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Lecture 3

The document summarizes key concepts in linear programming (LP) geometry including: 1. The feasible domain of an LP is a polyhedral set defined by the intersection of half-spaces. 2. Extreme points of the feasible set are important as any feasible point can be expressed as a convex combination of the extreme points. 3. The fundamental theorem of LP states that if the feasible set is nonempty, the optimal solution is either unbounded or achieved at an extreme point.

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Huo Zimu
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8 views

Lecture 3

The document summarizes key concepts in linear programming (LP) geometry including: 1. The feasible domain of an LP is a polyhedral set defined by the intersection of half-spaces. 2. Extreme points of the feasible set are important as any feasible point can be expressed as a convex combination of the extreme points. 3. The fundamental theorem of LP states that if the feasible set is nonempty, the optimal solution is either unbounded or achieved at an extreme point.

Uploaded by

Huo Zimu
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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LECTURE 3:

GEOMETRY OF LP
1. Terminologies
2. Background knowledge
3. Graphic method
4. Fundamental theorem of LP
Terminologies
• Baseline model:

• Feasible domain

• Feasible solution

• Consistency
Terminologies
• Bounded feasible domain:

In this case, we say “LP has bounded feasible domain.”


• Bounded LP:

• Question:
Terminologies
• Optimal solution:
x* is an optimal solution if

• Optimal solution set

• We say
Background knowledge
• Observation 1: each equality constraint in the standard
form LP is a “hyperplane” in the solution space.

- What does the equation represent


in the 2-d Euclidean space?

Definition:
Hyperplane
• Geometric representation
Properties of hyperplanes
• Property 1: The normal vector a is orthogonal to all
vectors in the hyperplane H.

• Proof:
Properties of hyperplane
• Property 2: The normal vector is directed toward the
upper half space.

• Proof:
Properties of feasible solution set
• Definition:
A polyhedral set or polyhedron is a set formed by the
intersection of a finite number of a closed half spaces.
If it is nonempty and bounded, it is a polytope.

• Property 3:
The feasible domain of a standard form LP

is a polyhedral set.
Properties of optimal solutions
• Property 4:
Example
• Give the following LP

• Covert to standard form


Graphic Solution
Graphic Method
Pros and Cons
• Advantages:

- Geometrically simple.

• Disadvantages

- Algebraically difficult
How many vertices are there?
How to identify each vertex?
Any better way?
• Simplex method

A way to generate and manage the vertices of the


feasible solution set, which is a polyhedral set.
Background knowledge
• Definition: Let , and

we say x is a linear combination of .


• If , we say x is an affine combination of .

• If , we say x is a conic combination of .

• If , we say x is a convex combination of


.
Sets generated by different combinations
of two points
Affine set, convex set, and cone
• Definition: Let S be a subset of .

If the affine combination of any two points of S falls in S,


then S is an affine set.

If the convex combination of any two points of S falls in S,


then S is a convex set.

If for all and , then S is a cone.


Example
• Which one is convex? Which one is affine?
Example
• What’s the geometric meaning of the feasible domain ?

1. P is a polyhedral set.
2. P is a convex set.
3. P is the intersection of m hyperplanes and the cone of
the first orthant.
4. “Ax = b and x 0” means that the rhs vector b falls in the
cone generated by the columns of constraint matrix A.
Example - continue
5. Actually, the set

is a convex cone generated by the columns of matrix A.


Interior and boundary points
• Given a set, what’s the difference between
an interior point and a boundary point?

• Definition: Given a set , a point


is an interior point of S, if ,
the ball

Otherwise, x is a boundary point of S.


• We denote that
Boundary points of convex sets
• What’s special about boundary points of a convex set?
• Separation Theorem:
Question
• Can you now see that if an LP (in two or three
dimensions) has a finite optimal solution, then one vertex
of P is optimal ?

• Hint: Consider the supporting hyperplane

• How about higher dimensional case?


- This leads to the Fundamental Theorem of LP.
Are all boundary points the same?

• Some sits on the shoulders of others, and some don’t.


• Definition: x is an extreme point of a convex set S if
x cannot be expressed as a convex combination of
other points in S.
Geometrical meaning of extreme points
• Definition:

• Theorem:
Representation of extreme points
• For the feasible domain P of an LP, its vertices are the
extreme points. How can we take this advantage to
generate and manage all vertices?
Learning from example
What’s special?
• Vertices

• Edge Interior
Observations
• Ax = b has n variables in m linear equations.

• When n > m , we only need to consider m variables in m


equations for solving a system of linear equations.

• An extreme point of P is obtained by setting n - m


variables to be zero and solving the remaining m
variables in m equations.

• the columns of A corresponding to the non-zero (positive)


variables better be linear independent!
Example
• System of equations

• Linear independence of the columns


Finding extreme points
• Theorem:
A point x is an extreme point
of P if and only if the columns of A corresponding to the
positive components of x are linearly independent.
• Proof:
Without loss of generality, we may assume that the first p
components of x are positive and rest are zero, i.e.,
Proof - continue
Proof - continue
Managing extreme points algebraically
• Let A be an m by n matrix with , we say A has full
rank (full row rank) if A has m linearly independent
columns.
• In this, we can rearrange

• Definition: (basic solution and basic feasible solution)


Example of basic and basic feasible
solutions
Further results
• Observation: When A does not have full rank, then either
(1) Ax = b has no solution and hence , or
(2) some constraints are redundant.
For the second case, after removing the redundant constraints, new A has full rank.

• Corollary: A point x in P is an extreme point of P if and


only if x is a bfs corresponding to some basis B.

• Corollary: The polyhedron P has only a finite number of


extreme points.
Are there many vertices for LP?
• Yes!

• This is not a small number, when n and m become


large. Please try it out by taking n = 100 and m = 50.
What do extreme points bring us?
• Observation:
When
is a nonempty polytope, then
any point in P can be represented
as a convex combination of the
extreme points of P.

Question: Can it be more general?


Extremal direction for unboundedness
• When P is unbounded, we need a direction leading to
infinity.

• Definition:
• A vector is an
extremal direction of P, if

for all ..
• Observations:
Resolution theorem
• Theorem:

• We can also write


s d, for some s .
Implications of resolution theorem
• Corollary:
If P is bounded (a polytope) , then any x in P can be
expressed as a convex combination of its extreme points.

• Corollary:
If P is nonempty, then it has at leas one extreme point.

Note that s d implies that the objective value


of x is determined by the objective values of extreme points
and extremal direction.
Fundamental theorem of LP
• Theorem: For a standard form LP, if its feasible domain P
is nonempty, then the optimal objective value of
is either unbounded below, or it is attained
at (at least) an extreme point of P.

• Proof:
By the resolution theorem, there are two cases:
Case 1:
Proof - continue
• Case 2:

• In both cases,

Hence the minimum of z is attained at one extreme point!

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