Duality Theory

Primal – dual problem

• Associated with each LP (primal form) is an associated LP (dual form)
• If the primal form is a maximization problem, the dual form is a
minimization problem and vice versa
• Number of variables in the primal problem = No. of constraints in the
dual problem
• Number of constraints in the primal problem = No. of variables in the
dual problem
• Objective function of the dual problem is formed from the right hand
side of the constraints of the primal problem
Primal – dual conversion table
• Constraints:
• Amount spent in investment must be equal to the corpus:

• Linear Programming model:

Primal – dual conversion steps
• Convert the primal (dual) problem to its standard form:
• Standard form:
Primal – dual conversion steps
• Standard form:
Standard form
Max: constraint <=
Min: constraints >=
Primal – dual conversion example:
• Wyndor Glass problem:
Primal form:

(a)
(b)
(c)
Primal – dual conversion example:
• Wyndor Glass problem: Primal form:

Dual variable : = 0
Dual variable :
Dual variable :
Primal – dual conversion example:
• The objective function of the dual problem is made from the
constants on the right hand side of the original primal problem:
• The dual objective function :
• The constraints are dual problem are written for each of the variable
in the primal problem:
• For the above problem, we write constraints for corresponding variables and :
• The constraints:
Primal – dual conversion example:
• Dual form: Max 3000x+5000y
s.t.
X<=4
2y <=12
dual x 3x+2y<=18

• Note that, the original problem is in standard form, therefore, the dual problem is
also in standard form. If the given problem is not in standard form then convert it
into standard form and perform primal-dual conversion.
• A constraint of nature can be converted to type by just multiplying with -1 on both
the sides of the constraint (vice versa for the other case)
Economical interpretation of the dual
problem
• The interpretation of the dual problem depends on the nature of the
primal problem.
• If the primal problem is a profit maximization problem then dual
problem prices the resources required to attain the objective.
• For instance, we had dual variables pertaining to each of the resource
(plant 1, plant 2 and plant 3) in the primal problem
• Let’s see another example:
Economical interpretation of the dual
problem – Diet problem
• A liquid portion of diet is required to provide at least 300 calories, 36
units of vitamin A, and 90 units of vitamin C daily. A cup of dietary
drink X gives 60 calories, 12 units of vitamin A, and 10 units of vitamin
C. A cup of dietary drink Y provides 60 calories, 6 units of vitamin A,
and 30 units of vitamin C. Now suppose that dietary drink X costs
0.12$ and drink Y costs 0.15$ / cup. How many cups of each drink
should be consumed per day to minimize the cost and still meet the
dietary requirements.
Economical interpretation of the dual
problem – Diet problem
• Primal problem – Cost minimization problem:
Economical interpretation of the dual
problem – Diet problem
• Dual problem:

Drink x

Drink y
Economical interpretation of the dual
problem – Diet problem
• Dual problem can be interpreted as:
• Profit maximization problem where one sells calories, vitamin A and vitamin C
and deciding how much one should extract each of them to maximize profit
• The problem is constrained by the amount of raw materials from which it is
extracted (in this case, which is Drink X and Drink Y). (Note: The amount
available is given in terms of dollar value instead of physical units)
• Dual variables a,b,c can be interpreted as cost contribution by one unit of
Calorie, vit A and vit C in the primal problem.
• Wyndor Glass problem:
Primal form:
Dual problem:
Min 4a + 12b + 18c
s.t.
a + 3c >= 3000
(a) 2b + 2c >= 5000
a,b,c >= 0;
(b)
(c)
Primal in matrix form
• C = [3000 5000]
• X = [x y] Primal problem: Multiplying primal constraint by y
Max And dual constraint x
• A = [1 0 s.t. Primal constraint:

02 Dual constraint:
3 2] Dual problem:
From both these two relations:
Min
• B = [4 12 18] s.t.
From the above relation:
• Y = [a
at optimality (strong duality)
b at other feasible solutions (weak duality)
Farkas lemma
c] A^T = [1 0 3
0 2 2]
Strong and weak duality
• At optimality, Primal objective function value = Dual Objective
function value (strong duality)
• At feasible solutions, Primal objective function value (maximization
problem) < Dual Objective function value (minimization problem)
(weak duality)
Complimentary Slackness
• If a constraint is not binding in the primal problem, the corresponding
dual variable takes zero in the optimal solution.
• In other words, the resource which is being priced has excess
resource in the primal problem.
Complimentary Slackness 1) In the Wyndor glass co. problem,
I have increased the capacity of the
(0,12.5) Third plant to 25 units.
𝑥2
3 𝑥1 +2 𝑥 2 ≤ 25 2) The optimal solution is at (4,6)
which gives a profit of 42000 units.

3) In that case, I have still one unit of

(4,6.5) 2 𝑥 2 ≤12 Capacity that is unutilized (constraint
(0,6) is not binding)
(4.165,6)
4) The corresponding dual variable to
this constraint will be zero in its
𝑥1 ≤ 4 optimal solution implying there is an
excess capacity that can be sold

(8.33,0) 𝑥1 5) In other words, the increase in

capacity beyond 24 has no bearing
on the objective function
References:
• Primal-dual conversion table and Wyndor Glass Problem –
Introduction to Operations Research, Frederick S. Hillier, Gerald, J.
Lieberman, Bodhibrata Nag, Preetam Basu, McGraw Hill Education
(India) Private Limited
• Diet problem - Elementary Linear Algebra, International Metric
edition (8th ed), Ron Larson, Cengage UK