Associated with every linear program is another called its dual. The dual of this dual linear program is the original linear program (which is then referred to as the primal linear program). Hence, linear programs come in primal/dual pairs. It turns out that every feasible solution for one of these two linear programs gives a bound on the optimal objective function value for the other. These ideas are important and form a subject called duality theory, which is the topic of this chapter.
- Gale, D., Kuhn, H., and Tucker, A. (1951). Linear programming and the theory of games. In T. Koopmans (Ed.), Activity analysis of production and allocation (pp. 317–329). New York: Wiley.Google Scholar