4.

Duality and Sensitivity

For every instance of an LP, there is an associated LP known as the dual problem. The
original problem is known as the primal problem.
There are two denitions of the dual pair of problems, which are equivalent. Duality can
also be shown to be a `symmetric relationship (property of involution) in that the dual of
the dual is the primal problem.

4.1 Primal Dual Formulations

CANONICAL FORM
P1: Minimize cT x
subject to Ax b
x 0

D1: Maximize yT b or bT y
T
subject to y T A cT or A y c
y 0

STANDARD FORM

P2 Minimize cT x
subject to Ax = b
x 0

D2 Maximize y T b or bT y
T
subject to y T A cT (or A y c)
y free variables (u.r.s.)

Note that if the number of variables in the primal problem is n and the number of
constraints is m then the the number of variables in the dual problem is m and the number
of constraints is n: In fact variables in the dual problem correspond to constraints in the
primal problem and vice-versa.

In other words, if x2Rn and A is (m n) then y 2 Rm and

T
A y c

1
represents a system of n inequalities (the dual constraints) in m new unknown dual variables
(y1 ; :::; ym ) :

Example 1

Primal:

Minimize 10x1 + 5x2 + 4x3

subject to 3x1 + 2x2 3x3 3
4x1 + 2x3 10
x 1 ; x2 ; x 3 0

Dual:

Maximize 3y1 + 10y2

subject to 3y1 + 4y2 10
2y1 5
3y1 + 2y2 4
y 1 ; y2 0

Example 2

Primal:

Minimize 6x1 + 8x2

subject to 3x1 + x2 s1 =4
5x1 + 2x2 s2 =7
x1 ; x2 ; s1 ; s2 0

Dual:

Maximize 4w1 + 7w2

subject to 3w1 + 5w2 6
w1 + 2w2 8
w1 ; w2 0

2
 The primal in this example is stated in standard form P2. However the variables s1 ; s2
play the part of non-negative surplus variables since they do not appear in the objective
function and it is easy to write down an equivalent primal problem in the canonical form
P1. The dual problem is the same, whether written in the form of D1 or as D2.

Economic interpretation of the dual

The dual of the diet problem introduced earlier

min cT x
x

s.t. Ax r
x 0

is

max yT r
y

s.t. yT A cT
y 0

We can provide an interesting economic interpretation of the dual in this case:

Recall that aij represents the amount of nutrient i contained in unit amount of the j th
food.
Consider a pill maker (an alternative supplier of nutrients) who wants to set a price for
each nutrient. Let i be the price per unit of the ith nutrient (i = 1; :::; m) forming a price
vector . The pill makers price to supply the required amount of each nutrient in the diet
is
Xm

i ri :
i=1

The price of all nutrients needed to make up a unit amount of the j th food should be
competitive, therefore not be more than the price of unit amount of the j th food. Hence

X
m

i aij cj j = 1; :::; n
i=1

Identifying y with we see that the dual problem maximizes the income of the pill maker
subject to a competitiveness constraint.

3
4.2 Duality - basic properties
4.2.1 Equivalence of dual forms
The duality relationships P1-D1, P2-D2 are equivalent.

Proof
We rst take the dual pair in standard form P2-D2 as the denition and nd the dual of
a problem in the canonical form P1:

Minimize cT x
subject to Ax b
x 0

Introduce a vector of m surplus variables s 0 so the constraints can be written

Ax s=b
!
x
or A Im =b
s

which is of the form A0 x0 = b where A0 and x0 are partitioned matrices. Applying the
duality result for the primal in standard form P2, the dual problem is

Maximize bT y
! !
AT c
subject to y
Im 0

In this dual problem, although the D2 dual variables are not explicitly unrestricted in
sign (free variables), the constraints imply that AT y c and y 0, which provides the
dual problem D1.

We can also take the dual pair in canonical form P1-D1 as the denition and nd the
dual of a problem in the canonical form P2. (Exercise)

4.2.2 Involution property

The dual of the dual is the primal.
Proof

4
 Consider the dual in canonical form D1 (y2Rm ; A(m n))

Maximize bT y
T
subject to A y c
y 0

We may write this in the form of a canonical P1 primal problem

Minimize bT y
T
subject to A y c
y 0

The corresponding canonical dual problem in variables w2Rn is

Maximize cT w
T
subject to AT w b
w 0

which is equivalent to the primal problem P1

Minimize cT w
subject to Aw b
w 0

4.2.3. Mixed Constraints

The dual of LP problems that are neither in standard form nor in canonical form can be
written down using rules summarized in the following table.

Min Problem Max problem

Type of Constraint Type of Variable
aTi x bi yi 0 (P1, D1)
aTi x bi yi 0
aTi x = bi yi u.r.s. (P2, D2)

Type of Variable Type of Constraint

xj 0 yT Aj cj (either case)
T
xj 0 y Aj cj
xj u.r.s. yT Aj = cj

5
Notes:

1. u.r.s. denotes unrestricted in signor free variable

2. aTi denotes ith primal constraint coe cients

i.e. the ith row of A-matrix

3. Aj denotes j th dual constraint coe cients

i.e. the jth column of A-matrix

Example 3 (mixed constraints)

Primal:
Maximize z = 5x1 + 6x2
subject to x1 + 2x2 = 5
x1 + 5x2 3
4x1 + 7x2 8
x1 u.r.s., x2 0
Dual:
Minimize w = 5y1 + 3y2 + 8y3
subject to y1 y2 + 4y3 = 5
2y1 + 5y2 + 7y3 6
y1 u.r.s., y2 0; y3 0

Use of the Table:

m = 3; n = 2 so dual has 3 variables y1 ; y2 ; y3 and 2 constraints

Since primal is a maximization, refer to Table 2nd column for primal properties -
read o dual properties from Table 1st column.

Variable x1 is u.r.s. )1st dual constraint is =

Variable x2 0 ) 2nd dual constraint is (for minimization)

1st primal constraint is =, ) y1 is u.r.s.

2nd primal constraint is ) y2 0
3rd primal constraint is ) y3 0

6
4.3 Duality Theorems

The primal and dual LP problems are so intimately related that solving either problem
provides the solution to the other. For the following results we assume the primal is a
minimization in standard form P2 with dual D2.

4.3.1 Weak duality lemma

If x, y are feasible for the primal and dual problems respectively, then)

cT x yT b (4.1)

Proof
Let x, y be feasible for problems P2, D2 respectively. Then

yT A cT (4.2a)
yT A cT 0 (4.2b)
) yT A cT x 0 (4.2c)
Pn
(4.2c) follows from (4.2b) because x 0 (feasible for P2) so i=1 yT A cT i
xi 0.
Now Ax = b; again because x is feasible for P2, so

y T Ax cT x 0
yT b cT x 0
yT b cT x

as required.

Corollary 1

If x, y are feasible for P2, D2 respectively and cT x = y T b then x and y are optimal for
their respective problems.

i.e. If a pair of feasible solutions for the primal and dual problems have the same objective
function value, then they are optimal for their respective problems.

Corollary 2

7
 If either problem is unbounded (optimal solution is at innity) the other problem in
infeasible.

[ NB The converse is not true as both problems can be infeasible! ]

Example

In Example 2 of Section 4.1 the primal and dual objective functions are

z = 6x1 + 8x2

and
w = 4y1 + 7y2 :
42
It can easily be veried (e.g. graphically) that zmin = wmax = and these optima are
5
7 T T
achieved at x = 5
;0 and y = 0; 56 .

Let us solve the dual problem through simplex iterations. In standard form constraints
are

3y1 + 5y2 + v1 = 6
y1 + 2y2 + v2 = 8

A basis of dual slacks is available:

Max y1 y2
v1 3 5 6
v2 1 2 8
z 4 7 0

After one pivot, the optimal tableau is

y1 v1
3 1 6
y2 5 5 5
1 2 28
v2 5 5 5
1 7 42
z 5 5 5

We may conrm the elements of the tableau as follows:

! !
5 0 3 1
B= ; N =
2 1 1 0

8
 !
1 1 1 0
B =
5 2 5
! !
3 1
1 1 3 1 5 5
B N = = 1 2
= (yij )
5 1 2 5 5

! ! !
6
1 1 1 0 6 5
y2
b=B b= = 28
5 2 5 8 5
v2

(zj cj ) = cTB y j cj = 1
5
; 7
5

!
6
42
z0 = cTB b = 7; 0 5
28
= 5
5

The matrix form of the reduced tableau is

Non-basic variables
1
Basic vars Y = B N = (yij ) b (4.3)
z fzj cj g z0

where zj cj are the elements of cTB B 1 N cTN and z0 = cTB b.

Simplex multipliers (dual variables)

The components of the m-vector

1
y T0 = cTB B (4.4)

known as simplex multipliers are the dual variables associated with a particular basis B: The
dual vector is generally infeasible for the dual problem during intermediate tableau iterations.
Only when the bottom row satises primal optimality does y T0 become dual feasible.

We will show below that

1. the dual variables y 0 corresponding to an optimal basis are feasible

2. the dual objective w0 = y T0 b equals z0 , the minimum value of the primal.

9
 Therefore by Corollary 1 to the weak duality lemma we have constructed an optimal
dual vector y 0 .

4.3.2 Strong duality theorem

If either the primal or the dual has a nite optimal solution then so has the other and the
corresponding objective function values are equal. If either problem is unbounded the other
problem is infeasible.

Proof
1
Let y T0 = cTB B where B is an optimal basis.
h i h i
1
y T0 A = y T0 B N = cTB B B N
h i
T T 1
= cB cB B N (4.5a)
h i
cTB cTN = cT (4.5b)

so that y T0 is dual feasible, with objective value

w0 = y T0 b
= cTB B 1 b
= cTB xB
= z0

Notice that in going from (4.5a) to (4.5b) we have assumed that cTB B 1 N cTN .
This follows from the optimality conditions zj cj 0 8j, which are simply the compo-
nents of cTB B 1 N cTN .

Example (continued)

For the above example

1
y T0 = cTB B
!
1 1 0
= 7; 0
5 2 5
7
= 5
; 0

= x1 ; x2 :

10
 Hence the primal optimal solution is

7
x1 = ; x2 = 0:
5

4.3.3 Complementary slackness

The complementary slackness (C-S) conditions, which are a consequence of duality, relate
the values of the primal and dual vectors at a common optimum. They can be stated for
either the asymmetric (P2,D2) or the symmetric (P1 D1) primal dual pair.

Theorem (Complementary slackness - asymmetric case)

Let x; y be feasible for P2, D2 respectively. A necessary and su cient condition (NSC)
that they both be optimal is that for each j (j = 1; :::; n)

i) If xj > 0 then y T Aj = cj

ii) If y T Aj < cj then xj = 0

Proof.
Since x; y are feasible for their respective problems, we have

Ax = b , x 0
yT A cT

Thus y T A + v T = cT with v T 0. Postmultiply by x and apply Ax = b

y T Ax + v T x = cT x
y T b + v T x = cT x
cT x yT b = vT x (4.6)

By corollary 2 to the Weak Duality theorem, x; y are optimal if and only if r.h.s.= 0.
P
Since v T x = nj=1 vj xj with vj ; xj 0; r.h.s.= 0 if and only if vj xj = 0 for each j.
So i) xj > 0 ) vj = 0 and ii) vj > 0 ) xj = 0 as required:
[In fact ii) follows from i) and feasibility of y ]

Theorem (Complementary slackness - symmetric case)

11
 Let x; y be feasible for P1, D1 respectively. A necessary and su cient condition (NSC)
that they both be optimal is that
i) xj vj = 0 8j

ii) si yi = 0 8i
where vj is the j th dual slack (corresponding to xj ) and si is the ith primal slack
Comment: By analogy with the asymmetric case, we can write each equation as a pair
of implications, so

8j; xj > 0 ) vj = 0; vj > 0 ) xj = 0 (4.7a)

8i; si > 0 ) yi = 0; yi > 0 ) si = 0 (4.7b)

Proof. Since x; y are feasible for their respective problems, we have

Ax b, x 0
yT A cT , y 0

or, introducing slack variables s 0 , vT 0

Ax s=b, x; s 0
y T A + v T = cT , y; v 0

Then

y T Ax yT s = yT b
y T Ax + v T x = cT x

so
cT x yT b = vT x + yT s (4.8)

The result follows by analogy to the previous (asymmetric) case.

Example 2 (continued)

Recall the primal was

Minimize 6x1 + 8x2
subject to 3x1 + x2 4
5x1 + 2x2 7
x 1 ; x2 0

12
 and the dual
Maximize 4w1 + 7w2
subject to 3w1 + 5w2 6
w1 + 2w2 8
w1 ; w2 0
The optimal solution to the primal is

7 1
(x1 ; x2 ; s1 ; s2 ) = ; 0; ; 0
5 5

From the C-S conditions, the optimal solution to the dual takes the form

(v1 ; v2 ; w1 ; w2 ) = (0; ; 0; )

i.e. the 1st dual variable is zero at the optimum (w1 = 0). Hence 5 = 6 from the 1st dual
constraint which is active (satised with equality) since v1 = 0: Hence

6
(w1 ; w2 ) = 0;
5

4.4 The Dual Simplex Algorithm

Suppose we have a tableau that satises the bottom row optimality conditions but which
corresponds to an infeasible solution.

i.e. we have
non-basic variables
xB Y =(yij ) b
z-row zj cj s z0

with zj cj 0; each j (for minimization) and bi < 0 for some i.

Such a tableau is said to be dual feasible because the associated dual vector y T0 =
cTB B 1 satises
y T0 A=y T0 [BjN ] cT

The dual simplex algorithm is applicable. The rules for selecting a pivot element are:

1. If b 0; stop; the current basis is optimal. Otherwise choose pivot row p by

mini bi = bp

13
 (bp < 0)

2. If ypj 0 8j stop; the problem is infeasible (because dual is unbounded).

Otherwise, choose pivot column q by the minimum ratio rule

zj cj zq cq
min : ypj < 0 = (4.9)
j ypj ypq

3. Pivot on the element ypq (< 0) according to usual Simplex rules and return to Step 1.

Notes

i) The dual simplex algorthm is in fact the primal simplex algorithm applied to the dual
problem.

ii) The dual simplex algorithm can be useful

(a) in avoiding a Phase I calculation when an infeasible but optimal tableau is

available by inspection,
(b) in sensitivity analysis when the current optimal solution becomes infeasible through
the addition of an extra constraint or a small change in the right hand side vector
b:

in integer programming by Gomorys cutting planes .

Example (Dual Simplex)

Minimize 2x1 +3x2 +4x3

subject to x1 +2x2 + x3 3
2x1 x2 +3x3 4
x1 ; x2 ; x3 0

An initial (infeasible) tableau using s1 ; s2 as basic variables is

x1 x2 x3
s1 1 2 1 3
s2 2 1 3 4
2 3 4 0
"

14
 After 1st dual simplex pivot

s2 x2 x3
5
1 1
s1 2
2
2
1
1 1 3
x1 2 2 2
2
1 4 1 4
"

After 2nd dual simplex pivot

s2 s1 x3
1 2 1 2
x2 5 5 5 5
2 1 7 11
x1 5 5 5 5
1 8 9 28
5 5 5 5

11 2
Optimal solution is (x1 ; x2 ; x3 ; s1 ; s2 ) = ; ; 0; 0; 0
5 5

8 1
Optimal solution to dual (w1 ; w2 ) = ;
5 5
can be conrmed using C-S conditions (Ex.)

N.B.

1. The OF value z is monotonic increasing in successive tableaux (min problem).

1 1
2. Since I m appears in the the initial A matrix and y T0 = cTB B = cTB B ( I m)
w1 ; w2 also appear negatively as the zj cj values for surplus variables s1 ; s2 .

4.5 Sensitivity Analysis

,How is an optimal solution (of a LP in standard form) inuenced by

1. changes to the objective function coe cients c

2. changes to the rhs. of the constraints b

3. changes to the constraint matrix A; in particular

(a) adding a new constraint aTm+1 x = bm+1

(b) adding a new variable (or activity) xm+1 ?

15
 From a knowledge of the simplex tableau at optimality

non-basic variables
xB Y =B 1 N b = B 1b (4.10)
1
z-row cTB B N cTN 1
z0 = cTB B b
we see that

1. small changes to c aect only the bottom row

2. small changes to b aect only the rhs.

3. changes to A can potentially inuence all sections of the tableau

(we will only consider in detail adding a new constraint)

Example (Furniture manufacturer)

A manufacturer of furniture makes three products: desks, tables and chairs. Each item of
furniture made consumes amounts of three resources: timber, nishing time and carpentry
time.

To manufacture one desk requires 8 ft. of timber, 4 hours nishing time and 2 hours
carpentry time A table requires 6 ft. of timber, 2 hours nishing time and 1.5 hours carpentry
time A chair requires 1 ft. of timber, 1.5 hours nishing time and 0.5 hours carpentry time

The total weekly availability of timber is 48 ft., of nishing time is 20 hrs and of carpentry
time is 8 hrs. The unit prot from selling a desk is $60, from a table is $30, from a chair is
$20.

The LP formulation to maximize the manufacturers prot subject to the given resource
constraints is as follows:

Let x1 ; x2 ; x3 = no. of units of each product (desks, tables and chairs respectively) to
make per week.

Maximize 60x1 +30x2 +20x3

subject to 8x1 +6x2 + x3 48
4x1 +2x2 +1:5x3 20
2x1 +1:5x2 0:5x3 8
x1 ; x2 ; x3 0

16
 resulting in the following tableaux

Initial Tableau Final Tableau

x1 x2 x3 s3 x2 s2
s1 8 6 1 48 s1 8 2 2 24
3
s2 4 2 2
20 x3 4 2 2 8
3 1 3 5 1
s3 2 2 2
8 x1 2 4 2
2
60 30 20 0 10 5 10 280

The optimal solution is to manufacture 2 desks and 8 chairs resulting in a prot of $280.
There is a surplus of 24 ft. of timber, but all available hours of nishing time, carpentry
time are used up.
Often the data assumed in the calculation are imprecise or subject to change. We now
ask

Q1. What range of variation in unit prot leaves the current solution optimal?

Q2. What is the optimal product mix if the unit prot for a table increases to $40?

Q3. What if the total available nishing time increases to 30 hours?

These questions can be answered through a sensitivity analysis.

1. Changes to c
From (4.10) we see these aect the optimality conditions zj cj 0 (for max) each j,
and the optimal value z0 = cTB b (though not of course the polytope representing the
feasible region).
Consider increasing a single component of cB ; say c1 by an amount , i.e. c1 c1 + :
The modied nal tableau is

s3 x2 s2
s1 8 2 2 24
x3 4 2 2 8
3 5 1
x1 2 4 2
2
10 5 10 280
+ 32 + 54 1
2
+2

17
 The condition for the current solution to remain optimal is

3
10 + 0
2
5
5+ 0
4
1
10 0
2

which need to be satised simultaneously. Hence

4 20

or equivalently
56 c1 80

For example, if c1 = 56 ( = 4) we nd an alternative optimal manufacturing plan

is to stop manufacturing desks and instead to produce 1.6 tables and 11.2 desks per
week
s3 x 2 s2 s3 x 1 s2
s1 8 2 2 24 136
s1 5
(27:2)
x3 4 2 2 8 56
x3 5
(11:2)
3 5 1 8
x1 2 4 2
2 x2 5
(1:6)
4 0 12 272 4 0 12 272

NB Non-integer production values can still have meaning in a continuous production

setting, although integer programming (IP) techniques (see Section 5) will provide ways
of nding optimal integer solutions. Similarly we can establish ranges for c2 and c3
(leaving the other components unchanged) that ensure the current solution remains
optimal.

2. Suppose c2 = 40 ( = 10 in c2 ). As x2 is nonbasic in the optimal tableau, only

that columns zj cj value is changed. It becomes negative ( 5) and after one pivot
optimality is restored

s3 x2 s2 s3 x1 s2
s1 8 2 2 24 136
s1 5
(27:2)
x3 4 2 2 8 56
x3 5
(11:2)
3 5 1 8
x1 2 4 2
2 x2 5
(1:6)
10 5 10 280 16 4 8 288

18
 This is the same BFS as before.

3. Changes to b
These aect the rhs. of an optimal tableau (4.10). Consider an increase of to the
second resource limitation b2 , b2 b2 + :
We consider the eect on b of the rhs. becoming b0 = b + b with b = (0; ; 0)T =
e2 where e2 = (0; 1; 0), the 2nd column of the identity matrix I 3 :

b = B 1b
0 1
b =B (b + b)
1
= b +B b
=b+ B 1 e2

Notice that the product B 1 e2 picks out the second column of B 1 which appears in
the nal tableau under s2 . In the original A matrix the column Aj corresponding
to s2 is e2 . Hence B 1 Aj = B 1 e2 appears in the body of the nal tableau under s2 :
Hence 2 3
2
6 7
b=4 2 5
1
2

The rhs. remains feasible while

1
24 + 2 0; 8 + 2 0; 2 2
0

i.e. while
4 4 () 16 b2 24

e.g. if b2 = 30 ( = 10) the nal tableau becomes infeasible. In this example feasibility
(hence the optimal solution) is obtained after one iteration of the dual simplex algorithm

s3 x2 s2 s3 x2 x1
s1 8 2 2 44 s1 32
x3 4 2 2 28 x3 16
3 5 1
x1 2 4 2
3 s2 6
10 5 10 380 40 30 20 320

19