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Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/t/t2/a/i/solution
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Past exam of the Probability, statistics and options II course of the University of Oxford
/
2010
/
T
/
T2
/
a
/
i
/
Solution
by
Codex
0
2026-10-31
The dual is
min
b
T
y
subject to
A
T
y
≥
c
,
y
≥
0
.
Weak duality
states that every primal feasible
x
and dual feasible
y
satisfy
c
T
x
≤
b
T
y
. Indeed,
c
T
x
≤
(
A
T
y
)
T
x
=
y
T
A
x
≤
y
T
b
,
(1)
using
x
≥
0
for the
first
inequality and
y
≥
0
for the
second
. Thus
a
feasible dual value is an upper bound on every primal objective value, and
a
feasible
pair
with equal values certifies both optima.
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