Chapter 4
Duality Theory
Also see Chapter 6 of the text book.
1MotivationConsider the LP problem in a standard form:minx∈Rnc0xs.t.Ax=b,0≤x,whereb∈RmandA∈Rm×n. Let us call this theprimal problemand letxbe its feasiblesolution; assume that its optimal solution exists and the optimal value is finite. Instead of
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Ch 4: Duality Theory
Last updated: October 17, 2014
Page 2 of 14

Ch 4: Duality Theory
MATH2230/MATH3205/Mark Lau
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Primal & Dual Problems
Last updated: October 17, 2014
Page 3 of 14

Ch 4: Duality Theory
MATH2230/MATH3205/Mark Lau