 functional
constraints by graphical method.

max Z = 2 x1 + 7 x2 − 3 x3 Optimal solution：

s.t. x1 + 3 x2 + 4 x3  30 x1=10
x1 + 4 x2 − x3  10 x2=0
x1 , x2 , x3  0 x3=0
Integer Programming

In many practical problems, the decision variables actually make sense only
if they have integer values.
If some or all of the decision variables in a linear programming formulation
are required to have integer values, then it is an Integer Programming (IP)
problem.
The mathematical model for integer programming is the linear programming
model with one additional restriction that some or all of the decision
variables must have integer values.
If only some of the decision variables are required to have integer values,
then the model is called Mixed Integer Programming (MIP) problem.

If all of the decision variables are required to have integer values, then the
model is called Pure Integer Programming problem.
In some decision-making problems, the only two possible choices for decisions are
yes and no.
1. Examples of Integer Programming
(1) Example of BIP
All the decision variables have the binary form

x1: building a factory in Los Angeles? Yes (x1=1) or No (x1=0)

x2: building a factory in San Francisco? Yes (x2=1) or No (x2=0)
x3: building a warehouse in Los Angeles? Yes (x3=1) or No (x3=0)
x4: building a warehouse in San Francisco? Yes (x4=1) or No (x4=0)

Because the last two decisions represent mutually exclusive alternatives (the
company wants at most one new warehouse), we need the constraint
Furthermore, decisions 3 and 4 are contingent decisions, because they are
contingent on decisions 1 and 2, respectively (the company would consider
building a warehouse in a city only if a new factory also were going there). Thus,
in the case of decision 3, we require that x3 = 0 if x1 = 0. This restriction on x3
(when x1 = 0) imposed by adding the constraint

Similarly, the requirement that x4 = 0 if x2 = 0 is imposed by adding the constraint

The complete BIP model for this problem is