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Introduction To Mathematical Programming IE406: Dr. Ted Ralphs

This document provides an introduction and overview of key concepts in mathematical programming for an optimization lecture. It defines important terms like polyhedra, convex sets, extreme points, and vertices. It also reviews relevant linear algebra concepts such as subspaces, bases, and matrix properties. The document demonstrates how to prove basic properties of convex sets and provides examples of proof techniques for mathematical statements.

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Gustavo G Borzellino C
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64 views19 pages

Introduction To Mathematical Programming IE406: Dr. Ted Ralphs

This document provides an introduction and overview of key concepts in mathematical programming for an optimization lecture. It defines important terms like polyhedra, convex sets, extreme points, and vertices. It also reviews relevant linear algebra concepts such as subspaces, bases, and matrix properties. The document demonstrates how to prove basic properties of convex sets and provides examples of proof techniques for mathematical statements.

Uploaded by

Gustavo G Borzellino C
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
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Introduction to Mathematical Programming

IE406

Lecture 3

Dr. Ted Ralphs


IE406 Lecture 3 1

Reading for This Lecture

• Bertsimas 2.1-2.2
IE406 Lecture 3 2

From Last Time

• Recall the Two Crude Petroleum example.


• In the example, the optimal solution was a “corner point.”
• We saw that the following are possible outcomes of solving an
optimization problem:
–
–
–
–
• In fact, we will see that these are the only possibilities.
• We will also see that when there is an optimal solution and at least one
“corner point,” there is an optimal solution that is a “corner point.”
IE406 Lecture 3 3

Some Definitions

Definition 1. A polyhedron is a set of the form {x ∈ Rn|Ax ≥ b}, where


A ∈ Rm×n and b ∈ Rm.

Definition 2. A set S ⊂ Rn is bounded if there exists a constant K such


that |xi| < K ∀x ∈ S, ∀i ∈ [1, n].

Definition 3. Let a ∈ Rn and b ∈ R be given.

• The set {x ∈ Rn|a>x = b} is called a hyperplane.


• The set {x ∈ Rn|a>x ≥ b} is called a half-space.

Notes:
IE406 Lecture 3 4

Convex Sets

Definition 4. A set S ⊆ Rn is convex if ∀x, y ∈ S and λ ∈ R with


0 ≤ λ ≤ 1, we have λx + (1 − λ)y ∈ S.

Definition 5. Let x1, . . . , xk ∈ Rn and λ ∈ Rk be given such that


λ>1 = 1.
Pk i
• The vector i=1 λi x is said to be a convex combination of x1, . . . , xk .
• The convex hull of x1, . . . , xk is the set of all convex combinations of
these vectors.

Notes:
IE406 Lecture 3 5

Properties of Convex Sets


The following properties can be derived from the definitions:

• The intersection of convex sets is convex.


• Every polyhedron is a convex set.
• The convex combination of a finite number of elements of a convex set
also belongs to the set.
• The convex hull of a finite number of vectors is a convex set.

How do we prove each of these?


IE406 Lecture 3 6

Aside: Mathematical Proofs

• A mathematical proof shows the correctness of a given statement based


on known definitions, axioms, and previously proven statements.
• Most proofs are for statements of the form A ⇒ B where A and B are
both statements.
• Example: “If x > 2 is a real number, then there exists a real number
2y
y < 0 such that x = 1+y ”.
• Proof:

• What are A and B in this example?


IE406 Lecture 3 7

Mathematical Proofs: Quantifying Variables

• Quantifying is specifying from which set and for which values of a variable
a statement is true.
• Example: “For all real numbers x and y, (x + y)2 = x2 + 2xy + y 2.”
• This specifies that x and y can have any real value.
• Example: “For all real numbers x ≥ 0, x = |x|.”
• This specifies that the statement is true for nonnegative values of x.
IE406 Lecture 3 8

Mathematical Proofs: Types of Quantifiers

• Universal Quantifiers
– Statements that include “for all” or “for every.”
–
– Example: “For all real numbers x, cos2x + sin2x = 1.”
• Existential Quantifiers
– Statements that include “there exists” or “there is.”
–
– Example: “For every real number 0 ≤ x ≤ 1, there exists a real
number 0 ≤ y ≤ π2 such that sin(y) = x.”
• Notation: ∀ means “for all” and ∃ means “there exists”.
π
• Example: “∀x ∈ R such that 0 ≤ x ≤ 1, ∃y ∈ R such that 0 ≤ y ≤ 2
and sin(y) = x.”
IE406 Lecture 3 9

Mathematical Proofs: Proofs with Universal Quantifiers

• To prove something about a universally quantified statement, first let an


arbitrary set element be given.
• Example: “If C ∈ Rn×n and det(C) 6= 0, then ∃C −1 ∈ Rn×n such that
CC −1 = I.”
• Start of Proof: “Let an arbitrary matrix C ∈ Rn×n be given such that
det(C) 6= 0...”
• Now prove that statement is true for the given element.
• Since the element was arbitrary, this proves the original statement.
IE406 Lecture 3 10

Mathematical Proofs: Proofs with Existential Quantifiers

• If you are trying to prove something about an existentially quantified


variable, the proof is often constructive.
• The proof gives a technique for constructing an element of the set with
the given property.
• Example: “If C ∈ Rn×n and det(C) 6= 0, then ∃C −1 ∈ Rn×n such that
CC −1 = I.”
• Proof Technique: Construct C −1.
IE406 Lecture 3 11

Mathematical Proofs: Choosing an Element

• If you know from a previous theorem that an element of a set with a


particular property exists, then you may “choose” it.
• Example: “Let r, a positive rational number be given. Then we may
choose natural numbers p and q such that r = pq .”
• This can be especially useful in constructive proofs.
IE406 Lecture 3 12

Mathematical Proofs: Proof Techniques

• Prove the contrapositive.


• Proof by contradiction.
• Proof by induction.
• Proof by cases.
• Other types of proofs
– Uniqueness proofs.
– Either/or proofs.
– If and only if proofs.
IE406 Lecture 3 13

Back to Our Story


Let’s prove the following:

Proposition 1. The intersection of convex sets is convex.

Proof:

Proposition 2. Every polyhedron is convex.

Proof:
IE406 Lecture 3 14

Extreme Points and Vertices


Let P ⊆ Rn be a given polyhedron.

Definition 6. A vector x ∈ P is an extreme point of P if 6 ∃y, z ∈ P, λ ∈


(0, 1) such that x = λy + (1 − λ)z.

Definition 7. A vector x ∈ P is a vertex of P if ∃c ∈ Rn such that


c>x < c>y ∀y ∈ P, x 6= y.

Notes:
IE406 Lecture 3 15

A Little Linear Algebra Review

Definition 8. A finite collection ofPvectors x1, . . . , xk ∈ Rn is linearly


k
independent if the unique solution to i=1 λixi = 0 is λi = 0, i = 1, . . . , k.
Otherwise, the vectors are linearly dependent.

Let A be a square matrix. Then, the following statements are equivalent:

• The matrix A is invertible.


• The matrix A> is invertible.
• The determinant of A is nonzero.
• The rows of A are linearly independent.
• The columns of A are linearly independent.
• For every vector b, the system Ax = b has a unique solution.
• There exists some vector b for which the system Ax = b has a unique
solution.
IE406 Lecture 3 16

A Little More Linear Algebra Review

Definition 9. A nonempty subset S ⊆ Rn is called a subspace if αx+γy ∈


S ∀x, y ∈ S and ∀α, γ ∈ R.

a collection of vectors x1, . . . , xk ∈


Definition 10. A linear combination ofP
k
Rn is any vector y ∈ Rn such that y = i=1 λixi for some λ ∈ Rk .

Definition 11. The span of a collection of vectors x1, . . . , xk ∈ Rn is the


set of all linear combinations of those vectors.

Definition 12. Given a subspace S ⊆ Rn, a collection of linearly


independent vectors whose span is S is called a basis of S. The number of
vectors in the basis is the dimension of the subspace.
IE406 Lecture 3 17

Subspaces and Bases

• A given subspace has an infinite number of bases.


• Each basis has the same number of vectors in it.
• If S and T are subspaces such that S ⊂ T ⊂ Rn, then a basis of S can
be extended to a basis of T .
• The span of the columns of a matrix A is a subspace called the column
space or the range, denoted range(A).
• The span of the rows of a matrix A is a subspace called the row space.
• The dimensions of the column space and row space are always equal.
We call this number rank(A).
• Clearly, rank(A) ≤ min{m, n}. If rank(A) = min{m, n}, then A is
said have full rank.
• The set {x ∈ Rn|Ax = 0} is called the null space of A (denoted null(A))
and has dimension n − rank(A).
IE406 Lecture 3 18

Some Conventions
If not otherwise stated, the following conventions will be followed for lecture
slides during the course:

• P will denote a polyhedron contained in Rn.


• A will denote a matrix of dimension m by n.
• b will denote a vector of dimension m.
• x will denote a vector of dimension n.
• c will denote a vector of dimension n.
• P will either be defined in standard form ({x ∈ Rn|Ax = b, x ≥ 0}) or
inequality form ({x ∈ Rn|Ax ≥ b}).
• We will usually be minimizing.

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