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Introduction to Semidefinite Programming - MIT …

Introduction to Semidefinite Programming - MIT …

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Given a feasible solution x of LP and a feasible solution (y,s) of LD, the duality gap is simply c x− P m i=1 y ib i = (c− P m · i=1 y ia i)·x = s·x ≥ 0, because x ≥ 0 and s ≥ 0. We know from LP duality theory that so long as the pri­ mal problem LP is feasible and has bounded optimal objective value, then

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