Duality theorems

Finding the dual optimal

solution from the primal
optimal tableau

Dual problem in Matrix form

In this lecture we shall present the primal
and dual problems in matrix form and
prove certain results on the feasible and
optimal solutions of the primal and dual
problems.

Dual problem in Matrix form

Suppose the primal in (Matrix and ) standard
form is
Maximize
subject to

z cX

A X b,
X 0, b 0

where
C c1

c2

a11
a
21

x1
x
2

. . cn , X .

.
xn

a12
a22

.
.

.
.

am1

a1n

a2 n

.
.

b1
b
2
b .

.
bm

am 2

amn

Letting

Y y1 y2 . . ym

the dual LPP in matrix form becomes

Minimize w Y b
subject to

Y A c,
Y unrestricted in sign

If the primal LPP is a minimization problem

Minimize

z cX

subject to A X b,
X 0, b 0

the dual LPP in matrix form becomes

Maximize

w Yb

subject to Y A c,
Y unrestricted in sign

Weak Duality Theorem: For any pair of

feasible primal and dual solutions (X, Y), the
value of the objective function in the
minimization problem is an upper bound for
the value of objective function in the
maximization problem. For the optimal pair
(X*, Y*), the values of the objective functions
of the two problems are equal.
Proof: We first look at the case where the
primal is a maximization problem (so that the
dual is a minimization problem).

Since X is a feasible solution of the primal,

z c X (1)
and

A X b,
X 0, b 0

(2)

Since Y is a feasible solution of the dual,

w Yb

and

(3)

Y A c,
(4)
Y unrestricted in sign

Premultiplying the equation (2) by Y we get

Y AX Y b w
Postmultiplying the inequality (4) by the nonnegative vector X we get

YA X c X z
Thus we get

w z

The proof when the primal is a minimization

problem is similar.

Corollary(1): If X* is a feasible solution of the

primal and Y* is a feasible solution of the dual
such that

z* c X * Y * b w *

then X* is an optimal solution of the primal

and Y* is an optimal solution of the dual.
Remark: The second part of the theorem says
the converse to the corollary is also true.

Corollary(2): If one of the problems has an

unbounded solution then the other has an
infeasible solution.
For if it is not, then both problems have
feasible solutions and the relationship,

zw
must hold, impossible as by assumption either

z or w

The converse of this corollary is NOT true.

We can only say the following:
If one of the problems has an infeasible
solution, then the other problem either has an
unbounded solution or has an infeasible
solution.

Example (1)
Consider the LPP
Maximize
subject to

z 50 x1 30 x2 10 x3
2 x1 x2

2 x2

4 x1

x3 6

x1 , x2 , x3 0

Show that the given primal problem is infeasible

and its dual is unbounded.
The primal is infeasible as 2nd constraint
violates x2 0

The dual is the LPP

Minimize w y1 5 y2 6 y3
subject to 2 y1 4 y3 50
y1 2 y2

30
y3 10

y1 , y2 , y3 unrestricted in sign

y1 5, y3 10, y2 any number 15

is a feasible solution of the dual. Hence the
dual is unbounded.

Example 2. Consider the Primal LPP

Maximize z x1 x2
subject to x1 x2 1
x1 x2 1
x1 , x2 0

Its dual is the LPP

Minimize w y1 y2
y1 y2 1
subject to
y1 y2 1
y1 , y2 0

Both the problems

have infeasible
solutions as we can
easily show.

x1 x2 x21

Primal

x1 x2 1
x1

y1 y2 y2 1
y1 y2 1
y1

Dual

The following theorem tells us how we can find

the optimal solution of the dual from the optimal
tableau of the primal.
Theorem: Given the optimal primal basis B and
its associated objective coefficient vector cB, the
optimal solution of the dual problem is

Y cBB
cBB

-1

-1

is often called the Simplex Multiplier.

Proof Again we assume the primal is a

maximization problem. Since the table is optimal,

z j c j 0 for all j
1

That is cBB A c 0

or

YA c

So Y is feasible.
The optimal solution of the primal is
1

z* cBB b Yb w
And hence by the corollary, Y is the optimal
solution of the dual.
Q.E.D.

In words,

Row Vector of Optimal dual solution =

( Row Vector of Original Objective
coefficients of optimal primal basic
variables) ( optimal primal inverse )

We can also say

Primal objective Row coefficient of
variable xj in the primal optimal tableau
= (LHS of corresponding dual constraint)
- (RHS of corresponding dual constraint)

Example (3)
Consider the following LPP
Maximize z 2 x1 4 x2 4 x3 3x4
subject to

x1 x2 x3
x1 4 x2

4
x4 8

x1 , x2 , x3 , x4 0
(a) Write the dual.
(b) Verify that B=(A2,A3) is optimal.
(c) Find the associated optimal dual solution.

Solution:
(b) B A
2
B

1 1
A3

4 0

0

1

C B 4 4

1/ 4

1 / 4

For non-basic variables x1, x4

z1 c1 C B B A1 c1 4
1

0
4
1

1
0 2 4 2 2 0
1

1/ 4

1 / 4

1
1 2

z 4 c4 C B B A4 c4 4
1

0
4
1

1 / 4 0
(3)

1 / 4 1

0
0 3 3 0
1

Also the primal solution is

0
B b
1
1

1 / 4 4
2
0

1 / 4 8
2

Thus we get the optimal solution as

x1 0, x2 2, x3 2, x4 0 And Max z = 16

(a) The dual problem is:

Minimize

w 4 y1 8 y2

subject to

y1 8 y2 2
y1 4 y2 4
y1

4
y2 3

y1 , y2 unrestricted in sign

(c)

CBB 4 4
-1

4 0

0
1

1/ 4

1/ 4

Thus the dual optimal solution is:

y1 = 4, y2= 0
We also note that Optimum w =
w* = 16 = z*
***