Geometric View of Weak Duality
Two-dimensional view of the primal problem
Let us assume for simplicity that , and consider the problem:
(In fact, this can be done without loss of generality, using the pointwise maximum of the constraints as a single constraint.)
To illustrate, we focus on the problem above, with defined as
We can express the primal problem with two new scalar variables , as follows:
where
The set can be interpreted as the set of constraint / objective pairs that can be achieved by some choice of the original decision variable . The set corresponds to pairs that are achievable by some that is feasible for the original problem.
Dual function
The dual function is
In the scalar problem above, the dual function is easy to compute, either by a direct (brute force) scan of values in , or by taking derivatives of the above objective function, and roots of a -th order polynomial.
The geometric interpretation of is a follows. We have
Consider a non-vertical line in plane, with non-positive slope given by . This line can be expressed as
where the value of the constant is the intercept, that is, the point on the line on the -axis.
Dual problem
The dual problem:
amounts to finding the best line, that is, search for slopes that achieves the highest intercept. It corresponds to replacing with its convex hull.
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