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Linear Programs in Standard Form

The document discusses linear programs (LPs) in standard form. It defines the requirements for an LP to be in standard form, including minimizing a linear objective function, having only linear equality constraints, non-negative constraint right-hand sides, and non-negative decision variables. It also presents the standard form of an LP using matrix notation. Finally, it describes how to transform general LPs that are not initially in standard form, such as those with inequality constraints, negative right-hand sides, or free variables, into equivalent standard form LPs.

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139 views16 pages

Linear Programs in Standard Form

The document discusses linear programs (LPs) in standard form. It defines the requirements for an LP to be in standard form, including minimizing a linear objective function, having only linear equality constraints, non-negative constraint right-hand sides, and non-negative decision variables. It also presents the standard form of an LP using matrix notation. Finally, it describes how to transform general LPs that are not initially in standard form, such as those with inequality constraints, negative right-hand sides, or free variables, into equivalent standard form LPs.

Uploaded by

Steve Yeo
Copyright
© © All Rights Reserved
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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FOUNDATIONS OF OPTIMIZATION: IE6001

Linear Programs in Standard Form

Napat Rujeerapaiboon
Semester I, AY2019/2020
LPs in Standard Form

• We want to use computers to solve LP problems


⇒ We need a standardised specification of LP problems

INPUT: OUTPUT:
LP in Optimal Value &
Standard Form Optimal Solution

Definition: An LP is in standard form if:


• The aim is to minimize a linear objective function;
• All constraints are linear equality constraints;
• All constraint right hand sides are non-negative;
• All decision variables are non-negative.
LPs in Standard Form

An LP in standard form looks as follows:


minimize c1 x1 + c2 x2 + ... + cn xn
subject to a11 x1 + a12 x2 + ... + a1n xn = b1
a21 x1 + a22 x2 + ... + a2n xn = b2
.. .. .. ..
. . . .
am1 x1 + am2 x2 + . . . + amn xn = bm

x1 ≥ 0, x2 ≥ 0, . . . , xn ≥ 0

The input parameters bi , cj , and aij are fixed real constants that
encode the LP problem. We require bi ≥ 0 ∀i = 1, . . . , m. (The
decision variables xi , i = 1, . . . , n, are yet to be found.)
Compact Notation

Collect the input parameters in vectors and matrices:


 
a11 a12 . . . a1n
 a21 a22 . . . a2n 
A= .
 
.. .. .. 
 .. . . . 
am1 am2 . . . amn
     
b1 x1 c1
 b2   x2   c2 
b=  x =  c=
     
.. .. .. 
 .   .   . 
bm xn cn
c T = [c1 , c2 , . . . , cn ]
LPs in Standard Form (cont)

• With matrix notation, the LP in standard form reduces to

minimize c T x
subject to Ax = b
x ≥ 0,

where b ≥ 0.

• Inequalities of the type x ≥ 0 are understood to hold


componentwise.
Standardising General LPs

• General LP problems can


• be maximization (instead of minimization) problems;
• have inequality (instead of equality) constraints;
• have equality constrains with negative (instead of
non-negative) right hand sides;
• have free (instead of non-negative) decision variables.
• These general LPs can be transformed to standard LPs in
a systematic way.
Maximization → Minimization

 
max f (x) − min −f (x)
=
s.t. x ∈ X s.t. x ∈X
Inverting the objective preserves the optimal solution x ∗

-f(x)

min -f(x)
x* x*
X X
max f(x) - min -f(x)

f(x)
≤ Inequalities → Equalities

minimize c1 x1 + c2 x2 + . . . + cn xn

subject to:

a11 x1 + a12 x2 + ... + a1n xn ≤ b1


a21 x1 + a22 x2 + ... + a2n xn ≤ b2
.. .. .. ..
. . . .
am1 x1 + am2 x2 + . . . + amn xn ≤ bm

and

x1 ≥ 0, x2 ≥ 0, . . . , xn ≥ 0
≤ Inequalities → Equalities

minimize c1 x1 + c2 x2 + . . . + cn xn

subject to:

a11 x1 + a12 x2 + ... + a1n xn + y1 = b1


a21 x1 + a22 x2 + ... + a2n xn + y2 = b2
.. .. .. ..
. . . .
am1 x1 + am2 x2 + . . . + amn xn + ym = bm

and

x1 ≥ 0, x2 ≥ 0, . . . , xn ≥ 0, y1 ≥ 0, y2 ≥ 0, . . . , ym ≥ 0
Slack Variables

• To reformulate ≤ inequalities as equalities, we introduced


m slack variables
• Original variables: x1 , x2 , . . . ,xn
• Slack variables: y1 , y2 , . . . ,ym
⇒ After transformation, LP has n + m variables!
• With matrix notation we can write

min c T x  min c T x
 

s.t. Ax ≤ b = s.t. Ax + y = b
x ≥0 x ≥ 0, y ≥ 0,
 

where y = (y1 , . . . , ym )T .
≥ Inequalities → Equalities

minimize c1 x1 + c2 x2 + . . . + cn xn

subject to:

a11 x1 + a12 x2 + ... + a1n xn ≥ b1


a21 x1 + a22 x2 + ... + a2n xn ≥ b2
.. .. .. ..
. . . .
am1 x1 + am2 x2 + . . . + amn xn ≥ bm

and

x1 ≥ 0, x2 ≥ 0, . . . , xn ≥ 0
≥ Inequalities → Equalities

minimize c1 x1 + c2 x2 + . . . + cn xn

subject to:

a11 x1 + a12 x2 + ... + a1n xn − y1 = b1


a21 x1 + a22 x2 + ... + a2n xn − y2 = b2
.. .. .. ..
. . . .
am1 x1 + am2 x2 + . . . + amn xn − ym = bm

and

x1 ≥ 0, x2 ≥ 0, . . . , xn ≥ 0, y1 ≥ 0, y2 ≥ 0, . . . , ym ≥ 0
Surplus Variables

• To reformulate ≥ inequalities as equalities, we introduced


m surplus variables
• Original variables: x1 , x2 , . . . ,xn
• Surplus variables: y1 , y2 , . . . ,ym
⇒ After transformation, LP has n + m variables!
• With matrix notation we can write

min c T x  min c T x
 

s.t. Ax ≥ b = s.t. Ax − y = b
x ≥0 x ≥ 0, y ≥ 0,
 

where y = (y1 , . . . , ym )T .
Negative Right Hand Sides

• If the right hand side of the ith constraint is negative, i.e., if


bi < 0 in
ai1 x1 + ai2 x2 + . . . + ain xn = bi ,
then this constraint should be multiplied by −1.
• This yields

(−ai1 )x1 + (−ai2 )x2 + . . . + (−ain )xn = −bi .

• The new constraint has a non-negative right hand side,


i.e., we have −bi ≥ 0.
Free Variables (1st Approach)

• Free variables:
• Suppose there is no constraint xj ≥ 0,i.e., xj can be positive
or negative.
• Substitute xj = xj+ − xj− with xj+ , xj− ≥ 0.
• The LP has now (n + 1) variables:

x1 , . . . , xj−1 , xj+ , xj− , xj+1 , . . . , xn


Free Variables (2nd Approach)

• Free variables:
• Suppose there is no constraint xj ≥ 0,i.e., xj can be positive
or negative.
• Any equality constraint involving xj can be used to eliminate
xj .
• Example: x1 is free

min x1 + 3x2 + 4x3 
  min x2 + 3x3 + 5


s.t. x1 + 2x2 + x3 = 5 (∗)
= s.t. x2 + x3 = 4
2x1 + 3x2 + x3 = 6 
x2 , x3 ≥ 0
 
x2 , x3 ≥ 0

Use (∗) to substitute x1 = 5 − 2x2 − x3 .

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