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Mathematical programming

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3 visualizzazioni18 pagineMathematical programming

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Books

There is no single course text, but there are many useful books, some more

mathematical, others written at a more applied level. A selection is as follows:

Bazaraa, Jarvis and Sherali.

Linear Programming and Network Flows. Wiley, 2nd Ed. 1990

A solid reference text.

Christos Papadimitriou and Kenneth Steiglitz

Combinatorial Optimization: Algorithms and Complexity. Dover, 1998.

Recommended - good value.

Gass, Saul I.

Linear Programming: Methods and Applications, 5th edition. Thomson,1985.

Dantzig, George B.

Linear Programming and Extensions, Princeton University Press, 1963.

The most widely cited early textbook in the eld.

Chvatal, V.,

Linear Programming, Freeman, 1983.

Luenberger, D.

Introduction to Linear and Nonlinear Programming, Addison Wesley, 1984.

Wolsey, Laurence A.

Integer programming, Wiley, 1998.

Taha, H.

Operations Research: An Introduction Prentice-Hall, 7th Ed. 2003.

(More applied, many examples)

Winston, Wayne

Operations Research Applications & Algorithms, Duxbury Press, 1997

(Totally applied)

Useful websites

1. FAQ page at Optimization Technology Center

Northwestern University and Argonne National Laboratory

http://www-unix.mcs.anl.gov/otc/Guide/faq/linear-programming-faq.html

2. My notes are currently at:

http://www.maths.man.ac.uk/~mkt/new_teaching.htm

1

1. Introduction

Denition

A linear programming problem (or LP) is the optimization (maximization

or minimization) of a linear function of n real variables subject to a set of linear

constraints.

Example 1.1

The following is a LP problem in n = 2 non-negative variables x

1

; x

2

:

maximize x

1

+3x

2

O.F.

subject to x

1

+x

2

_ 6 Constraint 1

x

1

+2x

2

_ 8 Constraint 2

x

1;

x

2

_ 0 Non-negativity

The variables x

1

; x

2

are the decision variables which can be represented

as a vector x in the positive quadrant of a real 2D space R

2

. The function

f (x

1

; x

2

) = x

1

+ 3x

2

we wish to maximize is known as the objective function

(OF) and represents the value of a particular choice of x

1

and x

2

.

The two inequalities that have to be satised by a feasible solution to our

problem are known as the LP constraints. Finally, the constraints x

1

; x

2

_ 0

represent non-negativity of the problem variables. The set of x-values, i.e. all

pairs (x

1

; x

2

), satisfying all the constraints is a subset S R

2

known as the

LPs feasible region.

For minimization problems, the value of the OF is required to be as small as

possible and f (x

1

; x

2

) = f (x) is often referred to as a cost function. Sometimes

we denote the objective function by z (x) or z (x).

Notes

Graphical solution of this example (which will be covered in lectures) is

only possible for problems in two variables.

Finding the maximum of z (x) is equivalent to nding the minimum of

z (x) so we can, for theoretical purposes and without loss of general-

ity (w.l.o.g.), consider either max or min problems only. Any additive

constant in z (x) can also be ignored.

A problem with a variable x that can take positive or negative values

(known as free or unrestricted in sign (u.r.s.) variables) can easily be

incorporated into a LP by dening x = u v with u; v _ 0:

LP problems are commonly formulated with a mixture of _ , _ and =

constraints.

2

Example 1.2

A rm manufactures two products A and B.

To produce each product requires a certain amount of processing on each of

three machines I, II, III.

The processing time (hours) per unit production of A,B are as given in the

table

I II III

A 0.5 0.4 0.2

B 0.25 0.3 0.4

The total available production time of the machines I, II, III is 40 hours, 36

hours and 30 hours respectively, each week.

If the unit prot from A and B is $5 and $3 respectively, determine the

weekly production of A and B which will maximize the rms prot.

Formulation:

Let x

1

be the no. of item A to produce per week

Let x

2

be the no. of items of B to produce per week

Producing x

1

units of Product A consumes 0:5x

1

hours on machine I and

contributes 5x

1

towards prot.

Producing x

2

items of Product B requires in addition 0:25x

2

hours on ma-

chine I and contributes 3x

2

towards prot.

The following formulation seeks to maximize prot:

Maximize 5x

1

+ 3x

2

(Objective Function)

subject to

0:5x

1

+ 0:25x

2

_ 40 Constraints

0:4x

1

+ 0:3x

2

_ 36 ...

0:2x

1

+ 0:4x

2

_ 30 ...

x

1

; x

2

_ 0 Non-negativity

This is an optimization problem in 2 non-negative decision variables x

1

; x

2

(the unknowns) and 3 constraints (not counting the non-negativity constraints).

More generally, notice that each constraint row can be regarded as a re-

source constraint. The solution to the LP in this case tells us how best to use

scarce resources. Examples of resources that often vary linearly with amounts

of production are manpower, materials, time.

3

Example 1.3 (The diet problem)

How to optimize the choice of n foods (e.g. animal feed) when each food has

some of each of m nutrients?

Suppose

a

ij

= amount of i

th

nutrient in a unit of j

th

food,

i = 1; :::; m j = 1; :::; n

r

i

= yearly requirement of the i

th

nutrient,

i = 1; :::; m

x

j

= yearly consumption of the j

th

food,

j = 1; :::; n

c

j

= cost per unit of the i

th

food,

j = 1; :::; n:

We seek the "best" yearly diet represented by a vector x _ 0 that satises

the nutritional requirement

Ax _ r

and interpret "best" as least cost

min c

T

x

s.t.

Ax _ r

x _ 0

1.1 Standard Form

For an LP in standard form, all the constraints are equalities.

(apart from non-negativity constraints)

Suppose there are m such equality constraints.

The LP can be a maximization (MAX) or a minimization (MIN) problem.

Let

x = (x

1

; :::; x

n

)

T

be n non-negative real variables.

c

T

= (c

1

; c

2

; :::; c

n

) be a set of real (OF) coecients

A = (a

ij

) be a mn matrix of real coecients

b = (b

1

; :::; b

m

) be a non-negative real r.h.s. vector

(sometimes called the requirements vector)

The general LP in standard form with n variables and m constraints

(MINimization form) is

4

Minimize c

1

x

1

+ c

2

x

2

+ ::: + c

n

x

n

_

=

n

j=1

c

j

x

j

_

subject to a

11

x

1

+ a

12

x

2

+ ::: + a

1n

x

n

= b

1

a

21

x

1

+ a

22

x

2

+ ::: + a

2n

x

n

= b

2

...

a

m1

x

1

+ a

m2

x

2

+ ::: + a

mn

x

n

= b

m

and x

1

; x

2

:::; x

n

_ 0

For mathematical convenience, note that

b

i

_ 0 for each i (as mentioned above)

rows of A will be assumed to be linearly independent

The last condition (a technicality) ensures for m _ n that a set of m linearly

independent columns of A can be found (known as a basis of R

m

).

Example 1.1 (contd.)

To convert this problem to standard form, we introduce two nonnegative

slack variables s

1

; s

2

and rewrite the set of constraints

x

1

+x

2

_ 6

x

1

+2x

2

_ 8

as

x

1

+x

2

+s

1

= 6

x

1

+2x

2

+s

2

= 8

where are equivalent since s

1

; s

2

_ 0. Notice that the problem dimensions are

changed to m = 2; n = 4:

1.2 Vector-matrix notation

We can write the LP (standard min/maximization form) concisely as

Min/max c

T

x

subject to Ax = b

x 0

(SF)

Note that x 0 is to be interpreted component-wise as each x

j

_ 0: Equiv-

alently,

Min/max

_

c

T

x j Ax = b; x 0

_

where

x = (x

1

; :::; x

n

)

T

is a column vector

c

T

= (c

1

; :::; c

n

) is a conformable row-vector.

Note: In the subsequent notes we will not always adhere strictly (pedanti-

cally) to bold face for matrices and vectors. Books also adopt dierent conven-

tions. Where confusion is unlikely we may also write x (the vector x) as a

5

row vector with or without a transpose sign. e.g. x = (1; 0; 3; 5) rather than

x

T

. Usually vectors are in lower case, the exception being A

j

to denote the j

th

column of the matrix A:

A =

_

_

_

_

_

a

11

a

12

: : : a

1n

a

21

a

22

: : : a

2n

.

.

.

.

.

.

a

m1

: : : : : : a

mn

_

_

_

_

_

and b =

_

_

_

_

_

b

1

b

2

.

.

.

b

m

_

_

_

_

_

.

Assumptions

We suppose that m _ n; in fact the rank of A is m (full row rank).

=The rows of A are linearly independent (no redundant constraints).

=It is possible to choose (usually in many ways) a subset of m linearly

independent columns of A; to form a basis.

B =

_

A

j(1)

; A

j(2)

; :::; A

j(m)

_

The matrix formed from these columns is called the basis matrix B:

1.3 Canonical form

In Example 1.1, the constraints are all in the same direction and the original

formulation may be written briey in canonical maximization form

maximize c

T

x

subject to Ax b

x 0

(CF1)

where x =

_

x

1

x

2

_

; c

T

=

_

1 3

_

A =

_

1 1

1 2

_

; b =

_

6

8

_

The problem

minimize c

T

x

subject to Ax b

x 0

(CF2)

(c.f. diet problem) is said to be in canonical minimization form.

Notice the direction of the constraint inequalities is determined by whether

we have a MAX or a MIN problem. (Intuitively) When maximizing remember

that we have a ceiling-type constraint and, when minimizing, a oor-type

constraint.

6

1.4 General LP problems

Any LP problem may be structured into either standard form (SF) or one of

the canonical forms (CF1) , (CF2)

Example 1.4

minimize x

1

2x

2

3x

3

subject to x

1

+2x

2

+x

3

_ 14

x

1

+2x

2

+4x

3

_ 12

x

1

x

2

+x

3

= 2

x

1;

x

2

u.r.s:

x

3

_ 3

a) Convert the LP to standard form

Let x

1

= u

1

v

1

; x

2

= u

2

v

2

; x

0

3

= (3 + x

3

) with x

0

3

_ 0 and u

j

; v

j

_ 0

(j = 1; 2)

1. Introduce a slack variable s

1

to Constraint 1

Introduce a surplus variable s

2

to Constraint 2

This results in

minimize u

1

v

1

2u

2

+2v

2

+3x

0

3

(+9)

subject to u

1

v

1

+2u

2

2v

2

x

0

3

+s

1

= 17

u

1

v

1

+2u

2

2v

2

4x

0

3

s

2

= 24

u

1

v

1

u

2

+v

2

x

0

3

= 5

u

1

; v

1

; u

2

; v

2

; x

0

3

; s

1

; s

2

_ 0

b) Obtain the canonical minimization form

To reverse the inequality in Constraint 1 we multiplied by -1.

Replace the equality a

T

3

x = b

3

in Constraint 3 by a

T

3

x _ b

3

and a

T

3

x _ b

3

then reverse the latter constraint by a sign change

minimize u

1

v

1

2u

2

+2v

2

+3x

0

3

subject to u

1

+v

1

2u

2

+2v

2

+x

0

3

_ 17

u

1

v

1

+2u

2

2v

2

4x

0

3

_ 24

u

1

v

1

u

2

+v

2

x

0

3

_ 5

u

1

+v

1

+u

2

v

2

+x

0

3

_ 5

u

1

; v

1

; u

2

; v

2

; x

0

3

_ 0

c) Convert the problem into a maximization

Change the objective function (OF) to maximize u

1

+v

1

+2u

2

2v

2

3x

0

3

7

2. Basic solution and extreme points

2.1 Basic solutions

The constraints of an LP in standard form are an underdetermined linear equa-

tion system

A x = b

mn n1 m1

with m < n: There are fewer equations than unknowns =an innite number

of solutions.

Denition

A solution x to (2.1) corresponding to some basis matrix B that is obtained

by setting nm remaining components of x to zero and solving for the remaining

m variables is known as a basic solution.

If, in addition, x 0 such a solution is said to be feasible for the LP.

If we assume (w.l.o.g) that the entries of A; x and b are integers, we can

bound from above the absolute value of the components of any basic solution.

Lemma

(c.f. Papadimitriou & Steiglitz, p.30)

Let x = (x

1

; :::; x

n

) be a basic solution. Then

[x

j

[ _ m!

m1

where

= max

i;j

[a

ij

[

= max

j=1;:::;m

[b

j

[

Proof

Trivial if x

j

is non-basic, since x

j

= 0:

For x

j

a basic variable, its value is the sum of products

m

j=1

b

ij

b

j

of elements of B

1

multiplied by elements of b:

Each element of B

1

is given by

B

1

=

Adj A

det A

8

Now [ det A[ is integer valued, therefore the denominator _ 1.

Adj A is the matrix of cofactors. Each cofactor is the determinant of

a.(m1) (m1) matrix, i.e. the sum of (m1)! products of m 1 ele-

ments of A:

Therefore each element of B

1

is bounded in modulus by

(m1)!

m1

Because each x

j

is the sum of m elements of B

1

multiplied by an element

of b

j

; we have

[x

j

[ _ m!

m1

as required.

Example 2.1

Consider the LP

min 2x

2

+ x

4

+ 5x

7

subject to

x

1

+ x

2

+ x

3

+ x

4

= 4

x

1

+ x

5

= 2

x

3

+ x

6

= 3

3x

2

+ x

3

+ x

7

= 6

x

1

; x

2

; x

3

; x

4

; x

5

; x

6

; x

7

_ 0

One basis is B =A

4

; A

5

; A

6

; A

7

; which corresponds to the matrix B = I:

the corresponding basic solution is

x = (0; 0; 0; 4; 2; 3; 6) :

Another basis corresponds to B

0

=A

2

; A

5

; A

6

; A

7

with basic solution

x

0

= (0; 4; 0; 0; 2; 3; 6) :

Note that x

0

is not a feasible solution, since x

0

7

< 0:

Remark: The basis feasible solutions (BFS) of an LP are precisely the

vertices or extreme points (EPs) of the feasible region. We will show that the

optimum (if it exists) is achieved at a vertex.

Let B be a mm non-singular submatrix of A (m columns of A).

Let x

B

denote the components of x corresponding to B and x

N

denote the

remaining nm (zero) components. For convenience of notation we may reorder

the columns of A so that the rst m columns relate to B and the remaining

columns to a m(n m) submatrix N.

Then

Ax =

_

B N

_

_

x

B

x

N

_

= Bx

B

+Nx

N

= b

9

Since x

N

= 0 for this basic solution x we obtain

Bx

B

= b

x

B

= B

1

b (2.2)

Denition:

A BFS (and the corresponding vertex) is called degenerate if it contains more

than n m zeros.

i.e.

Some component of x

B

is zero,== the basic solution is degenerate.

Lemma

If two distinct bases correspond to the same BFS x then then x is degenerate.

Proof

Suppose that B and B

0

both determine the same BFS x: Then x has zeros

in all the n m columns not in B: Some such column must belong to B

0

so x

is degenerate.

Example 2.2

Determine all the basic solutions to the system

x

1

+ x

2

_ 6

x

2

_ 3

x

1

; x

2

_ 0

Solution

Introduce slack variables s

1

; s

2

_ 0 to write the system in standard form

x

1

+x

2

+s

1

= 6

x

2

+s

2

= 3

or in matrix form (with m = 2; n = 4)

_

1 1 1 0

0 1 0 1

_

_

_

_

_

x

1

x

2

s

1

s

2

_

_

_

_

=

_

6

3

_

:

A x = b

(24) (41) (21)

Set n m = 2 variables to zero to obtain a basic solution if the resulting

B-matrix is invertible (so columns of B form a basis or minimal spanning set

of R

m

).

10

1. Set s

1

= s

2

= 0 then B =

_

1 1

0 1

_

and B

1

=

_

1 1

0 1

_

x

B

= B

1

b =

_

1 1

0 1

__

6

3

_

=

_

3

3

_

_ 0

x =

_

x

T

B

; x

T

N

_

= (3; 3; 0; 0)

T

is a BFS.

2. Set x

2

= s

1

= 0: B =

_

1 0

0 1

_

= I

2

= B

1

x

B

= B

1

b = b =

_

6

3

_

_ 0: so x = (6; 0; 0; 3)

T

is a BFS.

Continue to examine a total of

_

4

2

_

=

4!2!

2!

= 6 selections of basic variables.

We obtain (Ex.) the four BFSs

x

1

=

_

_

_

_

3

3

0

0

_

_

_

_

x

2

=

_

_

_

_

6

0

0

3

_

_

_

_

x

3

=

_

_

_

_

0

3

3

0

_

_

_

_

x

4

=

_

_

_

_

0

0

6

3

_

_

_

_

Ex. The corners or vertices of the feasible region in (x

1

; x

2

) space are (0; 0) ;

(0; 3) ; (6; 0) ; (3; 3) :

11

Theorem 1

(Existence of a Basic Feasible Solution)

Given a LP in standard form where A is (mn) of rank m

i) If there is a feasible solution there is a BFS

ii) If the LP has an optimal solution, there is an optimal BFS.

Proof

i) Let A be partitioned by columns as (A

1

[A

2

[:::[A

n

)

ie. A

j

denotes the j th column of A (an mvector)

Suppose that x = (x

1

; x

2

; :::; x

n

)

T

is a feasible solution. Then

Ax = x

1

A

1

+ x

2

A

2

+ ::: + x

n

A

n

= b

where x

j

_ 0; each j: Let x have p strictly positive components and renum-

ber the columns of A so these are the rst p components x

1

; x

2

; :::; x

p

.

Then

Ax = x

1

A

1

+ x

2

A

2

+ ::: + x

p

A

p

= b (1)

Case 1

A

1

; :::A

p

are linearly independent. Then p _ m.

If p = m then A

1

; :::A

m

form a basis. i.e. they span R

m

:

If p < m we can add additional columns from A to complete a basis.

Assigning a value zero to the corresponding variables x

p+1

; :::; x

m

results

in a (degenerate) BFS.

Case 2

A

1

; :::A

p

are linearly dependent.

By denition, a non-trivial linear combination of the A

j

s summing to

zero i.e.

y

1

A

1

+ y

2

A

2

+ ::: + y

p

A

p

= 0 (2)

where some y

j

> 0 can be assumed.

Eq. (1) - "Eq. (2) gives

(x

1

"y

1

) A

1

+ (x

2

"y

2

)A

2

+ ::: + (x

p

"y

p

)A

p

= b (3)

is true for any ":

Let y

T

= (y

1

; y

2

; :::; y

p

; 0; :::; 0).

The vector x "y satises (2.1). Consider " 0; i.e. increasing from a

value of zero and let

" = min

_

x

j

y

j

y

j

> 0

_

12

be the minimum ratio over positive components y

j

:

For this value of "; at least one coecient in (3) is zero and x"y has at

most p 1 strictly positive coecients.

Repeating this process as necessary, we eventually obtain a set of linearly

independent columns A

j

. We are thus back to Case 1 and conclude that

we can construct a BFS given a feasible solution.

ii) Let x

T

= (x

1

; x

2

; :::; x

n

) be an optimal (=feasible) solution to LP with

the strictly positive components x

1

; :::; x

p

(after reordering).

Consider the same two cases as before.

Case 1

(A

1

; :::A

p

are linearly independent) If p < m; the procedure described

before results in an optimal BFS whose OF value

c

j

x

j

is unchanged

through addition of components with value x

j

= 0.

Case 2

(A

1

; :::A

p

are linearly dependent) The value of the solution x "y is

c

T

(x "y) = c

T

x "c

T

y (4)

For " suciently small, x "y is a feasible solution (all components _ 0)

of value c

T

x "c

T

y. However, because x is optimal, the value of (4) is

not permitted to be less than c

T

x (for minimization): Therefore c

T

y = 0,

and (4) does not change in value, though the number of strictly positive

components of x is reduced.

Example 2.3 (illustrating fundamental theorem)

Consider the following LP in standard form:

Maximize 80x

1

+60x

2

s. t. x

1

+ x

2

+s

1

= 100

2x

1

+ x

2

+s

2

= 150

5x

1

+10x

2

+s

3

= 800

x

j

_ 0 j = 1; 2

s

i

_ 0 i = 1; 2; 3

1. Identify x and the constants A; b; c for this problem.

2. Construct a BFS from the given feasible solution

x

T

= (x

1

; x

2

; s

1

; s

2

; s

3

) = (30; 65; 5; 25; 0)

with value 6300.

13

Let y

T

= (y

1

; y

2

; y

3

; y

4

; 0) and seek y such that Ay = 0 or

y

1

+y

2

+y

3

= 0

2y

1

+ y

2

+y

4

= 0

5y

1

+10y

2

= 0

With 3 equations and 4 unknowns, there are an innite number of possible

choices. e.g. let y

T

= (2; 1; 1; 3; 0) and note that c

T

y = 100 < 0:

x " y = (30 + 2"; 65 "; 5 "; 25 3"; 0)

T

The minimum ratio over positive y s is

min

_

65

1

;

5

1

;

25

3

_

= 5

Let x

0

= x 5y = (40; 60; 0; 10; 0)

T

with value 6300 5 (100) = 6800

The columns of A corresponding to x

1

; x

2

; s

2

form the basis matrix

B =

_

_

1 1 0

2 1 1

5 10 0

_

_

which is invertible (verify e.g. [Bj ,= 0 ). The term basis refers to the vec-

tors A

1

; A

2

; A

4

which span R

3

(in general R

m

) the space of the columns of A:

Note: Some books refer to B simply as the basis.

) x

0

= (40; 60; 0; 10; 0)

T

is a BFS

Ex. Draw the feasible region S and show that x

0

is a corner of S.

14

2.2 Geometry of LP (Extreme points)

Regarding the vector x as a point in n-dimensional space R

n

provides an alter-

native geometric view and further insight into the solution of LP problems.

Convex sets

Let p q R

n

: The line segment PQ consists of all points p+(1 ) q

where 0 < < 1.

{Such points are termed convex linear combinations of p and q: More

generally, a convex linear combination of p

1

; p

2

; :::; p

k

is

k

i=1

i

p

i

with

i

_ 0

and

k

i=1

i

= 1.}

Denition

A set K R

n

is convex if, for x

1

; x

2

K and for every 0 < < 1; the

point x

1

+(1 ) x

2

belongs to K.

Result

The feasible region (FR) of a LP in standard form

F = x j Ax = b; x 0

is convex.

Proof

Let x

1

; x

2

F:

Consider x

0

= x

1

+(1 ) x

2

for 0 < < 1

Ax

0

= A[x

1

+(1 ) x

2

]

= Ax

1

+(1 ) Ax

2

= b+(1 ) b = b

so x

0

is a solution of Ax = b:

Also 0 < < 1 and x

1

; x

2

_ 0 =x

1

+(1 ) x

2

_ 0

) x

0

is a feasible solution of the system Ax = b

ie. x

0

S:

Some further denitions useful in understanding the geometric nature of an

LP are as follows:

The region to one side of an inequality of the form

_

x R

n

[a

T

x _ b

_

is

a (closed) halfspace

The region

_

x R

n

[a

T

x = b

_

is a hyperplane

[an (n 1) dimensional region, subspace if b = 0]

A polyhedral set or a polyhedron is the intersection of a nite number of

halfspaces

15

A bounded polyhedron (one that doesnt extend to innity in any direc-

tion) is termed a polytope.

Result

The FR of an LP containing a mixture of equality and inequality constraints

is also a polyhedron.

Proof

Observe that Ax = b can be written as Ax _ b and Ax _ b

The extreme points (EPs) or vertices of a polyhedron play a very im-

portant part in LP because, if an LP has a nite optimal solution, it is

achieved at a vertex.

Denition

An extreme point of a convex set K is a point which cannot be expressed

as a convex linear combination of two distinct points of K.

i.e. x K is an extreme point if and only if @ y; z K (y 6= z) such that

x = y+(1 ) z

Theorem 2 (Equivalence of EPs and BFSs)

We show that for LP in standard form

and i) BFS= EP and ii) EP=BFS

Proof

i) Let x be a BFS to the LP in standard form. Suppose (for contradiction)

that (w.l.o.g.) the rst p components x

j

p

j=1

are strictly positive and x

j

= 0

for j > p. Then Ax = b reduces to

x

1

A

1

+ x

2

A

2

+ ::: + x

p

A

p

= b

where A

j

are linearly independent.

If x is not an extreme point, two distinct points y,z F such that x =

y+(1 ) z for and 0 < < 1:

For i > p;

x

i

= 0 = y

i

+(1 ) z

i

so y

i

= z

i

= 0: (since y

i

; z

i

_ 0 because y , z 2 F and ; 1 > 0)

Therefore y; z have at most p non zero components,

y

1

A

1

+ y

2

A

2

+ ::: + y

p

A

p

= b

and

z

1

A

1

+ z

2

A

2

+ ::: + z

p

A

p

= b

Therefore

(y

1

z

1

)A

1

+ (y

2

z

2

)A

2

+ ::: + (y

p

z

p

)A

p

= 0

with not all coecients zero (because y ,= z). This contradicts our assumption

that A

j

are linearly independent.

16

ii) Let x be an extreme point of F with precisely p non-zero components, so

x

1

A

1

+ x

2

A

2

+ ::: + x

p

A

p

= b

(w.l.o.g.) with x

1

; x

2

; :::; x

p

> 0 and x

i

= 0 (i > p) :

Suppose (for contradiction) that x is not a BFS. i.e. the columns of A are

linearly dependent

y

1

A

1

+ y

2

A

2

+ ::: + y

p

A

p

= 0

for some coecients y

j

p

j=1

not all zero.

Dene the nvector y = (y

1

; y

2

; :::; y

p

; 0; :::; 0)

T

so that Ay = 0: We can

nd " suciently small so that x

1

= x + "y _ 0 and x

2

= x "y _ 0. [NB.

x

1

,= x

2

because y ,= 0]. Now x

1

and x

2

belong to F because

Ax

1

= A(x + "y)

= Ax + "Ay

= Ax

= b

and similarly for x

2

. Since

x =

1

2

(x

1

+ x

2

)

x can be written as a linear combination of distinct points of F; contradicting

our assumption that x is an EP of S:

Consequence

We can re-phrase the fundamental theorem of LP in terms of extreme points;

1. If the feasible region F is non-empty, it has at least one EP

2. If the LP has a nite optimal solution (always true if F is bounded), it

has an optimal solution which is an EP of F:

Representation of convex polytopes

Any point in a convex polytope (i.e. a bounded polyhedron) can be repre-

sented as a convex linear combination of its extreme points. This enables an

alternative proof of the fundamental theorem.

Note

S has a finite number of extreme points, since there are a maximum

of

_

n

m

_

sets of basic variables.

17

Theorem 3 (Fundamental Theorem restated)

A linear objective function c

T

x achieves its minimum over a convex polytope

(bounded polyhedron) at an extreme point of S:

Proof

Let x

1

; x

2

; :::; x

k

be the set of EPs of S: Any x S has the representation

x =

1

x

1

+

2

x

2

+ ::: +

k

x

k

for some set of coecients

i

with

i

_ 0 each i and

k

i=1

i

= 1 and

c

T

x =

1

c

T

x

1

+

2

c

T

x

2

+ ::: +

k

c

T

x

k

=

1

z

1

+

2

z

2

+ ::: +

k

z

k

; say

Let z

o

= minz

i

k

i=1

be the minimum OF value at any vertex. Then z

i

_ z

0

for each i; giving

c

T

x

1

z

0

+

2

z

0

+ ::: +

K

z

0

= (

1

+

2

+ ::: +

k

) z

0

= z

0

If x is optimal, c

T

x z

0

so c

T

x = z

0

showing that the optimal value of

the LP is achieved at a vertex with minimum value z

0

:

18

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