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Summary of complementary slackness: 1. If x i ≠ 0, i= 1, 2, …, n the ith dual equation is tight. 2. If equation i of the primal is not tight, y i =0. 1.

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Presentation on theme: "Summary of complementary slackness: 1. If x i ≠ 0, i= 1, 2, …, n the ith dual equation is tight. 2. If equation i of the primal is not tight, y i =0. 1."— Presentation transcript:

1 Summary of complementary slackness: 1. If x i ≠ 0, i= 1, 2, …, n the ith dual equation is tight. 2. If equation i of the primal is not tight, y i =0. 1

2 Complementary Slackness Theorem (5.2): x' = feasible primal solution y' = feasible dual solution Necessary and sufficient conditions for simultaneous optimality of x' and y' are 1. For all i=1, 2, …, m, either (a i1 * x 1 ' + a i2 *x 2 ' + … + a in *x n ')= b i or y i ' = 0 (or both). 2. For all i=1, 2,..., n, either (a 1j * y 1 ' + a 2j *y 2 ' a mj *y m ') = c i or x i ' = 0 (or both). 2

3 Recipe for Using this Theorem Given: x' which is a feasible solution. Question: Is x' an optimal solution? Procedure: 1. First consider each x j ' (j=1, 2,..., n) such that x j ' is NOT 0. Write down the equation of the dual that corresponds to the coefficients of x j in the primal: (a 1j y 1 + a 2j y a mj y m ) = c j 2. Next consider each equation i of the primal problem (i=1, 2, 3,..., m). If the ith equation is NOT tight (there is some slack), write down y i = 0. 3

4 3. Solve these equations that you get for y. If there is a unique solution continue. If not, abort. 4. Test y to see if it is dual feasible. Yes- x' is optimal. No- x' is not optimal. When does the system of equations have a unique solution? Theorem 5.4 in text: when x' is a nondegenerate basic feasible solution. Nondegenerate: no basic variables have value 0. 4

5 The problem: Maximize 5 X X X 3 subject to 2 X X X 3 ≤ 5 4 X X X 3 ≤ 11 3 X X X 3 ≤ 8 X 1, X 2, X 3 ≥ 0 5

6 The second last dictionary: u= (2.5, 0, 0) X1 = X X X4 X5 = X2 + 0 X3 + 2 X4 X6 = X X X z= X X X4 Check this using complementary slackness. 6

7 u=(2.5, 0, 0) Maximize 5 X X X 3 Constraints: 2 X X X 3 ≤ 5 4 X X X 3 ≤ 11 3 X X X 3 ≤ 8 1. First consider each X j ' such that X j ' is NOT 0. Write down the equation of the dual that corresponds to the coefficients of X j in the primal: X 1 ≠ 0: 2 Y Y Y 3 = 5 2. Next consider each equation i of the primal problem If the ith equation is NOT tight (there is some slack), write down Yi= 0. 2(2.5) + 3(0) + 1(0) = 5 <= 5 TIGHT 4(2.5) + 1(0) + 2(0) = 10 <= 11 Y2=0 3(2.5) + 4(0) + 2(0) = 7.5 <= 8 Y3=0 7

8 2. Next consider each equation i of the primal problem If the ith equation is NOT tight (there is some slack), write down Y i = 0. 2 X X X 3 ≤ 5 4 X X X 3 ≤ 11 3 X X X 3 ≤ 8 2(2.5) + 3(0) +1(0)= 5 = 5 TIGHT 4(2.5) + 1(0) +2(0)= 10 < 11 Y 2 =0 3(2.5) + 4(0) +2(0)=7.5 < 8 Y 3 =0 8

9 Solve for y: 2 Y Y Y 3 = 5 Y 2 = 0 Y 3 = 0 y 1 = 5/2, y 2 =0, y 3 =0. 9

10 The problem: Maximize 5 X X X 3 subject to 2 X X X 3 ≤ 5 4 X X X 3 ≤ 11 3 X X X 3 ≤ 8 X 1, X 2, X 3 ≥ 0 What is the dual? Check y1= 5/2, y2=0, y3=0 for dual feasibility. 10

11 The last dictionary: v= (2, 0, 1) X1 = X2 - 2 X4 + 1 X6 X5 = X2 + 2 X4 + 0 X6 X3 = X2 + 3 X4 - 2 X z = X2 - 1 X4 - 1 X6 Check this using complementary slackness. 11

12 1. Write down dual equations for non-zero X i ’s: v= (2, 0, 1) Maximize 5 X X X 3 Constraints: 2 X X X 3 ≤ 5 4 X X X 3 ≤ 11 3 X X X 3 ≤ 8 X 1 ≠ 0: 2 Y Y Y 3 = 5 X 3 ≠ 0: 1 Y Y Y 3 = 1 12

13 2. Next consider each equation i of the primal problem If the ith equation is NOT tight (there is some slack), write down Y i = 0. v= (2, 0, 1) Constraints: 2 X X X 3 ≤ 5 4 X X X 3 ≤ 11 3 X X X 3 ≤ 8 2(2) + 3(0) + 1(1)= 5 = 5 TIGHT 4(2) + 1(0) + 2(1)= 10< 11 Y 2 =0 3(2) + 4(0) + 2(1)= 8= 8 TIGHT 13

14 3. Solve for Y. X 1 ≠ 0: 2 Y Y Y 3 = 5 X 3 ≠ 0: 1 Y Y Y 3 = 3 Y 2 = 0 Solution: (1, 0, 1) Test y for dual feasibility. 14

15 We have already argued that these conditions are necessary for optimality. Why are they sufficient? 15

16 Complementary Slackness Theorem (5.2): x' = feasible primal solution y' = feasible dual solution Necessary and sufficient conditions for simultaneous optimality of x' and y' are 1. For all i=1, 2, …, m, either (a i1 * x 1 ' + a i2 *x 2 ' + … + a in *x n ')= b i or y i ' = 0 (or both). 2. For all i=1, 2,..., n, either (a 1j * y 1 ' + a 2j *y 2 ' a mj *y m ') = c i or x i ' = 0 (or both). 16

17 Earlier we showed that for feasible primal and dual solutions: c 1 x 1 + c 2 x c n x n ≤ S = (a 11 y 1 + a 21 y a m1 y m )x 1 + (a 12 y 1 + a 22 y a m2 y m )x (a 1n y 1 + a 2n y a mn y m ) x n = (a 11 x 1 + a 12 x a 1n x n )y 1 + (a 21 x 1 + a 22 x a 2n x n )y (a m1 x 1 + a m2 x a mn x n ) y m ≤ b 1 y 1 + b 2 y b m y m 17

18 In a final dictionary: m basic variables. Of these, assume b of them are from x 1, …,x n and the remaining m-b are slacks. If the solution is not degenerate then we get b equations from having the non-zero values from x 1, …,x n and m-b equations that are not tight. This gives a square (b by b) system to solve. 18

19 Complementary Slackness Theorem (5.2): x' = feasible primal solution y' = feasible dual solution Necessary and sufficient conditions for simultaneous optimality of x' and y' are 1. For all i=1, 2, …, m, either (a i1 * x 1 ' + a i2 *x 2 ' + … + a in *x n ')= b i or y i ' = 0 (or both). 2. For all i=1, 2,..., n, either (a 1j * y 1 ' + a 2j *y 2 ' a mj *y m ') = c i or x i ' = 0 (or both). Problem is the “or both” parts. 19


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