grandes-ecoles 2022 Q20
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Let $M \in \mathcal{M}_{k \times d}(\mathbb{R}), b = (b_1, \ldots, b_k) \in \mathbb{R}^k$ and $p \in \mathbb{R}^d$. Set $$\alpha := \inf\left\{p \cdot x : x \in \mathbb{R}^d, x \geq 0, Mx \leqslant b\right\}$$ and $$\beta := \sup\left\{b \cdot q : q \in \mathbb{R}^k, q \leqslant 0, M^T q \leqslant p\right\}.$$ Suppose that there exists $\bar{x} = (\bar{x}_1, \ldots, \bar{x}_d) \in \mathbb{R}^d$ such that $$\bar{x} \geq 0, M\bar{x} \leqslant b \text{ and } p \cdot \bar{x} = \alpha.$$ Denoting by $M_i$ the vector of $\mathbb{R}^d$ whose coordinates are the coefficients of the $i$-th row of $M$, set: $$I := \left\{i \in \{1, \ldots, k\} : M_i \cdot \bar{x} = b_i\right\}$$ and $$J := \left\{j \in \{1, \ldots, d\} : \bar{x}_j = 0\right\}$$
a) Show that $p \cdot z \geq 0$ for all $z \in \mathbb{R}^d$ such that $$z_j \geq 0 \text{ for all } j \in J \text{ and } M_i \cdot z \leqslant 0 \text{ for all } i \in I.$$
b) Show that there exists $\bar{q} \in \mathbb{R}^k$ such that: $$\bar{q} \leqslant 0, M^T \bar{q} \leqslant p, \bar{q} \cdot (M\bar{x} - b) = 0 \text{ and } (p - M^T \bar{q}) \cdot \bar{x} = 0.$$
c) Show that $b \cdot \bar{q} = \alpha = \beta$.