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An Example of Dantzig-Wolfe Decomposition

The document provides an example of using Dantzig-Wolfe decomposition to solve a linear programming problem. It describes initializing the master problem with two extreme points of the feasible region. Over three iterations, it introduces additional extreme points and rays into the revised master problem. In the third iteration, it finds an optimal solution where the subproblem returns the same point, satisfying the optimality criterion.

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Rohan Viswanath
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807 views7 pages

An Example of Dantzig-Wolfe Decomposition

The document provides an example of using Dantzig-Wolfe decomposition to solve a linear programming problem. It describes initializing the master problem with two extreme points of the feasible region. Over three iterations, it introduces additional extreme points and rays into the revised master problem. In the third iteration, it finds an optimal solution where the subproblem returns the same point, satisfying the optimality criterion.

Uploaded by

Rohan Viswanath
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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An Example of Dantzig-Wolfe Decomposition

MATP6640/DSES6780 Linear Programming

An Example of Dantzig-Wolfe Decomposition


Consider the linear programming problem:

Thus, cT=(1,-1,-2), A=(1,1,1) and b=3. The Master Problem (MP) is:

where

is the set of extreme points of X, and

is the set of extreme rays of X.

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An Example of Dantzig-Wolfe Decomposition

Initialization: Start with the two extreme points x 1:=(2,0,0)T and x 2:=(2,0,2)T of X. Then when using the revised simplex method, our basic variables are and . So, in terms of the basic variables, we get the Revised Master Problem (RMP):

Here, the coefficient of

in the objective function is cTx 1, the coefficient of 4 for

in the first . We

constraint comes from Ax 2, etc. The second constraint is the convexity constraint will denote costs in (MP) by Initial basis: , columns by , etc.

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An Example of Dantzig-Wolfe Decomposition

Thus, the initial basic feasible solution is:

the corresponding dual solution is:

the corresponding solution to the initial problem is

Thus the subproblem is

By inspection, the optimal solution is x =(0,0,0)T, giving

. Therefore, our current

primal solution is not optimal, and we need to introduce a column for x 3:=(0,0,0)T into the Revised Master Problem. First iteration: Then enters the basis. Objective function value is ; column of constraint matrix is

In order to determine which variable leaves the basis, we need to

calculate

. We then compare this column of ``B-1N'' with the current bfs

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An Example of Dantzig-Wolfe Decomposition

using the minimum ratio test. Thus,

leaves the basis. The new basis matrix is:

Thus, the new primal solution to (MP) is

and the new dual solution is

Hence, the new solution for the original LP is:

The subproblem is

This subproblem has an unbounded optimal solution, and the extreme ray is d=(0,1,0)T.

Set d4:=(0,1,0)T; then into the basis.

and

. We introduce

Second iteration: We need to determine which variable leaves the basis. Therefore, we calculate
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An Example of Dantzig-Wolfe Decomposition

. Using the minimum ratio test with leaves the basis. The new basis matrix is:

shows that

Thus, the new primal solution to (MP) is

and the new dual solution is

Hence, the new solution for the original LP is:

The subproblem is

An optimal solution is x =(0,0,2)T, giving

. So we do not have the optimal solution to the

master problem (MP). Hence, we set x 5:=(0,0,2)T, and we introduce a column for this extreme point into the Revised Master Problem. Third iteration: Then enters the basis. Objective function value is ; column of constraint matrix

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An Example of Dantzig-Wolfe Decomposition

is

. In order to determine which variable leaves the basis, we need to

calculate

. Using the minimum ratio test with

shows that

leaves the basis. The new basis matrix is:

Thus, the new primal solution to (MP) is

and the new dual solution is

Hence, the new solution for the original LP is:

The subproblem is

An optimal solution is x =(0,0,2)T, giving and

. Hence, our optimality criterion is satisfied,

is an optimal solution to our original LP.

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About this document ... John E Mitchell 2000-02-03

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