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Linear Programming Notes
Carl W. LeeDepartment of MathematicsUniversity of KentuckyLexington, KY 40506lee@ms.uky.eduJanuary 3, 1996Latest Revision: Fall 2003
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Contents
1 References 12 Exercises: Linear Algebra 23 Introduction 5
3.1 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53.2 Denitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63.3 Back to the Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
4 Exercises: Linear Programs 95 Theorems of the Alternatives 13
5.1 Systems of Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135.2 Fourier-Motzkin Elimination A Starting Example . . . . . . . . . . . . . . 155.3 Showing our Example is Feasible . . . . . . . . . . . . . . . . . . . . . . . . 185.4 An Example of an Infeasible System . . . . . . . . . . . . . . . . . . . . . . 195.5 Fourier-Motzkin Elimination in General . . . . . . . . . . . . . . . . . . . . . 215.6 More Alternatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
6 Exercises: Systems of Linear Inequalities 257 Duality 28
7.1 Economic Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287.2 The Dual Linear Program . . . . . . . . . . . . . . . . . . . . . . . . . . . . 297.3 The Duality Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317.4 Comments on Good Characterization . . . . . . . . . . . . . . . . . . . . . . 367.5 Complementary Slackness . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367.6 Duals of General LPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377.7 Geometric Motivation of Duality . . . . . . . . . . . . . . . . . . . . . . . . 42
8 Exercises: Duality 449 The Simplex Method 50
9.1 Bases and Tableaux . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 509.2 Pivoting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 579.3 The (Primal) Simplex Method . . . . . . . . . . . . . . . . . . . . . . . . . . 62ii

10 Exercises: The Simplex Method 7411 The Simplex MethodFurther Considerations 78
11.1 Uniqueness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7811.2 Revised Simplex Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7811.3 Dual Simplex Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8111.4 Revised Dual Simplex Method . . . . . . . . . . . . . . . . . . . . . . . . . . 8311.5 Sensitivity Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8511.5.1 Right Hand Sides . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8611.5.2 Objective Function Coecients . . . . . . . . . . . . . . . . . . . . . 8811.5.3 New Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9111.5.4 New Constraint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9211.6 LPs With Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9311.7 LPs With Unrestricted Variables . . . . . . . . . . . . . . . . . . . . . . . . 9611.8 LPs With Bounded Variables . . . . . . . . . . . . . . . . . . . . . . . . . . 9611.9 Minimization Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
12 Exercises: More On the Simplex Method 10113 More On Linear Systems and Geometry 103
13.1 Structure Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10313.2 Extreme Points and Facets . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
14 Exercises: Linear Systems and Geometry 114
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