Optimisation in Finance - MATH20070

Quiz 7 (The Dual Problem)

Name: Sean Zhang

Student Number: 21336533
Consider the Linear Programming Problem of maximising x1 + 2x2 subject to

2x1 + x2 2
x1 + 3x2  27
x1 + x2  15
2x1 x2  18
x 1 , x2 0.

(a) Write the problem in Standard Form.

(b) Use the Simplex Method to determine the optimal solution to the problem.

(c) Formulate the corresponding Dual Problem.

(d) What is the optimal solution to the Dual Problem? (You do not have to solve the
Dual Problem.)
a Z 2 222 0
22,774 5 2
x ta 5 27
X to 53 15
22C 4 54 18

Z X X S Sz s Su Ci
I I 2 O O O O O O
O 2 I 1 0 0 0 2
0 I 1 0 I 0 0 27
0 1 I 0 0 1 0 15
0 2 I 0 0 0 I 18
0 2 1 I 0 0 0 2 42
I 4 2 O O O O O

1 5 0 2 O O O 4

0 2 1 I 0 0 0 2 I

0 1 I 0 1 0 0 27
0 3 0 1 I 0 0 25

0 2 I 1 O O O Z Ell
0 1 I 0 0 1 0 15
0 3 0 1 0 1 0 13

0 2 I 1 O O O 2 t
0 2 I 0 0 0 1 18
O 4 0 T O O I 16
Z X Tz S Sz 53 54 Ci
I 5 0 2 O O O 4
0 2 I 1 O O O 2
0 7 0 3 1 0 0 21
0 3 0 0 I 0 13
O O O 1 0 0 I 20

Z X X S Sz 53 54 Ci
I 0 0 517 O O 19 RT JR
O O 1 17 217 0 0 8 RoFRot5Rz
0 1 0 317 117 0 0 3 R R tZRz
O O 0 207 317 1 0 4 E R Rz 3Rz
O O O I 0 0 I 20

O O O 1 22 72 0 14 Rt
I 0 O F Ey O O 19
0 0
I 0 t I o 21
RO
O O O 32 72 O 14 E
1
O O 1 7 47 0 0 8
0 0 I 0 I Y O 6 R

O O O 1 Z 72 0 14 CA
0 I 0 37 117 0 0 3
0 I 0 O
h I 0 9 RO
O O O 1 2 72 0 14 L1
O O 0 I 0 0 I 20

000 0 32 72 I 6
 Z X X S Sz S S Ci
I O O O E Iz O 21
O O 1 0 t t o 6
0 I 0 0 I 32 0 9
O O O 1
Z 72 014
O O O O
E 7 I 6
Max at 21
when X 29 z
x 6
9
24 tYztYst2Y4 I
Y 342 43 44 2
2 24,72742 1543 1844

d Minimum is 21
Yi O
Yet
Y It
44 0