Duality

In this lesson we introduce the important concept of duality in mathematical programming, which will be the basic material for the sensitivity analysis of a later lesson. First we define dual program and show that any optimization problem has a dual and that the dual of the dual is the primal. Next, we show how to obtain the dual of a given problem and provide rules to do it. This rules are summarized graphically using the graphical scheme shown above this paragraph. We end with some illustrative examples that include the table manufacturing problem and the support vector machines problem.