Duality

LP problems exist in pairs. The original problem is called the Primal and the complementary problem
is called Dual.
Important Roles of Duality
 The dual problem has an important economic interpretation.
 Several theories that are used to develop methods for efficient computational shortcuts to the
simplex method are based on the concept of Duality.
 In some cases, the use of the dual helps to overcome some computer capacity limitations.
 Some special procedures developed for testing optimal solution are based on duality.
 The dual is used in developing the MODI algorithm for the transportation model.
Major Properties
 If the primal is a maximization problem, the dual is a minimization problem, and vice versa.
 An optimal solution to the dual exists only when the primal has an optimal solution (& vice versa)
 The value of objective function of the optimal solution in both problems is the same.
 The dual of the dual is the primal.
 The solution of the dual problem can be obtained from solution of primal problem, & vice versa.
 The dual variables may assume negative values.
 The dual variables have important economic interpretation.
Writing the Dual
 The Objective – Because original calls for maximization, the dual will be a minimization problem.
 The Decision Variable – For each constraint in primal, there is one corresponding variable in dual.
 The Objective Function – The coefficient of each variable in the objective function of the dual is
equal to the right hand side of the corresponding constraint in the primal.
 For each decision variable in the primal, there is a corresponding constraint in the dual.
Conversion into duality:
Max Problem   Constraints Min Problem   Constraints
Primal Dual
Max Min
n variables M Constraints
Resource Values Profit Coefficient

Primal to Dual Conversion Example

Primal Dual Solution

Constraints Constraints

Economic Interpretation of Dual Variable

 The dual variables are called the shadow prices, the marginal values of the constraints, or the
opportunity costs per unit of each primal’s resource (constraint).
Relationship between the Dual’s variables and the Objective Function
Right-hand Side If Dual variable is The Objective Function value will
Add one unit Positive increase by the amount of the dual
Add one unit Negative decrease by the amount of the dual
Add one unit Zero remain unchanged
Delete one unit Positive decrease by the amount of the dual
Delete one unit Negative increase by the amount of the dual
Delete one unit Zero remain unchanged
Full Solution Example:

Constraints

Solution:
Dual Solution Standardization

Constraints Constraints

Table 1
Basic UP Quantity Ratio
0 1 2 1 0 3 3/2
0 3 3 0 1 8 8/3
900 1200 0 0
0 0 0 0
900 1200 0 0
Operation:
Quantity
1/2 1 1/2 0 3/2
Operation:
Quantity
3 3 0 1 8
3/2 3 3/2 0 9/2
3/2 0 – 3/2 1 7/2
Table 2
Basic UP Quantity Ratio
1200 1/2 1 1/2 0 3/2 3
0 3/2 0 – 3/2 1 7/2 7/3
900 1200 0 0
600 1200 600 0
300 0 – 600 0
Operation:
Quantity
1 0 –1 2/3 7/3
Operation:
Quantity
1/2 1 1/2 0 3/2
1/2 0 – 1/2 1/3 7/6
0 1 1 – 1/3 1/3
Table 3
Basic UP Quantity Ratio
1200 0 1 1 – 1/3 1/3
900 1 0 –1 2/3 7/3
900 1200 0 0
900 1200 300 200
0 0 – 300 – 200
Simplex Solution (Slack)
Question Standardization

Constraints Constraints

Table 1
Basic UP Quantity Ratio
0 1 0 30
0 0 1 40
60 80 0 0
0 0 0 0
60 80 0 0
Operation:
Quantity
2/3 1 0 30
Operation:
Quantity
0 1
1 0
0 1
Table 2
Basic UP Quantity Ratio
80 2/3 1 0 30 20
0 0 1 15
60 80 0 0
160/3 80 0
20/3 0 8/3 0
Operation:
Quantity
1 0
Operation:
Quantity
2/3 1 0 30
2/3 0 1/30 10
0 1 1/30 20
Table 3
Basic UP Quantity Ratio
80 0 1 1/30 20
60 1 0
60 80 0 0
60 80
0 0 7/3 1/3
Simplex Solution (Alternate)
Question Standardization

Constraints Constraints

Table 1
Basic UP Quantity Ratio
M 20 30 0 1 0 900 45
M 40 30 0 0 1 1200 30
60 80 0 0 M M
60M 60M M M
M M 0 0
Operation:
Quantity
1 3/4 0 0 30
Operation:
Quantity
20 30 0 1 0 900
20 15 0 0 1/2 600
0 15 1/2 1 300
Table 2
Basic UP Quantity Ratio
M 0 15 1/2 1 300 20
60 1 3/4 0 0 30 40
60 80 0 0 M M
60 M

0 M 0
Operation:
Quantity
0 1 1/30 1/15 20
Operation:
Quantity
1 3/4 0 0 30
0 3/4 1/40 1/20 15
1 0 1/20 1/20 15
Table 3
Basic UP Quantity Ratio
80 0 1 1/30 1/15 20
60 1 0 1/20 1/20 15
60 80 0 0 M M
60 80

0 0 7/3 1/3
 Decision Analysis
Elements of Decision Table
 The alternative courses of action
 The state of nature
 The probabilities of the states of nature
 The payoffs
The Alternative Courses of Action
 Decision making involves 2 or more options or alternative courses of action. 1 and only 1 of these
alternatives must be selected. These alternative courses of actions are designated as a1, a2 etc.
 Number of alternatives may be finite or infinite.
 If you want to go Dhaka, alternatives are …….
 If you want to mix a particular item in combination like 2.1 2.2 2.3
 Only feasible alternatives should be considered
 Generation of alternatives depends on one’s creativity
 Decision tables are used when number of alternatives finite and usually small ( less than hundred).
The State of Nature
 Placed on top of the table. They are labeled s1, s2 ….sm.
 A state of nature can be a state of economy (inflation), a weather condition, a political
development, or other situation decision maker cannot control.
 The state of nature is usually not determined by the action of a single individual or an
organization.
 They are basically the result of an “act of God”.
The Probabilities of the States of Nature
 What is the likelihood that a particular state of nature of occurs?
 One and only one state of nature will occur
 The sum of possibilities must be one.
The Payoffs
 The payoff (or the outcome) associated with a certain alternative and a specific state. It is located
at the intersection of the alternative and the specific state of nature.
 The payoff can be thoughts as conditional. Reason is a specific payoff results form a specific state
of nature but only a certain alternative course of action has been taken.
 Payoff is measured within specified period which is called time horizon.
Decision under Certainty
 In decision under certainty, decision can be mapped as a table with one payoff column.
 One has to compare all the entries in the payoff column and select the alternative with the highest
profit or lowest cost.
Complete Enumeration
 When number of alternatives is relatively small. complete enumeration approach is used.
 Complete enumeration means examining every payoff, one at a time, comparing the payoffs to
each other & discarding the inferior solution. This process continues until all payoffs are examined.
Decisions under Risk
 Decision situation in which chance or probability of occurrence of each state of nature is known.
 Decision maker can assess the degree of risk that he is taking in terms of probability distribution.
Objective Probability
 Probabilities derived either based on historical occurrence or based on experimentation. Use of
objective probabilities narrows the scope of judgment.
 Toss of a fair coin.
- Usually based on observation of past events, experiments, or both. Assumed that future
conditions will follow the same pattern as past conditions
- Process of observation must be stable
- Sample is large enough to represent the situation.
Subject Probabilities
 Approach measures the degree of belief in the likelihood of future occurrence of a give outcome.
Example 1: Ms. Aziza was in charge of the Trust’s investment department. She had just been authorized to
invest a large sum of money in one (and only) of three alternatives: corporate bond, common stocks, or
certificates of deposit (time deposit).
The Trust’s objective is to maximize the yield on the investment over a one-year period. The problem is that the
economic seemed to be uncertain and no one was able to predict the exact movements of the stock or even the
bond markets. It was rather obvious that the yields (the percent of return on investment) depend on the state
of economy. Therefore, she consulted the economic research department. The researchers were not sure what
the exact state of the economy after one year. However, they told they expected the economy to be in one of the
three possible conditions or state: solid growth, stagnation, or inflation. When asked the likelihood of each
condition, the researchers estimated a 50 percent chance for solid growth, a 30 percent chance of
stagnation, and a 20 percent chance for inflation.
Aziza examined the relationship between the yield on the possible investments and the state of the economy
and concluded that pas experienced the following trends.
 If there is solid growth in the economy, bond will yield 12%; stocks, 15%; and time deposits, 6.5%.
 If stagnation prevails, bond will yield 6%; stocks, 3%; and time deposits, 6.5%.
 If inflation prevails, bonds will yield 3%; the value of stock drop 2%; and time deposit will yield 6.5%.
EMV = Expected Monetary Value
Alternatives solid growth stagnation inflation EMV
corporate bond 12 6 3 8.4
common stocks 15 3 -2 8.0
time deposit 6.5 6.5 6.5 6.5
Probability .5 .3 .2
Decision Tree
Elements of a Decision Tree
 Decision Point
 Chance Point
Decision Point
 Usually designated by a square. The decision maker must select one alternative course of
action from a finite number of alternatives here.
 The alternative courses of actions are shown as branches or arcs emerging out of the right side
of the decision point.
Chance Point
 Designated by a circle. It indicates that a chance event is expected at this point in the process.
 The state of nature is shown on the tree as branches as to the right side of the chance points.
Constructing a Tree
 Building a logical tree which includes all decision points, chance points, and emerging arcs,
arranged in chorological order.
 Introduce the probabilities of the states of nature on the arcs, thus forming a probability tree.
 Finally, add the conditional payoffs, thus forming the completed tree.
Evaluating a Tree
 Chance point segment: The expected value of all the state of nature emerging from a chance
point must be computed. It is computed by multiplying payoffs with their probabilities and
sum up the results.
 Decision point segment: At a decision point, the payoffs given or computed for each
alternative are compared and the best one is selected.
Example: An apartment building has eight washing machines. The probability of these machines falling in any
give years is:
Number of Machines Falling During the Year Probability
3 .15
4 .30
5 .50
6 .05
Once a machine has failed, its repair will cost either Tk. 30, the minimum charge; Tk. 70 for a
moderate repair; or Tk. 120 for a major repair. The chance for a major repair is 36 percent, whereas
for a moderate repair is 44 percent for any washer. Sears offers a prepaid one-year maintenance
policy the costs Tk. 45 per machine.
Should the owner of the apartment building buy the maintenance insurance?
Solution: