Dual Simplex Method…

Duality of LP problems and Sensitivity analysis

Introduction
 With every LP problem, there is always associated another LP called the dual
problem.
 Given LP problem is known as Primal.
 If Primal problem requires maximization, The dual problem is one of the
minimizing problem and vice-versa.
 Primal problem is that of maximization of the total net revenue while the dual is the
minimization of cost of raw material in a factory.
 Duality of LP problem is a useful property that makes the problem easier in
some cases
 Dual simplex method is computationally similar to simplex method. However,
their approaches are different from each other.
 Primal-Dual relationship is also helpful in sensitivity or post optimality analysis
of decision variables.
 Duality of LP problems
Each LP problem (called as Primal in this context) is
associated with its counterpart known as Dual LP problem.
Instead of primal, solving the dual LP problem is sometimes
easier in following cases
a)The dual has fewer constraints than primal
 Time required for solving LP problems is directly affected by the number of
constraints, i.e., number of iterations necessary to converge to an optimum
solution, which in Simplex method usually ranges from 1.5 to 3 times the
number of structural constraints in the problem
b)The dual involves maximization of an objective function
 It may be possible to avoid artificial variables that otherwise would be used
in a primal minimization problem.
Steps to perform Dual Problem….
Step1:
If the objective function of Primal is Maximized then the objective
function of Dual is minimized.
Step 2:
Set of variables used in primal are x1, x2,x3 while in dual are y1,y2,y3.
Step3:
The inequalities ≤ of the constraint must be ≥ in the dual problem and
vice-versa.
Step4:
The constants on the right hand side of constraints (in primal) are
written in column.
These constants from top to bottom become the coefficients y 1,y2,y3 in
the objective function from left to right in a row.
Steps to perform Dual Problem….
Step 5:
The coefficient in the constraint from left to right are placed
from top to bottom i.e., first row becomes the first column
and second row becomes the second column and so on.
Step 6 :
Number of variables in the primal x1,x2,x3… = Number of
constrain in Dual problem
Step 7:
Number of constraints in primal = Number of variables in
dual y1,y2,y3…
 Finding Dual of a LP problem
Primal Dual

Maximization
Minimization
ith variable
jth constraint
xi > 0
ith variable unrestricted
jth constraint with = sign
RHS of jth constraint
Cost coefficient associated with ith
variable in the objective function
Minimization
Maximization
ith constraint
jth variable
Inequality sign of ith Constraint:
≥ if dual is maximization
≤ if dual is minimization
ith constraint with = sign
jth variable unrestricted
Cost coefficient associated with jth
variable in the objective function
RHS of ith constraint
Standard form of the Primal
Problem n
max Z   c j x j
x j 1
a11 x1  a12 x 2  ...  a1n xn  b1
a21 x 1  a22 x 2  ...  a2 n x n  b2
... ... ... ...
... ... ... ...
am1 x1  a m2 x 2  ...  amn x n  bm
x1 , x 2 ,..., x n  0
Standard form of the Dual
Problem
m
min w   bi yi
y i 1
a11 y1  a21 y 2  ...  a m1 y m  c1
a12 y1  a 22 y 2  ...  a m2 ym  c 2
... ... ... ...
... ... ... ...
a1n y1  a 2 n y2  ...  a mn y m  c n
y1 , y 2 ,..., ym  0
 Finding Dual of a LP problem:
An example
Primal Dual

Maximize Z  4 x1  3 x 2
Minimize Z '  6000 y1  2000 y 2  4000 y 3
2
Subject to x1  x 2  6000 Subject to y1  y 2  y3  4
3 2
x1  x 2  2000 y1  y 2  3
3
x1  4000 y1  0
x1 unrestrict ed , y2  0
y3  0
x2  0
 Finding Dual of a LP problem:
An example

Note: Second constraint in the primal is transformed to

- x1 + x2 ≤ -2000 before constructing the dual
 Primal-Dual relationships
If one problem (either primal or dual) has an optimal
feasible solution, other problem also has an optimal
feasible solution. The optimal objective function value is
same for both primal and dual.

If one problem has no solution (infeasible), the other

problem is either infeasible or unbounded.

If one problem is unbounded the other problem is

infeasible.
 Dual Simplex Method
Simplex Method verses Dual Simplex Method

1.Simplex method starts with a non optimal but feasible

solution where as dual simplex method starts with an
optimal but infeasible solution.

2.Simplex method maintains the feasibility during

successive iterations where as dual simplex method
maintains the optimality.
 Dual Simplex Method: Iterative steps

Steps involved in the dual simplex method are:

Step1.
All the constraints (except those with equality (=) sign) are modified to ‘less-
than-equal-to’ sign.
Constraints with greater-than-equal-to’ sign are multiplied by
(-1) through out so that inequality sign gets reversed.
Finally, all these constraints are transformed to equality sign by introducing
required slack variables.
Step 2.
Modified problem, as in step one, is expressed in the form of a simplex table.
If all the cost coefficients are positive (i.e., optimality condition is satisfied)
and one or more basic variables have negative values (i.e., non-feasible
solution), then dual simplex method is applicable.
 Dual Simplex Method: Iterative steps…contd.
3.Selection of exiting variable:
The basic variable with the highest negative value (br)is the
exiting variable.
If there are two candidates for exiting variable, any one is
selected.
The row of the selected exiting variable is marked as pivotal
row.
4.Selection of entering variable:
Cost coefficients, corresponding to all the negative elements
of the pivotal row, are identified. Their ratios are calculated,
 Dual Simplex Method: Iterative steps…
contd.
Ratio = cost coefficients
[Elements of pivotal row]
The column corresponding to minimum ratio is identified
as the pivotal column and associated decision variable is
the entering variable.
5.Pivotal operation:
Pivotal operation is exactly same as in the case of simplex
method, considering the pivotal element as the element at
the intersection of pivotal row and pivotal column.
 Dual Simplex Method: Iterative steps…
contd.
6.Check for optimality:
If all the basic variables have nonnegative values then the
optimum solution is reached. Otherwise, Steps 3 to 5 are
repeated until the optimum is reached.
Note:
If there is any equality kind of constraint say x + y = 2
then it can be written as x + y ≤ 2 and x + y ≥ 2
Now x + y ≥ 2convert in –x – y ≤ - 2 form and then solve
the problem.
 Dual Simplex Method:
An Example
Consider the following problem:

Minimize Z  2 x1  x 2
Subject to x1  2
3 x1  4 x 2  24
4 x1  3 x 2  12
 x1  2 x 2  1
 Dual Simplex Method: An Example…contd.
After introducing the slack variables the problem is
reformulated with equality constraints as follows:

Minimize Z  2 x1  x 2
Subject to  x1  x3  2
3 x1  4 x 2  x 4  24
 4 x1  3 x 2  x5  12
x1  2 x 2  x6  1
 Dual Simplex Method: An Example
As all the br are positive, optimum solution is reached.
Thus, the optimal solution is
Z = 5.5 with x1 = 2 and x2 = 1.5
 Solution of Dual from Primal Simplex
PRIMAL

Maximize Z  4 x1  x 2  2 x3
Subject to 2 x1  x 2  2 x3  6
x1  4 x 2  2 x3  0
5 x1  2 x 2  2 x3  4
x1 , x 2 , x3  0
 1 1/3 1/3
 Z’ Z’ Z’
 y3

 y2

 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y2 y1
 Solution of Dual from Primal Simplex
DUAL

Minimize Z '  6 y1  0 y 2  4 y 3
Subject to 2 y1  y 2  5 y 3  4
y1  4 y 2  2 y 3  1
2 y1  2 y 2  2 y 3  2
y1 , y 2 , y 3  0
 Sensitivity or post optimality analysis
 Changes that can affect only Optimality
Change in coefficients of the objective function, C1,C2,…

Re-solve the problem to obtain the solution

 Changes that can affect only Feasibility
Change in right hand side values, b1, b2,..
Apply dual simplex method or study the dual variable
values
Changes that can affect both Optimality and Feasibility
Simultaneous change in C1, C2,.. and b1, b2,..
Use both primal simplex and dual simplex or re-solve
 Sensitivity or post optimality
A dual variable, associated with a constraint, indicates a
change in Z value (optimum) for a small change in RHS
of that constraint.
ΔZ =yjΔbi
where yj is the dual variable associated with the ith
constraint,
Δbi is the small change in the RHS of the ith constraint,

ΔZ is the change in objective function owing to Δbi.

 Sensitivity or post optimality analysis: An Example
Let for a LP problem, ith constraint be
2x1 + x2 ≤ 50 and the optimum value of the objective function be
250.
RHS of the ith constraint changes to 55, i.e i th constraint changes to
2x1 + x2 ≤ 55
Let, dual variable associated with the i th constraint is yj, optimum
value of which is 2.5 (say). Thus,
Δbi = 55 –50 = 5 and yj= 2.5 So,
ΔZ = yjΔbi = 2.55 = 12.5
and revised optimum value of the objective function is
250 + 12.5 = 262.5
THANK YOU