Dual

Linear Programming Problem

Anil Kumar, Mathematics 1

Dual Linear Programming Problem

v With every linear programming problem, another linear

programming problem is associated, called the dual of the
original (or the primal) problem.
v The dual problem is defined systematically from the primal
(or original) LP model.
The two problems are so closely related that the optimal
solution of one yields the optimal solution of the other
problem.

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Rules for constructing the Dual Problem

The following are the key ideas for constructing the dual from
the primal:
Let xi be the primal variable and yj be the dual variable
1. Number of dual variables ( yj )
= Number of constraints in the primal.
2. Number of variables ( xi ) in the primal
= Number of constraints in the dual

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Rules for constructing the Dual Problem

3. If the primal is maximization, then the dual is

minimization, and all constraints are ³ .
If the primal is minimization, then the dual is
maximization, and all constraints are £ .
4. In the primal, all variables are ³ 0, while in the dual, all
the variables are unrestricted in sign.

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 Rules for constructing the Dual Problem

5. The objective function coefficients ci of the primal are the

RHS constants of the dual constraints.
6. The RHS constants bj of the primal constraints are the
objective function coefficients of the dual.
7. The coefficient matrix of the constraints of the dual is the
transpose of the coefficient matrix of the constraints of the
primal.

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Construction of the Dual from Primal

Primal Variables
!!!!!!!!!!!!!!!!
&! & " & # ''' & $ ''' & %
!!!!!!!!!!!!!!!!
Dual Variables $! $" $# ''' $ ! ''' $" Right-hand side
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
%! &!! &!" &!# ''' &! ! ''' &!" '!
%" &"! &"" &"# ''' &" ! ''' &" " '"
! ! ! ! ! ! !
%# &#! &# " &# # ''' &#! ''' &#" '#

jth dual Dual objective

constraints coefficients
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 Rules for constructing the Dual Problem

Dual problem
Primal problem
objective
Objective Constraints type Variables sign

Maximization Minimization ≥ unrestricted

Minimization Maximization ≤ Unrestricted

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Dual Problems
Primal (Original) LP P (in standard form)

Maximize $ = ## "# + #" "" + !!! + #! "!

subject to
#!! $! + #!" $" + ### + #!! $! = %!
#"! $! + #"" $" + ### + #" ! $! = %"
!
#"! $! + #" " $" + ### + #"! $! = %"
$! $ $" $###$ $! ! %
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The dual problem is the LP:

Minimize $ = ## "# + #" "" + !!! + #! "!

subject to
#!! $! + #"! $" + ### + #!! $! ! %!
#!" $! + #"" $" + ### + #! " $! ! %"
!
#!" $! + #" " $" + ### + #!" $! ! %"
$! $ $" $###$ $! %&'()*'+,*(- +& )+.&

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Matrix Form

Primal Problem (in the Standard Form):

!"# ! = "#
$%&'()* *+
A# = %
# !,

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Where

" = [#! #" # # #! ]

! "! " ! #!! #!" # # #!! "

! "! "
#" $ #" $ ## #"" # # #" ! $$
# "$ # "$ # "!
# = # # $$ " = # # $$ A=# # $
# $ # $ # $
##$ # # $ # # $
#% "! $& #%"! $& #% #"! #" " # # #"! $&

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Dual Problem:

#$% # = A! %
&'()*+, ,-
C! % ! ' !
% ! '%.*&,.$+,*/ $% &$0%
12*.* % = 3 (! 4 (" 4" 4 (" 5!

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If the primal problem (in standard form) is

Minimize $ = ## "# + #" "" + !!! + #! "!

subject to
#!! $! + #!" $" + ### + #!! $! = %!
#"! $! + #"" $" + ### + #" ! $! = %"
!
#"! $! + #" " $" + ### + #"! $! = %"
$! $ $" $###$ $! ! %

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Then the dual problem is the LP

Maximize $ = ## "# + #" "" + !!! + #! "!

subject to # $ + # $ + ### + # $ ! %
!! ! "! " !! ! !

#!" $! + #"" $" + ### + #! " $! ! %"

!
#!" $! + #" " $" + ### + #!" $! ! %"
$! $ $" $###$ $" %&' ()&'*+&,-+'. ,) *,/)

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Primal Problem (in the Standard Form):

!"# ! = "#
$%&'()* *+
A# = %
# !,

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Dual Problem:

#$% # = A! %
&'()*+, ,-
C! % ! ' !
% './*&,/0+,*1 0. &02.
34*/* % = 5 (! 6 (" 6! 6 (" 7!

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Example 1: Write the dual of the following LPP

Maximize " = !#!" + !!!

subject to
!! ! !" ""
" !! + # !" # $
!! % !" " &

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Thus, the primal in the standard form is:

Maximize ! = !#"! + " "" + $#! + $#"

subject to !! ! !" ! "! ="

" !! + #!" + "" = $
!! % !" % "! % "" " &

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Hence the dual is:

Minimize " = ! !" + # !!

subject to
!! + " !" ! "#
" !! + $ !" ! "
" !! ! %
!" ! % !! ! #$ !" " #
!! & !" '()*+,)-.,*/ -( +-0(

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Example 2: Write the dual of the following LPP

Minimize " = $!" + #!!

subject to
$ !! ! #!" + !# " "
#!! + % !" + !# " &
!! ' !" ' !# " (

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Thus, the primal in the standard form is:

Minimize ! = $ "! + #"" + % "# + %#! + %#"

subject to
$ !! ! #!" + !# ! "! ="
#!! + % !" + !# ! "" = &
!! ' !" ' !# ' "! ' "" " (

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Hence the dual is:

Maximize " = ! !" + # !!
subject to
# !! + $ !" ! #
"$ !! + % !" ! $
!! + !" ! &
" !! !&
" !" ! & !! # !" ! $
!! ' !" ()*+,-*./-+01.)1,.2)
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Example 3: Write the dual of the following LPP

Maximize " = !" + !!

subject to
" !! + !" = #
$!! ! !" = %
!! & !" '()*+,)-.,*/ -( +-0(

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Thus, the primal in the standard form is:

Maximize " = !"+ ! !"! + !!+ ! !!!

subject to
& !'+ " & !'" + !&+ " !&" = %
$!'+ " $!'" " !&+ + !&" = #
!'+ " !'" " !&+ " !&" ! !

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Hence the dual is:
Minimize " = $ !" + # !!
subject to
" !! + # !" ! ! # !! + " !# = !
" " !! " # !" ! "!
!! " !" ! !
!! ! !" = !
" !! + !" ! " !
!! $ !" %&'()*'+,*(- +& )+.&

Remark: if an LPP contains any variable !! of unrestricted in

sign, then the kth dual constraint will be written as equality
constraint.
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Example 4: Write the dual of the following LPP

$%& " = # !! ! " !" + * !#

'()( # !! + + !" + * !# " ,
- !! + !" + #!# " *
, !! ! " !" ! !# # !.
!! ! " !" + + !# " #
* !! + , !" ! " !# " "
!! / !" / !# " .

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Example 5:
Write the dual of the following LPP

max % = 2!" − 3!#

subject to
!" + 2!# ≤ 4
3!" − !# = 5
!" , !# ≥ 0.
Remark: If the primal contains some equality constraint,
then the dual variable corresponding to that constraint will
be unrestricted in sign.
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Example 6: Write the dual of the LP

/01 " = $ !! + # !"

+3,3 !! + " !" = $
! !! + $ !" " %
!! &'()*+,)-.,*2 0(2 !" # 4

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Theorem: The dual of the dual is the primal
Proof: Consider the primal problem (in standard form)

Maximize $ = ## "# + #" "" + !!! + #! "!

subject to #!! $! + #!" $" + ### + #!! $! = %!
#"! $! + #"" $" + ### + #" ! $! = %"
!
#"! $! + #" " $" + ### + #"! $! = %"
$! $ $" $###$ $! ! %

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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 the objective function in the
maximization problem.

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 Proof : Let the Primal be a Maximization problem
!"# ! = " #
and
! " = #! " ! "! # ! "
Then the dual problem
!"# " = #! $
"! # ! A! ! # "#$%&'$()'%* (# &(+#
Given X is a feasible solution of the Primal problem,

! " = #! " ! "

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!
Pre-multiplying the first part of the equation by "
(feasible solution of dual), we get

" ! #! A = " ! % = %! " = & … (1)

Given Y is a feasible solution of the dual problem, i.e.,

"! # ! A ! ! # "#$%&'$()'%* (# &(+#
"! # ! A ! " ! #! A
Post-multiplying the inequality by the vector X ! ! "#, we
get
"! # A ! % A = C … (2)
Combining equations (1) and (2), we get ! ! "!
The proof when the primal is a minimization problem is
similar. Anil Kumar, Mathematics 40
 Corollary-1
If X* is a feasible solution of the primal and Y* is a feasible
solution of the dual, such that

"! = # $ ! = %! & !!=! ! !

then X* is an optimal solution of the primal and Y* is an
optimal solution of the dual.

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Unboundedness and infeasibility

Corollary 2. If the objective value of one of the two problems

is unbounded, then the other problem must be infeasible.

n if it is not, then both problems have feasible solutions, and the

relationship " ! ! must hold, impossible as by assumption
either ! = + ! !" " = " !

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 Remark:

n The converse of this corollary is NOT true.

n Example:
#$%&'( &') ! = "! + "" * "! ! "" " !!+ ! "! + "" " !!+ "! + "" # ,-
#$%&DD ()* ! = ! "! ! "" + "! ! "" " !, ! "! + "" " !, "! , "" " -.

If one of the problems has an infeasible solution, then

the other problem either has an unbounded solution or
an infeasible one.

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The following shows which outcome pairs are possible for a

primal linear program and its dual:

Dual
Primal
Optimal Infeasible Unbounded

Optimal Possible Never Never

Infeasible Never Possible Possible

Unbounded Never Possible Never

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 The following theorem tells us how we can find the optimal
solution of the dual from the optimal table of the primal :
Theorem: Given the optimal primal basis B and its
associated objective coefficient vector CB, the optimal
solution to the dual problem is
# ! = $" " !"

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Proof: Let the primal be a maximization problem. Then

" ! ! # ! " ! "#$ %&& !
That is, ! " ! ! !! # ! " " "
! "! # ! A
! "! # ! A ! ⇒ Y is feasible.
The optimal solution of the primal is

# " = $" B " = $" " !! C = ' ! C = C ! ' = (#

Hence, by the corollary of the weak duality theorem, Y is
the optimal solution of the dual.
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Example 1: Consider the following LP:

Maximize " = # !$ + ! !# + ! !" ! "!!

Subject to
!! + !" + !# =$
!! + $ !" + !$ = %
!! & !" & !# & !$ ! '(
(a) Verify that B = (A2, A3) is optimal.
(b) Write the dual.
(c) Find the associated optimal dual solution.
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Example 2: Consider the following problem

$%& ! = "! + ' "" + #"#

()*+,-. ./
"! + " "" + "# =#
" "! ! "" =0
"! 1 "" 1 "# " 2
1. Verify that B= (P1, P3) is optimal.
2. Write the dual.
3. Find the associated optimal dual solution.

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