Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2011/t/1/b/solution

Let . By strong duality, an optimal dual vector exists. Complementary slackness at makes the dual constraints equalities at indices , where . The vector has exactly that same support. It is nonnegative and satisfies , while remains dual feasible because dual feasibility depends on , not on the right-hand side. Hence
The objective gap is zero, so is optimal for the modified programme. This is support-preserving right-hand-side changes in linear programming.

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