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2012
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Instructor: Prof. C. V. Jawahar Team: Sumit Sidana, Amit Rai, Mohit Mundhra, Deepti Singhal, Avinash S
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1. Introduction
The Ellipsoid Method, proposed by Khachiyan [4, 3], proves that the Linear Programming (LP) can be solved in polynomial time. The most prominent algorithm discussed so far, the Simplex Method, is not polynomial time and has an exponential
running time in the worst case. Ellipsoid method is theoretically better than simplex method, but very slow practically and not
competitive with Simplex. Nevertheless, it is a very important theoretical tool for developing polynomial time algorithms for
a large class of convex optimization problems, which are much more general than linear programming. The ellipsoid method
is an iterative algorithm used for minimizing convex optimization. The basic idea of the ellipsoid method is to convert the
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optimization problem into the feasibility problem, and solve the feasibility problem by generating a sequence of ellipsoids
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existing solutions.
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whose volume uniformly decreases at every step. Before going into the details of method, let us see the challenges in other
1.1.1
The simplex algorithm moves from one basic feasible solution to an adjacent one, each time improving the value of the objective function. However, it can take an exponentially large number of steps to terminate. To prove that the simplex algorithm is
not polynomial time, we need to come up with a class of instances which are unfortunate and exhibit an exponential sequence
of pivots for which the value of objective function is decreasing for minimization problem and increasing for maximization
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problem.
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Klee-Minty cube [5]. The Klee-Minty cube (named after Victor Klee and George J. Minty) is a unit cube whose corners have
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Klee and Minty demonstrated that simplex algorithm has poor worst-case performance when initialized at one corner of
0 xj 1, j = 1, 2, ..., d.
1
(1)
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This d dimensional cube has 2d faces, one for each inequality, and 2d vertices, one for setting each subset of x1 , x2 , , xd to
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one and rest to zero. The perturbed Klee-Minty cube is defined by inequalities, for some 0 < < 1/2:
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1 x1
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(2)
1 xj1 xj xj1 , j = 2, 3, , d.
Let us take the example of 2-dimensional perturbed Klee-Minty cube, as shown in figure 1. It can be verified that the
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(1, 1e)
D
(e, 1 e2 )
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B
A
(e,e 2)
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along the route A B C D. So if the pivoting rule is always to move to the adjacent basic feasible solution for which
the entering variable has the least index (Blands rule), then the simplex algorithm will require 2d 1 pivoting steps before
terminating. With this pivoting rule the simplex algorithm has exponential worst-case time complexity.
Now let us see how it can be formalized. In order to put 2 in standard form, we add d slack and d surplus variables. The
LP problem is defined as
x1 r1 =
(3)
xj xj1 rj = 0, j = 2, 3, , d
xj + xj1 + sj = 1, j = 2, 3, , d
To prove the complexity of simplex method we use the following Lemmas for the proofs of the lemmas refer [6, 2].
Lemma 1.1 Every set of feasible bases of problem defined above will have all the xj s present in it and only one of rj or sj .
Lemma 1.2 If S and S are two subsets of {1, 2, , d} such that d S and d
/ S , then xSd > xSd . Furthermore, if S = S d,
=1
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xSd .
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xj , rj , sj 0, j = 1, , d
then
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x1 + s1 = 1
xSd
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max xd
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x1
cost function increases strictly with each move along the path. Let the objective is to maximize x2 , note that x2 increases
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(1, e)
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x2
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Here xS denote the bases feasible set where rj s are non zero. The value of xj in xS will be denoted by xSj . This lemma is
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Lemma 1.3 Let the subset of {1, 2, , d} be enumerated in such a way that xSd 1 xsd2 ... xd 2d . Then the inequalities are
strict, and the bases feasible sets xSj and xSj+1 are adjacent for j = 1, 2, , 2d 1.
With this we have exhibited an exponential sequence of adjacent vertices for which the values of objective function is constantly increasing.
Theorem 1.4 For every d > 1 there is an LP with 2d equations, 3d variables, and inter coefficient with absolute value
bounded by 4, such that simplex may take 2d 1 iterations to find the optimum solution.
Proof Take = 1/4 and multiply all equations of 3 by 4, so that all coefficients are integers. Since the objective is to maximize xd , the exponentially long chain of adjacent bases feasible sets whose existence is established by 1.3 has decreasing
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1.1.2
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In cutting plane method, it can be difficult to compute appropriate next query point and localization polyhedron grows in
complexity as algorithm progresses. These issues can be addressed in ellipsoid method.
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2. Ellipsoid Method
Let us discuss some of the definitions related to the method, before discussing the actual algorithm:
Definition An n n symmetric matrix D is called positive definite if xT Dx > 0 fall nonzero vectors x Rn .
Definition A set E of vectors in Rn of the form E = E(z, D) = {x Rn |(x z)T D1 (x z) 1}, where D in an n n
n
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Figure 2. Bounded and full-dimensional polyhedron contains a ball and is contained in a ball
We can make our calculations in infinite precision (i.e. the square roots can be computed exactly in unit time).
The first assumption implies that there exists a ball E0 = E(x0 , r2 I), with volume V , that contains P . The second assumption
requires that either P is empty, or P has positive volume (i.e. V ol(P ) > v for some v > 0). Initially we assume that the
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This subsection discusses the algorithm for ellipsoid method. Fist we will describe intuitively how the method works: The
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method generates a sequence Et of ellipsoids with centers xt , such that P is contained in Et . If xt P , then P is nonempty
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one of the rows of A, and b is the corresponding entry of b). In this case P is contained in the intersection of the ellipsoid
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Input:
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(a) A matrix A and a vector b that define the polyhedron P = {x Rn |ai x bi , i = 1, ..., m}.
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1. (Initialization)
2
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2. (Main iteration)
(a) If t = t stop; P is empty.
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(c) If xt
/ P find a violated constraint, that is, find an i such that ai xi < bi
(d) Let Ht = {x Rn |ai x ai xt } . Find an ellipsoid Et+1 = E(xt+1 , Dt+1 with
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xt+1 = xt +
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Algorithm:
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Output:
n2
= 2
n 1
1
Da
p t i ,
n + 1 ai Dt ai
2 Dt ai ai Dt
Dt
n + 1 ai Dt ai
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(4)
(5)
(e) t = t + 1
The volume of the new ellipsoid formed is actually less than the volume of the previous ellipsoid. This fact is used by the
equations 4 and 5 while actually calculating the new ellipsoid. This proof has been covered in section 3.
(Note: the fractions
=
1
n+1 ,
2
n+1 ,
2
1
n+1 , n+1
and =
and
n2
n2 1
n2
n2 1
are called step, dilation and expansion terms respectively. They are denoted as
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This section shows that in dimension n = 1, the ellipsoid method closely resembles binary search, a technique to decide
if several intervals in the real time have a non-empty intersection. In one dimension, ellipsoids can be seen as intervals.
Consider the polyhedron:
P = {x R | x 0 , x 1 , x 2 , x 3}
constructs the ellipsoid E1 that contains the interval E0 {x|x 2.5} = [0, 2.5]. The ellipsoid E1 is in the interval [0, 2.5]
with center x1 = 1.25. This ellipsoid E1 contained in P as shown in figure 4. Notice that this is same as the binary search
algorithm, that it always reduce the search interval to half.
0
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This subsection describes how the ellipsoid method is used to solve the Linear Programming Problems. In general, the LP
problem and its dual is defined as:
P : min cT x
s.t. Ax b
D : max bT y
s.t. AT y = c, y 0.
(7)
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By strong duality of linear programming cT x = bT y. Thus the optimal solution of LP and its dual exists if the solution
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c T x = bT y
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E1
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E0
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(6)
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Ax b
AT y = c
y 0.
(8)
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Thus an LP problem can be formulated as an feasibility problem of equation 8, and can be solved using ellipsoid method for
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Suppose we wish to the solve an optimization problem {cT x : Ax > b, x > 0}. Now we can apply the ellipsoid method
again (with a strict inequality) to the new polyhedron given by P {x Rn : cT x < cT x0 }. If this is empty, then x0 is
T
optimal. Otherwise, we have a new solution x1 P , say, with strict smaller objective function than c x0 . Now we can
reapply the ellipsoid method to the new polyhedron.
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At each iteration we add a new constraint in the direction of the vector c. All the constraints cT x < cT xt are parallel to
one another. One can show that by this procedure we can reach the optimum in polynomial running time.
2.4.2
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Although ellipsoid is a very robust method which guarantees convergence with any random starting criterion, it is quite slow
in going past each of its iterations considering the reasonable amount of computation that requires to be done. One way to
speed it up is by being greedy and cutting the volume of the ellipsoid by more than half in each iteration. The most efficient
cut(deepest) would be along the that hyperplane ax 6 b of the Polyhedron P whose condition is violated by the center of the
given ellipsoid. Such a method is called the Deepest Cut Ellipsoid Method. This is facilitated by the choosing the appropriate
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1 + n
,
:=
n+1
2 + 2n
:=
,
(n + 1)(1 + )
n2
:= 2
,
(n 1)(1 2 )
a b
:=
a Da
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(10)
(11)
(12)
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( 12 , 21 , ...., 21 )
and of radius
1
2 n
1
V ol(E0 ) = n ( n)n V ol(Bn ),
2
(13)
2
V ol(Bn ) =
( n2 + 1)
n
2
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where Bn denotes the ball of unit radius in n-space. Therefore, the volume of Bn is:
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This section discusses all the mathematical arguments and proofs required to support ellipsoid method.
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(9)
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(14)
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(15)
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vi
wi =
v0 + (vi v0 )
if cT vi 6 x +
otherwise
1
2
(16)
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where =
1
2ncm .This
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implies that wi P as
1
1
c wi = c v0 + c (vi v0 ) 6 x +
= x +
2ncm
2
T
We have that P contains the convex set C = conv({v0 , w1 , w2 , ..., wn }) and V ol(C) is
(17)
1
n!
lelopiped spanned by wi v0 = i (vi v0 ) (with i {, 1} for i = 1, ..., n. This parallelopiped has the volume equal to
the product of the i (which is at least n ) times the volume of a parallelopiped with integer vertices, which is atleast 1.Thus,
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(18)
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Taking logs, we see that the number of iterations of the ellipsoid algorithm before either discovering that P is empty or that
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a feasible point exists is at most log(V ol(E0 )) log(V ol(P )) = O(nlogn + nlogcm ). This is indeed polynomial. We thus
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1
n!
1
2ncm
n
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Theorem 3.1 Let E = E(z, D) be an ellipsoid in Rn , and let a be a nonzero vector. Consider the halfspace H = {x
Rn |a x a z} and let
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=
D
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n2
1
n2
2 Daa D
n + 1 a Da
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Proof First, consider the case where z = 0,D = I and a = e1 = (1, 0, ..., 0) . So,E0 = {x R : x x 6 1} and
H0 = {x Rn : x1 > 1} as shown in figure 6. Hence,
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908
Da
1
n + 1 a Da
z = z +
E = E(
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n2
2
e1
, 2
(I
e1 eT ))
n+1 n 1
n+1 1
(19)
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960
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962
1
E0 = x Rn :
x1
+
x2 6 1
n+1
n2 i=2 i
)
(
2
n
2
X
2x1
1
n+1
2(n + 1) 2
n n 1
2
61
x1 +
+
= xR :
x +
n2 i=1 i
n2
n
n + 1 (n + 1)2
(
n+1
n
2
(20)
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965
(21)
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1027
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1030
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1035
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1038
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988
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1002
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1005
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1007
1008
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1015
1016
Therefore,
E0 =
Now suppose x E0
x Rn :
2(n + 1)
1
n2 1 X 2
x1 (x1 1) 6 1
xi + 2 +
2
n
n
n2
i=1
n
X
x21 +
i=1
Pn
i=1
(22)
x21 6 1. Hence
2(n + 1)
n2 1
1
1
+
x1 (x1 1) 6
+ 2 =1
2
2
2
n
n
n
n
(23)
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T (x) = RD
1
2
(x z)
1
2
(24)
where R is a rotation matrix which rotates the unit ball so that D a is aligned with the unit vector e1 = (1, 0, ..., 0) i.e.
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R R=I
1
RD 2 a =k D 2 k e1
(25)
(26)
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10
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x E (x z) D 1(x z) 6 1
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(x z)D
RD
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1
2
RT D
1
2
1
(x z) E0
2
(27)
(x z) 6 1
(28)
(29)
T (x) E0 .
(30)
x E a (x z) > 0
1
1
2
(31)
(32)
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aT D 2 RT RD
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1100
1101
(33)
T (x) H0
(34)
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1109
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1111
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1113
which implies E H E .
1
R |a x a z} and let
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=
D
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1121
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1133
z = z +
Da
1
n + 1 a Da
n2
2
n 1
2 Daa D
n + 1 a Da
V ol(E )
V ol(T (E ))
V ol(E0 )
=
=
V ol(E)
V ol(T (E))
V ol(E0 )
(35)
Now,
E0 = E
e1
n2
, 2
n+1 n 1
2
e1 eT1
n+1
(36)
n2
2
n 1
11
2
I
e1 eT
n+1 1
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1167
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1177
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1184
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1123
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1125
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1127
(x z) > 0
Similarly, one can show T (E ) = E0 . Above, we proved that E0 H0 E0 , which is equivalent to T (E) T (H) T (E ),
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1095
1096
1102
1103
1104
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1138
x.
(37)
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1243
V ol(E0 ) =
V ol(E0 )
=
E0
1199
1200
1201
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1204
1219
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1234
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n2
n2 1
2
I
e1 eT
n+1 1
V ol(E0 )
(38)
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n2
12
2
1
n+1
(n1)
2
n2
n
=
2
n+1 n 1
(n1)
1
1
2
< e (n+1) e (n2 1)
(39)
(40)
(41)
(42)
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Thus, we have successfully proven that the volume of E will always be considerably lower than E and E will cover the
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1216
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n2
n2 1
= e (2(n+1))
1205
1206
1213
1214
1215
det
Hence,
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1
V ol(E )
< e (2(n+1))
V ol(E)
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(n+1)
, V = (2n)n (nU )n .
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iterations. We also show in subsequent section on proofs that v and V can be chosen in terms of n and U as follows:
2
1273
1274
1275
(44)
1284
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These estimates lead to an upper bound on the number of iterations of the ellipsoid method, which is O(n4 log(nU )). If
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v = nn (nU )n
we choose an arbitrary polyhedron P , we have assumed that such a polyhedron P is bounded and is either empty or full
dimensional. But, in practice Polyhedron can be unbounded or it also may not be full dimensional. But it is possible to
modify the inputs of the ellipsoid method, if the polyhedron P is unbounded or not full dimensional.
Let A be an m n integer matrix and let b be a vector in Rm . Let U be the largest absolute value of the entries in A and b.
12
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(45)
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(b) Every extreme point of the standard form polyhedron P = {x Rn |Ax = b, x 0} satisfies
(mU )m xj (mU )m , j = 1, 2, ..., m.
(46)
Let P = {x Rn |Ax b}. We assume that A and b have integer entries, which are bounded in absolute value by U .
Let = 1/2n + 1((n + 1)u)(n+1) and P = {x Rn |Ax b e}, where e = (1, 1, ..., 1). Here if P is empty, then P
is empty and if P is non empty, then P is full dimensional. If the polyhedron P is arbitrary,then we first form the bounded
polyhedron PB , where PB is defined as :
PB = x P | p xj p (nU )n , j = 1, ..., n.
(47)
We can then perturb PB to form a new polyhedron PB, . As already noted, P is non empty if and only if it has an extreme
point, in which case PB is non empty. PB is nonempty if and only if PB, is nonempty. We can therefore apply the
ellipsoid algorithm to PB, , and decide whether P is empty or not. It is not hard to check that the number of iterations
6
is O(n log(nU )). We also need to ensure the fact that the number of arithmetic operations per iteration is polynomially
1327
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bounded in n and logU . There are two difficulties, however. First,the computation of the new ellipsoid involves taking a
1330
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integer can be an irrational number). Therefore, we need that if we only perform calculations in finite precision, the error
1333
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square root. Although this might seem easy, taking square roots in a computer cannot be done exactly (the square root of an
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we can make at each step of the computation will not lead to large inaccuracies in later stages of computation. Second, we
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need to show that the numbers we generate at each step of computation have polynomial size. A potential difficulty is that as
1387
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the numbers get multiplied, we might create numbers as large as 2U , which is exponential in logU . We can overcome these
difficulties. It has been shown that if we only use O(n3 logU ) binary digits of precision, the numbers computed during the
algorithm have polynomially bounded size and the algorithm still correctly decides whether P is empty in O(n6 log(nU ))
iterations. However, we do not cover the proofs of these claims here.
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1400
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1402
1403
13
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However it does not seem that these modifications can fundamentally affect the speed of convergence.
1426
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solvable from a theoretical point of view. In this sense, the ellipsoid method can be seen as a tool for classifying the
1429
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Rather than revolutionizing linear programming, the ellipsoid method has shown that linear programming is efficiently
complexity of linear programming problems. This is important, because a theoretically efficient algorithm is usually followed
by the development of practical methods.
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entries of A and b. What is remarkable about this result is that the number of iterations is independent of the number m of
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constraints. This suggests that we may be able to solve, in time polynomial in n and log U , problems in which the number
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the ellipsoid method is polynomial in n and log U , where n is the dimension of x, and U is a bound on the magnitude of the
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5. Conclusion
1500
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m of constraints is very large, e.g., exponential in n. If m is, for example, equal to 2n , we need (2n ) time just to input
We conclude our discussion on Ellipsoid Method with the remark that this method is not very practical but theoretically
shows that LP is a polynomial time algorithm, which was not possible to prove before this method. This material covers the
following details about ellipsoid method:
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Complexity Analysis,
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References
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[1] Mit lecture notes for introduction to mathematical programming fall 2009. http://ocw.mit.edu/courses/electrical-engineering-and
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4
[2] Vedio
lecture
of
course
linear
programming
and
extensions
by
prof.
prabha
sharma,
iit
kanpur.
http://www.nptel.iitm.ac.in/courses/111104027/39. 2
[3] B. Aspvall and R. E. Stone. Khachiyans linear programming algorithm. Journal of Algorithms, 1(1):1 13, 1980. 1
[4] L. G. Khachiyan. A Polynomial Algorithm in Linear Programming. Soviet Mathematics Doklady, 20:191194, 1979. 1
[5] V. Klee and G. J. Minty. How good is the simplex algorithm? In O. Shisha, editor, Inequalities, volume III, pages 159175. Academic
Press, New York, 1972. 1
[6] C. H. Papadimitriou and K. Steiglitz. Combinatorial optimization: algorithms and complexity. Prentice-Hall, Inc., Upper Saddle
River, NJ, USA, 1982. 2
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15