1 LECTURE 5: DUALITY AND SENSITIVITY ANALYSIS 1. Dual linear program 2. Duality theory 3. Sensitivity analysis 4. Dual simplex method
2 Introduction to dual linear program Given a constraint matrix A, right hand side vector b, and cost vector c, we have a corresponding linear programming problem: Questions: 1. Can we use the same data set of (A, b, c) to construct another linear programming problem? 2. If so, how is this new linear program related to the original primal problem?
3 Guessing A is an m by n matrix, b is an m-vector, c is an n-vector. Can the roles of b and c can be switched? - If so, we ll have m variables and n constraints. Correspondingly, (1) the transpose of matrix A should be considered to accommodate rows for columns, and vise versa? (2) nonnegative variables for free variables? (3) equality constraints for inequality constraints? (4) minimizing objective for maximizing objective?
4 Dual linear program Consider the following linear program Remember the original linear program
6 Dual of LP in other form Symmetric pair
7 Karmarkar s form LP
8 How are they related? We denote the original LP by (P) as the primal problem and the new LP by (D) as dual problem. (P) and (D) are defined by the same data set (A, b, c). Problem (D) is a linear program with m variables and n constraints. The right-hand-side vector and the cost vector change roles in (P) and (D). What else?
9 Many interesting questions Feasibility: - Can problems (P) and (D) be both feasible? - One is feasible, while the other is infeasible? - Both are infeasible? Basic solutions: - Is there any relation between the basic solutions of (P) and that of (D)? bfs? optimal solutions? Optimality: -Can problems (P) and (D) both have a unique optimal solution? - Both have infinitely many? - One unique, the other infinitely many?
10 Examples Both (P) and (D) are infeasible: Both (P) and (D) have infinitely many optimal solutions:
11 Dual relationship If we take (D) as the primal problem, what ll happen? Convert (D) into its standard form by 1. taking w = u v 2. adding slacks s 3. minimizing objective New dual
12 Dual of the dual = primal Rearrange the new dual We have
14 Weak duality theorem If x is a primal feasible solution to (P) and w is a dual feasible solution to (D), then (Weak Duality Theorem): If x is a primal feasible solution to (P) and w is a dual feasible solution to (D), then.
16 Corollaries 1. If x is primal feasible, w is dual feasible, and then x is primal optimal, and w is dual optimal. 2. If the primal is unbounded below, then the dual is infeasible. (Is the converse statement true? -- watch for infeasibility) 3. If the dual is unbounded above, then the primal is infeasible. (Is the converse statement true?)
17 Strong duality theorem Questions: - Can the results of weak duality be stronger? - Is there any gap between the primal optimal value and the dual optimal value? Strong Duality Theorem:
18 Proof of strong duality theorem Proof: Note that the dual of the dual is the primal and the fact that If x is primal feasible, w is dual feasible and then x is primal optimal and w is dual optimal. We only need to show that if the primal has a finite optimal bfs x, then there exists a dual feasible solution w such that
19 Proof - continue Applying the simplex method at the optimal bsf x with basis B, we define. Then Thus w is dual feasible and
21 Corresponding basic solutions At a primal basic solution x with basis B, we defined a dual basic solution.
22 Further implications of strong duality theorem Theorem of Alternatives Existence of solutions of systems of equalities and inequalities Famous Farkas Lemma (another form)
23 Proof of Farkas Lemma Since w = 0 is dual feasible, we know (P) is infeasible if and only if (D) is unbounded above. Note that (P) is infeasible if and only if (I) has no solution. (D) is unbounded above if and only if (II) has a solution. Hence, (I) has no solution if and only if (II) has a solution.
24 Complementary slackness Consider the symmetric pair LP
30 Implication Solving a linear programming problem is equivalent to solving a system of linear inequalities.
31 Economic interpretation of duality Is there any special meaning of the dual variables? What is a dual problem trying to do? What s the role of the complementary slackness in decision making?
32 Dual variables Consider a nondegenerate linear program:
33 Dual variable for shadow price Moreover, we have Note: dual variable indicates the minimum unit price that one has to charge for additional demand i. It is also called shadow price or equilibrium price.
34 Dual LP problem Consider the following production scenario: n products to be produced m resources in hand market selling price for each product is known technology matrix is given by
35 A manufacturer s view
36 Complementary slackness condition Observation: 1. is the maximum marginal price the manufacturer is willing to pay the supplier for resource i. 2. When resource i is not fully utilized, i.e., the complementary slackness condition implies This means the manufacturer is not willing to pay a penny for buying any additional amount! 3. When the supplier asks too much, i.e., then This means the manufacturer is not going to produce any product j!
37 Sensitivity analysis Sensitivity is a post-optimality analysis of a linear program in which, some components of (A, b, c) may change after obtaining an optimal solution with an optimal basis and an optimal objective value. Questions of interests:
38 Fundamental concepts No matter how the data (A, b, c) change, we need to make sure that 1. Feasibility (c is not involved): bfs x is feasible if and only if 2. Optimality (b is not involved):
39 Change in the cost vector Scenario: Consider Question: Within which range of the current optimal solution remains to be optimal? Note: when c = (0,,0,1,0, 0), we have the regular sensitivity analysis on each cost coefficient.
40 Geometric view Fact:
41 Analysis Compare (1) (2) i.e.,
42 Analysis - continue
43 Analysis - continue
44 Change in the r-h-s vector Scenario: Fact: Question:
47 Changes in the constraint matrix Since both feasibility and optimality are involved, a general analysis is difficult. We only consider simple cases such as adding a new variable, removing a variable, adding a new constraint.
48 Adding a new variable Why? A new product, service or activity is introduced. Analysis:
49 Removing a variable Why? An activity is no longer available.
50 Adding a new constraint Why? A new restriction is enforces.
53 Dual simplex method What s the dual simplex method? - It is a simplex based algorithm that works on the dual problem directly. In other words, it hops from one vertex to another vertex along some edge directions in the dual space. It keeps dual feasibility and complementary slackness, but seeks primal feasibility.
54 Motivation Applying the (revised) simplex method to solve the dual problem:
55 Corresponding basic solutions At a primal basic solution x with basis B, we defined a dual basic solution.
56 Basic ideas of dual simplex method Starting with a dual basic feasible solution
57 Basic ideas of dual simplex method Checking optimality
58 Basic ideas of dual simplex method Pivoting move
59 Related issues Question 1: Analysis:
60 Related issues Question 2: Where is the dual feasibility information? Guess: must be from the fundamental matrix and vector c.
61 Related issues Question 3: When Answer: Sherman-Morrison-Woodbury formula. Sherman, J.; Morrison, W. J. (1949). "Adjustment of an Inverse Matrix Corresponding to Changes in the Elements of a Given Column or a Given Row of the Original Matrix (abstract)". Annals of Mathematical Statistics 20: 621. doi: /aoms/
62 Sherman-Morrison-Woodbury Formula Lemma:
63 Proof from wikipedia.org/wiki
68 Dual simplex method
69 Dual simplex method
71 Example - continue
72 How to start the dual simplex method?
74 Remarks (1) Solving a standard form LP by the dual simplex method is mathematically equivalent to solving its dual LP by the revised (primal) simplex method. (2) The work of solving an LP by the dual simplex method is about the same as of by the revised (primal) simplex method. (3) The dual simplex method is useful for the sensitivity analysis.
75 Complexity of the simplex method
76 Worst case performance of the simplex method Klee-Minty Example: Victor Klee, George J. Minty, How good is the simplex algorithm? in (O. Shisha edited) Inequalities, Vol. III (1972), pp
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