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Ti u ha
Gio trnh cho ngnh Tin hc
v Cng ngh thng tin
MC LC
M U
CHNG I. BI TON TI U TNG QUT V NG DNG
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4.3. Phng php Wolfe gii bi ton quy hoch ton phng
4.4. Gii bi ton quy hoch ton phng bng bi ton b
5. QUY HOCH TCH V QUY HOCH HNH HC
5.1. Quy hoch tch
5.2. Quy hoch hnh hc
BI TP CHNG V
CHNG VI. MT S VN C S CA L THUYT QUY HOCH LI
V QUY HOCH PHI TUYN
1. TP HP LI
1.1. Bao li
1.2. Bao ng v min trong ca tp li
1.3. Siu phng tch v siu phng ta ca tp li
1.4. Nn li v nn i cc
2. NG DNG GII TCH LI VO BI TON QUY HOCH TUYN TNH
2.1. im cc bin v hng cc bin
2.2. Biu din tp li a din qua im cc bin v hng cc bin
2.3. iu kin ti u trong phng php n hnh gii bi ton quy hoch
tuyn tnh
3. CC TNH CHT CA HM LI
3.1. Cc nh ngha v tnh cht c bn
3.2. Di vi phn ca hm li
3.3. Hm li kh vi
3.4. Cc i v cc tiu ca hm li
4. CC IU KIN TI U FRITZ JOHN V KUHN TUCKER
4.1. Bi ton ti u khng rng buc
4.2. Bi ton ti u c rng buc
4.3. iu kin ti u Fritz John
4.4. iu kin ti u Kuhn Tucker
5. MT S PHNG PHP HNG CHP NHN GII
BI TON QUY HOCH PHI TUYN
5.1. Phng php hng chp nhn
5.2. Thut ton Frank Wolfe gii bi ton quy hoch li c min rng buc
l tp li a din
5.3. Phng php gradient rt gn
5.4. Phng php n hnh li Zangwill
6. GII THIU PHNG PHP IM TRONG GII
BI TON QUY HOCH TUYN TNH
6.1. Bi ton ellipsoid xp x
6.2. Mt s thut ton im trong
BI TP CHNG VI
TI LIU THAM KHO
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M u
Ti u ha, c khi ngun nh mt ngnh ca Ton hc, c rt nhiu ng dng hiu qu
v rng ri trong quy hoch ti nguyn, thit k ch to my, iu khin t ng, qun tr kinh
doanh, kin trc th, cng ngh thng tin, trong vic to nn cc h h tr ra quyt nh trong
qun l v pht trin cc h thng ln. Chnh v vy, cc lnh vc ca Ti u ha ngy cng tr nn
a dng, mang nhiu tn gi khc nhau nh Quy hoch ton hc, iu khin ti u, Vn tr hc, L
thuyt tr chi Hin nay, mn hc Ti u ha c a vo ging dy trong nhiu chng trnh
o to i hc cho cc ngnh khoa hc c bn, k thut cng ngh, kinh t qun l, sinh hc
nng nghip, x hi nhn vn, sinh thi mi trng vi thi lng thng thng t ba
cho ti su hc trnh. i vi sinh vin cc ngnh Tin hc, Cng ngh thng tin v Ton Tin
ng dng, mn hc Ti u ha l mt mn hc c s khng th thiu. Gio trnh Ti u ha
ny c bin son vi mc ch cung cp cho sinh vin nm th hai ngnh Tin hc ca Khoa
Cng ngh thng tin, Trng i hc Nng nghip I, mt s kin thc c bn v cc lnh vc
quan trng ca Ti u ha. Qua gio trnh ny, sinh vin cn nm c c s l thuyt mt
mc nht nh, nm chc cc thut ton ti u c bn p dng trong vic xy dng cc
phn mm ti u tnh ton gii cc bi ton kinh t, cng ngh, k thut v qun l.
Chng I gii thiu tng quan v ngn gn bi ton ti u tng qut v phn loi cc bi
ton ti u c bn, cng nh gii thiu mt s v d v m hnh ti u pht sinh trong thc t.
Phn u trnh by v Quy hoch tuyn tnh bao gm chng II, III v IV. Phn ny nhn mnh
vo vic trnh by cc phng php v thut ton c in ca Quy hoch tuyn tnh, nh phng
php n hnh (bao gm c phng php hai pha v phng php n hnh ci bin dng ma
trn nghch o), phng php n hnh i ngu, phng php th v gii bi ton vn ti, cc
phng php ct Gomory v nhnh cn Land Doig cng nh phng php quy hoch ng gii
bi ton quy hoch tuyn tnh nguyn. Phn sau ca gio trnh bao gm hai chng v Quy
hoch phi tuyn. Chng V trnh by mt s phng php v thut ton ti u phi tuyn khng
c rng buc v c rng buc, bao gm phng php ng dc nht, phng php Newton,
phng php hng lin hp, cc phng php gii quy hoch ton phng thng dng, phng
php quy hoch tch v quy hoch hnh hc. Chng VI gii thiu v c s l thuyt ca quy
hoch li v quy hoch phi tuyn. Phn gii thiu v mt lp phng php im trong gii bi
ton quy hoch tuyn tnh cui gio trnh mang tnh cht tham kho, c th dnh cho sinh vin
nghin cu theo nhm v tho lun. Vic chng minh mt s nh l kh nn sinh vin t
nghin cu, khng c tnh bt buc. Khi bin son, chng ti lun c mt nguyn vng l lm sao
vic trnh by cc phng php ti u cp ti trong gio trnh cng phi p ng c tiu
chun ti u, sinh vin phi hiu c v lm c. Chnh v vy, cc phng php lun c
trnh by mt cch c th thng qua cc v d mu t d ti kh, m nhng v d ny c th c
s dng nhiu ln tit kim thi gian.
Mt s ti liu ngi hc c th tham kho thm v Quy hoch tuyn tnh l: Nguyn c
Ngha, Ti u ha, Nxb. Gio dc, 2002; Phan Quc Khnh Trn Hu Nng, Quy hoch
tuyn tnh, Nxb. Gio dc, 2003. V Quy hoch phi tuyn c th c thm mt s chng lin
quan trong cc sch tham kho sau: Bazaraa M.S, Shetty C.M, Nonlinear programming: Theory
and algorithms, John Wiley and Sons, New York, 1990; Horst R, Hong Ty, Global
optimization: Deterministic approaches, Springer Verlag, Berlin, 1993; Bi Th Tm Trn V
Thiu, Cc phng php ti u ha, Nxb. Giao thng vn ti, 1998. Ngi c cng c th s
dng Internet tm kim cc tp ch v ti liu lin quan.
Chng I
Bi ton ti u tng qut v ng dng
1. Bi ton ti u tng qut v phn loi
1.1. Bi ton ti u tng qut
Ti u ha l mt trong nhng lnh vc kinh in ca ton hc c nh hng n hu ht
cc lnh vc khoa hc cng ngh v kinh t x hi. Trong thc t, vic tm gii php ti u
cho mt vn no chim mt vai tr ht sc quan trng. Phng n ti u l phng n hp
l nht, tt nht, tit kim chi ph, ti nguyn, ngun lc m li cho hiu qu cao.
V d 1. Tm x D = [ 2,2, 1,8] R1 sao cho f(x) = x3 3x + 1 Max.
Bi ton ti u trn c dng cc i ho c gii nh sau: Cho f(x) = 3x2 3 = 0, ta c cc
im ti hn l x = 1 v x = +1. Xt gi tr hm s f(x) ti cc im ti hn va tm c v ti
cc gi tr x = 2,2 v x = 1,8 (cc im u mt ca on [2,2, 1,8]), ta c f(2,2) = 3,048 , f(
1) = 3, f(1) = 1, f(1,8) = 1,432. Vy gi tr x cn tm l x = 1. Kt qu ca bi ton c minh
ho trn hnh I.1.
y
3
1,432
x
2,2
1,18
1
3,048
Hnh I.1. th hm f(x)
im x = (x1, x2, ..., xn) D Rn c gi l phng n kh thi (hay phng n chp nhn
c hoc phng n, nu ni vn tt) ca bi ton ti u: Max (Min) f(x), vi x D Rn. Min
D c gi l min rng buc. Cc to thnh phn ca im x c gi l cc bin quyt nh,
cn x cng c gi l vc t quyt nh.
tnh cht nn tng i vi nhng sinh vin quan tm v c hng tip tc nghin cu lnh vc Ti
u ha.
2. ng dng bi ton ti u gii quyt cc vn thc t
2.1. Phng php m hnh ho ton hc
Nhiu vn pht sinh trong thc t c th gii c bng cch p dng cc phng php
ti u ton hc. Tuy nhin, im mu cht y l t bi ton thc t cn xy dng c mt m
hnh ti u thch hp da vo cc dng bi ton ti u bit. Sau cn p dng phng php
ti u ton hc v quy trnh tnh ton thch hp tm ra li gii cho m hnh t ra.
Cc bc cn thit tin hnh khi p dng phng php m hnh ho ton hc c th c
pht biu mt cch khi qut nh sau:
Trc ht phi kho st bi ton thc t v pht hin vn cn gii quyt.
Pht biu cc iu kin rng buc v mc tiu ca bi ton di dng nh tnh. Sau
la chn cc bin quyt nh / cc n s v xy dng m hnh nh lng cn gi l m hnh ton
hc.
Thu thp d liu v la chn phng php ton hc thch hp gii quyt m hnh trn.
Trong trng hp m hnh ton hc l m hnh ti u, cn la chn phng php ti u thch hp
gii m hnh.
Xc nh quy trnh gii / thut ton. C th gii m hnh bng cch tnh ton thng
thng trn giy. i vi cc m hnh ln, bao gm nhiu bin v nhiu iu kin rng buc cn
tin hnh lp trnh v gii m hnh trn my tnh tm ra phng n tha mn m hnh.
nh gi kt qu tnh ton. Trong trng hp pht hin thy c kt qu bt thng, cn
xem xt nguyn nhn, kim tra v chnh sa li m hnh hoc d liu u vo hoc quy trnh gii
/ thut ton / chng trnh my tnh.
Kim chng cc kt qu tnh ton trn thc t. Nu cc kt qu thu c c coi l hp
l, ph hp vi thc t hay c cc chuyn gia nh gi l c hiu qu hn so vi cc phng
n trc y th cn tm cch trin khai phng n tm c trn thc t.
R rng rng gii quyt cc vn pht sinh t cc bi ton thc t cn c c s
hp tc cht ch gia cc chuyn gia trong lnh vc chuyn mn, cc chuyn gia Ton, Ton
ng dng v cc chuyn gia Tin hc, k s lp trnh. iu ny l c bit cn thit khi gii
quyt cc bi ton cho cc h thng ln. Vic thit lp c mt m hnh hp l, phn nh
c bn cht ca bi ton thc t ng thi kh thi v phng din tnh ton lun va mang
tnh khoa hc thun ty, va c tnh ngh thut. Cc thut ng sau thng gp khi p dng
phng php m hnh ho ton hc:
Ton ng dng (Applied Mathematics).
Vn tr hc (Operations Research vit tt l OR).
Khoa hc qun l (Management Science vit tt l MS).
ng dng my tnh (Computer Applications).
M hnh ti u (Optimization Models)
10
11
< 40
40 50
50 60
60 70
> 70
x1
35 45%
39 45%
39 45%
35 45%
35 40%
x2
15 20%
17 25%
17 23%
15 20%
18 25%
x3
15 20%
15 20%
15 20%
16 19%
17 23%
x4
10 15%
7 15%
8 15%
9 13%
10 15%
x5
10 15%
10 15%
9 15%
9 15%
10 15%
< 78,1
78,1 88,3
88,3 97,5
97,5 106
> 106
38,138,3
38,337,5
37,536
Vic thc hin c cu u t ti u lm gi tr sn xut (GO) cng nh thu nhp rng (NI =
GO TC) tng mc u t tng ln r rt so vi thc t sn xut ti a phng. c bit, mc
u t 50 triu ng / ha cho ta thu nhp hn hp cao nht l 38,3 triu ng / ha, ln hn 8 triu
ng / ha so vi trc khi p dng c cu u t ti u cng nh hnh thc nui thch hp. Ti
mc u t ny, c cu u t ti u l x1 t 19,6 21,5 triu ng (chim 39,2 42,2%), x2 t
8,6 9,8 triu ng (17,2 19,6%), x3 t 8,6 9,9 triu ng (17,2 19,8%), x4 t 4,7 6,4 triu
ng
(9,4 12,8%), x5 t 4,9 6,3 triu ng (9,8 12,6%) vi hnh thc nui chuyn canh (x6 = 1).
Mt cch c th hn, khi p dng phng php ti u thch hp ti mc u
t 50 triu ng / ha c th tm c phng n ti u sau: zmax = 88,360733 vi
x1 = 21,498072, x2 = 9,528987, x3 = 8,758034, x4= 5,138906, x5 = 5,076000, x6 = 1 v x7 = 0.
V d 5. Bi ton ti u thng s sng phn loi (M hnh ti u phi tuyn gii quyt vn
tnh ton mt s thng s hnh hc v ng hc ca c cu sng phn loi dao ng)
12
2 [0,]
3 [0,]
4 [0,]
5 [0,]
0,226128
0,551311
1,783873
1,666775
/18
0,199269
0,550518
1,784628
1,670250
2/18
0,170835
0,550590
1,782751
1,668853
3/18
0,143343
0,550490
1,778826
1,663697
4/18
0,112669
0,552073
1,770032
1,652171
5/18
0,090986
0,551991
1,759350
1,639575
6/18
0,066036
0,553576
1,745374
1,622823
7/18
0,051284
0,554296
1,730174
1,602970
8/18
0,039053
0,555262
1,713242
1,581813
9/18
0,033773
0,556277
1,695605
1,560720
V d 6. Bi ton thit k trc my (M hnh quy hoch phi tuyn a mc tiu gii quyt
bi ton thit k trc my)
Trong v d ny chng ta cp ti mt m hnh ti u phi tuyn hai mc tiu.
13
1
1
8
7
4
4
f2(x) = 3,29810
4,096 10 x 2 10 x 2
5
3
109
x
+
1
108 x 24 (mm/N).
9,78 106 x1
0
4,096 107 x 42
(1.1)
g2 (x) = 75,2 x2 0
(1.2)
g3 (x) = x2 40 0
(1.3)
g4 (x) = x1 0
(1.4)
1(f1) =
2(f2) =
14
nu f1 6,594106 = a1
0,5 nu f1 = 4106
= b1
nu f1 2,944106 = c1,
nu f2 0,499103 = a2
0,5
nu f2 = 0,450103 = b2
nu f2 0,338103 = c2.
15
Chng II
Phng php n hnh gii bi ton
quy hoch tuyn tnh
1. M hnh quy hoch tuyn tnh
1.1. Pht biu m hnh
Vi mc ch tm hiu bc u, xt m hnh ton hc sau y, cn gi l m hnh quy
hoch tuyn tnh hay bi ton quy hoch tuyn tnh (BTQHTT), m trong chng ta mun ti
u ho / cc i ho hay cc tiu ho hm mc tiu:
z = f(x) = c1x1 + c2x2 + .... + cnxn Max (Min),
vi cc iu kin rng buc
a11x1 + a12x2 + ... + a1nxn b1
a21x1 + a22x2 + ... + a2nxn b2
...
am1x1 + am2x2 + ... + amnxn bm
x1, x2, ..., xn 0 (iu kin khng m).
V d 1. Xt BTQHTT: Max z = 8x1 + 6x2, vi cc rng buc
4x1 + 2x2 60
2x1 + 4x2 48
x1, x2 0.
Cn tm cc gi tr ca cc bin quyt nh x1, x2 cc rng buc c tho mn v hm
mc tiu t gi tr ln nht.
Bi ton ny c ngha kinh t nh sau: Gi s mt x nghip sn xut hai loi sn phm I
v II. sn xut ra mt n v sn phm I cn c 4 n v nguyn liu loi A v 2 n v
nguyn liu loi B, cc ch tiu cho mt n v sn phm loi II l 2 v 4. Lng nguyn liu
d tr loi A v B hin c l 60 v 48 (n v). Hy xc nh phng n sn xut t li nhun
ln nht, bit li nhun / n v sn phm bn ra l 8 v 6 (n v tin t) cho cc sn phm loi I
v II.
16
12
4x1 + 2x2 = 60
B
2x1 + 4x2 = 48
4
O
C
3
15
24
x1
Hnh II.1. Phng php th gii bi ton quy hoch tuyn tnh
17
z=0
z = 72
z = 132
hoc:
O(0, 0)
z=0
z = 132
Quy trnh gii BTQHTT tng qut c s khi gin lc nh trnh by trn hnh II.2. Trong
s trn, v mc ch trnh by vn n gin, chng ta khng cp ti cc trng hp khi
BTQHTT c min phng n l tp rng (lc ta khng tm c phng n cc bin xut pht)
cng nh khi ta khng tm c im cc bin k tt hn mc d iu kin ti u cha tho mn (lc
hm mc tiu z khng b chn).
18
S khi
Bt u
Nhp d liu
Tm im cc bin
xut pht
Sai
Tm im
cc bin k
tt hn
ng
In v lu tr kt qu
Dng
Hnh II.2. S khi gii BTQHTT
= 60
+ x4 = 48
19
Bin c s
Phng n
c1 = 8
c2 = 6
c3 = 0
c4 = 0
x1
x2
x3
x4
Bng n hnh bc 1
0
x3
60
x4
48
z0 = 0
z1 = 0
z2 = 0
z3 = 0
z4 = 0
1 = 8
2 = 6
3 = 0
4 = 0
Hng z
Hng j = cj zj
Bng n hnh bc 2
8
x1
15
1/2
1/4
x4
18
1/2
z0 = 120
z1 = 8
z2 = 4
z3 = 2
z4 = 0
1 = 0
2 = 2
3 = 2
4 = 0
Hng z
Hng j = cj zj
Bng n hnh bc 3
8
x1
12
1/3
1/6
x2
1/6
1/3
z0 = 132
5/3
2/3
5/3
2/3
Hng z
Hng j = cj zj
20
21
(2)
(3)
(4)
(1)
(2.1)
2x1 + 4x2 + x4 = 48
(2.2)
x1 + (1/2)x2 + (1/4)x3 = 15
(2.1)
(2.2)
c h
bng cch ly phng trnh (2.1) chia cho 4 (phn t xoay) c (2.1), ri ly (2.2) tr bt 2
(2.1)/4 c (2.2). y chnh l ni dung ca bc 4 v bc 5. Cn vic thc hin bc 3 s
m bo rng gi tr ca cc bin c s mi khng m (x1 = 15,
x4 = 18).
p dng th tc xoay cho cc phn t nm trn hng 1 v 2 ca bng n hnh bc 1, sau
tnh cc gi tr trn hng zj v j tng t nh khi lp bng n hnh bc 1, chng ta s nhn
c bng n hnh bc 2.
Phn tch bng n hnh bc 2
Bng bc 2 c th c phn tch tng t nh bng bc 1. Cn ch rng lc ny ta
ang v tr ca im C(15, 0) v x1 = 15 cn x2 = 0 (xem hnh II.1). Ti im ny gi tr ca hm
mc tiu l z0 = 120 c ci thin hn so vi bc 1. Ta thy 2 = 2 > 0 nn cn c th ci
thin hm mc tiu bng cch a bin x2 vo lm bin c s mi. Thc hin cc bc xoay sang
phng n cc bin k tt hn, chng ta s c bng n hnh bc 3.
Phn tch bng n hnh bc 3
Ti bng n hnh bc 3 ta thy iu kin ti u c tho mn (j 0, j = 1,4 ) nn
khng cn kh nng ci thin phng n. Phng n ti u t c ti x1 = 12, x2 = 6, x3 = 0,
x4 = 0, tc l ti im cc bin B(12, 6) vi gi tr zmax = 132 (xem thm hnh II.1).
Mt s ch
iu kin ti u cho cc BTQHTT dng Max l j 0, j .
i vi cc BTQHTT cn cc tiu ho hm mc tiu th iu kin ti u (hay tiu chun
dng) l j 0, j (nu j* sao cho j* < 0 th cn tip tc ci thin hm mc tiu bng cch
chn ct j* lm ct xoay).
22
Trong thc tin gii cc BTQHTT dng tng qut c th xy ra trng hp khng tm
c phng n xut pht (tc l khng c phng n kh thi). Lc ny c th kt lun m hnh
thit lp c cc iu kin rng buc qu cht ch, cn xem xt ni lng cc iu kin ny.
Trong trng hp ta tm c ct xoay m khng tm c hng xoay th kt lun hm
mc tiu khng b chn trn (i vi cc BTQHTT dng Max) hoc khng b chn di (i vi
cc BTQHTT dng Min).
Trong cc trng hp trn cng phi dng li v kt lun m hnh quy hoch tuyn tnh
thit lp khng ph hp vi thc t.
2.2. Khung thut ton n hnh
Sau y l khung thut ton ca phng php n hnh c pht biu cho BTQHTT cc
i ha dng chnh tc.
Bc khi to
Tm mt phng n cc bin ban u.
Tnh j = cj zj, j = 1,n , trong n l s bin ca bi ton ang xt.
Cc bc lp
Bc 1: Kim tra iu kin ti u. Nu iu kin ti u j = cj zj 0, j = 1,n c
tho mn th in / lu tr kt qu ca bi ton v chuyn sang bc kt thc.
Bc 2: Nu tn ti mt ch s j sao cho j > 0 th tin hnh th tc xoay gm nm bc
bit, tnh li cc j, j = 1,n v quay li bc 1 (Ch : Trong trng hp ta tm c ct
xoay m khng tm c hng xoay th kt lun hm mc tiu khng b chn, in / lu tr kt qu
ca bi ton v chuyn sang bc kt thc).
Bc kt thc. Dng.
3. C s ton hc ca phng php n hnh
3.1. Pht biu bi ton quy hoch tuyn tnh dng chnh tc
Xt BTQHTTdng sau y (vi cc rng buc u c du =):
Max (Min) z = c1x1 + c2x2 + ... + cnxn
vi h iu kin rng buc
23
a11
a
A = 21
...
am1
a12
a22
...
am 2
... a1n
... a2n
Rmn,
... ...
... amn
(2.3)
= 60
+ x4 = 48
quyt nh di dng x = x NT , x BT
(x
T
N
, x BT
= (0, 0, 60, 48)T, trong xN = (x1, x2)T = (0, 0)T v xB = (x3, x4)T =
(c
T
N
, cBT
4
2
1
0
a1 = , a2 = , a3 = , a4 = .
2
4
0
1
4 2
Vy A = (a1, a2, a3, a4) = [N B] vi N =
,B=
2 4
24
1 0
0 1 .
x
Cn ch rng: Ax = b [N B] N = b NxN + BxB = b BxB = b xB = B1b.
xB
Phng n cc bin
i vi BTQHTT (2.3) dng chnh tc lun c th tm c mt phng n xut pht x =
(0, 0, , 0, b1, b2, , bm)T, trong n m ta u tin u bng 0. y l mt phng n cc
bin. Mt cch tng qut, xt mt phn r ty ca ma trn A = [N B] vi B l ma trn vung
c to nn t m vc t ct c lp tuyn tnh ca A, N l ma trn c to nn t cc vc t ct
cn li. Lc , mt phng n cc bin ca BTQHTT tng ng vi s phn r trn ca A l
mt phng n c dng x = x NT , x BT
x
B] N = 0 NxN + BxB = 0 BxB = NxN xB = B1NxN.
x B
x
Vy cTx = (cNT ,cBT ) N = cNT xN + cBT xB = cNT xN cBT B1NxN
x B
x
= [ cNT cBT B1N, cBT cBT B1B] N .
x B
t = [ cNT cBT B1N, cBT cBT B1B] = [N, B], th cTx = x. y chnh l cng thc
s gia hm mc tiu cn thit lp.
Quay li v d 2, trong bng n hnh bc 1, chng ta c:
1
1
1 0 4 2
1 0 1 0
= (8,6) (0,0)
, (0,0) (0,0) 0 1 0 1
0 1 2 4
25
z
, j = 1, n. Chng hn, tng ng vi
x j
rng,
3 x 3
4 x 4
0 x 1
2 x 2
(2)x3
0 x 4 .
rng
z
z
z
z
= 1 = 0 ,
= 2 = 2 ,
= 3 = 2 ,
= 4 = 0 .
x1
x 2
x 3
x 4
(tng ng
(x
T
N
, x BT
= cNT cBT B1N 0. Ngc li, nu x l phng n cc bin ti u khng suy bin th ta cng c
N = cNT cBT B1N 0.
Chng minh
iu kin . Nu N 0, th NxN 0, x D, (ch rng xN = 0 lun ng, nn cng
lun c xN = x N xN 0). Do B = 0 nn NxN + BxB 0, x hay x 0,x. Vy
cT x cTx, x D. Do x l phng n ti u.
iu kin cn. S dng phng php chng minh phn chng, gi s x l phng n cc
bin ti u khng suy bin v iu kin N 0 khng c tho mn. Lc tn ti ch s j*
JN sao cho j* > 0. Xt phng n x = x + x. Chng ta s ch ra cch xy dng x sao cho x l
phng n kh thi tha mn cT x > cTx hay cTx < 0, t suy ra x khng phi l phng n ti
u.
Tht vy, chn xN sao cho: xj = 0, j JN, j j* v xj* = > 0.
x
Chn xB sao cho: Ax = 0 [N B] N = 0 NxN + BxB = 0 BxB = NxN
x B
xB = B1NxN xB = B1aj*.
4 2 x 1
4 2
4
= = a 1 ,
=
Trong v d 2, ta thy: N x N =
2 4 x 2
2 4 0
2
vi j* = 1.
26
.
1 / 2 1 4 3
2 1
1 / 2 1
15
1 / 2
Vy: x B = xB + xB = xB B1aj* =
0
18
3
15 (1 / 2) 0
0.
18 3
15 18
,
Chn = Min
= 6 theo quy tc t s dng b nht s m bo x B 0.
1 / 2 3
Do x l phng n cc bin khng suy bin nn xB > 0 ko theo > 0. Cui cng, ta c
c x = x = NxN + BxB = NxN = j* xj* = j* > 0. Do , phng n x khng th l
phng n ti u (pcm).
T
Nhn xt
Nu tn ti ch s i* JB sao cho xi* = 0 (nh bit, phng n cc bin x lc ny c
gi l phng n cc bin suy bin), th t iu kin x B = xB + xB = xB B1aj* 0 c th xy
ra trng hp chn c = 0. Do cTx = j* = 0, tc l hai phng n x v x cho cng mt
gi tr hm mc tiu. Trong cc trng hp nh vy c th xy ra hin tng xoay vng: Chng
hn, khi chuyn t x sang x , ri li chuyn t x sang mt phng n x no m vn cha ci
thin c gi tr ca hm mc tiu. Sau , li c th xy ra vic chuyn t x v x. Nh vy qu
trnh gii BTQHTT theo thut ton n hnh s b treo ti vng lp x x x x. khc
phc hin tng xoay vng c th p dng mt s th tc tnh ton. Cch n gin nht l p
dng quy tc t s dng b nht vi s b sung sau: Nu c nhiu ch s ng vi t s dng b
nht, th chn ngu nhin mt trong cc ch s xc nh hng xoay tng ng.
Trong qu trnh gii BTQHTT (2.3) dng chnh tc khi xut pht t mt phng n cc
bin, bng th tc xoay ta lun chuyn t phng n cc bin ny sang phng n cc bin khc
cho ti khi cc du hiu dng c tha mn (tc l khi tiu chun ti u c tha mn hay khi
kt lun c BTQHTT cho c hm mc tiu khng b chn trn).
3.4. Thut ton n hnh cho bi ton quy hoch tuyn tnh dng chnh tc
27
vi cc rng buc
a11x1 + a12x2 + ... + a1nxn + xn+1
a21x1 + a22x2 + ... + a2nxn
= b1
+ xn+2
= b2
...
am1x1 + am2x2 + ... + amnxn
+ xn+m = bm
Tnh zj =
a
p =1
pj
d p , j = 1,n + m .
T
B
zB = c B B).
Bc 2: Nu tn ti ch s j N sao cho j > 0 th thc hin th tc xoay.
Xc nh ct xoay: chn ct xoay s ng vi mt ch s j c tnh cht j > 0. Thng
thng chn j ng vi j > 0 ln nht, hoc chn ngu nhin.
Xc nh hng xoay q theo quy tc t s dng b nht:
x r (q )
aqs
x
= M in r ( i ) , a is > 0 .
a is
28
Bc kt thc
Ghi li d liu u vo ca BTQHTT v kt qu cui cng. Nu flag = 0 th kt lun
BTQHTT c hm mc tiu khng b chn trn. Cn nu flag = 1 th kt lun BTQHTT c phng
n ti u tm c. Dng.
4. B sung thm v phng php n hnh
4x 1 + 2x 2 60
2x 1 + 4x 2 48
x , x 0.
1 2
a BTQHTT v dng chnh tc nh bit bng cch thm hai bin b (slack variables)
x3 v x4. Ta c BTQHTT dng chnh tc:
Max z = 8x1 + 6x2 +0x3 + 0x4
4x 1 + 2x 2 + x 3 = 60
2x1 + 4x 2 + x 4 = 48
x , x , x , x 0.
1 2 3 4
Lc ny, trong h hai iu kin rng buc c hai bin ng c lp trong tng
phng trnh vi h s +1, nn c th tm c phng n cc bin xut pht bt u qu
trnh gii bi ton.
V d 4. Trng hp c iu kin rng buc vi du hoc =.
29
4x 1 + 2x 2 60
2x 1 + 4x 2 48
x , x 0.
1 2
Ta thm hai bin b x3 (slack variable) mang du +, x4 (surplus variable) mang du c
h iu kin rng buc (mang du =)
4x 1 + 2x 2 + x 3 = 60
2x1 + 4x 2 x 4 = 48
x , x , x , x 0.
1 2 3 4
Phi thm bin gi x5 (x5 gi l lng vi phm ca phng trnh th hai) c h iu
kin rng buc
4x 1 + 2x 2 + x 3 = 60
2x 1 + 4x 2 x 4 + x 5 = 48
x , x , x , x , x 0.
1 2 3 4 5
Lc ny, do c hai bin ng c lp trong tng phng trnh vi h s +1, nn
c th tm c phng n cc bin xut pht bt u qu trnh gii bi ton bng phng
php n hnh vi hm mc tiu l Max z = 8x1 + 6x2 + 0x3 + 0x4 Mx5 , trong M +
v biu thc Mx5 gi l lng pht (nh thu). Bi ton c a v dng chnh tc.
Lng vi phm x5 cng ln th hm mc tiu cng gim, gi tr ca hm mc tiu ch c th
t Max khi x5 = 0.
V d 5. Trng hp c bin khng dng.
4x 1 + 2x 2 + x 3 60
2x 1 + 4x 2 x 4 = 48
x 0, x 0, x 0, x 0.
2
3
4
1
Lc ny mun gii bi ton bng phng php n hnh ta phi i bin x/2 = x2. Ta c
BTQHTT vi cc bin u khng m.
Max z = 8x1 + 6x/2
4x 1 2x 2/ + x 3 60
/
2x1 4x 2 x 4 = 48
/
x1 , x 2 , x 3 , x 4 0.
V d 6. Trng hp c bin vi du tu .
30
4x 1 + 2x 2 60
2x 1 + 4x 2 48
x 0, x c du tu .
2
1
Lc ny ta vit bin x2 di dng x2 = x/2 x//2 vi
x 2/ = max{0, x 2 }
th m bo
//
x 2 = max{0, x 2 }
x 2/ 0
//
x 2 0.
Cc rng buc s l
4x 1 + 2x 2/ 2x 2// + x 3 = 60
/
//
2x 1 + 4x 2 4x 2 + x 4 = 48
/
//
x1 , x 2 , x 2 , x 3 , x 4 0.
Bi ton vi hm mc tiu Max z = 8x1 + 6x/2 6x//2 + 0x3 + 0x4 v cc iu kin rng buc
trn l BTQHTT dng chnh tc.
Kt lun. Bao gi cng a c BTQHTT bt k (cc bin c du tu , cc rng buc c
th , hay =) v dng chnh tc. Bin c du 0 c thay bng mt bin c du 0, bin c
du tu c thay bi hiu ca hai bin u c du 0. Rng buc c a v = bng cch
thm mt bin b (thiu), rng buc a v rng buc = bng cch thm mt bin b (tha) v
mt bin gi, mi rng buc c du = c thm mt bin gi. S bin gi ca BTQHTT dng chnh
tc nhn c chnh l tng s cc rng buc v =.
4.2. Phng php n hnh m rng
4x 1 + 2x 2 60
2x 1 + 4x 2 48
x , x 0.
1 2
(2.4)
4x 1 + 2x 2 + x 3 = 60
2x 1 + 4x 2 x 4 = 48
x , x , x , x 0,
1 2 3 4
(2.5)
31
vi cc rng buc
4x 1 + 2x 2 + x 3 = 60
2x 1 + 4x 2 x 4 + x 5 = 48
x , x , x , x , x 0.
1 2 3 4 5
(2.6)
Cch 1. C th gii BTQHTT vi cc iu kin rng buc (2.4) bng phng php th
nhn c kt qu: phng n ti u l (x1 = 0, x2 = 30) v zmax = 180.
Cch 2. Gii BTQHTT vi cc iu kin rng buc (2.6) bng cch lp bng n hnh nh
thng thng nhng ch h s M + (xem bng II.2).
Ti bng n hnh cui cng, ta thy j 0, j, nn phng n ti u t c vi x2 =
30, x4 = 72, x1 = x4 = x5 = 0 v zmax = 180.
Bng II.2. Cc bng n hnh gii bi ton M
8
x1
x2
x3
x4
x5
60
48
+1
z0 = 48M
z1 = 2M
z2 = 4M
z3 = 0
z4 = M
z5 = M
1 = 8 + 2M
2 = 6+4M
3 = 0
4 = M
5 = 0
H s hm
mc tiu
Bin c s
Phng n
x3
x5
Hng z
Hng j
0
x3
36
1/2
1/2
x2
12
1/2
1/4
1/4
72
3/2
3/2
3/2
M3/2
Hng z
Hng j
0
x4
72
x2
30
1/2
180
12
Hng z
Hng j
Ch
Mt khi mt bin gi c a ra khi c s th khng bao gi quay li na (bn c
hy t chng minh iu ny). Do ta c th xo ct bin gi i khi bng n hnh.
Nu du hiu dng xut hin (j 0, j) nhng vn cn bin gi vi gi tr dng trong
s cc bin c s th iu ny chng t bi ton ban u khng th c phng n kh thi (c th
chng minh iu ny bng phn chng).
Vi v d trn (xem bng II.2) ta thy qu trnh gii chia lm hai pha: pha 1 nhm gii bi
ton M cho ti khi bin gi (x5) c a ra khi tp cc bin c s c c phng n cc
bin xut pht cho BTQHTT vi cc rng buc (2.5) v pha 2 nhm tm phng n ti u cho bi
ton ny.
32
4x 1 + 2x 2 60
2x 1 + 4x 2 48
x , x 0.
1 2
hay:
Max z = 8x1 + 6x2 + 0x3 + 0x4, vi cc rng buc
4x 1 + 2x 2 + x 3 = 60
2x1 + 4x 2 x 4 = 48
x , x , x , x 0.
1 2 3 4
Trc ht cn tr li cu hi BTQHTT dng chun tc trn y c phng n hay khng,
nu c th cn tm mt phng n cc bin xut pht ca n.
Pha 1. Tm mt phng n cc bin xut pht bng cch xt BTQHTT sau y:
Min = x5, vi cc rng buc
4x 1 + 2x 2 + x 3 = 60
2x 1 + 4x 2 x 4 + x 5 = 48
x , x , x , x , x 0.
1 2 3 4 5
(2.7)
33
x1
x2
x3
x4
x5
60
48
+1
0 = 48
1 = 2
2 = 4
3 = 0
4= 1
5 = 1
1 = 2
2 = 4
3 = 0
4 = 1
5 = 0
H s hm mc tiu
Bin c s
Phng n
x3
x5
Hng
Hng j
0
x3
36
1/2
1/2
x2
12
1/2
1/4
1/4
0 = 0
Hng
Hng j
4x 1 + 2x 2 + x 3 = 60
2x 1 + 4x 2 x 4 = 48
x , x , x , x 0.
1 2 3 4
Nhn xt. Kt qu gii v d trn bng phng php n hnh hai pha cng ging vi kt
qu t c khi gii bng phng php n hnh m rng. Tuy nhin, khi s dng phng php
n hnh hai pha, chng ta trnh c s phin phc trong vic khai bo gi tr dng ln ca
tham s M nh trong phng php n hnh m rng.
Bng II.4. Cc bng n hnh gii bi ton pha 2
8
x1
x2
x3
x4
36
1/2
12
1/2
1/4
z0 = 72
z1 = 3
z2 = 6
z3 = 0
z4 =3/2
1 = 5
2 = 0
3 = 0
4 = 3/2
H s hm mc
tiu
Bin c s
Phng n
x3
x2
Hng z
Hng j
0
x4
72
x2
30
1/2
180
12
Hng z
Hng j
34
vi Bnext l ma trn c s bc k + 1.
Bng II.5. Bng n hnh dng tng qut
cTN
cBT
xNT
xBT
B1N
B1B
Hng z
cBT B1N
cBT B1B
Hng j
H s hm mc tiu
Bin c s
cB
Phng n
B1b
xB
Ni dung ca phng php n hnh ci bin (hay cn gi l phng php n hnh dng
1
c da vo cc thng tin cn thit v ti thiu nht c
ma trn nghch o) l vic tnh B next
=6
+ x4
=8
+ x5
=1
+ x6
=2
1
0
B = [a3, a4, a5, a6] =
0
0
1
2
=
1
0 0 0
1 0 0
B1 = I, N = [a1, a2] =
0 1 0
0 0 1
2
1
cNT cBT B1N = [3, 2] [0, 0, 0, 0] I N = [3, 2] = [1, 2].
1
35
Bin c s
0 0 0 0
Phng n
x1
x2
x3 x4 x5 x6
x3
1 0 0 0
x4
0 1 0 0
x5
0 0 1 0
x6
0 0 0 1
Hng z
0 0 0 0
Hng j
0 0 0 0
1 1
0 2
Bnext =
0 1
0 0
0 0 1
0 0 0
=
1 0 0
0 1 0
0 0 0 1 1
1 0 0 0 2
0 1 0 0 1
0 0 1 0 0
0 0
0 0
1 0
0 1
= [1, 2,
[1/2, 1/2, 3/2, 4/2]T = [1/2, 1/2, 1/2, 0]T. D dng kim tra c:
1 1
0 2
VV1 =
0 1
0 0
0 0 1 1 / 2
0 0 0 1 / 2
1 0 0 1 / 2
0 1 0
0
0 0
0 0
=I .
1 0
0 1
36
3,
4]T bi ct
1
0
VV1 =
0
1
2
3
4
0 0 1 1 / 2
0 0 0 1 / 2
1 0 0 3 / 2
0 1 0 4 / 2
1 1 / 2
0 1 /
2
=
0 3 / 2
0 4 / 2
0 0
0 0
= I V1
1 0
0 1
0 0
0 0
.
1 0
0 1
1
B next
1 1 / 2
0 1 / 2
1 1
=V B =
0 1 / 2
0
0
0 0
0 0
.
1 0
0 1
Sau y chng ta tm cch tm tt phng php n hnh ci bin di dng bng (xem
bng II.7). Trc ht, xt bng n hnh bc 1 (bng II.6). Trong bng ny chng ta b i hng
zj, b i cc ct tng ng vi cc bin ngoi c s x1 v x2 th c bng II.7. Cn thm vo mt
hng mi cBT B1 v mt ct mi c cc phn t u bng 0, tr phn t cui bng 1. Ngoi ra,
vit thm vo ct xoay ng vi bin s a vo c s. Lc u, ma trn c s B l ma trn n
v nn B1 B. Xt ma trn B 1 (c l ma trn B1 bao), thu c t B bng cch thm vo ct
mi v cc phn t tng ng ca hng j.
Bng II.7. Bng n hnh ci bin bc 1
H s hm mc tiu cB
Bin c s
0
0
0
0
x3
x4
x5
x6
z = cBT xB = 0
B1
Phng n
6
8
1
2
Hng cBT B1
B1
1
0
0
0
0
1
0
0
0
0
1
0
Ct mi
Ct (x1)
0
0
0
1
0
0
0
0
1
2
1
0
0 0 0 0
37
1
2
A = 1
0
3
2 1 0 0 0
1
2
1 0 1 0 0
1 0 0 1 0 [1,2] = [0, 0, 0, 0, 1] 1
1 0 0 0 1
0
3
2 0 0 0 0
2
1
1 =[3, 2].
1
2
a2
= [3, 2].
c2
Bin c s
Phng n
0
3
0
0
x3
x1
x5
x6
2
4
5
2
z = cBT xB = 4/3
B1
B1
Ct (x2)
0
0
0
1
0
0
0
0
3/2
1/2
3/2
1
3/2 0 0
1/2
1 1/2
0 1/2
0 1/2
0
0
Hng cBT B1
Ct mi
0
0
1
0
= [0, 3/2, 0, 0, 1] 1
1
2
a4
c4
0
1
0 =[1/2, 3/2].
0
0
0
0
38
0 0 2 3 / 2
0 0 1 1 / 2
=
.
1 0 1 3 / 2
0 1 1 1
Bin c s
B1
Phng n
Ct
B1
Ct mi
x2
4/3
2/3 1/3 0 0
x1
10/3
1/3
2/3 0 0
x5
x6
2/3
2/3
1/3 0 1
Hng cBT B1
1/3
4/3 0 0
z = cBT xB = 38/3
= [1/3, 4/3, 0, 0, 1] 0
0
0
a4
c4
0
1
0 = [1/3, 4/3].
0
0
39
bin ngoi c s theo cng thc: N = cNT cBT B1N = [ cBT B1, 1] N .
t k := 1.
Cc bc lp (bc lp th k)
40
Bi tp chng II
Bi 1. Xt BTQHTT dng Max:
Min z = 3x1 x2
vi cc iu kin rng buc
x1 2x2 4
x1 + x2 8
4x1 + 2x2 20
4
x1
x2 4
x1, x2 0.
a. Hy gii bi ton bng phng php th.
b. Hy gii bi ton bng phng php n hnh.
Bi 3. Xt BTQHTT dng Max:
41
Min z = 2x1 + x2 x3 x4
vi cc iu kin rng buc
x1 x2 + 2x3 x4 = 2
2x1 + x2 3x3 + x4 = 6
x1 + x2 + x3 + x4 = 7
x1, x2, x3, x4 0.
a. Hy gii bi ton bng phng php n hnh m rng (phng php M).
b. Gii bi ton bng phn mm Excel hay phn mm Lingo.
Bi 5. Xt BTQHTT dng Min:
12
+ 4x3 6
x1
x2
x3 = 2
x1, x2, x3 0.
a. Hy a bi ton v dng chnh tc.
b. Hy gii bi ton bng phng php n hnh m rng (phng php M).
c. Hy gii bi ton bng phng php n hnh hai pha.
d. Gii bi ton bng phng php n hnh ci bin.
e. Gii bi ton bng phn mm Excel hay phn mm Lingo.
Bi 6. Xt BTQHTT dng Max:
Max z = x1 + x2
vi cc iu kin rng buc
x1 +
x2 + x3
x1 2x2
=1
+ x4
x1 + 2x2
=0
+ x5 = 3
42
b. Hy vit cng thc s gia hm mc tiu cho phng n trn v cho bit phng n
cho c phi l phng n ti u khng?
c. Nu phng n cho khng phi l phng n ti u, hy thc hin th tc xoay v
cho bit ma trn c s bc tip theo. Tm s gia hm mc tiu tng ng.
d. Gii thch ti sao bi ton trn c hm mc tiu khng b chn trn?
Bi 7. Xt BTQHTT dng chnh tc. Gi s chng ta bit mt phng n ti u ca n l x*
v B l ma trn c s tng ng vi x*. Chng minh rng nu tn ti ch s j JN sao
cho: cj cBB1aj = 0 th bi ton cho c v s phng n ti u. Hy chn mt v d
n gin minh ha trng hp trn.
Bi 8. Hy kim tra li kt qu ca v d 3 chng I (Bi ton quy hoch s dng t trn a bn
x ng D, huyn Gia Lm, tnh H Ni) bng phn mm Excel hay Lingo.
Bi 9. Hy lp chng trnh my tnh bng ngn ng Pascal hay ngn ng C gii BTQHTT
dng chnh tc theo thut ton n hnh gii BTQHTT c pht biu ti mc 3.4 ca
chng II.
Bi 10. Hy pht biu thut ton hai pha v lp chng trnh my tnh bng ngn ng Pascal hay
ngn ng C gii BTQHTT dng tng qut. Chy kim th chng trnh trn mt s v
d bit.
43
Chng III
Bi ton i ngu v mt s ng dng
44
Cc bin y1, y2, ..., ym c gi l cc bin i ngu. Trong trng hp ny, do bi ton gc
c m rng buc, nn bi ton i ngu c m bin i ngu. Bin i ngu yi tng ng vi rng
buc th i ca bi ton gc.
1.2. ngha ca bi ton i ngu
V d 1. Xt bi ton gc
x2 + 2x3 40
x1 + 3x2 + 2x3 80
x1, x2, x3 0.
Cn tm cc gi tr ca cc bin quyt nh x1, x2, x3 cc rng buc c tho mn v
hm mc tiu t gi tr ln nht.
Bi ton ny c ngha kinh t nh sau: Gi s mt x nghip sn xut ba loi sn phm I,
II v III. sn xut ra mt n v sn phm I cn c 3 n v nguyn liu loi A, 2 n v
nguyn liu loi B v 1 n v nguyn liu loi C. Cc ch tiu cho mt n v sn phm loi II
l 4, 1 v 3. Cn cho n v sn phm loi III l 2, 2 v 2. Lng nguyn liu d tr loi A v B
hin c l 60, 40 v 80 (n v). Hy xc nh phng n sn xut t li nhun ln nht, bit li
nhun / n v sn phm bn ra l 2, 4 v 3 (n v tin t) cho cc sn phm loi I, II v III.
Gi s c mt khch hng mun mua li cc n v nguyn liu loi A, B v C. Bi ton
t ra l cn nh gi cc n v nguyn liu. R rng rng gi cc nguyn liu c quy nh bi
gi tr ca sn phm m chng to nn. Nu cc sn phm ny mang li li nhun ln trn th
trng th gi c nh ca cc nguyn liu ny phi cao, cn nu tri li th gi c nh ca
chng l thp. Mt khc, li nhun ca cc sn phm thu c trn th trng li ph thuc vo
nhiu yu t nh: gi c cc sn phm c bn trn th trng ( c th trng chp nhn),
lng d tr nguyn liu hin c, h s chi ph sn xut
Nh vy, gi c nh ca cc nguyn liu A, B v C ph thuc vo:
H s hm mc tiu ca bi ton gc: c1 = 8, c2 = 4 v c3 = 63.
Ma trn rng buc cc h s chi ph sn xut:
45
3 4 2
A = 2 1 2 .
1 3 2
46
vi cc rng buc:
vi cc rng buc:
3y1 + 2y2 + y3 2
(3.1)
x1 + 3x2 + 2x3 80
x1, x2, x3 0
4y1 + y2 + 3y3 4
(3.2)
y1, y2, y3 0
(3.1)
..., xn 0 .
47
Ch . Cc quy tc vit bi ton i ngu tng qut trn y c p dng khi bi ton gc
cho l BTQHTT dng Max. Trong mc 1.4 (tnh cht 1) ngay tip theo, chng ta s m rng
cc quy tc ny cho BTQHTT dng Min. Bng III.2 sau y cho bit cch vit bi ton i ngu
trong mt trng hp c th.
Bng III.2. Vit bi ton i ngu cho bi ton gc dng Max
Bi ton gc (BTG)
vi cc rng buc:
vi cc rng buc:
3y1 + 2y2 + y3 2
(3.3)
x1 + 3x2 + 2x3 80
x1 0, x2 0, x3 du tu .
4y1 + y2 + 3y3 4
(3.4)
y1 0, y2 du tu , y3 0.
(3.3)
Tnh cht ny c th c chng minh mt cch tng qut. Tuy nhin, trnh by vn
n gin, hy xt bi ton gc sau:
Max z = 2x1 + 4x2 + 3x3
vi cc rng buc
3x1 + 4x2 + 2x3 60
2x1 +
x2 + 2x3 40
x1 + 3x2 + 2x3 80
x1, x2, x3 0.
Lc , bi ton i ngu l:
Min u = 60y1 + 40y2 + 80y3
vi cc iu kin rng buc:
3y1 + 2y2 + y3 2
4y1 + y2 + 3y3 4
2y1 + 2y2 + 2y3 3
y1, y2, y3 0.
48
hay:
Max t = 60y1 40y2 80y3
vi cc iu kin rng buc
3( y1) + 2( y2 ) + ( y3) 2
4( y1) + ( y2 ) + 3( y3) 4
2( y1) + 2( y2 ) + 2( y3) 3
y1, y2, y3 0.
Chng ta i tm bi ton i ngu cho BTQHTT trn theo cc quy tc bit, vi cc bin
i ngu c k hiu l x1, x2 v x3.
Min v = 2x1 4x2 3x3
vi cc rng buc
3x1 4x2 2x3 60
2x1
x2 2x3 40
x1 3x2 2x3 80
x1, x2, x3 0.
t z = v, d thy rng y chnh l bi ton gc cho ban u:
Max z = 2x1 + 4x2 + 3x3
vi cc rng buc:
3x1 + 4x2 + 2x3 60
2x1 +
x2 + 2x3 40
x1 + 3x2 + 2x3 80
x1, x2, x3 0.
Bng III.3. Vit bi ton i ngu cho bi ton gc dng Min
Bi ton gc (BTG)
vi cc rng buc:
3x1 + 2x2 + x3 2
4x1 + x2 + 3x3 4
y2 + 2y3 = 40
(3.6)
y1 + 3y2 + 2y3 80
2y1 +
(3.6)
y1 0, y2 0, y3 du tu .
(3.5)
49
Bin c s
Phng n
c1 = 2
c2 = 4
c3 = 3
c4 = 0
c5 = 0
c6 = 0
x1
x2
x3
x4
x5
x6
1/3
1/3
1/3
x2
x3
16 32
5/6
1/6
2/3
x6
26 32
5/3
2/3
1/3
76 32
23/6
5/6
2/3
11/6
5/6
2/3
Hng z
Hng j
6 32
50
Bin
c s
Phng
n
60
40
80
yB
y1
y2
y3
y4
y5
y6
y7
y8
y9
y7
y8
y9
9M
9M
5M
6M
60
9M
40
5M
80
6M
Hng uj
Hng j
60
y1
2/3
2/3
1/3
1/3
1/3
y8
4/3
5/3
5/3
4/3
4/3
y9
5/3
2/3
4/3
2/3
2/3
40+3M
60
40
M
20
+3M
20
+2M
20
2M
60
3M
20
2M
20
Hng uj
Hng j
+3M
60
y1
1/4
3/4
1/4
1/4
y4
5/4
5/4
3/4
3/4
y9
3/2
1/2
1/2
1/2
60+M
60
15+
45+
15
3M/2
M/2
15
M/2
25
3M/2
35
M/2
15
M/2
15+
Hng uj
Hng j
+M/2
3M/2
60
y1
5/6
2/3
1/3
1/6
1/3
1/6
y4
11/6
5/3
1/3
5/6
1/3
5/6
40
y2
2/3
1/3
1/3
2/3
1/3
2/3
76 32
60
40
53 13
6 32
16 32
6 32
16 32
26 32
6 32
16 32
M
6 32
M
16 32
Hng uj
Hng j
Tnh cht ny c minh ho r trong cc bng III.4 v III.5. Lc ny, z(x*) = u(y*) =
76 32 . V mt ngha kinh t, tnh cht ny ch ra rng tng chi ph thp nht phi b ra nu
51
Trc ht, chng ta hy minh ho tnh cht ny qua v d 2. T bng III.4 ta thy x1 = 0,
x 2 = 6
2
2
5
2
, x 3 = 16 . Cn bng III.5 cho bit y 1 = , y 2 = , y 3 = 0.
3
3
6
3
i vi bi ton gc ta c
3 x1 + 4 x 2 + 2 x 3 = 60 (tho mn cht)
(3.7)
2 x1 +
(3.8)
x 2 + 2 x 3 = 40 (tho mn cht)
2
> 0 (tho mn khng cht)
3
x 3 = 16
2
> 0 (tho mn khng cht).
3
(3.9)
(3.10)
(3.11)
(3.12)
Cn i vi bi ton i ngu ta c
3 y 1 + y 2 +
4 y 1 +
y 2 + 3 y 3 = 4 (tho mn cht)
(3.11)
2 y 1 + 2 y 2 + 2 y 3 = 3 (tho mn cht)
(3.12)
y 1 =
5
> 0 (tho mn khng cht),
6
(3.7)
y 2 =
2
> 0 (tho mn khng cht),
3
(3.8)
y 3 = 0 (tho mn cht).
52
(3.10)
(3.9)
5
6
5
6
, y 2 =
2
3
, y 3 = 0 c th tm
x1
x
x = 2 ,
...
x n
b1
b
b= 2,
...
bm
y1
y
y= 2 ,
...
ym
53
a11
a
A = 21
...
a m1
a12
a 22
...
am 2
... a1n
... a2n
l ma trn h s cc iu kin rng buc.
... ...
... amn
2.1. nh l i ngu yu
nh l 1. Vi mi phng n x ca bi ton gc v vi mi phng n y ca bi ton i
ngu ta lun c z(x) u(y). Hn na, nu tn ti hai phng n x* ca bi ton gc v y* ca bi
ton i ngu sao cho z(x*) = u(y*) th x* chnh l phng n ti u ca bi ton gc, cn y* l
phng n ti u ca bi ton i ngu.
Chng minh
T Ax b, x 0 v AT y c, y 0 suy ra yT(Ax b) 0 hay yTAx yTb. Mt khc:
xT(ATy c) 0 xTAy xTc yATx = (xTAy)T (xTc)T = cTx. Vy yTb yTAx cTx. Do
u(y) z(x) vi mi phng n x v y ca cp bi ton i ngu.
chng minh phn sau ca nh l, gi s x* l phng n ca bi ton gc, cn y* l
phng n ca bi ton i ngu vi z(x*) = u(y*). Cn chng minh x* v y* l cc phng n
ti u ca cp bi ton i ngu. Gi s x* khng l phng n ti u ca bi ton gc th phi
tn ti phng n x ca bi ton gc sao cho z(x*) < z(x). T ta c u(y*) < z(x), mu thun vi
phn u ca nh l (pcm).
Nh vy, tnh cht 2 ca cp bi ton i ngu c chng minh.
2.2. nh l i ngu mnh
nh l 2. Nu x* l phng n ti u ca bi ton gc, cn y* l phng n ti u ca bi
ton i ngu th z(x*) = u(y*).
Chng minh
Trc ht xt bi ton gc: Max z = cTx, vi x D = {x Rn: Ax b, x 0}, c th a
c v dng chnh tc bng cch s dng cc bin b. Vi k hiu vc t bin b l xS, bi ton
gc dng chnh tc c vit nh sau: Max z = cT x vi cc rng buc Ax + IxS = b, x T = (xT,
xST) 0, trong c T = (cT , cST ) vi cS l vc t 0.
K hiu A = [A I], bi ton gc dng chnh tc c vit li di dng sau:
Max z = cT x , vi cc rng buc: A x = b, x 0.
V d 3. hnh dung vic chng minh c th hn, chng ta xt li BTQHTT v d 1,
chng II.
54
= 60
+ x4 = 48
x1 , x2, x3, x4 0.
Phng n ti u ca bi ton trn l ( x 1 , x 2 , x 3 , x 4 )T = (12, 6, 0, 0)T.
Bi ton i ngu: Min u = 60y1 + 48y2
vi cc rng buc
4y1 + 2y2 8
2y1 + 4y2 6
y1, y2 0.
Phng n ti u ca bi ton i ngu l ( y 1 , y 2 )T = (5/3, 2/3)T.
Nh vy, trong v d 3 ta c x T = (xT, xST) = (x1, x2, x3, x4) vi xT = (x1, x2),
xST = (x3, x4), c = (cT, cST) = (c1, c2, c3, c4)T vi c = (c1, c2)T = (8, 6)T , cST = (c3, c4)T = (0, 0)T v
A = [A
4 2 1 0
I] =
.
2 4 0 1
2
4
1
0
a1= , a2 = , a3 = , a4 = .
4
2
0
1
Vn s dng cc k hiu mc 3 chng II, chng ta c A = [N B] v c = [ cNT , cBT ].
Do = [N , B] = [ cNT cBT B 1N, cBT cBT B 1B] vi N = cNT cBT B 1N v B = cBT
0, j cBT B 1 a j c j , j = 1,n + m
cBT B 1 a j c j ,j = 1,n cBT B 1A cT
( cBT B 1A)T = AT( cBT B 1)T c.
t y = ( cBT B 1)T th AT y c. Chng ta s ch ra rng y l phng n ca bi ton i
ngu: Min u = bTy, vi cc rng buc AT y c, y 0. Do y tho mn iu kin AT y c, ch cn
55
cn
chng
minh
0.
Tht
vy,
do
cBT B1 a j
c j,
z(x*)
u(y*)
u(y)
2.3. nh l lch b
nh l 3. Gi s x* v y* l cc phng n ti u ca cp bi ton i ngu. Lc (x*,
y*) tho mn h
y T (Ax b) = 0,
T
T
x (c A y) = 0.
Chng minh
Vi x = x* v y = y*, theo nh l 2 ta c z(x) = u(y) hay yTb = bTy = cTx = xTc. Mt khc:
yTAx = xTATy
56
4 2 x1 60
(y1, y2)
= 0 (y1, y2)
2 4 x 2 48
4x1 + 2x 2 60
2x + 4x 48 = 0
2
1
8 4 2 y 1
xT(cT ATy) = 0 (x1, x2)
= 0
6 2 4 y 2
8 4y1 + 2y 2
(x1, x2)
= 0 x1(8 4y1 2y2) + x2 (6 2y1 4y2) = 0.
6 2y1 + 4y 2
Do 4y1 + 2y2 8, 2y1 + 4y2 6, x1 0 v x2 0 nn nu 4y1 + 2y2 > 8 th x2 = 0, cn nu
x1> 0 th 2y1 + 4y2 = 6 ... Tht vy, do x 1 = 12 > 0 nn ta c 4 y 1 + 2 y 2 = 8, do x 2 = 6 > 0 nn
ta c 2 y 1 + 4 y 2 = 6.
3. Thut ton n hnh i ngu
Trc ht, chng ta trnh by thut ton thng qua mt v d minh ha thy c mi
lin quan gia cp bi ton i ngu, ng thi nm c bn cht ca phng php n hnh i
ngu.
V d 4. Xt cp bi ton i ngu.
Bi ton gc:
Min z = 3x1+ 2x2
vi cc rng buc
x1 + 2x 2 4
x1 + x 2 3
2x 1 + x 2 4
x , x 0.
1 2
Nu gii trc tip bi ton trn bng phng php n hnh, th cn a bi ton v dng
chnh tc vi 8 bin (thm ba bin b tha v ba bin gi). Mt phng php khc nh bit
57
y 1 + y 2 + 2y 3 3
2y 1 + y 2 + y 3 2
y , y , y 0.
1 2 3
Vit bi ton i ngu di dng chnh tc:
Max u = 4y1+3y2+ 4y3 + 0y4 + 0y5
vi cc rng buc
y 1 + y 2 + 2y 3 + y 4 = 3
2y1 + y 2 + y 3 + y 5 = 2
y , y , y , y , y 0.
1 2 3 4 5
Cch 1. Gii bi ton i ngu bng phng php n hnh. Kt qu c cho trong bng
III.6. Theo tnh cht 5 ca cp bi ton i ngu, ta c phng n ti u ca bi ton gc l x 1 =
1, x 2 = 2 vi zmin = 7.
Bng III.6. Gii bi ton i ngu
H s
hm mc tiu
0
0
uj
y3
y5
y3
y1
/j
4
3
uj
/
j
c3 = 4
c4 = 0
c5 = 0
y1
y2
y3
y4
y5
3
2
1
2
1
1
2
1
1
0
0
1
0
4
0
3
0
4
0
0
0
0
3/2
1/2
1/2
3/2
1/2
1/2
1
0
1/2
1/2
0
1
2
2
2
1
4
0
2
2
0
0
4/3
1/3
0
1
1/3
1/3
1
0
2/3
1/3
1/3
2/3
20/3
4
0
8/3
1/3
4
0
4/3
4/3
4/3
4/3
1
1
1
3
0
1
1
0
1
1
1
2
5
1
3
0
4
0
1
1
2
2
y4
y5
/
j
4
4
uj
c2 = 3
Phng n
/
j
4
0
uj
c1 = 4
Bin c s
y3
y2
58
x 1 x 2 + x 4 = 3
2x1 x 2 + x 5 = 4
x , x , x , x , x 0.
1 2 3 4 5
Ni dung tm tt ca phng php n hnh i ngu: Trong phng php n hnh,
chng ta dch chuyn dn t phng n kh thi, tc l xj 0, j nhng iu kin j 0, j cha
c tho mn, ti phng n ti u, tc l xj 0 v j 0, j. Trong phng php n hnh i
ngu, chng ta dch chuyn dn t phng n khng kh thi (nhng i ngu kh thi), tc l iu
kin xj 0,j khng c tho mn nhng lun c j 0, j, ti phng n ti u, tc l c xj
0 v j 0, j. Minh ha hnh hc ca vn ny s c trnh by mc 1, chng IV, trong
phn phng php ct Gomory gii BTQHTT nguyn.
Quy trnh gii bi ton gc dng chun tc trn y bng phng php n hnh i ngu
c m t trong bng III.7.
Bng III.7. Gii bi ton gc bng phng php n hnh i ngu
3
x1
x2
x3
x4
x5
4
3
4
1
1
2
2
1
1
1
0
0
0
1
0
0
0
1
0
3
0
2
0
0
0
0
0
0
2
1
2
0
0
1
3/2
1/2
1/2
1
0
0
0
1
0
1/2
1/2
1/2
3
0
3/2
1/2
0
0
0
0
3/2
3/2
4/3
1/3
4/3
0
0
1
1
0
0
2/3
1/3
1/3
0
1
0
1/3
1/3
2/3
20/3
4
0
2
0
1/3
1/3
0
0
4/3
4/3
2
1
1
0
0
1
1
0
0
0
1
0
2
3
1
1
1
1
3
0
2
0
0
0
1
1
1
1
H s
hm mc tiu
Bin c s
Phng n
0
0
0
x3
x4
x5
zj
j
0
0
3
x3
x4
x1
zj
j
2
0
3
x2
x4
x1
zj
j
2
0
3
zj
j
x2
x3
x1
Sau y l khung thut ton ca phng php n hnh i ngu c pht biu cho
BTQHTT: Min z = cTx, vi x D = {x Rn: Ax = b, x 0}.
59
Bc khi to
c:
x1
x 2
x 3
x 4
x
5
= 4/
=
/
5
/
1
/
2
= 3/
y1
y 2
v y 3
y
4
y 5
= 3
= 4
= 5
= 1
= 2 .
x1
x 2
x 3
x 4
x
5
60
= 4/ = 0
y1
= = 0
y 2
/
= 1 = 4 v y 3
y
= 2/ = 3
4
= 3/ = 4
y 5
/
5
= 3 = 0
= 4 = 0
= 5 = 0
= 1 = 3
= 2 = 2.
Vic thc hin gii bi ton gc bng phng php n hnh i ngu theo bng III.7
thc cht l vic gii bi ton i ngu bng phng php n hnh. iu ny cng gii thch l
do ti sao khi thc hin th tc xoay ca phng php n hnh i ngu cn trc ht xc nh
hng xoay ri sau mi xc nh ct xoay.
3.2. C s ca phng php n hnh i ngu
B], x =
T T
B
cBT B 1 A c T ,
(3.13)
cBT B1 A
x B = B1b 0.
Chng ta kim tra li cc bc ca thut ton n hnh i ngu bit trn (bn c t
i chiu vi bng III.7). Gi s, x = (x NT , x BT )T l mt phng n i ngu kh thi, tc l cc
vc
ct
a j,j
JB,
ngu
chp
nhn.
Do
(3.13)
nn
x 3 1 0 0 4 4
x B = x 4 = 0 1 0 3 = 3 .
x 5 0 0 1 4 4
Nu x B = B1b 0 cha c tha mn th tn ti x q < 0 vi q JB (nh trong v d 4,
bng III.7). Lc chng ta cn thc hin th tc xoay.
Trng hp 1: j J (J l tp cc ch s ca cc vc t ct ca ma trn A ), x qj 0.
iu ny c ngha l tt c cc ta th q ca cc vc t B1 a j ,j J u khng m. Chng ta
s ch ra rng bi ton gc khng c phng n, hay bi ton i ngu c hm mc tiu khng b
chn trn. Xt vc t y = ( cBT B 1)T. D dng chng minh c y ng l phng n ca bi
ton i ngu. Tht vy, theo (3.13) ta c:
61
A Ty c .
(3.14)
x
jJ
qj
khng m th y l iu v l v x qj , x j 0, j J.
Trng hp 2: j J sao cho x qj 0. Ta chn ct xoay theo quy tc t s m ln nht,
tc l chn ch s s sao cho:
s
= M in j .
x qs x qj <0 x qj
Tip tc thc hin th tc xoay nh pht biu trong thut ton n hnh i ngu, chng
ta s chuyn c sang phng n i ngu kh thi mi (bn c t chng minh). Trong phng
n mi x s s l bin c s thay ch cho bin x q.
V mi phng n i ngu kh thi tm c trong qu trnh gii tng ng vi mt ma
trn c s B trong mt phn r no A = [N B], nn s phng n i ngu kh thi c xem
xt l mt s hu hn. Do , sau mt s hu hn bc, chng ta s kt thc vic gii BTQHTT
bng phng php n hnh i ngu.
4. Bi ton vn ti
4.1. Pht biu bi ton vn ti
62
Lng hng
im cu
Lng hng
5000
6000
6000
4000
2500
2000
Tng
13500
1500
Tng
13500
Ni i
Cu 2: 4000
Cu 3: 2000
Cu4: 1500
Cung 1: 5000
Cung 2: 6000
Cung 3: 2500
Tng: 13500
Ta cn tm phng n phn hng vo cc (i, j) sao cho tng theo hng hay ct u khp
vi cc lng cung, cu v tng chi ph vn ti l nh nht. Mi (i, j) biu din mt cung ng
vn chuyn hng t im cung i v im cu j.
Cc phng php to phng n xut pht
C mt s phng php to phng n xut pht. Ta nghin cu hai phng php sau y.
Phng php "gc ty bc"
63
5000
7
1000
2
4000
1000
5
1000
1500
2
1000
4000
5
2500
2
2000
5
1500
5
2500
64
Bi ton vn ti cng l BTQHTT. Trong v d ang xt, nu k hiu xij l lng hng
cn c vn chuyn trn cung ng (i, j), chnh l lng hng cn in vo (i, j), th chng ta
BTQHTT sau:
3
= 5000
x21 + x22 + x23 + x24
= 6000
x31 + x32 + x33 + x34 = 2500
x11
+ x21
x12
+ x31
+ x22
x13
= 6000
+ x32
+ x23
x14
(3.15)
= 4000
+ x33
+ x24
= 2000
+ x34 = 1500
1
0
A = 1
0
0
0
1
0
0
0
1
0
0
1
0
0
0
0
1
0
1
0
0
0
0
0
1
0
1
0
1
0
0
0
0
1
0
0
1
0
0
0
1
0
0
0
1
0
0
1
0
0
0
0
1
0
0
1
1
0
0
0
0
0
1
0
1
0
0
0
0
1
0
0
1
0
0
0
1
0
0
0
1
65
a = b
i =1
j =1
, tc
Min z =
c x
i =1 ij =1
ij
ij
vi cc rng buc
n
x
j =1
ij
= a i , i = 1,m
ij
= b j , j = 1,n
x
i =1
x ij 0, i = 1,m, j = 1,n .
4.2. Cc tnh cht ca bi ton vn ti
Tnh cht 1. Bi ton vn ti cn bng thu pht lun c phng n ti u.
Chng minh
Chng ta ch ra rng bi ton vn ti cn bng thu pht lun c phng n xut pht (tm
c chng hn bng phng php gc ty bc nh trong v d 5 v bng III.10). Hn na, ng
vi mi phng n vn ti th hm mc tiu (hay tng chi ph vn ti tng ng) lun lun b
chn di bi 0. Theo nhn xt cui mc 2.2, i vi mt BTQHTT ch c th xy ra ba trng
hp: i) bi ton c phng n ti u, ii) bi ton khng c phng n v iii) bi ton c phng
n nhng hm mc tiu khng b chn. T suy ra, bi ton vn ti cn bng thu pht lun c
phng n ti u (pcm).
nghin cu tnh cht 2 ca bi ton vn ti, trc ht chng ta xem xt cc nh ngha
sau y.
nh ngha 1. Mt tp hp cc trong bng vn ti c ni l to nn mt chu trnh khp
kn nu c th tm c mt ng i khp kn xut pht t mt no thuc tp hp trn li
tr v xut pht sau khi ln lt i qua cc khc trong tp hp (mi i qua ng mt ln)
dc theo cc hng hay cc ct ca bng vn ti, bc ny theo hng th bc sau phi theo ct
hoc ngc li. Nh vy, s ti thiu trong mt chu trnh khp kn l 4.
66
Chng minh
Trc ht ta i chng minh chiu ngc li, tc l nu tp hp gm mt s ca bng vn
ti khng tho mn gi thit ca tnh cht 2 (t mt s trong s chng c th to nn c mt
chu trnh khp kn no ) th cc vc t ct ca ma trn A tng ng vi cc trn l cc vc t
ph thuc tuyn tnh
hnh dung c th hy xt li v d 5 v cc vc t ct tng ng vi cc (1,1), (1,2),
(2,2), (2,1) to nn mt chu trnh khp kn l A11, A12, A22 v A21. D thy rng vc t ny ph
thuc tuyn tnh v rng A11 A12 + A22 A21 = 0. Hn na, nu c b sung vo 4 trn y mt
s na to thnh mt tp hp mi th cc vc t ct tng ng vi cc ca tp hp ny
cng ph thuc tuyn tnh v chng cha mt tp con cc vc t ph thuc tuyn tnh. Vi cc
to nn mt chu trnh khp kn bt k chng ta cng c lp lun tng t.
By gi chng ta i chng minh nu tp hp gm mt s ca bng vn ti khng to nn
c mt chu trnh khp kn no th cc vc t ct ca ma trn A tng ng vi cc trn l cc
vc t c lp tuyn tnh. hnh dung c th, xt v d 5 v cc (1, 1), (2, 1), (2, 2), (2, 3), (3,
3) v (3, 4) khng to nn c mt chu trnh khp kn no trong bng III.10. Cn phi ch ra
rng cc vc t ct tng ng A11, A21, A22, A23, A33 v A34 ca ma trn A, l c lp tuyn tnh.
Xt ng thc vc t sau:
11 A 11 + 21 A 21 + 22 A 22 + 23 A 23 + 33 A 33 + 34 A 34 = 0 .
(3.16)
67
Chng minh
Cho A l ma trn cc h s rng buc ca bi ton vn ti, trc ht chng ta i chng
minh: hng A = hng A = m + n 1. Tht vy, do bi ton vn ti lun c phng n nn hng A
= hng A . Chng ta cn phi ch ra rng: hng A = hng A = m + n 1. hnh dung c th, xt
li v d 5 vi h rng buc (3.15) gm 7 phng trnh. Ta thy ngay, phng trnh u l h qu
ca 6 phng trnh sau. T h rng buc, sau khi b bt i phng trnh u, c th biu din
c:
x 21
x 31
x11
x12
x
13
x14
= a2 (x 22 + x 23 + x 24 )
= a3 (x 32 + x 33 + x 34 )
= b1 (x 21 + x 31 )
= b2 (x 22 + x 32 )
= b3 (x 23 + x 33 )
= b4 (x 24 + x 34 ).
Nh vy, trong h phng trnh rng buc cho c th coi 6 bin x21, x31, x11, x12, x13 v
x14 l cc bin c s, cc bin cn li l bin ngoi c s. Do hng A = hng A = 6. Trong bi
ton vn ti tng qut, c th chn cc bin x21, x31, ..., xm1, x11, x12, x13, ...v x1n l cc bin c s.
Vy ta c hng A = hng A = m + n 1.
Do hng A = m + n 1, nn mt phng n cc bin ca bi ton vn ti c cc bin c s
ng vi m + n 1 vc t ct c lp tuyn tnh ca ma trn A. Vy tnh cht 3 c suy ra t tnh
cht 2.
Xt v d 5 v cc bng III.10, bng III.11. Cc phng n xut pht to nn bng phng
php gc ty bc hay phng php cc ph cc tiu l cc phng n cc bin v cc s
dng ca chng khng to nn chu trnh khp kn no.
4.3. Phng php phn phi gii bi ton vn ti
Chng ta c th p dng phng php nhy trn (tm dch t Stepping Stone Method),
hay chnh thc hn cn gi l phng php phn phi (Distribution Method) gii bi ton vn
ti.
Phng php nhy trn l mt quy trnh tnh ton nhm tng bc ci thin phng
n vn ti c cui cng tm c phng n vn ti ti u.
Xc nh hiu sut ca cc cha s dng
68
ao. Xt mt (i, j) bt k cha s dng trong phng n c. Ta cn tnh hiu sut eij (e l vit tt
ca t effect) ca (i, j) theo cc bc sau:
u tin ta cn tm mt ng i c tnh cht: i qua ng mt cha s dng l (i, j)
( xut pht) v mt s s dng khc, mi bc phi i theo hng hoc theo ct xen k nhau
(khng c i lin hai bc trn mt hng hay mt ct) cui cng quay v (i, j). iu ny
ging nh ang trn thuyn, mun ra khi thuyn m khng t ta phi nhy qua cc hn
nh ln trong ao cui cng li quay v thuyn (v vy phng php c tn l phng php
nhy trn ). Mt iu th v na l con ng nhy trn cc hn nh vy l duy nht.
Tm li xut pht t (1, 2) chng hn, ta s c ng i nh sau: (1, 2) (2, 2) (2, 1)
(1, 1) (1, 2). Trn ng i ny ch duy nht c mt cha s dng (xem bng III.12).
Bng III.12. Tnh hiu sut cc cha s dng
3
5000
6000
1000
4000
1000
4
2500
1000
1500
2000
1500
5000
( 7)
6000
( 2)
4000
13500
69
500
6000
2500
5000
7
1000
2
( 5)
3000
5
2000
4
1000
6000
4000
1500
2000
1500
13500
e13 = 7 2 + 7 3 = +19;
e14 = 6 5 + 5 5 + 7 3 = +5;
e24 = 3 5 + 5 5 = 2;
e31 = 2 7 + 5 5 = 5;
e33 = 4 5 + 5 2 = +2.
70
5000
5000
7
4000
2
5
0
6000
4000
6000
2000
4
1000
( 2)
2500
1500
2000
1500
13500
( 4)
5000
5000
7
2
2500
5
1000
6000
3
2000
4
1500
4000
6000
1500
5
2000
2500
1500
13500
2
3500
5000
6000
1500
5
2500
2000
4
1500
5
2500
2500
6000
4000
2000
1500
13500
71
Phng php nhy trn hay phng php phn phi c mt nhc im l vic tnh
hiu sut ca cc kh di dng. V vy, ta s nghin cu phng php th v nhm tnh cc hiu
sut eij ngn gn hn.
Xt phng n xut pht tm c bng phng php cc ph cc tiu cho trong bng
III.17 (vi tng chi ph vn ti l 42000).
Bng III.17. Phng n vn ti xut pht
3
2
1000
5000
6000
4000
5
2500
2
2000
5
1500
5
2500
2500
6000
4000
2000
1500
13500
Ta c e13 = 7 2 + 7 3 = +9. Ta tm cch tnh e13 bng cch khc nhanh hn nh trnh by
sau y.
Trc ht cn xy dng h thng s th v hng v ct {ui, vj}, trong ui vi
i = 1, 2, 3 l cc th v hng, cn vj vi j = 1, 2, 3, 4 l cc th v ct. C th gn cho mt th v
bt k gi tr 0 (hoc mt gi tr bt k khc), th v ny thng c chn hng hay ct c
nhiu s dng nht. Chng hn chn u2 = 0. Cc th v khc c tnh bi cng thc:
ui + vj = cij , (i, j) s dng.
Chn u2 = 0 v1 = 7 (= c21 u2);
u1 = 4 (= c11 v1);
v3 = 2 (= c23 u2);
u3 = 5 (= c37 v1);
v4 = 3 (= c24 u2);
v2 = 6 (= c12 u1).
Cng thc tng qut tnh cc hiu sut cho cc (i, j) cha s dng l:
eij = cij (ui + vj). Chng hn ta c e13 = c13 (u1 + v3) = 7 (4 + 2) = 9. Cc hiu sut khc
c tnh tng t (xem bng III.18).
72
v1 = 7
u1 = 4
v2 = 6
2
1000
u2 = 0
v3 = 2
5000
6000
4000
5
( 1)
2500
u3 = 5
v4 = 3
2000
5
1500
5
2500
2500
6000
4000
2000
1500
13500
v1 = 6
u1 = 3
v2 = 5
2
3500
u2 = 0
v3 = 2
7
5000
6000
1500
5
2500
u3 = 4
v4 = 3
2000
4
1500
5
2500
2500
6000
4000
2000
1500
13500
73
= 5000
x21 + x22 + x23 + x24
= 6000
x31 + x32 + x33 + x34
x11
+ x21
x12
+ x31
+ x22
x13
= 6000
+ x32
+ x23
x14
= 2500
= 4000
+ x33
+ x24
= 2000
+ x34
= 1500
Cung 1: 5000
Cung 2: 6000
Cung 3: 2500
Cu1: 6000
Cu 2: 4000
Cu 3: 2000
Cu4: 1500
Tng: 13500
74
xB
x11
x12
x13
x14
x21
x22
x23
x24
x31
x32
x33
x34
x11
5000
x21
1000
x22
4000
x23
1000
+1
x33
1000
x34
1500
ij = cij zij
Chng ta s chng minh rng cc hiu sut eij ca cc (i, j) cha s dng chnh l cc gi
tr ij = cij zij c tnh hng cui ca bng III.21. Chng hn, chng ta s ch ra rng e12 = 12.
Tht vy, ct h s ca x12 l cc h s m A12 biu th tuyn tnh qua cc vc t c s A11,
A21, A22, A23, A33 v A34. Xt vc t ct ng vi x12, ta c: T = (1, 2, 3, 4, 5, 6)T = (1,
1, 1, 0, 0, 0) v ma trn c s B = [A11
A33 A34].
Theo cc phn tch chng II, mc 3.3, ta c = B 1A12 hay A12 = B. Vy c th vit
A12 = 1A11 + 2A21 + 3A22 + 4A23 + 5A33 + 6A34 v cch biu din A12 di dng t hp
tuyn tnh ca cc vc t ct c s (trong ma trn B) l duy nht.
Xt chu trnh i qua (1, 2) v mt s trong cc s dng (1, 1), (2, 1), (2, 2), (2, 3),
(3, 3) v ((3, 4). Chu trnh ny l duy nht: (1,2) (2,2) (2,1) (1,1) (1,2). Do ta c
ngay: A12 A22 + A21 A11 = 0
= 1, 2 = 1, 3 = 1
A12 = A11 A21 + A22 1
4 = 5 = 6 = 0
12 = c12 z12 = c12 (c111 + c212 + c223 + c234 + c335 + c345)
= 2 (31 71 + 51) = 2 3 + 7 5 = 1
75
ny cng c ch ra trong bng III.12. Sau chng ta s chuyn sang bng n hnh bc
tip theo cho kt qu tnh ton trng vi kt qu trong bng III.13 khi gii bi ton vn ti theo
phng php phn phi.
C s ca phng php th v
Xt bi ton vn ti trong v d 5:
3
= 5000
x21+x22+x23+x24
x11
+x21
x31+x32+x33+x34
= 2500
+x31
= 6000
+x22
x12
+x32
+x23
x13
= 6000
x14
+x33
+x24
= 4000
= 2000
+x34 = 1500
u 1 + v 1 3
u 1 + v 2 2
u 1 + v 3 7
u 1 + v 4 6
...
u 3 + v 4 5
{u
76
Chng minh
Trc ht, chng ta s ch rng vi h thng th v {ui, i = 1,m , vj, j = 1,n } thu c
ng vi phng n vn ti {xij} cho, ta lun c ij = eij = cij (u i + v j ) , (i, j).
cho d hiu, chng ta xt li v d 5 v bng III.12. Lc ny, h thng th v c xc
nh t h phng trnh:
u 1 + v 1 = 3
u 2 + v 1 = 7
u 2 + v 2 = 5
u 2 + v 3 = 2
u + v = 4
3
3
u
+
v
3
4 = 5.
Bng III.12. Tnh hiu sut cc cha s dng
3
5000
6000
2500
5000
7
1000
2
( 7)
4000
5
( 2)
1000
4
1000
6000
4000
2000
1500
1500
13500
u 3 = 5 v 4
v 3 = 4 u 3 = 1 + v 4
u 2 = 2 v 3 = 3 v 4
v 2 = 5 u 2
v = 7 u = 4 + v
2
4
1
u
=
3
v
=
v
1
1
4
u 3 = 5
u 3 = 1
u 2 = 3
v 2 = 5
v = 4
1
u 1 = 1.
77
Theo cch xy dng y = (u1, u2, u3, v1, v2, v3, v4)T trn y th c y = (cBB 1)T vi B l ma
trn c s (gm cc ct vc t c s ca ma trn A). Theo tnh cht ca cp bi ton i ngu ta
c: ij = cij cB B 1 A ij = cij y T A ij . Chng hn:
11 = c11 (u 1 ,u 2 ,u 3 , v1 , v 2 , v 3 , v 4 )(1,0,0,1,0,0,0)T = c11 (u 1 + v1 ).
u i + v j = cij (i, j) :
j = 1,n
x ij > 0.
y chnh l pcm.
Bi tp chng III
Bi 1. Xt BTQHTT Max z = 2x1 + 5x2 + 8x3, vi cc iu kin rng buc
78
Bi 3. Xt BTQHTT
=1
5x1 +
=3
x2 + x3 + x4
2x1 + 5x2 + x3
+ x5 = 4
5x1 + x2 3.
a. Vit bi ton i ngu.
b. p dng l thuyt i ngu, tm gi tr ti u ca bi ton i ngu v bi ton gc ty
theo .
Bi 5. Gii BTQHTT sau y bng thut ton n hnh i ngu:
79
Cung 1: 6
Cung 2: 4
Cung 3: 8
Cu 1: 4
Cu 2: 6
Cu 3: 4
Cu 4: 4
18
3%
5%
8%
Ngn hng 1: 60
4%
5%
4%
6%
Ngn hng 2: 50
7%
6%
6%
4%
Ngn hng 3: 30
D n 1: 40
D n 1: 20
D n 1: 50
D n 1: 30
140
1 9
C=
35 20 6 40 8 33
19 2 4 30 10 25
80
Chng IV
Quy hoch nguyn
1. Phng php ct Gomory gii bi ton quy hoch tuyn tnh nguyn
1.1. Pht biu bi ton quy hoch tuyn tnh nguyn
Trong trng hp tng qut, BTQHTT nguyn c th bao gm cc rng buc dng ,
hoc dng =, cc bin c th c du 0, 0 hoc du ty .
V d 1. Xt BTQHTT: Max z = x1 + 4x2
vi cc rng buc
2x1 + 4x2 7
10x1 + 3x2 15
x1 , x2 0
x1, x2 nguyn .
81
7/4
1 D
B(39/34;20/17)
F
G
O
2x1 + 4x2 = 7
1,5
7/2
x1
82
BTQHTT nguyn cho trong v d 1 bng bng n hnh theo phng php Gomory, chng ta c
th m t phng php ny bng th nh sau:
Khi gii BTQHTT khng nguyn chng ta ch xt cc iu kin rng buc sau:
2x1 + 4x2 7
10x1 + 3x2 15
x1, x2 0.
Ta c z(O) = z(0, 0) = 0, z(C) = z(1,5, 0) = 1,5, z(B) = z(39/34, 20/17) = 199/34 v z(A) =
z(0, 7/4) = 7. Vy phng n ti u (cha xt iu kin nguyn l (0, 7/4) vi zmax = 7.
Tuy nhin phng n (0, 7/4) cha tha mn iu kin nguyn do ta x2 = 7/4 cha
nguyn. Chng ta a thm vo iu kin x2 1 hoc x2 2. Chng ta gi hai iu kin b sung
ny l hai lt ct L1 v L1. Lm nh vy, tuy chng ta thu hp min phng n ca BTQHTT
khng nguyn, nhng vn gi nguyn min phng n ca BTQHTT nguyn cho. Vy min
rng buc tr thnh
2x1 + 4x2 7
10x1 + 3x2 15
x2 1 (L1) hoc x2 2 (L1)
x1, x2 0.
Min ny chnh l min
ODEC = min OABC {min {(x1, x2) R2: x2 1} min {(x1, x2) R2: x2 2}}.
Nhn
vo
hnh
IV.1
th
nhn
thy
ngay
rng
iu
kin
x2 2 c th b qua. Do c th ni, min ODEC thu c t min OABC bng nht ct L1: (x2 1).
Gii BTQHTT khng nguyn vi min phng n thu hp ODEC, xut pht t phng
n i ngu kh thi A(0, 7/4) t ti phng n ti u l im E(6/5, 1) vi zmax = 26/5.
Phng n ny c ta x1 = 6/5 khng nguyn.
Lc ny chng ta s dng lt ct L2: x1 1 v lt ct L2: x1 2, v khng lm thu hp
min phng n kh thi ca BTQHTT nguyn cho. D thy, lt ct L2 c th b qua (xem
hnh IV.1). Min phng n thu hp ca BTQHTT khng nguyn chnh l min ODFG c quy
nh bi cc rng buc sau:
2x1 + 4x2 7
10x1 + 3x2 15
x2 1 (L1) hoc x1 1(L2)
x1, x2 0.
Min ODFG thu c t min OABC bng nht ct L1: (x2 1) v L2: (x1 1).
83
Tip tc gii BTQHTT khng nguyn vi min phng n ODFG, xut pht t phng
n i ngu kh thi E(6/5, 1) t ti phng n ti u l im F(1, 1) c cc to nguyn
vi zmax = 5. V cc min phng n OABC v ODFG cha cng cc im c ta nguyn nh
nhau, nn y cng chnh l phng n ti u ca BTQHTT nguyn cho trong v d 1.
1.3. Gii bi ton quy hoch tuyn tnh nguyn bng bng
Xt BTQHTT nguyn dng chnh tc.
V d 2. Max z = x1 + 4x2 + 0x3 + 0x4, vi cc rng buc
2x1 + 4x2 + x3
10x1 + 3x2
=7
+ x4 = 15
Bin c s
Phng n
c1 = 1
c2 = 4
c3 = 0
c4 = 0
x1
x2
x3
x4
Bng n hnh bc 1
0
x3
x4
15
10
z0 = 0
z1 = 0
z2 = 0
z3 = 0
z4 = 0
1 = 1
2 = 4
3 = 0
4 = 0
Hng z
Hng j = cj zj
Bng n hnh bc 2
4
x2
7/4
1/2
1/4
x4
39/4
17/2
3/4
z0 = 7
z1 = 2
z2 = 4
z3 = 1
z4 = 0
1 = 1
2 = 0
3 = 1
4 = 0
Hng z
Hng j = cj zj
84
jj N
jj N
j{1,3}
[ z 2 j ] x j [ z 20 ] = f 20
j{1,3}
f x j x j . Nu t v phi l x5
1
1
3
f 2 j x j + x5 = f 2 0 x1 x3 + x5 = .
2
4
4
j{1,3}
(4.1)
Ch . Khi thm vo cc rng buc phng trnh trn, min phng n ca BTQHTT
nguyn vn gi nguyn (v phng trnh (4.1) l h qu ca cc iu kin rng buc ca
BTQHTT nguyn).
Mt khc, ta c:
1
1
7
x1 + x 2 + x 3 = .
2
4
4
(4.2)
1
x1
4
x2
0
x3
0
x4
0
x5
7/4
39/4
3/4
7
1/2
17/2
1/2
2
1
1
0
0
4
0
1/4
3/4
1/4
1
1
0
1
0
0
0
0
0
1
0
0
1
3
3/2
11/2
0
0
1
1
0
1
0
0
4
0
0
5
1/2
1/2
1/2
0
1
0
0
0
1
17
2
2
2
1
3/5
6/5
26/5
0
0
1
1
0
1
0
0
4
0
0
1
0
0
0
0
1/5
1/10
1/10
1/10
1
17/5
3/10
37/10
37/10
Phng n
85
Bin c
s
x1
x2
x3
x4
x5
x6
1
3/5
6/5
1/5
0
0
1
0
1
0
0
0
0
1
0
0
0
1/5
1/10
1/10
1
17/5
3/10
7/10
0
0
0
1
26/5
1
0
4
0
0
0
1/10
1/10
37/10
37/10
0
0
1
1
1
2
0
0
1
0
1
0
0
0
0
1
0
0
0
0
0
1
1
2
1
7
0
2
1
10
1
0
4
0
0
0
0
0
3
3
1
1
Phng n
Bng n hnh bc 6
4
0
1
0
x2
x3
x1
x6
zj
j
Bng n hnh bc 7
4
0
1
0
x2
x3
x1
x4
zj
j
Xt BTQHTT nguyn
Max z = c1x1 + c2x2 + ... + cnxn
vi h iu kin rng buc
a11x1 + a12 x 2 + ... + a1n x n = b1
a x + a x + ... + a x = b
22 2
2n n
2
21 1
a x + a x + ... + a x = b
m2 2
mn n
m
m1 1
x 0, j = 1, n v nguyn.
j
86
khung thut ton ct Gomory c th c pht biu nh sau cho BTQHTT nguyn dng Max vi
min rng buc gii ni khc rng.
Bc khi to
Gii BTQHTT: Max z = cTx, vi x D bng phng php n hnh thu c phng
n ti u x1. t k := 1 v D1 = D.
Cc bc lp (bc lp th k)
vi cc rng buc
7x1 + 16x2 52
3x1
2x2 9
x1 , x2 0
x1, x2 nguyn.
Cn tm cc gi tr nguyn ca cc bin quyt nh x1, x2 cc rng buc c tho mn
v hm mc tiu t gi tr ln nht.
Bc 1: V min rng buc / min cc phng n kh thi l tp hp cc phng n kh thi
(cc phng n, nu ni mt cch ngn gn). Mi phng n c th hin qua b s (x1, x2),
tho mn tt c cc rng buc c k c iu kin khng m v iu kin nguyn ca cc bin
(xem hnh IV.2).
Trc ht chng ta v na mt phng tho mn: 7x1 + 16x2 52.
Sau tm na mt phng tho mn: 3x1 2x2 9.
Lc ny, giao ca hai na mt phng tm c trn cho ta tp hp cc im (x1, x2) tho
mn cc rng buc. Tuy nhin, tho mn iu kin khng m v iu kin nguyn ca cc
bin, ta ch xt cc im nm trong gc phn t th nht c cc ta u nguyn. Vy min cc
phng n kh thi l min gm cc im vi ta nguyn c gii hn bi t gic OABC.
87
x2
F(2, 19/8)
A(0, 52/16)
G(4/7, 3)
D(20/7, 2)
B(4, 3/2)
K
E(11/3, 1)
2
1
H(2, 2)
x1
O
C(3, 0)
52/7
7x1 + 16x2 = 52
3x1 2x2 = 9
9/2
Hnh IV.2. Phng php th gii BTQHTT nguyn
Trc ht, chng ta quy nh gi BTQHTT, nh cho trong v d 3 nhng b qua iu kin
nguyn ca cc bin, l BTQHTT khng nguyn tng ng vi BTQHTT nguyn cho. Chng
ta c th m t phng php nhnh cn Land Doig bng phng php th (xem hnh IV.2 v
hnh IV.3), trong LPi l k hiu ca BTQHTT vi hm mc tiu cho v min rng buc Di.
Vi i = 1, D1 l min rng buc quy nh bi:
7x1 + 16x2 52
3x1
2x2 9
x1, x2 0.
2.3. Khung thut ton nhnh cn Land Doig
Khung thut ton nhnh cn Land Doig c th c pht biu nh sau cho BTQHTT
nguyn dng Max c min rng buc gii ni khc rng.
Bc khi to
88
Xy dng LP4
vi min rng
buc D4 = {x
D2: x1 3}.
LP4 c min
phng n l
min rng.
Loi b bi
ton LP4.
Xy dng LP5 vi
min rng buc D5 =
{x D2: x1 2}.
LP5 c phng n ti
u l F(2, 19/8) vi
zmax = 31/2. Chia
BTQHTT nguyn
tng ng vi LP5
thnh hai bi ton
cn c ta x2 =
19/8 khng nguyn.
Xy dng LP6 vi
min rng buc D6
= {x D3: x1
3}. LP6 c phng
n ti u l K(3,
1) c cc ta
nguyn vi zmax =
13. Lu tr x* =
(3, 1) v Record =
13. Loi b bi
ton LP6.
Xy dng
LP7 vi
min rng
buc D7 =
{x D3: x1
4}. LP7 c
min
phng n
l min
rng. Loi
b bi ton
Dng
Hnh IV.3. M t phng php nhnh cn Land Doig
Cc bc lp (bc lp th k)
89
400
100
150
175
100
275
200
1
200
10
250
175
200
3
150
275
350
125
90
S dng nguyn tc ti u Bellman trong quy hoch ng gii bi ton ngi du lch,
chng ta chia bi ton thnh nhiu giai on, tc l thnh nhiu bi ton nh. Ti mi giai on ta
cn tm phng n ti u l cc phng n tt nht ca tnh trng hin c, xt trong mi quan h
vi cc phng n ti u tm c ca cc giai on trc.
Ta c th gii quyt bi ton dn theo tng giai on theo cch tnh ton tin hoc tnh ton
li. gii bi ton ny, ta p dng cch tnh ton li (Backward Computing) vi cc k kiu v
d kin cho trong bng IV.4.
Bng IV.4. D kin ca cc giai on trong bi ton ngi du lch
Giai on
u vo
8
9
u ra
10
10
Giai on II
5
6
7
8
9
Giai on III
2
3
4
1
Giai on I
Giai on IV
Khong cch ti ch
150
100
5
6
7
ng i ti u
8 10
9 10
58
69
78
26
35
46
2
3
4
12
13
14
700
775
650
400
300
275
600
600
500
Trc ht, cn chn cc bin trng thi (State variables) nh m t trong bng IV.5.
91
Bin
S trng thi
x4
x3
2, 3, 4
x3 = 2, x3 = 3, x3 = 4
x2
5, 6, 7
x2 = 5, x2 = 6, x2 = 7
x1
8, 9
x1 = 8, x1 = 9
x0
10
x0 = 10
x4 = 1
Bin trng thi m t trng thi ca h thng trong tng giai on.
Xc nh hm mc tiu: t Fi(xi) l khong cch ngn nht ti ch tnh ti giai on i.
Theo bng IV.4, ta thy:
150 vi x 1 = 8
F1(x1) =
100 vi x 1 = 9
400 vi x 2 = 5
F2(x2) = 300 vi x 2 = 6
275 vi x 2 = 7.
x0 = 10
u0
f0(u0)
F1(x1)
x1 = 8
+ u0 = 150
150
150
150
x1 = 9
+ u0 = 100
100
100
100
92
x1 = 8
x1 = 9
F1 (x1) + f1(u1)
F2(x2) =
x1 = 8
x1 = 9
Min{F1(x1) +f1(u1)}
+u1 = 250
+u1 = 400
400
500
+u1 = 200
300
+u1 = 125
275
Giai on 3:
x3
x2
F2(x2) + f2(u2)
F3 (x3) = Min
x2 = 5
x2 = 6
x2 = 7
{F2(x2) +
f2(u2)}
u2 = 275
u2 = 300
675
600
600
u2 = 200
u2 = 350
600
625
600
u2 = 175
u2 = 200
u2 = 275
575
500
550
500
Giai on 4:
x4
x3 = 2
x3 = 3
u3 =100
x3 = 4
u3 =175
u3 =150
F3(x3) + f3(u3)
F4 (x4) = Min
x3 = 2
x3 = 3
x3 = 4
{F3(x3) + f3(u3)}
700
775
650
650
x3 = 4
u3 = 150
x2 = 6
u2 = 200
x1 = 9
u1 = 200
x0 = 10
u0 = 100
3.3. p dng quy hoch ng gii bi ton quy hoch tuyn tnh nguyn
V d 5. Gii BTQHTT nguyn: Max z = 8x1 + 5x2 + x3
x1 , x 2 , x3 0 v nguyn.
u0 , u1 , u2 0 v nguyn.
X1
u0
X2
u1
X3
u2
93
Thit lp hm truy ton Fi+1(Xi+1) = Max {Fi(Xi) + fi (ui)} vi F0(X0) = 0. D thy: F1 (X1)
= Max f(u0), F2 (X2) = Max {f(u0) + f(u1)} v F3(X3) = Max {f(u0) + f(u1) + f(u2)} = 8u0 + 5u1 +
u2 . Mc tiu cui cng l cc i ho z = F3 (X3). Trong v d ny, chng ta p dng cch tnh
ton tin.
Giai on 1: (Coi F0(X0) = 0)
X0 = 0
X1
u0 = 0, 1, ,
[13/3]
12
13
f0(u0) = 8u0
u0 ti u
16
24
32
16
24
32
12
u1 ti u
Giai on 2:
X1
X2
u1 = 0, 1, , [(13 X1)/2]
94
10
13
16
18
21
24
10
26
11
29
12
32
13
34
Giai on 3:
X2
X3
10
11
12
13
u2 = 0, 1, , 13 X2
F3(X3) =
Max{F2(X2)
+ f2(u2)}
u2
ti
u
10
13
16
18
21
24
10
10
26
11
11
29
12
12
10
32
13
13
11
10
34
p s: u2 = 0, u1 = 2, u0 = 3 v zmax = 34.
3.4. Bi ton ci ti
(4.3)
95
k
k
Fk(y) = Max c j x j : a j x j y , x j 0, j = 1, k
j =1
j =1
(4.4)
Fk(y) = Max c j x j : a j x j y ak xk , vi x j 0, j = 1, k
j =1
j =1
k 1
k 1
= Max ck xk + Max c j x j : a j x j y ak xk , vi x j 0, j = 1, k 1 ,
xk J k
j =1
j =1
k 1
k 1
(4.5)
96
[y/a1]
F1(y) = c1[y/a1]
x1 ti u
0
1
2
3
4
5
6
7
8
9
10
11
12
13
0
0
0
1
1
1
2
2
2
3
3
3
4
4
0
0
0
8
8
8
16
16
16
24
24
24
32
32
0
0
0
1
1
1
2
2
2
3
3
3
4
4
x2 = 0, 1, , [y/a2]
F2(y) =
x2
ti u
10
13
16
18
21
24
10
26
11
29
12
32
13
34
Giai on 3:
y
x3 = 0, 1, , [y/a3]
x3
F3(y) =
Max{c3x3+F2(y
a3x3)}
ti
u
10
13
16
18
21
24
10
10
26
11
11
10
29
12
12
11
10
32
13
13
12
11
10
34
97
y1
x1
y2
x2
y3
x3
M ax {ck x k + Fk 1 (y a k x k )} trong
x k J k
Tht vy, ta c
k 1
k
Fk(y) = Max cj x j + ck (x k 1) + ck : a j x j y a k a k (x k 1) .
j =1
j =1
Nu t x k/ = xk 1 th thy ngay
98
(4.6)
F (y), khi x k = 0
Fk(y) = M ax k 1
ck + Fk (y a k ), khi x k 1.
F0(y)
F1(y)
j1(y)
F2(y)
j2(y)
F3(y)
j3(y)
0
1
2
3
4
5
6
7
8
9
10
11
12
13
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
8
8
16
16
16
24
24
24
32
32
0
0
0
1
1
1
1
1
1
1
1
1
1
1
0
0
5
8
10
13
16
18
21
24
26
29
32
34
0
0
2
1
2
2
1
2
2
1
2
2
1
2
0
1
5
8
10
13
16
18
21
24
26
29
32
34
0
3
2
1
2
2
1
2
2
1
2
2
1
2
99
Bc 1: t k := k + 1.
Bc 2: y = 0, b
Bc 3: Nu k < n th quay v bc 1.
Bc kt thc
3x1 + 2 x2 + x3 = 10
3x1 + 2 x2 10
x + 4 x 11
x1 + 4 x2 + x4 = 11
1
2
3x1 + 3x2 + x5 = 13
3x1 + 3x2 13
x1 , x2 ,...., x5 0 v nguyn.
x1 , x2 0 v nguyn.
100
(4.7)
(4.8)
(4.9)
(4.10)
H rng buc trn c ba rng buc dng ng thc (khng k iu kin nguyn khng m
ca cc bin). a BTQHTT nguyn trn y v bi ton ci ti, chng ta cn hp nht ha
cc rng buc ny thnh mt rng buc dng ng thc. Trc ht chng ta xt cch hp nht ha
hai ng thc.
nh l 1. Xt h hai phng trnh
a
j =1
1j
x j = b1 ,
(4.11)
a
j =1
2j
x j = b2 .
(4.12)
t1 khng l c ca b2
(4.13)
t2 khng l c ca b1
(4.14)
(4.15)
phng trnh
(t a
1 1j
j =1
+ t 2a2 j )x j = t 1 b1 + t 2 b2 .
(4.16)
Chng minh
R rng mi phng n nguyn khng m ca (4.11) cng l phng n nguyn khng m
ca (4.16). Chng ta s i chng minh chiu ngc li: mi phng n nguyn khng m ca
(4.16) cng l phng n nguyn khng m ca (4.11).
Gi s x* = ( x1 , x 2 , , x n ) l phng n nguyn khng m ca (4.16) (cn ch rng
n
j =1
j =1
a
j =1
1j
101
a
j =1
1j
a
j =1
2j
x j = b1
x j = b2 .
3x1 + 3x2 + x5 = 13
x , x , x , x , x 0 v nguyn.
1 2 3 4 5
(4.17)
(4.9)
(4.10)
T , nhn (4.13) vi 15 v (4.9) vi 242 ri cng li, theo nh l nu trn chng ta thu
c h rng buc tng tng:
1431x1 + 1746 x2 + 180 x3 + 165 x4 + 242 x5 = 6761
x1 , x2 , x3 , x4 , x5 0 v nguyn.
102
Bi tp chng IV
Bi 1. Gii BTQHTT nguyn bng phng php ct Gomory:
103
80
20x1 + 15x2
+ 10x4
100
20x1 + 20x2
+ 10x4
120
15x1 +
5x2 +
4x3 + 10x4
70
10
11
10
10
4
5
4
8
10
12
12
10
11
104
Chng V
Mt s phng php quy hoch phi tuyn
j = 1, 2, , k,
(ii) gj(x) = 0,
j = k+1, k+2, , m.
2x 1 + 3x 2 4
x , x 0.
1 2
105
Cc phng php gii BTQHPT ton cc c phn ra thnh hai lp: phng php tt nh
(deterministic methods) v phng php ngu nhin (stochastic methods).
Phng php tt nh s dng cc tnh cht gii tch ca hm mc tiu v cc hm rng
buc. Mt s dng bi ton ti u ton cc vi nhng tnh cht gii tch nht nh ca hm mc
tiu v cc hm rng buc c th gii c bng cc phng php tt nh thch hp, chng hn
nh phng php quy hoch ton phng, quy hoch tch, quy hoch li, quy hoch d.c Trong
cc trng hp phng n ti u ton cc c th tm c sau mt s hu hn bc tnh ton
vi chnh xc chn trc. Tuy nhin, i vi nhiu lp bi ton ti u ton cc phng php
tt nh t ra khng c hiu qu.
Trong khi , cc phng php ngu nhin nh: phng php a khi to (multistart), m
phng ti (simulated annealing), thut gii di truyn (genetic algorithm), k thut tm kim ngu
nhin c iu khin (controlled random search technique) c th p dng gii cc bi ton
ti u ton cc dng bt k, khng i hi cc tnh cht c bit ca hm mc tiu hay cc hm
rng buc. Cc phng php ngu nhin c bit t ra c hiu qu i vi cc BTQHPT nguyn
106
x1
x = x 2 ,
x 3
5
b = .
10
107
y
4.5
4
3.5
3
2.5
2
1.5
1
0.5
2.2
1.2
0.8
1.8
0.5 0.2
Hnh V.1. th hm li y = x2
f (x) f (x)
f (x)
f (x) =
,
, ...,
.
x 2
x n
x 1
f
f
T
f (x) =
,
= (2x 1 ,2x 2 ) .
x 1 x 2
108
2x 1
T
Vy f (x1 , x 2 ) = f (x1 , x 2 ) +
(x1 x1 , x 2 x 2 ) + o ( x x
2x 2
T
2
f (x1 , x 2 ) = f (1, 1) + (x 1 1, x 2 1)T + o
2
) hay
(x 1 1)2 + (x 2 1)2 .
T
f
f
= (0,0)T .
Ti im cc tiu (0, 0) c f (0,0) =
,
x1 x 2 (0,0)
nh ngha 7 (hm kh vi cp hai). Xt tp khc rng S Rn, v hm f: S R. Hm f c
gi l kh vi cp hai ti x nu tn ti vc t gradient f (x) v ma trn i xng cp n, c gi
1
2
(x x)T H(x)(x x) + x x (x, x x)
2
Hessian sau:
2
f x12 2 f x 1x 2 2 0
H (x) =
=
2 f x x 2 f x 2 0 2
1
2
2
f(x1, x2) = f( x 1, x 2) +
T
2x 1
2 0 x 1 x 1
1
2
T
(x 1 x 1 , x 2 x 2 ) + (x 1 x 1 , x 2 x 2 )
x x + ( x x ) .
2
0 2 2
2
2x 2
2. Mt s phng php gii bi ton quy hoch phi tuyn khng rng buc
Cc phng php gii tch gii BTQHPT khng rng buc chia thnh hai lp: phng php
khng s dng o hm v phng php s dng o hm. Trong mc ny chng ta s nghin
cu mt s phng php s dng o hm nh phng php ng dc nht (cn gi l phng
php gradient), phng php Newton v phng php hng lin hp thng qua vic trnh by
cc thut ton v v d.
2.1. Phng php ng dc nht
Phng php ng dc nht (The steepest descent method) l mt trong cc phng php
c in thng dng nht gii BTQHPT khng rng buc nhiu bin. Xt BTQHPT khng rng
buc tng qut: Min f(x), x = (x1, x2, , xn) Rn. Ta gi vc t d l hng gim ca hm f: Rn
R ti x nu > 0 sao cho f(x + d) < f(x), (0, ).
109
(5.1)
f / (x,d) = lim+
0
f (x + d) f (x)
= f(x)Td.
Chn > 0 lm sai s kt thc. Ly mt im xut pht x1, t k :=1 v chuyn sang cc
bc lp.
Cc bc lp (bc lp th k)
110
Bc lp k
xk
f(xk)
f(xk)
(0;3)
52
(44;24)
(2,7;1,51)
0,34
(2,52;1,2)
dk = f(xk)
50,12
(44;24)
0,062
(0,73;1,28)
1,47
(0,73;1,28)
0,24
0,09
(0,80;0,48)
0,93
(0,80;0,48)
0,11
(2,43;1,25)
0,04
(0,18;0,28)
0,33
(0,18;0,28)
0,31
(2,37;1,16)
0,02
(0,30;0,2)
0,36
(0,30;0,2)
0,12
(2,33;1,18)
0,01
(0,08;0,12)
0,14
(0,08;0,12)
0,36
(2,3;1,14)
0,009
(0,15;0,08)
0,17
(0,15;0,08)
0,13
(2,28;1,15)
0,007
(0,05;0,08)
0,09
(0,05;0,08)
(f(xk))Tdk = f (x k ) .
x2
x1
x2
5
x
8
x4
x3
0.05
1
O
x1
3
5
Hnh V.2. Minh ha phng php ng dc nht
Trong phng php ng dc nht, quy tc dch chuyn cho bi xk+1 = xk + kdk vi dk =
f(xk). Trong phng php Newton, ta cng c quy tc dch chuyn tng t vi k c thay
111
f (x) = f (x k ) + f (x k )T (x x k ) +
1
(x x k )T H(x k )(x x k ) + x x k
2
(x k , x x k ) ,
q(x) = f (x k ) + f (x k )T (x x k ) +
1
(x x k )T H(x k )(x x k ) f(x).
2
V d 7. Gii bi ton Min f(x) = (x1 2)4 + (x1 2x2)2 bng phng php Newton. Qu
trnh gii c minh ha trn hnh V.3 v c tm tt trong bng V.2.
x2
x1
5
3
1
x4
x5 x7
0.05
x8
x3
2
x
O
112
x1
lp k
1
xk f(xk)
(0;3)
52
f(xk)
(44;
24)
H(xk)
H(xk)1
50 4
4 8
1 8 4
384 4 50
(0,67;0,33)
3,13
(9,39;
0,04)
23,23 4
8
4
4
1 8
169,84 4 23,23
(1,11;0,56)
0,63
(2,84;
0,04)
11,5 4
8
4
4
1 8
76 4 11,5
(1,41;0,7)
0,12
(0,8;
0,04)
6,18 4
8
4
(1,61;0,8)
0,02
(0,22;
0,04)
(1,74;0,87)
0,005
(0,07;
0)
(1,83;0,91)
0.0009
(0,0003;
0,04)
H(xk)1f(xk)
(0,67; 2,67)
xk+1
(0,67;
0,33)
(0,44; 0,23)
(1,11;
0,56)
(0,3; 0,14)
4
1 8
33, 4 4 6,18
(1,41;
0,7)
(0,2; 0,1)
(1,61;
0,80)
3,83 4
8
4
4
1 8
16,64 4 3,88
(0,13; 0,07)
(1,74;
0.87)
2,81 4
8
4
4
1 8
6, 48 4 2,81
(0,09; 0,04)
(1,83;
0,91)
v (di)THdj = 0, i j.
V d 8. Xt BTQHPT: Min f(x) = 12x2 + 4x12 + 4x22 4x1x2. Hm f(x) l hm kh vi cp
hai vi ma trn Hessian sau y:
8 4
H=
.
4 8
Chng ta s xy dng cc hng lin hp cn c ma trn H v tin hnh cc tiu f(x) theo
cc hng lin hp. Trc ht chn hng d1 = (1, 0)T. Xut pht t im x1 = (1/2, 1)T cc
tiu ho f(x) trn hng d1, ta thu c im x2 = (1/2, 1)T.
Xy dng hng d2 = (a, b) lin hp vi d1 cn c iu kin (d1)THd2 = 8a 4b = 0. Ta chn d2
= (1, 2). Xut pht t x2 cc tiu ha f(x) trn hng d2, ta thu c im x3 = (1, 2)T. C th
chng minh c y chnh l im cc tiu ca f(x). Ngoi ra, cng c th chng minh c
rng, trong v d 8 khi xut pht t im x1 ty v vi cc hng lin hp ty chn, phng n
ti u trn cng lun t c sau ng hai bc (xem hnh V.4).
113
x2
x3
x1
x2
x1
Sau y l thut ton ca phng php hng lin hp (the conjugate direction
method) do Zangwill xut. C th chng minh c thut ton s lun tm ra c phng
n ti u i vi cc BTQHPT c hm mc tiu dng f(x) = xTHx + pTx, vi p l vc t ct n
to , H l ma trn i xng cp nn. Ngoi ra, nu BTQHPT khng c hm mc tiu dng
trn th thut ton vn hi t ti im x c f( x ) = 0 nu tp ={x: f(x) f(x1)} l tp gii
ni trong x1 l im xut pht ca thut ton. Tuy nhin, y l cc vn kh phc tp,
bn c c th xem thm trong cc sch tham kho v vn nh x thut ton ng. D
thy, nu hm f(x) l hm li th thut ton s cho phng n ti u ton cc.
Thut ton hng lin hp Zangwill
Bc khi to
114
x1 = (0;3)T
Bc lp k = 1
j yj
1 (0;3)
2 (2,7;1,51)
yj+1
dj
j
(44; 0,062 (2,7;
24)
1,51)
(2,34;
1,5
(0,24;
1,09)
0,28)
f(x1) = 52
d
(
0,73;
1,28)
Bc lp k = 2
x2 = (2,34;1,09)T
j yj
dj
1 (2,34;1,39) (9,48;
0,64)
j
0,10
yj+1
d
(2,29; (
1,15) 0,08;
0,04)
0,25
z1, f(z1)
1
(2,52;1,2)
0,0013
0,090
z2, f(z2)
(2,46;1,23)
0,045
f(x2) = 0,039
z1, f(z1)
(2;1,01)
0,004
3,6
z2, f(z2)
y2
z
x2
z1
0.05
1
x1
O
5
115
3. Thit lp iu kin ti u Kuhn Tucker cho cc bi ton quy hoch phi tuyn c rng buc
(5.2)
= 2 v G(x) =
...
m
g1 (x)
g m ( )
F x,s2 = f (x) + s2ig i (x) , vi s2 = (s12 ,s22 ,...,sm2 ). Chng ta gi cc im (x, ) = (x, s2) l
i =1
F
= 0, j = 1,n
x j
F = 0, i = 1,m
si
m
f
2 g i (x)
+
x si x = 0, j = 1,n
j
j i =1
si g i (x) = 0, i = 1,m.
116
g i (x) 0, i = 1,m
0, i = 1,m
i
f (x) + i g i (x) = 0
i =1
T
G(x) = 0
G(x) 0
0.
x1 2 0
x 2 1 0
x , x 0
1 2
g1 (x) = x1 2 0
g 2 (x) = x 2 1 0
g 3 (x) = x1 0
g (x) = x 0.
1
4
2(x1 + 1) + 1 3 = 0
2(x 2 1) + 2 4 = 0
1 (x1 2) = 0
2 (x 2 1) = 0
( x ) = 0
1
3
4 ( x 2 ) = 0
x 2 0
1
x 2 1 0
x1 0
x 0
2
1 , 2 , 3 , 4 0.
(5.3)
(5.4)
(5.5)
(5.6)
(5.7)
(5.8)
(5.9)
(5.10)
(5.11)
(5.12)
(5.13)
2(x 2 1) + 2 = 0 t (5.6) c x 2 = 1, 2 = 0.
117
1
O
x1
V d 11. Xt BTQHPT: Min f(x) = x12 + x22, vi rng buc g(x) = (x11)3 + x22 0.
2x 2 + 2x 2 = 0
2
3
[x 2 (x1 1) ] = 0
2
3
x 2 (x1 1) 0
0.
(5.14)
(5.15)
(5.16)
(5.17)
(5.18)
x1
118
2x 2 (1,0) 0
kin Kuhn Tucker.
V d 12. Xt BTQHPT: Min f(x), vi iu kin rng buc
g i (x) 0, i = 1,m
h k (x) = 0, k = 1,r
g i (x) 0, i = 1,m
h k (x) 0, k = 1,r
h k (x) 0, k = 1,r.
i =1
k =1
k =1
g (x) = 0, i = 1, m
i i
k+ h k (x) = 0, k = 1, r
k h k (x) = 0, k = 1, r
g i (x) 0, i = 1, m
h (x) 0, k = 1, r
k
h k (x) 0, k = 1, r
i 0, i = 1, m; k 0, k 0, k = 1, r.
t k = k+ k , lc hm Lagrange c dng
m
i =1
k =1
i g i (x) = 0, i = 1,m
g i (x) 0, i = 1,m
h k (x) = 0, k = 1,r
i 0, i = 1,m.
119
x j 0, j = 1,n.
m
i =1
j =1
x
x j
j i =1`
g (x) = 0, i = 1,m
i i
x = 0, i = 1,n
m+j j
g i (x) 0, i = 1,m
x 0, j = 1,n
j
0, i = 1,m + n.
i
4x 1 + 2x 2 x 3 0
x , x , x
0.
1 2 3
x1
1
1 / 2
K hiu x = x 2 , p = 1 , Q= 2
x 3
1
0
2
1/2
1
0
1 1 1
1 , A=
, b=
4 2 1
1 / 2
1
0 .
Bi ton quy hoch ton phng (BTQHTP) tng qut l bi ton c dng trn y,
vi p = (p1, p2, , pn)T, x = (x1, x2, , xn)T, Q l ma trn i xng cp n: Q = [qij]n vi qij
= qji i, j . C th chng minh c nu Q xc nh dng th BTQHTP tr thnh
BTQHL.
120
4.2. Pht biu iu kin Kuhn Tucker cho bi ton quy hoch ton phng
p x + q x x
j =1
j =1 i =1
ij
x j 0, j = 1,n.
( a x
i =1
j =1
ij
bi ) s j x j ( phn bit
j =1
i ( aij x j bi ) = 0, i = 1, m
j =1
s j x j = 0, j = 1, n
n
aij x j bi 0, i = 1, m
j =1
x j 0, j = 1, n
i 0, i = 1, m, s j 0, j = 1, n.
m
f
+
x i aij s j = 0, j = 1, n
j i =1
n
aij x j + sn + i bi = 0, i = 1, m
j =1
s j x j = 0, j = 1, n
i sn + i = 0, i = 1, m
x j 0, j = 1, n
i 0, i = 1, m, s j 0, j = 1, n + m.
4.3. Phng php Wolfe gii bi ton quy hoch ton phng
2x 1 + 3x 2 4
x , x
1 2 0.
4x 1 + 6x 2 + 1 + 3 2 s2 = 3
x1 + x 2 + s3 = 1
2x 1 + 3x 2 + s4 = 4
x s = 0, x s = 0, s = 0, s = 0
2 2
1 3
2 4
1 1
x1 , x 2 ,s1 ,s2 ,s3 ,s4 , 1 , 2 0.
121
4x1 + 6x 2 + 1 + 3 2 s2 + A 2 = 3
x1 + x 2 + s3 = 1
2x + 3x + s = 4
2
4
1
x1 , x 2 ,s1 ,s2 ,s3 ,s4 , 1 , 2 , A 1 , A 2 0.
Bng V.4. Phng php Wolfe gii BTQHTP
H
s
CB
1
1
0
0
1
0
0
0
1
0
0
0
1
0
0
0
0
0
0
0
Bin
c s
Phng
n
A1
A2
s3
s4
j
A1
x2
s3
s4
j
A1
x1
s3
s4
j
A1
x1
s2
s4
j
1
x1
s2
s4
6
3
1
4
122
4
1/2
1/2
5/2
3
1/3
1/4
5/2
2
1
1
2
2
1
3
2
x1
x2
s1
s2
s3
s4
A1
A2
4
4
1
2
8
4/3
2/3
1/3
0
4/3
0
1
0
0
0
0
1
0
0
0
0
0
0
0
4
6
1
3
10
0
1
0
0
0
2
3/2
1/2
0
2
0
1
2
1
0
0
1
2
1
1
1
0
0
2
1/3
1/6
1/6
1/2
1/3
0
1/4
1/4
1/2
0
1
0
1
0
1
1
0
0
0
2
3
0
0
5
0
1/2
1/2
3/2
0
1
3/4
3/4
3/2
1
2
0
1
0
2
2
0
1
0
1
0
0
0
1
1
0
0
0
1
1
0
0
0
1
1
0
0
0
1
1
0
1
0
0
1
0
0
1
2/3
1/6
1/6
1/2
2/3
1
1/4
1/4
1/2
1
0
0
1
0
0
0
0
1
0
0
0
1
0
0
0
0
1
0
0
0
0
1
0
0
4
1
4
2
4
4
0
0
2
0
0
0
1
0
0
0
0
1
0
0
0
0
1
0
0
0
0
1
0
0
0
0
1
1
0
0
0
0
1
0
0
0
0
1
0
0
0
0
1
0
0
0
0
1
0
1
0
0
1
0
0
0
2/3
1/6
1/6
1/2
5/3
1
14
1/4
1/2
0
0
0
1
0
1
0
0
1
0
qn) , v z l cc vc t ct n ta cn tm.
V d 16. Cho
1
M = 2
3
1
0 3 , q =
4 2
2
1
1
1 . Hy tm = v z =
2
3
1
z1
z2 sao cho:
z3
1 1 2 1 z1 1
2 = 2 0 3 z2 + 1
3 3 4 2 z3 1
1z1 = 2z2 = 3 z3 = 0
i 0,zi 0, i = 1,3.
1 = z1 + 2z2 z3 + 1
2 = 2z1 + 3z3 1
i zi = 0, i = 1,3
,z 0, i = 1,3.
i i
123
Min z =
p x + q x x
j =1
i =1 j =1
ij
, vi cc rng buc
n
a ij x j = bi 0, i = 1,m
j =1
x 0, j = 1,n, hay x 0, j = 1,n.
j
j
Thit lp hm Lagrange:
n
i =1
j =1
j =1
F(x, ,s) = p j x j + q ij x i x j + i ( a ij x j bi ) sj x j .
j =1
i =1 j =1
p j + 2q ij x i + a ij i sj = 0, j = 1,n
sj = 2q ij x j + a i j i + p j , j = 1,n
i =1
i =1
i =1
i =1
n
n
a ij x j + sn + i = bi , i = 1,m
sn + i = a ij x j + bi , i = 1,n
j =1
j =1
x jsj = 0, j = 1,n
x jsj = 0, j = 1,m
i sn + i = 0, i = 1,m
i sn +1 = 0, i = 1,m
x j , i 0, i, j
x j ,sj , i 0, i, j
sj 0, j = 1,m + n.
sj 0, j = 1,m + n.
i zi = 0, i
,z 0, i,
i i
trong :
s1
p1
s2
p2
...
...
q = pn , = sn , z =
s
b
n +1
1
...
...
sn + m
bm
124
x1
x 2
...
x n v M =
1
...
m
2q11
...
2q1n
a11
...
a m1
...
... ..
... ... ...
... 2q nn a ... amn
1n
.
... a1n 0 ... 0
... ..
... ... ...
... a 0 ... 0
mn
Chng ta s a h
= M z + q
i zi = 0, i
,z 0, i
i i
(5.19)
v h
= M z + q + Z 0
i zi = 0, i
,z 0, i.
i i
(5.20)
x 1 , x 2 0.
s1
x1
6
2 1
Ta c p = , Q=
, = s2 , z = x 2 , A = [1 1], B = [2].
0
1 2
s3
1
+2x 1 4x 2 + s2 1 z0 = 0
x1 + x 2 + s3 z0 = 2.
x , x ,s ,s ,s , 0
1 2 1 2 3 1
Phng n
x1
x2
s1
s2
s3
z0
s1
s2
s3
z0
s2
s3
z0
1/3
2/3
x1
1/6
1/6
s3
1/6
5/6
z0
1/2
1/2
1/4
1/4
1/2
x1
7/4
1/4
1/8
1/24
1/2
x2
3/4
1/4
1/24
5/24
1/4
1/2
1/2
x1
3/2
1/4
1/12
1/4
1/2
x2
1/2
1/2
1/12
1/2
1/2
126
n
g ij (x j ) 0, i = 1,m
j =1
x , x ,..., x 0.
n
1 2
Cc hm fj(xj), g1j(xj),, gmj(xj), ty theo j, c th l tuyn tnh hoc phi tuyn. Chng
ta k hiu N = {j: fj(xj), g1j(xj),, gmj(xj) khng ng thi l cc hm tuyn tnh}.
Sau y chng ta s ch ra rng: Cc bi ton quy hoch tch c th c gii gn
ng bng cch s dng phng php n hnh. Phng php gii ny c minh ha
thng qua v d sau.
V d 19. Max z = x1 + x24 vi rng buc
3x1 + 2x 22 18
x 1 , x 2 0.
(x)
u(x)
x
x t+1
t =1
= 1,k v
t =1
, trong t 0, t
u( ) .
t =1
fj (x j ) = jt f (x jt ) vi
t =1
kj
t =1
jt
127
f2(x2t)
g12(x2t)
0
1
2
3
0
1
16
81
0
2
8
18
21 + 22 + 23 + 24 = 1
x ,s , , , , 0.
1 1 21 22 23 24
Bng V.7. Phng php n hnh c s hn ch gii BTQHT
H s cB
Bin c s
Phng n
1
x1
0
21
1
22
16
23
81
24
0
s1
0
0
s1
21
18
1
3
0
0
1
2
1
8
1
18
1
1
0
0
16
zj
j
s1
23
0
1
3
0
0
0
8
1
0
1
6
1
0
16
0
1
0
81
10
1
0
0
1
0
81
16
10
1
zj
j
16
0
1
16
16
16
15
16
0
16
65
0
0
24
23
1
0
3/10
3/10
4/5
9/5
3/5
8/5
0
1
1
0
1/10
1/10
zj
j
81
39/2
37/2
36
36
23
24
16
0
81
0
13/2
13/2
Quy hoch hnh hc l mt trong cc phng php ti u c in, tuy nhin cho ti
ngy nay n vn l mt trong cc phng php ti u c s dng trong mt s bi ton
cng ngh k thut. Trong khun kh ca gio trnh ny, chng ta s trnh by phng
php quy hoch hnh hc mt cch vn tt thng qua mt s v d ( tm hiu v c s
ca phng php ny cn c thm v bi ton i ngu Lagrange v iu kin ti u
Kuhn Tucker).
V d 20. Min z = x1x21 + 3x11/3x21/4x31/7+ 57 x12x31
vi cc rng buc
x11 + x 21 + x 31 1
1/ 2 3 / 4
1 2,5
1,5x1 x 2 + 2x 2 x1 x 3 1
x , x , x > 0.
1 2 3
Min z =
i 0 =1
i0
vi cc rng buc
g j (x) 1, j = 1,m
129
trong gj(x) =
g
i =1
ij
Bt ng thc C si c trng s:
1
1u 1 + 2 u 2 + ... + N u N
(u 11 u 22 ...u NN ) 1 +...+N vi u1, u2, , uN > 0.
1 + 2 + ... + N
t 1 + 2 + ... + N = th
T , nu k hiu
1
N
1 N
( i u i ) ( u i i ) .
i =1
i =1
i
= y i cng c
y i = 1 v
i =1
i =1
i =1
y i u i u iyi .
yi
U
t Ui = yiui th c: U i i vi iu kin
i =1
i =1 y i
N
y
i =1
= 1 (y l bt ng thc
i =1
i =1 i
x 1 x 1 x 1 1 2x x 2 x x 3 4x x
z = Ui 1 2 3 2 3 3 1 1 2
y1
i =1
y2 y3 y4
4
1 1 2 2 1 3 4
=
y1 y 2 y 3 y 4
y4
x 1 y1 + y3 + y 4 x 2 y1 + y 2 + y 4 x 3 y1 + y 2 + y3 .
y4
y 1 + y 3 + y 4 = 0
y 1 + y 2 + y 4 = 0
y 1 + y 2 + y 3 = 0
y + y + y + y = 1
2
3
4
1
(5.21)
y 1 = 2 / 5, y 2 = 1 / 5, y 3 = 1 / 5, y 4 = 1 / 5.
2 /5
(10 ) (5 ) ( 20 )
1/ 5
1/5
1/5
= 5 21/5 . Du = xy ra
khi
U1 U 2
U
=
= ... = 4 =
y1
y2
y4
U
y
i
i
= U i = zmin = 5 21/5 .
T c h sau:
1 1 1 2
2/5
6/5
x1 x 2 x 3 = 5 5 2 = 2
2x x = 1 5 21 / 5 = 21/ 5
2 3 5
x x = 1 5 21/ 5 = 21/5
3 4 5
4x1 x 2 = 1 5 21/5 = 21 /5
5
6
ln x1 ln x 2 ln x 3 = 5 ln 2
ln x + ln x = 4 ln 2
2
3
5
1
ln x + ln x = ln 2
1
3
ln x1 + ln x 2 = 9 ln 2
5
2
ln x 1 = 5 ln 2
x 1 = 22 /5
ln x 2 = ln 2 x 2 = 27 / 5
5
3 /5
3
x 3 = 2 .
ln x 3 = 5 ln 2
131
Xt hai bt ng thc
y1
y3
y2
u u u
z = u1 + u2 + u3 1 2 3 ,
y1 y2 y3
vi cc iu kin : y1 + y2 + y3 = 1,
(5.22)
y5
y4
u u
v
u4 + u5 4 5 ,
y4 y5
trong : = y4 + y5 .
(5.23)
T (5.22) v (5.23) ta c:
y1
y2
y3
y4
y5
u u u u u
z (u1 + u2 + u3)(u4 + u5) 1 2 3 4 5
y1 y 2 y 3 y 4 y 5
y1
y2
y3
y4
1 2 1 1 2
y1 y 2 y 3 y 4 y 5
y5
( y 4 + y5 )
y 4 + y5
y 1 + y 2 + y 3 2y 4 = 0
(1 / 2)y 1 + y 3 2y 4 + (1 / 2)y 5 = 0
y + y + y y = 0
2
3
5
1
y1
y 2
y 3
y
4
= 12 (1 y 5 )
= 14 (1 + y 5 )
(5.24)
= 14 (1 + y 5 )
= 12 y 5 .
Vi iu kin (5.24) ta c
2
z
1 y5
1 y5
2
1 + y5
1 + y5
4
1 + y5
1 + y5
4
y5
y5
3y
2 2 2 2 3 2
y5
y5 y5 2
= (y 5 ) .
3y 5
Do :
132
u 1 = x11 x 21 / 2 x 31 = y 1 M
u 2 = 2x 1 x 3 = y 2 M
u 3 = x1 x 2 x 3 = y 3 M
u 4 = x 11 x 21 =
2y 4 2 1
=
3y 5 3 2
u 5 = 2x 12/ 2 x 31 =
2
.
3
x2 / 2 = 1 x2 = 2
x3 = 3 2
zmin =
x1 = 3 / 2.
1
+ 18 2 .
9
Bi tp chng V
Bi 1. Cho im xk = (1, 2, 3), hy xc nh im xk+1 bng cc phng php ng dc nht,
Newton v hng lin hp Zangwill vi cc hm mc tiu sau:
133
Bi 7. Hy gii cc BTQHTP sau y bng phng php thch hp (phng php Wolfe hoc
phng php thit lp bi ton b):
c. Min f(x) = 5x1 + 6x2 12x3 + 2x12 + 4x22 + 6x32 2x1x2 6x1x3 + 8x2x3
vi cc rng buc
x1 + 2x2 + x3 6
x1 + x2 + x3 16
x1 + 2x2
x1, x2, x3 0.
Bi 9. Lp chng trnh my tnh phng php Wolfe hoc phng php thit lp bi ton b s
dng ngn ng Pascal hay C, sau chy kim th cho bi tp 7.
Bi 10. Gii cc bi ton sau y bng phng php quy hoch tch:
x2 + 5x3 25
0 x1 4, 0 x2 2, 0 x3.
135
Chng VI
Mt s vn c s ca l thuyt
quy hoch li v quy hoch phi tuyn
j =1
j =1
136
Chng minh
Ta c H(S) ={x Rn: xj S, j = 1,k sao cho x =
x
j =1
vi
j =1
= 1 , j 0 ,j =
Tc l, cho xj S A ,j = 1,k v
j =1
x=
x
j =1
A.
(6.1)
Ta chng minh kt lun (6.1) bng php quy np. Vi k = 1, (6.1) hin nhin ng. Gi s
(6.1) ng vi k = s, cn chng minh (6.1) ng vi k = s + 1.
s+1
s+1
x
j =1
s
j =1
A. Ta c
j =1
j =1
(
j =1
hay
s+1
x
j =1
+ s+1 x s+1 =
s+1
x
j =1
/ )x j = /j x j A. Vy x/ + (1 )xs+1 A
j =1
A (pcm).
n +1
j x j vi j 0 v
j =1
n +1
j =1
=1.
Chng minh
Gi s x H (S) th x =
x
j =1
vi
j =1
= 1 , j 0 , xj S .
137
j =2
j =2
j (x j x1 ) = 0 . t 1 = j th c
j x j = 0 vi
j =1
j =1
= 0 , trong j khng ng
x = j x j = j x j + j x j =
j =1
j =1
j =1
(
j =1
j )x j
(6.2)
ng R , nn (6.2) vn ng > 0.
Chn = min
j
j
vi j > 0 th ( j j ) 0 ,j = 1,k v
(
j =1
j ) = 1. Trong cc
Vic chng minh nh l ny khng qu kh, dnh cho bn c t chng minh hoc xem
thm trong ti liu tham kho.
Chng ta c th minh ha tng chng minh trn hnh VI.1.
x1
x
2
cl S (pcm).
H qu 3c. Nu S l tp li v int S khc rng th bao ng ca min trong ca S trng vi bao
ng ca S, tc l cl (int S) cl S. Ngoi ra ta cng c: int (cl S) int S .
138
Chng minh
Chng ta chng minh phn u. R rng rng cl (int S) cl S. Chng ta cn cn chng
minh cl S cl (int S). Tht vy, gi s x cl S v y int S th x + (1 )y int S. Cho 1, ta
c x cl (int S) l pcm.
Phn th hai ca h qu c chng minh nh sau: Trc ht, d thy rng int S int (cl S).
Gi s x1 int (cl S), ta cn chng minh x1 int (S). Tht vy, ly x2 int S sao cho x2 x1 v xt
, > 0 nh ty . Do y x1 = / 2 nn y cl S. Hn
y = (1 + )x1 x2, vi =
1
2
2 x x
na, x1 = y + (1 )x2, vi = 1/(1+) (0, 1), nn theo nh l 3 th x1 int S (pcm).
1.3. Siu phng tch v siu phng ta ca tp li
y l cc kin thc c s trong mn ti u ha, c s dng nhiu trong vic thit lp
cc iu kin ti u v cc mi quan h i ngu. Trong phn ny chng ta s thy rng: vi mt
139
x S1 : p T x >
T
x S2 : p x <
T
x S2 ,p x
pTx=
S1
S2
S2
H tch mnh
Hay: y x
t p = y x ta c
y x + pTx. Li t
Chng minh
Ta ch cn chng minh rng giao G ca tt c cc na khng gian (ng) cha S l tp con
ca S. Tht vy, gi s iu ngc li, tc l y G sao cho y S. Lc theo nh l 5 trn
y, tn ti mt na khng gian cha S nhng khng cha y. iu ny mu thun vi nh ngha
tp G.
H qu 5b. Cho tp li ng khc rng S Rn v mt im y Rn sao cho
y S. Lc , lun tn ti
140
{
y< inf {p
}
x : x S} .
A T y = c
vi y Rm.
y 0
2
1 2 3
4 5 6
6
4 5 6
0
x3
H 2:
2
1 4
2 5 y1 = 4 v y 0, y 0.
1
2
6
3 6
Chng minh
Gi s h 2 c nghim. Lc y 0 sao cho ATy = c. Gi s Ax 0, ta c
cTx = yTAx 0 (do yT 0 v Ax 0). V vy h 1 v nghim.
Gi s h 2 v nghim. t S = {x: x = ATy, y 0}, ta thy ngay S l tp li ng. Lc ny
theo do h 2 v nghim nn c S. Theo nh l 5 (v siu phng phn tch mt tp li v mt
im), tn ti vc t p sao cho: pTc > , pTx , x S . V 0 S nn pTc > 0 . Vy cTp =
pTc > 0. Ngoi ra, ta c pTATy = yTAp, y 0. V cc to ca y c th chn dng v ln
tu nn bt buc phi c Ap 0.
Chng ta ch ra vc t n to p sao cho: Ap 0 v cTp > 0. Vy h 1 c nghim
(pcm).
H qu 6a. Cho ma trn cp mn A = [aij]m xn , c l vc t n to . Lc c ng mt
141
S H x S,p (x x) 0.
siu phng ta H
yk
y1
y2
y3
Siu phng ta (xem hnh VI.4) c gi l siu phng ta chnh (proper supporting plane)
nu S khng l tp con ca H.
Ch : i vi tp khc rng bt k S Rn c th xy ra cc trng hp sau:
Ti mt im c duy nht mt siu phng ta.
Ti mt im c nhiu siu phng ta.
Ti mt im khng c siu phng ta.
Ti hai im c th c cng mt siu phng ta.
nh l 7. Cho tp li khc rng S Rn, x S . Lc tn ti mt siu phng ta ca
142
pTk yk
0. Tht vy
pTk yk pT yk + pT yk pT x
pTk yk pT yk
pT y k pT x
p tk p t y k + p t y k x 1 + 2
phng tch H vi phng trnh pTx = phn tch hai tp li trn, theo ngha sau: tn ti vc t p
0 sao cho inf {pTx vi x S1} sup {pTx vi x S2}.
pT x =
S1
S2
Chng minh
Cho hai tp li khc rng khng giao nhau S1, S2 Rn. Xt S = S1 S2 = {x: x = x1 x2
vi x1 S1, x2 S2} th S l tp li.
Ngoi ra, 0 S (v S1 S2 l tp rng). Theo nh l 5 (v siu phng phn tch mt tp
li v mt im) th tm c mt vc t n to p 0 sao cho pTx pT 0 = 0, x S (xem hnh
VI.5). Vy x1 S, x2 S th pT(x1 x2) 0 hay pTx1 pTx2 (pcm).
H qu 8a.
Cho hai tp li khc rng S1, S2 Rn vi iu kin int S1 khc rng v S1 int S2 rng.
Lc tn ti mt vc t p 0 sao cho
inf {pTx vi x S1} sup {pTx vi x S2}.
143
Chng minh
Thay S2 bi int S2 v p dng nh l 8 vi ch : sup {pTx vi xS2}= sup {pTx vi
xint S2} th c pcm.
H qu 8b.
Cho hai tp li khc rng S1, S2 Rn vi iu kin int S1, int S2 khc rng v int S1 int
S2 rng. Lc tn ti vc t p 0 sao cho
inf {pTx vi x S1} sup {pTx vi x S2}.
nh l 9 (nh l Gordan).
x R . H 2: ATp = 0 vi vc t p 0 (p c cc to khng m) v p 0.
Chng minh
Gi s h 1 c nghim sao cho Ax < 0. Ta i chng minh h 2 v nghim. Tht vy, gi s
iu ngc li ng: tn ti vc t p 0 sao cho ATp = 0 v p 0. Lc pTAx < 0 hay xTATp <
0. iu ny khng th xy ra do ATp = 0.
By gi gi s h 1 v nghim. Chng ta xt hai tp sau: S1 = {z: z = Ax, x Rn} Rm v
S2 = {z: z < 0} Rm. Ta thy S1 v S2 l hai tp li khc rng khng giao nhau. Theo nh l 8 (v
siu phng tch hai tp li khc rng khng giao nhau), lc tn ti vc t p 0 sao cho pTAx
pTz vi mi x Rn v z cl S2. Do cc to ca z c th chn gi tr m c tr tuyt i ln
nh l 10 (nh l tch mnh). Cho hai tp li khng giao nhau S1, S2 trong Rn vi S1 l
hp p R n : p t x 0, x S . Nu S l tp rng th nn i cc s l Rn.
144
C=C**
nn i
C*
145
Th th:
0
x 11
x 21
1 = + (1 ) .
x 12
x 22
B b
Do x11 , x21 0 nn x11 = x21 = 0. iu ny ko theo x12 = x22 = B1b (v x1, x2 D), nn ta
c x = x1 = x2. Vy x l im cc bin ca D.
Ngc li, gi s x l im cc bin ca D. Khng lm gim tnh tng qut, gi s x = (0,
..., 0, xnk+1, ..., xn)T trong xnk+1, ..., xn l cc s dng. Ta i chng minh k vc t ct sau
cng Ank+1, ..., An ca ma trn A l c lp tuyn tnh.
n
j = n k +1
jA j
j = n k +1
(xj + j)Aj =
j = n k +1
xjAj +
jAj = b.
j = n k +1
146
H qu 12a.
S cc im cc bin ca D l hu hn.
(Dnh cho bn c t chng minh)
nh l 13. Cho D = {x Rn: Ax = b, x 0} khc rng, trong A l ma trn cp mn v
c hng bng m v b l vc t c m ta . Khi D c t nht mt im cc bin.
Chng minh
Gi s x D, khng lm gim tnh tng qut gi s x = (0, ..., 0, xnk+1 ..., xn)T vi xj > 0,
j = n k + 1,n . Nu Ank+1, ..., An l k vc t c lp tuyn tnh th k m v x l im cc
bin. Nu tri li, Ank+1, ..., An ph thuc tuyn tnh th tn ti cc s nk+1, ..., n (trong c t
n
j = n k +1
j A j = 0. Chn =
n k +1 j n
x/ vi cc to :
x j j , j= n-k+1,n
x /j =
j= 1,n-k.
0,
Ta cng c:
j = n k +1
Aj x /j =
Aj(xj j) =
j = n k +1
j = n k +1
xj Aj
jAj = b. Nh
j = n k +1
Chng minh
Nu B1Aj 0 th d 0. Ngoi ra, Ad = 0 (do Ad = [N B]d = N ej + B (B1Aj ) = Aj
Aj = 0) nn d l mt hng ca D.
By gi chng ta s chng minh d l hng cc bin. Tht vy, gi s d = 1d1 + 2d2 vi
1, 2 > 0 v d1, d2 l cc hng ca D. Ch rng d c t nht (n m 1) to bng 0 nn cc
to tng ng ca d1, d2 cng bng 0. Do ta c th vit:
e
e
d1 = 1 j v d2 = 2 j , vi 1, 2 > 0.
d12
d 22
147
i = n k +1
i A i = 0. t = ( 0,
..., 0, nk+1, ..., n)T v chn > 0 nh sao cho c hai vc t d1 = d + v d2 = d khng
n
m. Ta thy Ad1 = A d + A = 0 +
i = n k +1
nn chng l cc hng phn bit ca D (ch rng > 0 v 0). Ngoi ra, d = (1/2)d1 +
(1/2)d2. iu ny mu thun vi gi s d l hng cc bin ca D. Vy Ank+1, ..., An l cc vc
t c lp tuyn tnh.
Do hng ca A = m nn k m. Nh vy trong s (n k) vc t ct cn li (tr ct Aj) ca ma
trn A s c (m k) vc t ct hp vi k vc t c thnh h m vc t c lp tuyn tnh. Khng
lm gim tnh tng qut, gi s l h Anm+1, ..., An. Lc A c phn r di dng [N B]
trong B = [Anm+1, ..., An] l ma trn vung khng suy bin vi hng l m. Vy A d = B d + Aj d j
= 0, trong d l vc t m to cui ca d , cn d j l ta th j ca d (cn ch rng: nu
ct Aj cng nm trong s cc ct ca B th do cc ct Anm+1, ..., An l c lp tuyn tnh nn ta c
ngay d = 0 v d = 0, tri vi gi thit d l hng ca D). T c d = d jB1Aj v do d c
ej
dng d = d j 1 . D thy d 0 v d j > 0, nn B1Aj 0 (pcm).
B A j
H qu 14a.
x=
j =1
148
x + d
j
j =1
, vi
j =1
= 1,
(6.3)
j 0, j = 1,k ,
(6.4)
j 0, j = 1,u .
(6.5)
Chng minh
k
j =1
j =1
j =1
j =1
j =1
pTz > v pT ( j x j + j d j ) ,
(6.6)
(6.8)
b
j
yij > 0} = b r/yrj > 0. Ta thy x c nhiu nht m ta dng (ta th r bng 0, cn ta th j
bng ). C th chng minh c x D (v Ax = B(B1b B1Aj) + Aj = b).
Mt khc, ta c: yj = B1Aj Byj = Aj
y
i =1
ij
A n m + i = Aj.
149
ej
T
T
T
T 1
pBT
= p j + pB b p B y j = p x + (p j p B B A j ) .
b
y
j =1
j =1
trong ,
j =1
150
Nx N + Bx B = b x B = B 1 b B 1Nx N .
Do
x = x + dj .
Lc ta c:
(6.9)
cT x = cT x + cj cBT B 1 A j .
(6.10)
x = x + dj
br
y ij , i = 1,m
yrj
x j = br / y r j
x i = 0, i j, i {B 1 ,...,B m } J B .
Ch . Trong phn ny chng ta nghin cu mt cch kh chi tit c s (gii tch li)
ca phng php n hnh. Trong cc BTQHTT c trung bnh, phng php n hnh lun t ra
rt hiu qu. Tuy nhin trong cc BTQHTT c ln (vi s bin ln v nhiu rng buc), c th s
dng mt phng php khc: l phng php im trong do Karmarkar xut. Phng php
ny s c gii thiu trong phn cui ca chng VI.
151
3. Cc tnh cht ca hm li
3.1. Cc nh ngha v tnh cht c bn
Chng ta bit trong chng V khi nim hm li: Cho mt tp li khc rng S Rn.
Hm f: S R c gi l hm li nu ta lun c f(x1 + (1 )x2) f(x1) + (1 )f(x2),
[0, 1], x1, x2 S.
nh ngha 7. Xt hm li f: S R. Lc tp S = {x S : f (x) } vi R c
gi l tp mc di tng ng vi hm li f.
f(x1,x2) = x12+x22
x2
x1
f / (x,d) = lim+
0
f (x + d) f (x)
.
(x 1 + 2 )2 + (x 2 + 12 )2 (x 12 + x 22 )
= 4x1+x2=
f ( x ,d) = lim+
0
152
2
[2x , 2x ]
1
2
1
2
Chng minh
f ( x + 1d ) = f 1 ( x + 2d ) + 1 1 x 1 f ( x + 2d ) + 1 1 f ( x ) .
2 2
2
2
suy
ra:
f ( x + 1d ) f ( x )
1
f ( x + 2d ) f ( x )
2
Nh
vy,
hm
f ( x + d ) f ( x )
= inf
f ( x + d ) f ( x )
> 0
(pcm).
3.2. Di vi phn ca hm li
nh ngha 9. Cho f: S R l hm li. Lc :
Epi f
Hyp f
y=f(x)
153
f(x)
f (x)
f(x)
T = tg
f (x)
x
b) f(x) = x
a) f(x) = x2
= 1 ti x
> 0). Cn ti
( x,f (x))
tc l
Chng minh
Ta bit Epi f l tp li v
0T (x x) + T (y f (x)) 0 .
Ngoi ra
tn ti vc t
(6.11)
0T (x x) 0, x S .
(6.12)
(6.13)
154
H qu 19a.
(6.14)
= f (x) + T (x x) . Do f l hm li ngt nn
Gi s tn ti x x sao cho f (x)
(0,1) ta c:
= f (x) + (1 ) T (x x) .
f x + (1 ) x < f (x) + (1 ) f (x)
(6.15)
t x = x + (1 ) x trong (6.14) th ta c:
chng ta li c nh l sau.
nh l 20. Cho f : S R l hm xc nh trn tp li khc rng S Rn.
Nu
x x , th f l hm li trong int S.
Chng minh
Cho x1, x2 int S v cho (0, 1). Theo h qu 3a ca nh l 3, int S cng l tp li nn
x = x1 + (1 )x2 int S. T gi thit ca nh l suy ra rng tn ti di vi phn ca hm f
ti x = x1 + (1 )x2. Do c cc bt ng thc sau:
f (x1 ) f x 1 + (1 )x 2 + (1 ) T (x 1 x 2 ) ,
f (x 2 ) f x1 + (1 )x 2 + T (x 2 x 1 ) .
Nhn hai v ca cc bt ng thc trn theo th t vi v (1 ) ri em cng li, ta thu
c: f (x 1 ) + (1 )f (x 2 ) f x1 + (1 )x 2 (pcm).
3.3. Hm li kh vi
n
155
c gi l vc t gradient ca f
T
f (x) f (x)
f (x)
f (x) =
,
, ...,
.
x 2
x n
x 1
B . Cho f: S R l mt hm li. Gi s f kh vi ti x int S , lc tn ti duy nht
mt di vi phn ca f ti x l: = f (x) .
Chng minh
Theo nh l 19, ta bit ti x int S tn ti di vi phn. K hiu l di vi phn
ca f ti x , ta c f (x) f (x) + T (x x) . t x = x + d ta c
f (x + d) f (x) + T d .
(6.16)
Do f kh vi ti x nn
f (x + d) = f (x) + f (x)T d + d (x, d) .
(6.17)
(6.18)
f (x 2 ) f (x1 ) (x 2 x1 ) 0 , x1 , x 2 S .
(6.19)
(6.20)
156
f (x 2 ) f (x1 ) = f (x)T (x 2 x1 ) .
(6.21)
1
2
(x x)T H(x)(x x) + x x (x, x x) ,
2
(6.22)
1 2 T
2
x H(x)x + 2 x (x, x) .
2
Ly (6.22) tr (6.23) ta c:
(6.23)
1 2 T
2
x H(x)x + 2 x (x, x) 0 . Chia hai v cho v cho
2
0, ta thu c xT H( x )x 0.
(x x)T H(x)(x
x) ,
2
(x x)T H(x)(x
x) 0 , suy ra
2
157
2 0
V d 6. Vi hm hai bin f (x) = x12 + x 22 ta c H ( x ) =
l (na) xc nh dng
0 2
nn f(x) l hm li.
Ch
Ma trn H( x ) l xc nh dng nu xT H( x ) x > 0, x Rn, x 0.
Ma trn H( x ) l na xc nh dng nu xT H( x ) 0, x Rn.
C th kim tra H( x ) l xc nh dng theo cc cch sau:
Theo nh ngha.
Cc nh thc con chnh ca H( x ) lun c gi tr dng.
Cc gi tr ring tm t phng trnh c trng det(HI) = 0 u c gi tr dng.
3.4. Cc i v cc tiu ca hm li
x1 + x 2 2
2x 1 + 3x 2 11
x1 0
x 0.
2
l min phng n kh thi hay min rng buc. im x S c gi l phng n kh thi hay
phng n (nu ni vn tt). x S c gi l phng n ti u ton cc nu f (x) f (x) ,
x S. im x S c gi l phng n ti u a phng nu f (x) f (x) , x S
N( x ) vi N( x ) l mt ln cn nh no ca x .
nh l 23 (cc tiu ha hm li).
s x S l mt phng n ti u a phng. Lc :
Nu f l hm li th x l phng n ti u ton cc.
Nu f li ngt th x l phng n ti u ton cc duy nht.
Chng minh
Gi s f l hm li v x S l mt phng n ti u a phng. Do tn ti mt ln cn
nh N( x ) ca x sao cho
f (x) f (x) , x S N( x ).
158
(6.24)
Chng minh bng phn chng, gi s iu ngc li: x khng l phng n ti u ton
cc, th th x S sao cho f( x ) < f( x ). V f l hm li nn vi (0, 1) ta c:
+ (1 )f (x) < f (x) + (1 )f (x) = f (x) .
f ( x + (1 )x ) f (x)
(6.25)
Ngoi ra,
1
1
x +
x S . iu ny mu thun vi tnh ti u ton cc ca x (pcm).
2
2
Chng minh
Minh ha hnh hc ca nh l c th hin trn hnh VI.9 (vi x < x th ta ch ra c
di vi phn = tg v iu kin t (x x) 0 c tha mn).
y
159
2 = {(x x, y) : x S, y 0} .
v tp
(6.26)
0T (x x) + y ng vi x S, y 0 .
(6.27)
v t 0 / = , chng ta c:
y T (x x) ng vi x Rn, y > f(x) f( x ),
T (x x) y 0 ng vi x S, y 0.
(6.28)
(6.29)
tn ti di vi phn = 0 ti x .
H qu 24b. Trong iu kin ca nh l trn, nu f kh vi th x l phng n ti u khi
2x 1 + 3x 2 11
x1 0
x 0.
2
160
x2
I(3/2,5)
x B(1,3)
A(0,2)
. x
O
C(11/2,0)
x1
im B(1, 3) l phng n ti u v :
f x1
f (1,3) =
=
f x 2 (1,3)
2(x 1 3 / 2)
1
= .
2(x 2 5) (1,3) 4
Trn hnh VI.10 ta thy, ti x = (1,3) , x thuc min rng buc S, lun c
f (1,3)T (x x) > 0 . Do x = (1,3) l phng n ti u ton cc.
3
Xt im x = (0, 0) c f (0,0) =
. Do tn ti x S sao cho x x hp vi
10
y
x x
x=b
Hnh VI.11. Cc i ha hm li
Chng minh
161
f [ x + (x x)] f (x) T (x x) .
T cc bt ng thc trn y suy ra T (x x) 0 . Chia c hai v cho chng ta c
T (x x) 0 (pcm).
H qu 25a.
x / = i x i sao cho i 0 v
i =1
i =1
= 1 , vi xi l cc im cc bin ca S, i = 1,k ,
i =1
i =1
i =1
f (x / ) = f ( i x i ) i f (x i ) f (x / ) i = f (x / )
f (x i ) = f (x ) hm f t cc i ti im cc bin xi (pcm).
/
hng gim ca f ti x .
Chng minh
162
Do f kh vi ti
(x; d) 0 khi 0. T c:
f (x + d) f (x)
= f (x)T d + d (x; d).
Chng minh
Cho x l cc tiu a phng. Gi s f (x) 0 , t d = f (x) th c ngay
f (x)T d < 0 . Theo nh l 27, > 0 sao cho: f (x + d) < f (x) vi mi (0, ) . iu ny
Chng minh
Do f l hm kh vi cp hai nn ta c khai trin Taylor ti vi phn cp hai l:
f (x + d) = f (x) + f (x)T d +
1 2 T
2
d H(x)d + 2 d (x, d) ,
2
Chng minh
Gi s x khng l cc tiu a phng, th ta xy dng c dy {xk} hi t ti x sao cho
f(x ) < f( x ). Ta c khai trin Taylor ti vi phn cp hai ti x nh sau:
k
f (x k ) = f (x) + f (x)T (x k x) +
2
1 k
(x x)T H(x)(x k x) + x k x (x, x k x) ,
2
163
(6.30)
Xt bi ton ti u M in f (x) , vi hm f : S R n R l kh vi ti x S .
xS
nh ngha 11.
x S . Lc , nu x l im ti u a phng th F0 D = .
Chng minh
Gi s iu ngc li: d F0 D. V d F0 nn theo nh l 27, d l hng gim, tc
l 1 > 0 sao cho :
f (x + d) < f (x) , (0, 1 ) .
(6.31)
(6.32)
x l phng n ti u a phng.
164
l tp cc hng gim
g i (x) < 0 v l hm lin tc i I nn 2 > 0 sao cho gi( x + d ) < 0, (0, 1 ) v i I . Cui
x12 + x 22 5
x1 + x 2 3
x1 0
x 0
2
g1 (x) = x 12 + x 22 5 0
g 2 (x) = x1 + x 2 3 0
g 3 (x) = x 1 0
g (x) = x 0.
2
4
Ti x = (2, 1)T c:
2(x 3)
f (x) = 1
=
2(x 2 2)
2x1 4
1
2
2 , g1 (x) = 2x = 2 , g 2 (x) = 1 .
2
g 2
g1
(2,1)
3
x1
165
Xt im x S . K hiu I = {i : g i (x) = 0} . Gi s cc hm f , g i , i I kh vi ti x ,
cn gi lin tc ti x , i I . Lc , nu x l im cc tiu a phng ca bi ton P th tn ti
u0 v ui, i I, sao cho:
u 0 f (x) + u i g i (x) = 0
i I
u 0 f (x) + u i g i (x) = 0
i =1
u i g i (x) = 0, i = 1,m
u 0 ,u i 0, u 0 ,u i khng ng thi bng 0, i =1, m.
Chng minh
Nu x l phng n ti u a phng th F0 G0 = nn d sao cho:
[
] u = 0 vi p =
i
i
...
u 0
...
0.
ui
...
166
f (x) + u i g i (x) = 0 vi ui 0, i I.
i I
f (x) + u i g i (x) = 0
i =1
u i g i (x) = 0, i = 1,m
u i 0, i = 1,m.
Chng minh
Ta i chng minh phn u ca nh l. Theo nh l 32, tn ti u 0 , u i i I, sao cho
f (x) + g(x)u = 0
t
u g(x) = 0
u 0.
K hiu I = {i : g i (x) = 0} . Gi s cc hm f , g i , i I l cc hm li v kh vi ti x .
Lc , nu ui 0, i I sao cho: f (x) + u i g i (x) = 0 , th x l im cc tiu ton cc
i I
ca bi ton P.
Chng minh
Gi s x cng l mt phng n (kh thi) ca bi ton P. Lc , i I ta c gi(x)
gi( x ). Do gi l hm li ti x nn:
167
vi
ui
cng
li,
ta
nhn
c:
[ u i g i (x)T ](x x) 0 .
gi
i I
f( x ) (pcm).
M rng iu kin ti u Kuhn Tucker
i vi cc BTQHPT tng qut hn, khi cc rng buc c dng bt ng thc v / hoc
ng thc, c th chng minh c nh l sau y (bn c c th xem thm trong cc ti liu
tham kho)
nh l 35 (iu kin ti u cn v ).
g i (x) 0, i = 1,m
h i (x) = 0, i = 1,r
n
x X R .
Gi s x S v cc hm f , g i , i I (vi I = {i : g i (x) = 0} ) l kh vi ti x , cn cc
hm gi l lin tc ti x , i I , cc hm hi l kh vi lin tc ti x , i = 1,r . Ngoi ra, gi s
i I
i =1
u 0, i I.
i
+
f
(x)
u
g
(x)
v i h i (x) = 0
i
i
i =1
i =1
u i g i (x) = 0, i = 1,m
u i 0, i = 1,m.
Cc hm f , g i , i I l cc hm li v kh vi ti x ,
168
i =1
x12 + x 22 5
x1 0
x 2 0
x + 2x = 4.
2
1
D thy:
2x
2x
1
0
1
f = 1 , g1 = 1 , g 2 = , g 3 = , h 1 = .
0
1
2
2x 2
2x 2
+ u1
+ u 2 + u 3 + v1 = 0
0
1
2
2x 2
2x 2
u 1 (x 12 + x 22 5) = 0
u 2 ( x1 ) = 0
u 3 ( x 2 ) = 0
u i 0.
4 / 5
Xt x =
. T h trn ta c u1= u2 = u3 = 0. Vy
8 / 5
8 / 5
1
16 / 5 + v 1 2 = 0 hay v1 = 8/5.
4 / 5
Do theo nh l 35, x =
l phng n ti u ton cc.
8 / 5
V d 12. Xt BTQHL:
4 4 x 1
x2 ]
4 6 x 2
vi cc rng buc
x1 + x 2 1
2x 1 + 3x 2 4
x1 0
x 0.
2
169
4x1 + 4x 2 6
1
2
1
0
+ u1 + u 2 + u 3 + u 4 = 0
1
3
0
1
6x 2 + 4x1 3
u 1 (x 1 + x 2 1) = 0
u 2 (2x1 + 3x 2 4) = 0
u 3 x1 = 0
u4x 2 = 0
u i 0, i = 1,4.
1
Xt x = . T h iu kin trn ta c u2 = u3 = 0 nn
0
2
1
0
1 + u 1 1 + u 4 1 = 0. Do
1
u1 = 2 v u4 = 1. Vy x = l phng n ti u ton cc.
0
5. Mt s phng php hng chp nhn gii bi ton quy hoch phi tuyn
Ni dung ca phng php hng chp nhn, hay cn c gi l phng php hng kh
thi (method of feasible directions) nh sau: Ti mi bc lp, ng vi phng n xk hin c, phi
xy dng c mt hng ci thin dk. Sau , cn xc nh di bc dch chuyn, 0,
dch chuyn t xk sang phng n mi xk+1 trn hng dk, cn c bi ton ti u vi mt bin
(c gi l bi ton tm kim trn hng): Min f (x k + d k ) , sao cho xk + dk S. T , tm
c gi tr ti u ca v nhn c phng n xk+1 = xk + dk tt hn (hoc t nht tt bng)
phng n xk.
V d 13. Xt BTQHPT: Min f (x) = 8x 12 + 10x 22 + 12x 1 x 2 + 50x 1 80x 2
vi cc rng buc
g1 (x) = x1 + x 2 1 0
g 2 (x) = x 1 1 / 2 0
x , x 0.
1 2
170
Ta thy:
2 f / x 12
2 f / x 1x 2
H(x1,x2) = 2
=
2
2
f / x 1x 2 f / x 2
16
12
12
xc nh dng nn y l BTQHL.
20
Bc lp 1: Xt x1 = (0, 0), ta c:
f
x = 16x1 + 12x 2 + 50
50
1
f (0,0) =
.
80
f = 20x + 12x 80
2
1
x 2
B(1/2,1/2)
x1
C(1/2,0)
T c: (O) = 0 (xem hnh VI.13), (B) = 15, (A) = 80 v (C) = 25. Do (A) <
0, x1 = (0, 0) cha phi l phng n ti u. Chn hng d1= OA = (0,1) l hng chp nhn.
tm di bc dch chuyn 0, chng ta xt bi ton sau: Min f (x1 + d1 ) = 10 2 80 , vi
iu kin rng buc x1 + d1 S hay [0, 1]. T c = 1 . Do x2 = x1 + 1d1 = (0, 1).
Bc lp 2: Xt im x2 = (0, 1), ta c
16x1 + 12x 2 + 50
62
f (0,1) =
=
.
60
20x 2 + 12x 1 80
171
5.2. Thut ton Frank Wolfe gii bi ton quy hoch li c min rng buc l tp li a
din
V d 13 minh ha cho thut ton Frank Wolfe, mt trong cc phng php hng chp
nhn gii BTQHPT: Min f(x) vi x S = {x: Ax b}, trong S c gi thit l gii ni.
Bc khi to
Bc 1: Tnh f (x k ) .
Bc 2: Xc nh hm (x) = f (x k )T (x x k ) .
Gii bi ton Min (x) vi x S.
Bc 3:
i) Gi s = M in (x) = (x / ) v 0 th dng vi xk l phng n ti u.
xS
Trong mc ny, chng ta trnh by phng php gradient rt gn (the reduced gradient
method)
gii
BTQHPT
sau
y:
Min
f(x)
vi
{x
Rn:
Ax = b, x 0}, trong A l ma trn cp mn, f(x) l hm kh vi lin tc. Ngoi ra, iu kin
khng suy bin c gi s l ng, tc l m vc t ct bt k ca A l c lp tuyn tnh v mi
im cc bin ca D u c ng m ta dng (do , mi phng n x ca bi ton u c t
nht m ta dng).
Gi s x l mt phng n cc bin ca bi ton. Lc c th phn r A = [N B] vi B l
ma trn kh nghch, x T = [x NT , x BT ] vi vc t bin c s xB 0. Vc t gradient cng c phn
r mt cch tng ng: f (x)T = [ N f (x)T , B f (x)T ] . D dng chng minh c rng d l mt
hng ci thin ti x nu f (x)T d < 0 v Ad = 0, ta th j ca d l dj 0 nu ta th j ca
x l xj = 0. t dT = [d NT ,d BT ] , th 0 = Ad = NdN + BdB c tha mn vi dB = B1NdN.
t r T = [rNT ,rBT ] = f (x)T B f (x)T B 1 A = [ N f (x)T B f (x)T B 1N, 0] , th rT c
gi l vc t gradient rt gn. Lc d dng nhn c:
172
(6.33)
xy dng hng ci thin d, cn chn dN sao cho rNT d N < 0 v dj 0 mt khi xj = 0, sau
chn dB = B1NdN.
Vy chng ta c quy tc xy dng hng ci thin nh sau: vi mi ta j ng vi bin
xj ngoi c s chn dj = rj nu rj 0, chn dj = xjrj nu rj > 0. Quy tc ny s m bo rng dj
0 mt khi xj = 0 v f (x)T d 0 (nu dN 0 th du bt ng thc l nghim ngt).
T
T
T
T
T
[ B f (x) , N f (x) ] + v (B,N ) (u B ,u N ) = (0,0)
T
T
u B x B = 0,u N x N = 0.
(6.34)
Nu j Ik, dj = 0 th dng.
Nu tri li, t (d k )T = [d NT ,d BT ] , vi dN xc nh nh trn v dB = B1NdN.
173
Bc 2: Gii bi ton tm kim trn hng Min f(xk + dk) vi 0 max, trong
max
x j
M in k : d kj < 0
=
d j
khi d k 0
khi d k 0.
x1 + x 2 + x 3 = 2
x1 + 5x 2 + x 4 = 5
x , x , x , x 0
1 2 3 4
Qu trnh gii c tm tt trong bng VI.1.
Bng VI.1. Tm tt cc bc lp trong phng php gradient rt gn
Bc
lp k
xk
f(xk)
Ik
(0,0,2,5)
(10/17, 15/17,
9/17,0)
(35/31,
24/31,3/31,0)
Hng tm kim
k
{3, 4}
(4,6,0,0)
6,436
{1, 2}
(0,0,57/17,
4/17)
7,16
{1, 2}
(0,0,0,1)
(4,6,10,
34)
(2565/1156,
513/1156,
513/289,0)
(0,0,0,0)
xk+1
5/34
(10/17, 15/17,
9/17,0)
(35/31,
24/31,3/31,0)
68/279
Phng php gradient rt gn trn y l do Wolfe xut. Sau ny, Abadie v Carpentier
a ra phng php gradient tng qut gii cc BTQHPT vi rng buc phi tuyn.
5.4. Phng php n hnh li Zangwill
174
thch
hp,
chng
ta
nhn
c:
r d
jI
f (x)T d =
N f (x)T d N + B f (x)T d B =
vi I l tp cc ch s ca cc bin c s (I
JB). xy dng hng ci thin d, cn chn rN v dN sao cho rNT d N < 0 v dj 0 mt khi xj = 0,
sau chn dB = B1NdN.
Vy chng ta c quy tc xy dng hng ci thin nh sau: Trc ht tnh
< th dB = B1av do dv = 1 v dj = 0, j I v j v.
Ta i chng minh rng khi = = 0 th x l im Kuhn Tucker. Tht vy, x l im
Kuhn Tucker khi v ch khi tn ti cc vc t u v v sao cho:
u T = (u BT ,u NT ) (0,0)
T
T
T
T
T
[ B f (x) , N f (x) ] + v (B,N ) (u B ,u N ) = (0,0)
T
T
u B x B = 0,u N x N = 0.
y chnh l iu kin (6.34) bit mc 5.3. Do xB > 0, u BT 0 nn u BT x B = 0 khi v
ch
khi
u BT = 0 .
(6.34)
suy
ra
v T = B f (x)T B 1 v
u NT = N f (x)T + v T N =
175
r T = f (x k )T B f (x k )T B 1 A .
Tnh = Max {rj: rj 0} v = Max {xjrj: rj 0}:
Nu = = 0, dng.
Nu , = rv th t dv = 1 v dj = 0, j Ik v j v,
Cn nu < , = xvrv th t dv = 1 v dj = 0, j Ik v j v.
(trong Ik l tp ch s cc bin ngoi c s)
t (d k )T = [d NT ,d BT ] , vi dN xc nh nh trn v dB = B1NdN .
Bc 2: Gii bi ton tm kim trn hng Min f(xk + dk) vi 0 max, trong
max
x kj
k
M in k : d j < 0
=
d j
khi d k 0
khi d k 0.
x1 + x 2 + x 3 = 2
x1 + 5x 2 + x 4 = 5
x , x , x , x 0.
1 2 3 4
Qu trnh gii c tm tt trong bng VI.2.
Bng VI.2. Tm tt cc bc lp trong phng php n hnh li
Hng tm kim
rk
dk
xk+1
{3, 4}
(4,6,0,0)
(0,1,1,5)
(0,1,1,0)
{2, 3}
(28/5,0,0,
(1,1/5,
35/31
2/5)
4/5,0)
(35/31
24/31,3/31,0)
Bc
lp k
xk
f(xk)
Ik
(0,0,2,5)
(0,1,1,0)
4,0
176
(35/31,24/31,
3/31,0)
7,16
{1, 2}
(0,0,0,1)
6. Gii thiu phng php im trong gii bi ton quy hoch tuyn tnh
Ax = b
x 0.
(6.35)
(6.36)
xi xik
n
2
x E = x R :
,
0<
1
vi
,
xik
i =1
(6.37)
x i x ik
n
2
,
1
vi
x E = x R :
.
x ki
i =1
Ek chnh l mt ellipsoid c tm ti xk =
(x
k
1
, x 2k ,..., x nk
vi cc bn trc
vi cc rng buc
177
x1 + x2 + x3
x1 + x2
= 3
+ x4 = 1
B(1, 2)
x1 + x2 1
A
1
x 2Ox1x 2
x1 + x2 3
x1Ox x
1 2
C
C
3
x1
Trn hnh VI.14, hnh chiu ca min D trn mt phng Ox1x2 l min
c gii hn bi t gic OABC (bn c c th t mnh chng minh iu ny). im x1 = (1, 1,
1, 1) l mt im trong ca D, cn hnh chiu ca n trn mt phng to Ox1x2 l im
x 1Ox1 x 2 = (1, 1). ng trn C c tm ti (1, 1) l hnh chiu ca ellipsoid E1 (lc ny l hnh cu
(x11)2 + (x21)2 +(x31)2 + (x41)2 = 2) trn mt phng Ox1x2:
2
4
xi 1
4
2
E = x R :
.
1
i =1
xi 1
4
2
2
2
(x
1)
x x R :
i
1
i =1
i =1
178
uRm
Vy
cn
gii
bi
ton
M in(x A T u )T (x A T u )
sau:
hay
bi
ton
Ax. Vy Q(x) = ATu* (bn c hy chn mt v d n gin v kim nghim cc kt lun mt cch
c th). Do P(x) = x Q(x) = (I AT(AAT)1A)x (xem minh ha hnh VI.15). P = I AT(AAT)1A
c gi l ma trn chiu ln KerA.
Ker A
P(x)
Q(x)
T
R(A )
Hnh VI.15. Minh ha cc php chiu P v Q
khi
dch
chuyn
x1
ti
Pc
P( c)
Pc
=
d1 =
. Lc cTd1 = cT Pc
P( c)
Pc
x2,
phi
chn
hng
ci
thin
l s m vi tr tuyt i ln nht c th t
R(AT)
c
O
Ker A
d1
Pc
179
Vy ta c x2 = x1
Min f( x1
A(x1
n
Pc
. Cn chn (x 2i 1)2 2 sao cho t c
Pc
i =1
Pc
Pc
) = cT (x1
), vi cc rng buc
Pc
Pc
Pc
)=b
Pc
x2 = x1
Pc
E1 =
Pc
(6.38)
2
n
n
xi 1
n
2
x
R
:
(x i 1)2 2 .
i =1
i =1
(6.39)
Rng buc (6.38) c tha mn do cch chn d1. tha mn (6.39) phi c
n
2
2
xi 1 .
i =1
Pc
Pc
Do x1i = 1, i = 1,n , nn c 2
Pc
vi <1.
Pc
(6.40)
1 / 3 0
1 1 1 0
A=
(AAT)1 =
0 1 / 3
1 1 0 1
0
1 / 3 1 / 3
1/3
0
1 / 3 1 / 3 1 / 3
Pc =
P = I AT(AAT)1A =
1 / 3 1 / 3 2 / 3
0
0
2/3
1 / 3 1 / 3
1 / 3
2 / 3
1 / 3
Pc
Pc = 1,290994 (x ) = x1
= (1,257, 1,514, 0,229, 0,743).
Pc
2 T
x i x 2i
n
2
x E = x R :
x 2i
i =1
180
(6.41)
x x2
E2 = x R 4 : i 2 i 2
xi
i =1
(6.42)
0
0
0 x1/
x1 1,257
x
1,514
0
0 x 2/
2 = 0
,
x3 0
0
0,229
0 x 3/
0
0
0,734 x 4/
x 4 0
C th vit php nh li t l di dng x = X2x/, trong X2 l ma trn ng cho cp n:
(6.43)
x/ (E2)/ = x / R 4 : x i/ 1
i =1
2 .
(6.44)
P / c/
X 2P / X 2 c
/
3
2
(3
)
x
=
x
, vi < 1,
P / c/
P / X 2c
(6.45)
181
l ma trn nh li t l
(X k )2 sk
,
X k sk
iu ny l do xk+1 = xk
(6.46)
Xk P/ Xk c
, trong P/ = (I XkAT(A(Xk)2AT)1AXk).
P/ Xk c
182
thy, (u) u u . Lc , nu thay cng thc (6.46) trong thut ton t l affine bc ngn
bng mt trong hai cng thc (6.47) v (6.48) sau y th ta s c c cc thut ton t l affine
bc di loi 1 v loi 2:
xk+1 = xk
(X k )2 sk
,
X k sk
(6.47)
(X k )2 sk
.
(X k sk )
(6.48)
xk+1 = xk
Bi tp chng VI
Bi 1. Chng minh cc tp hp sau l tp li, sau m t bao ng, min trong v bin ca
chng:
183
1
(x x)T H(x)(x x) .
2
Cho f(x) = exp(x12 + x22) 5x1 + 10x2, hy tm cc biu thc xp x tuyn tnh v xp x
ton phng ca f(x) v cho bit chng l hm li hay hm lm hay khng li khng lm, ti
sao?
Bi 6. Xt bi ton ti u:
ca n l f (x) = f (x) + f (x)T (x x) +
12
184
Bi 9. Hy tm hiu c s l thuyt v pht biu chi tit thut ton Frank Wolfe. Sau lp
chng trnh my tnh bng ngn ng Pascal hoc C v chy kim th cho bi tp 7 trn
y.
Bi 10. Xt cc bi ton ti u
a. Min f(x) = 6x1 2x2 12x3 + x12 + 2x22 + x1x2, vi cc rng buc
x1 + x2 + x3 = 2
x1 + 2x2
x1, x2, x3 0
Bi 11. Hy sa chnh phng php n hnh li Zangwill gii trc tip bi ton Min f(x) vi
cc iu kin rng buc Ax = b v a x b.
Sau p dng gii bi ton: Min f(x) = 4x1 6x2 + x12 x1x2 3x22 + exp (x1)
vi cc rng buc
2x1 + x2 8
x1 + x2 2
1 x1, x2 3.
Bi 12. Hy lp chng trnh my tnh cho cc thut ton gradient rt gn v n hnh li
Zangwill (c chnh sa), sau chy kim th cho cc bi tp 8 v 9.
Bi 13. Thc hin ba bc lp u tin ca thut ton t l affine gc bc ngn cho BTQHTT
sau:
185
. . , , , , 1981.
2.
3.
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