 Farkas' lemma

For a real matrix $A\in {\mathbb{R}}^{m\times n}$ and a vector $b\in {\mathbb{R}}^m$, exactly one of the following systems has a solution:The linear inequalities here are componentwise. In the first system $z$ is nonnegative; in the second system $y$ is unrestricted in sign. The second system is a certificate that the first has no feasible point. This nonnegative-equations alternative is developed in Boyd and Vandenberghe, Convex Optimization slides, §5.34.

Build the target, or separate it. Write the columns of $A$ as $a_1,\dots ,a_n$. Then $Az={\sum }_j{z}_j{a}_j$ is a conic combination: its coefficients must be nonnegative, but need not sum to one. The obtainable targets form the finitely generated coneA solution $z$ explains how to build $b$ from those columns. A certificate $y$ instead defines a linear functional $v\mapsto y^{T}v$. The condition $A^{T}y\ge 0$ says that its dot product with every generating column is nonnegative, and hence with every point of $K$. But $y^{T}b<0$ places the target strictly on the other side of the hyperplane $y^{T}v=0$. Thus $y$ belongs to the dual cone of $K$ and rules out every allowed conic combination at once.

A certificate that can be checked by eye. Take the identity matrixHere $K$ is the nonnegative orthant. The equation $Az=b$ forces $z=(-1,1{)}^T$, violating $z\ge 0$. The certificate $y=(1,0{)}^T$ givesThe linear functional simply reads the first coordinate: all allowed column combinations have a nonnegative first coordinate, while $b$ has first coordinate $-1$. For comparison, the target $(1,1{)}^T$ is obtained with $z=(1,1{)}^T$.

Why this is useful and striking. A successful search can exhibit one feasible point; an unsuccessful search alone cannot explain why every candidate fails. Farkas' lemma guarantees an equally concrete witness of impossibility for this finite linear problem. Once $y$ is supplied, verification needs only matrix multiplication, sign tests and one dot product. The same idea gives a Farkas certificate for linear inequalities and underlies linear programming duality.

Brief geometric proof. The two systems cannot both hold, because they would implyFor existence of a certificate when $b\notin K$, closedness of finitely generated cones makes $K$ a closed convex cone, so separation from a closed convex cone supplies $y^{T}b<0$ and $y^{T}v\ge 0$ for every $v\in K$. Testing each column gives $A^{T}y\ge 0$. Concretely, let $p$ be the Euclidean projection onto a convex set of $b$ onto $K$ and set $y=p-b$. The projection inequality gives $y^T(v-p)\ge 0$ for $v\in K$. Testing $v=0$ and $v=2p$ gives $y^{T}p=0$, whence $y^{T}b=-\Vert p-b{\Vert }_2^2<0$. In the example, $p=(0,1{)}^T$ and $y=(1,0{)}^T$. Alternatively, the Fenchel-Moreau theorem applied to the cone's indicator functional proves the same separation through its polar cone.

An original historical source is Julius Farkas's ^[ref]. The linked archival record verifies the author, title and publication details.