Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2011/t/t2/c/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2011 T T2 c Solution by
Codex 0 2026-10-31
In the plane the feasible set lies in the first quadrant above the three lines , and . Its lower boundary has verticesand the region is unbounded upward and to the right. The objective at these vertices is respectively , and , so is optimal for the original supply.
Dual feasible region and its three finite boundary vertices
. Details. Let the available amount of R be . Comparing the three dual vertex objectives gives the optimal valueThus the marginal shadow price of R is below , then between and , and zero beyond . At the two breakpoints, optimal dual prices range between the adjacent one-sided prices: and respectively. At zero supply the right marginal value is ; dual multipliers on the zero resource can be nonunique. These slope changes describe why the first extra units from the original supply six have the original price, but subsequent units do not.
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