Duality Theory

Duality in Linear Programming Every Linear programming problem (called the primal) is associated with another linear programming problem (called the dual). Either of the problem can be considered as personal with the other one its dual. Properties of Duality The Primal and Dual problems in L.P. bear distinct properties relating one another. These properties are cited in terms of relationship between the primal and dual problems. They are: (1) The Dual of the Dual is Primal.
2

(2)The number of variables in one is equal to the number of constraints in the other and vice versa. (3) If, for one of the problems, a finite optimal solution exists, then the other also has a finite optimal solution and optional values of the two objective functions are equal. (4) If one of the problems has no bounded solution, then the other has no feasible solution. (5) If one of the problems has no feasible solution, then the other may have an unbounded solution or may have no feasible solution. (6) If there is an equality in the Primal, the Dual variable corresponding to the Equality, constraint will be unrestricted in sign and vice versa. 3

(7) The real variable of the primal correspond to the slacks/surpluses of the Dual and vice versa. To Convert Primal to Dual Given the primal problem in standard form, the forming steps are followed to obtain its dual. 1. The maximize problem in primal is minimize problem in its equivalent dual and vice versa. 2. The R.H.S. value of the constraints of the primal are objective functions co-efficient in its dual. 3. Each constraints in primal will correspond to a decision variable of the dual problem.
4

4. The constraints matrix of the dual is the matrix transpose of the constrain matrix of primal. 5. All decision variable must be non-negative. 6. The objective function co-efficient of the primal will be the R.H.S. values of the constraints of the dual problem. 7. For a Max. problem of primal, the constraints are converted to constraint and for Min. problem of the primal the constraint are converted to constraint in dual. 8. If there is an equality in the primal, the dual variable corresponding to the equality constraint will be unrestricted in sign and vice versa.
5

To Correct the given Problem to Standard Form 1 If the objective function must be in maximization form, the constraints must be in the form type and if the objective function must be in minimization form, the constraint must be in the form . 2. All decision variables must be non-negative. Example: To convert constraints of to type. Example: 911 X1 + 912 X2 b1 Multiply by ve sing to to type. 911 X2 912 X2 b1
6

Example: To convert constraints of type to type Example: 911 X1 + 912 X2 b1 Multiply by on both sides we get 1 911 X1 912 X2 b1 Non-Negative Variable: An variable X is said to be unrestricted in sign, when it can take +ve or ve negative value. It is represent as X = X+ . X Write the dual for the following (1) Max. Z = X1 X2 + 3 X3 Subject to: X1 + X2 + X3 10 W1 2X1 X3 2 2X12X2 + 3X3 0 X1, X2, X3 0

W2 W3
7

Let W1, W2 and W3 be the variable of the dual corresponding to each constraint. Dual objective Min. W0 = 10 W1 + 2 W2 + 0 W3 Subject to: W1 + 2 W2 + 2 W3 1 W1 W1 W2 2 W3 1 +3 W3 3

W1, W2, W3 0

(2)Max.

Z = 2 X1 +3 X2 4 X3

Subject to: X1 + 2X2 + X3 6 2X + X2 + X3 4 4X2 + 2 X3 8 X1, X2, X3 0 LetW1, W2 and W3 be the variable of the dual corresponding tp each constraint. Converting the given problem to standard form Min. Z = 2 X1 +3 X2 4 X3 Subject to: X1 + 2X2 + X3 6 2X X2 X3 4 W2 4X2 + 2 X3 8 W3 W1
9

Dual Obj. Max. Subject to:

Y = 6 W1 4 W2 + 8 W3 W1 2 W2 2

2 W1 W2 + 4 W3 3 W1 W2 + 2 W3 4 W1, W2, W3 0

10

(3)Max.

Z = 2 X1 +4 X2

Subject to: 3X1 + 2 X2 14 4 X1 + 12 X2 21 X1 =6 Dual Min. Subject to: W0 = 14 Y1 + 21 Y2 + 6 Y3 3 Y1 + 4Y2 + Y3 2 2 Y1 + 12Y2 Y1, Y2 0 4 Y3 is unrestricted in sign.
11

(6) Max. Z = 5 X1 + 6 X2 Subject to: X1 + 2 X2 = 5 + 5 X2 3 X1 4 X1 + 7 X2 8 X2 0, X1 is unrestricted. Solution: Let Max. Z = 5 X1 + 6 X2 Subject to: X1 + 2 X2 = 5 Y1 +X1 X2 -3 Y2 5 4 X1 + 7 X2 8 Y3 Dual Minimize. Y0 = 5 Y1 Y2 + 8 Y3 3 Subject to: Y1 + Y2 + 4 Y3 =5 2 Y1 Y2 +7 Y3 6 5 Y1. is unrestricted Y2, Y3 0

12

One of the key uses of duality theorem is the interpretation and implementation of sensitivity analysis Post optimality Analysis: Large linear programming problems usually will have hundreds of decision variables thousands of functional constraints. Many variations of the basic model may be of interest for considering different scenarios. After finding the optimal solution for one version of a linear programming model, it is required to find solution for a slightly different model (often many times). One approach is to re-apply the simplex method from scratch for each new version of the model. Re-optimize by deducing changes in the model. Revised tableau and optimal solutions for the prior model are 13

then used as the initial tableau and the initial basic solution for solving new model. If this solution is feasible for the new model, then the simplex method is applied in the usual way starting from the initial basic feasible solution. If the solution is not feasible, duel simplex method can be applied for this initial basic solution.

Advantage: 1. Re-optimization technique will be closer to the optimal solution than Initial basic feasible solution. 2. The number of iteration will reduce or may require only one optimality test and no interation.
14

Example: Consider a problem where there are three plants and two products need to be manufactured. Product 1 requires some of the production capacity in plant 1 and 3, but not plant 2. Product 2 needs only plants 2 and 3. OR team came out with the result that the production time available per week in hours form plants 1, 2 and 3 are 4, 12 and 18 hrs respectively. The profit per batch from the two products are $3000 and $5000 respectively. Formulate the mathematical model and find the optimal batch for each product and the optimal profit.
Plant Production time per batch, hrs Product 1 2 Production Time available per week, Hrs

1 2

1 0

0 2

4 12
15

Max Z = 3X1 + 5X2 Subject to: X1 4 2X2 12 3X1 +2X2 18 X1, X2 0

Basic Z S1 S2 S3

Equ (0) (1) (2) (3)

Z 1 0 0 0

X1 -3 1 0 3

X2 -5 0 2 2

S1 0 1 0 0

S2 0 0 1 0

S3 RHS 0 0 0 1 0 4 12 18
16

Basic Z S1 X2 S3 Basic Z S1 X2 X1

Equ (0) (1) (2) (3) Equ (0) (1) (2) (3)

Z 1 0 0 0 Z 1 0 0 0

X1 -3 1 0 3 X1 0 1 0 0

X2 0 0 1 0 X2 0 0 1 0

S1 0 1 0 0 S1 0 1 0 0

S2 5/2 0 1/2 -1 S2 3/2 1/3

S3 RHS 0 0 0 1 S3 1 0 1/3 30 4 6 6 RHS 36 2 6 2

17

1/3 -1/3

X1* = 2, X2* = 6 Z* = 36 Graphical Method: Considering the three constraints we have: X1 4 -------------------------(1) 2X2 12 ---------------------(2) 3X1 +2X2 18--------------(3) X1 = 4; X2 = 6; When X1 = 0 , X2 = 9 When X2 = 0, X1 = 6 The points are (0,9) and (5,0)

18

3
10

Objective:3X1+5X2 = 15 1 X1=0, X2 = 3 X1=0, X1 = 5

8

Optimal Point 2

2 X2

0,0

X1 1 3
19

The shadow Prices for the three resources are Y*1 = 0 Shadow price for resource 1 Y2* = 3/2 shadow price for resource 2 Y3* = 1 Shadow price for resource 3 With just two decision variables, these numbers can be verified by checking graphically that individually increasing any RHS (bi) by 1 would increase the optimal value Z by Yi* Example: Let us consider changing the resource 2 by a value 1. i.e. 2X2 12 is changed to 2X2 13

20

3
10

New Optimal Point (5/3, 13/2)

Old Optimal Point (2,6) 2

2 X2

0,0

X1 1 3
21

Original Equation and Resource 2X2 12 Graphical solution 2X2 = 12 X2 =6 The optimal point from the Previous graph is (2,6) The optimal solution Z* = 36

Changed Equation Resource 2X2 13

2X2 = 13 X2 = 6.5 The optimal point is shifted to X1=5/3 and X2=13/2 Z * = 37.5

The change is optimal value is 37.5-36 = 1.5.

22

If the profit from each batch is $ 1500 per week, then it has bee seen that whether the management need to consider increasing the working resource time from 12 to 13 hrs? Hence we have proved that there is an increase in3/2 as seen in the table Y2* co-efficient.

23

Dual Simplex Algorithm. 1. Obtain the canonical form of the constraint by introducing slacks; if constraints exists, multiply the constraints by 1 and introduce slacks. (dont introduce surplus variables into the constraint system). 2. Transmit the problem data into the standard dual simplex tableau. 3. First the leaving basic variable is found by selecting the most ve value of the R.H.S. of the (solution column) basic variable. If all the basic variables are non-negative, the process ends and the feasible solution is reached. Else step 4. 4. With respect to deporting row, computer rations
24

Z 1=

Provided aij is negative (Break tie if the denominator are zero or positive; the problem has a1j no feasible solution.

5. Choose the variable with minimum 1 to enter basis. The entering variable is the one with the smallest ratio if the problem is minimization or smallest ratio of the problem is minimization. 6. Identify Pivot as the element at the intersection of the departing row and entering column. 7. Iterate and proceed to next iteration as follows: (a) New basic is introduced in the place of the old basic (which is the leaving variable). (b) New pivot row = old pivot row pivot element.

25

(c) All other rows will be old New element = 8. Go to step 3 Examples: Solve by dual simplex method Minimize:. Z = 2 X1 + X2 Pivot New elements Pivot Column Element X Row element

Subject to: 3 X1 + X2 3 4 X1 +3 X2 6 X1 +2 X2 3 X1, X2 0

26

Min. Z = 2 X1 + X2 Subject to: 3 X1 X2 + S1 = 3 4 X1 X2 + S2 = 3 6 + 4 X1 +2 X2 + S3 =+8 X1, X2, X3 0 Basic Z S1 S2 S3 Ratio X1 2 3 4 +1 X2 1 1 3 +2 S1 0 1 0 0 -S2 0 0 1 0 --0 1 S3 0 0 Solution 0 3 6 +3 -27

S2 is leaving variable with most ve value. Note: Since this a minimization problem and all the objective equation co-efficient are 0, the starting basic solution S1 = 3, S2 = S3 = 3 is optional but infeasible. This problem is 6, typical of the type that can be handled by the dual simplex method. Entering variable will be X2 because it has the minimum ratio. Iteration 1 Basic X1 X2 S1 S2 S3 Solution Z S1 X2 S3 Ratio 2/3 3 4 +1 2/5 -0 0 1 0 0 1 0 0 - 1 0 0 0 1 -2 1 2 4 -28

Z X1 X2 S3

0 1 0 0

0 0 1 0

2/5 3/5 4/5 1

1/5 +1/5 3/5 1

0 0 0 1

12/5 3/5 6/5 0

The above table is optional and feasible.

X1 = 3/5 X2 = 6/5 Z = 12/5

29

(2) Max. Z = X1 X3 2 Subject to: X1 + X2 X3 5 X1 X2 + 4 X3 8 2 X1, X2, X3 0

30

Z X2 X3

5/2 3/2 X2 = 1

0 1 1 X3 = 9

0 0 1 X=9

1 2 1

9 1 9

31