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Basics On Linear Programming: Javier Larrosa Albert Oliveras Enric Rodr Iguez-Carbonell

1. The document introduces linear programming (LP), which is an optimization problem that involves minimizing a linear objective function subject to linear equality and inequality constraints. 2. It describes how an LP can be transformed into an equivalent standard form where all constraints are less-than-or-equal-to and all variables are non-negative. 3. It explains some basic definitions related to LPs, including feasible and optimal solutions, and how an LP can have multiple optimal solutions or be unbounded.

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99 views28 pages

Basics On Linear Programming: Javier Larrosa Albert Oliveras Enric Rodr Iguez-Carbonell

1. The document introduces linear programming (LP), which is an optimization problem that involves minimizing a linear objective function subject to linear equality and inequality constraints. 2. It describes how an LP can be transformed into an equivalent standard form where all constraints are less-than-or-equal-to and all variables are non-negative. 3. It explains some basic definitions related to LPs, including feasible and optimal solutions, and how an LP can have multiple optimal solutions or be unbounded.

Uploaded by

narendra
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 28

1.

Basics on Linear Programming


Javier Larrosa
Albert Oliveras
Enric Rodrguez-Carbonell
Problem Solving and Constraint Programming (RPAR)

Session 1 p.1/27

Linear Programs (LPs)


A linear program is an optimization problem of the form
min cT x
A 1 x b1
A 2 x = b2
A 3 x b3
x Rn
c Rn , bi Rmi , Ai Rnmi , i = 1, 2, 3
x is the vector of variables
cT x is the cost or objective function
A1 x b1 , A2 x = b2 and A3 x b3 are the constraints
Session 1 p.2/27

Notes on the Definition of LP


Solving minimization or maximization is equivalent:
max{ f (x) | x S } = min{ f (x) | x S }

Satisfiability problems are a particular case:


take arbitrary cost function, e.g., c = 0

Session 1 p.3/27

Equivalent Forms of LPs (1)


This form is not the most convenient for algorithms
WLOG we can transform such a problem as follows
1. Split = constraints into and constraints
min cT x

min cT x
A 1 x b1
A 2 x = b2
A 3 x b3

A 1 x b1
=

A 2 x b2
A 2 x b2
A 3 x b3

Now all constraints are or


Session 1 p.4/27

Equivalent Forms of LPs (2)


2. Transform constraints into constraints
by multiplying by -1
min cT x
A 1 x b1
A 2 x b2

min cT x
=

A 1 x b1
A2 x b2

Now all constraints are

Session 1 p.5/27

Equivalent Forms of LPs (3)


3. Replace variables x by y z , where y , z are vectors of
fresh variables, and add constraints y 0, z 0
min cT x
Ax b

min cT y cT z
=

Ay Az b
y, z 0

Now all constraints are and all variables have to be 0

Session 1 p.6/27

Equivalent Forms of LPs (4)


4. Add a slack variable to each constraint to convert it
into =
min cT x

min cT x
Ax b
x0

Ax + s = b
x, s 0

Now all constraints are = and all variables have to be 0

Session 1 p.7/27

Equivalent Forms of LPs (5)


Example:
min x 2y

min x 2y
x+y 3
0x2
0y2

x + y + s1 = 3
=

x + s2 = 2
y + s3 = 2
x, y, s1 , s2 , s3 0

Session 1 p.8/27

Equivalent Forms of LPs (6)


In the end we get
min cT x
Ax = b
x0
c Rn , b Rm , A Rnm , n m, rank(A) = m

These transformations are not strictly necessary


(they increase no. of constraints and variables),
but are convenient in a first formulation of the algorithms
Often variables are identified with columns of the matrix,
and constraints are identified with rows
Session 1 p.9/27

Methods for Solving LPs


Simplex algorithms
Interior-point algorithms

Session 1 p.10/27

Methods for Solving LPs


Simplex algorithms
Interior-point algorithms

Session 1 p.10/27

Basic Definitions (1)


min cT x
Ax = b
x0

Any vector x such that Ax = b is called a solution


A solution x satisfying x 0 is called a feasible solution
An LP with feasible solutions is called feasible;
otherwise it is called infeasible
A feasible solution x is called optimal
if cT x cT x for all feasible solution x
A feasible LP with no optimal solution is unbounded
Session 1 p.11/27

Basic Definitions (2)


min x 2y
x + y + s1 = 3
x + s2 = 2
y + s3 = 2
x, y, s1 , s2 , s3 0
(x, y, s1 , s2 , s3 ) = (1, 1, 5, 3, 3) is solution but not feasible
(x, y, s1 , s2 , s3 ) = (1, 1, 1, 1, 1) is a feasible solution

Session 1 p.12/27

Basic Definitions (3)


min x y
x + y + s1 =
x + s2 = 2
y + s3 = 2
x, y, s1 , s2 , s3 0

If = 1 the LP is not feasible


If = 3, = 2 then
(x, y, s1 , s2 , s3 ) = (1, 2, 0, 1, 0) is the only optimal solution

There may be more than one optimal solution:


If = 3 and = 1 then
{(1, 2, 0, 1, 0), (2, 1, 0, 0, 1), ( 32 , 23 , 0, 12 , 21 )} are optimal
Session 1 p.13/27

Basic Definitions (4)


y
min x 2y
min x y

y2

x+y 3

(1, 2)
(2, 1)

x0
y0

x2
x

Session 1 p.14/27

Basic Definitions (5)


y
y2

min x + 2y

x+y 3

x+y 3
0x2
y2

x0

x2
x

Unbounded LP

min x + 2y

Session 1 p.15/27

Basic Definitions (6)


y
min x 2y

min x 2y
y2

x+y 3
0x2

(1, 2)

x+y 3

y2

LP is bounded,
but set of feasible
solutions is not

x0

x2
x

Session 1 p.16/27

Bases (1)
Let us denote by a1 , ..., an the columns of A
A matrix of m columns (ak1 , ..., akm ) is a basis
if the columns are linearly independent
If (ak1 , ..., akm ) is a basis,
then the variables (xk1 , ..., xkm ) are called basic
We usually denote
by B the list of indices (k1 , ..., km ), and
by R the list of indices (1, 2, ..., n) B; and
by B the matrix (ai | i B), and
by R the matrix (ai | i R)
xB the basic variables, xR the non-basic ones
Session 1 p.17/27

Bases (2)
min x 2y

x + y + s1 = 3
x + s2 = 2
y + s3 = 2
x, y, s1 , s2 , s3 0

1 1 1 0 0

A= 1 0 0 1 0
0 1 0 0 1

(s1 , s2 , x) do not form a basis


(s1 , s2 , s3 ) form a basis, where xB = (s1 , s2 , s3 ), xR = (x, y)

1 0 0

B= 0 1 0
0 0 1

1 1

R= 1 0
0 1

Session 1 p.18/27

Bases (3)
If B is a basis, then the following holds
BxB + RxR = b

Hence:
xB = B 1 b B 1 RxR

Non-basic variables determine values of basic ones


If non-basic variables are set to 0, we get the solution
xR = 0, xB = B 1 b

Such a solution is called a basic solution


If a basic solution satisfies xB 0 then it is called a
basic feasible solution, and the basis is feasible
Session 1 p.19/27

Bases (4)
Basis (s1 , s2 , s3 ) is feasible
min x 2y
x + y + s1 = 3
x + s2 = 2
y + s3 = 2
x, y, s1 , s2 , s3 0

s1 = 3 x y
s2 = 2 x

s3 = 2 y

1 0 0

B= 0 1 0
0 0 1


B = 2
2

1 1

R= 1 0
0 1

R =

0
0

Session 1 p.20/27

Bases (5)
Basis (x, y, s1 ) is not feasible
min x 2y
x + y + s1 = 3
x + s2 = 2
y + s3 = 2
x, y, s1 , s2 , s3 0

x = 2 s2
y = 2 s3

s1 = 1 + s2 + s3

1 1 1

B= 1 0 0
0 1 0

B = 2
1

0 0

R= 1 0
0 1

R =

0
0

Session 1 p.21/27

Bases (6)
A basis is called degenerate when at least one component
of its basic solution xB is null
min x 2y

x + y + s1 = 4
x + s2 = 2
y + s3 = 2
x, y, s1 , s2 , s3 0

1 1 0

R= 0 0
0 1

B= 1 0 1
0 1 0

x = 2 + s3 s1
y = 2 s3

s =s s
2
1
3

1 0


B = 2
0

Session 1 p.22/27

Geometry of LPs (1)


Set of feasible solutions of a LP is a convex polyhedron
Basic feasible solutions are
vertices of the convex polyhedron

Session 1 p.23/27

Geometry of LPs (2)


min x 2y
x + y + s1 = 3
x + s2 = 2
y + s3 = 2
x, y, s1 , s2 , s3 0

y
y2
(0, 2) 1

x+y 3

xB1 = (y, s1 , s2 )
xB2 = (x, y, s2 )
xB3 = (x, y, s3 )
xB4 = (x, s1 , s3 )

(1, 2)

(2, 1)

x0

x2
5

(0, 0)

y0

(2, 0)

xB5 = (s1 , s2 , s3 )
Session 1 p.24/27

Geometry of LPs (3)


Th. (Minkowski-Weyl)
Let P be a LP.
A point x is a feasible solution to P
iff
there exist basic feasible solutions v1 , ..., vr Rn and
vectors r1 , ..., rs Rn such that
x=

r
X

i v i +

i=1

for certain i , j such that

s
X

j rj

j=1

Pr

i=1 i

= 1 and i , j 0.
Session 1 p.25/27

Possible Outcomes of a LP (1)


Th. (Fundamental Theorem of Linear Programming)
Let P be a LP.
Then exactly one of the following holds:
1. P is infeasible
2. P is unbounded
3. P has an optimal basic feasible solution
It is sufficient to investigate basic feasible solutions!

Session 1 p.26/27

Possible Outcomes of a LP (2)


Proof: Assume P feasible and with optimal solution x .
By Minkowski-Weyl theorem, we can write
Ps
Pr
T
T
T
c x =

where

Pr

i=1 i

i=1 i c

vi +

j=1 j c

rj

= 1 and i , j 0.

If there is j such that cT rj < 0 then objective value


can be decreased by taking j larger. Contradiction!
Otherwise cT rj 0 for all j . Assume cT x < cT vi for all i.
Pr
Pr
T
T
T
T
c x

i=1 i c

vi >

i=1 i c

x =c x

Contradiction! Thus there is i such that cT x cT vi ;


in fact, cT x = cT vi by the optimality of x .

Session 1 p.27/27

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