The duality theorem states that: • if the primal problem has an optimal solution, then so has the dual, and zP = zD; 1 • if the primal problem is unbounded, then the dual is infeasible; • if the primal problem is infeasible, then the dual is either infeasible or unbounded. Consider the following primal and dual problems : Maximize zP = c T x Minimize zD = b T y subject to x ≥ 0, s ≥ 0 subject to y ≥ 0, t ≥ 0 Ax + s = b AT y − t = c For optimal solutions, complementary slackness states that yisi = 0 (i = 1, . . . , m), tjxj = 0 (j = 1, . . . , n). For feasible solutions of the primal and the dual, we have cj = 1, . . . , n zP = c T x = (y TA − t T )x = y T (b − s) − t T x = zD − y T s − t T For an optimal solution of the primal and dual, zP = zD so , y T s + t T x = 0 Since variables are non-negative this implies that : yisi = 0 i = 1, . . . , m tjxj = 0 j = 1, . . . , n