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Quy hoch tuyn tnh

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Thuyt ti u ha c in s dng php tnh vi phn xc nh cc
im cc i v cc tiu ( cc tr ) cho nhng hm b rng buc v hm
khng b rng buc. Nhng phng php ny c th khng ph hp vi
hiu qu trong tnh ton bng, nhng phng php c bn ny cung cp nn
tng cho hu ht thut ton quy hoch phi tuyn. Chng ny trnh by
nhng iu kin cn v gii cc bi ton khng b rng buc, phng
php Jacobian v Lagrangean (gii quyt cc bi ton ti u c rng buc
dng bt phng trnh), v iu kin Karush-Kuhn-Tucker ( KKT ) gii
quyt nhng bi ton ti u c rng buc dng bt phng trnh . iu kin
KKT cung cp thuyt thng nht nht cho mi vn quy hoch phi tuyn.


A. BI TON KHNG B RNG BUC

Mt im cc tr ca hm f(X) xc nh im cc i v cc tiu ca
hm .
Theo ton hc, 1 im

l cc i nu:

) vi |

| nh vi mi j .
Ni cch khc,

l cc i nu gi tr ca f ti mi im ln cn ca

khng vt qu

. Tng t ,

l cc tiu nu :


Quy hoch tuyn tnh

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Hnh 18.1 minh ha im cc i v cc tiu ca hm n bin f(x)
qua khong [a,b].

l cc im cc tr ca f(x), vi

l cc
i v

l cc tiu. V:

l im cc i ton cc hay tuyt i ( cc i mnh), v

l cc i a phng hay tng i ( cc i yu). Tng t,

l cc tiu a phng v

l cc tiu ton cc.


Mt khc
1
x l 1 im cc i yu v gi tr f tng ng vi t nht mt
im thuc vng ln cn ca

bng

. Ni chung, vi h c xc nh
nh trc,

s l im cc i yu nu:


v l im cc i mnh nu:

.
Quy hoch tuyn tnh

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Trong hnh 18.1, o hm u tin ( dc ) ca f bng 0 ti mi cc
tr. Tuy nhin, tnh cht ny cng tha mn ti im un v im dng, nh

. Nu mt im vi dc bng 0( nghing ) khng l cc tr ( cc i


hay cc tiu ), th n phi l im un hay im dng.

1. iu kin cn v
Phn ny a ra iu kin cn v hm n bin c cc tr.
N cng ch ra rng o hm bc 1 v bc 2 ca f(X) th lin tc X.

- nh l 1. iu kin cn

l mt im cc tr ca f(X) :


Chng minh: nh l Taylors
Cho 0 1 u < <
0
0 0 0
1
( ) ( ) ( )
2
T
h
f X h f X f X h H H h
u +
+ = V +
X

Vi j
h
nh

Chng ta thy c s mu thun, v 0
( ) f X V
phi b trit tiu ti im
cc tiu X
0
. Gi thit n khng phi, ta cho 1 iu kin c th:

Chn h
j
vi du hiu ph hp, n lun c th c:
Quy hoch tuyn tnh

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Thit lp cc h
j
khc bng 0, p dng nh l TayLors m rng:


Kt qu ny tri ngc vi gi nh rng X
0
l im cc tiu. Nh
vay
0
( ) f X V phi bng 0. Chng minh tng t vi trng hp cc i. V
cc iu kin cn cng c chng minh im un v im dng. N
thch hp hn tham kho cc im thu c t li gii ca
0
( ) 0 f X V = ti
im dng .nh l tip theo thit lp cc iu kin y X l cc tr.
- nh l 2: iu kin im dng X l cc tr l ma trn
Hessian xc nh ti X:
H ti X
0
phi xc nh dng nu X
0
l im cc tiu.
H ti X
0
phi xc nh m nu X
0
l im cc i.
Chng minh: nh l Taylors
Cho 0 1 u < <
0
0 0 0
1
( ) ( ) ( )
2
T
h
f X h f X f X h H H h
u +
+ = V +
X

Cho X
0
l 1 im dng, 0
( ) 0 f X V =
. Do :

Nu X
0
l 1 im cc tiu th:

Do , cho X
0
l 1 im cc tiu th kt qu ng l:
Quy hoch tuyn tnh

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Cho rng o hm tng phn bc 2 l lin tc, biu thc
1
2
T
H Hh
phi cng du X
0
v
0
X h u + . V
0
T
x
H H h nh ngha dng ton phng ,
biu thc ny l dng khi v ch khi
0
x
H xc nh dng . iu kin ny
c ngha l iu kin dim dng
0
X l cc tiu l ma trn Hessian H
nh gi ti cng 1 im dng xc nh . Chng minh tng t vi trng
hp cc i cho thy ma trn Hessian tng ng xc nh m.
V d 18.1.1: Xem hm sau:

iu kin cn:


iu kin :

Quy hoch tuyn tnh

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Ni chung, nu |

khng xc nh ,

phi l im dng Trong


nhng trng hp khng kt lun c ,

c th l mt im cc tr
hoc khng. V cc iu kin cao hn trong khai trin ca Taylor phi
c xem xt.
iu kin c thnh lp bi nh l 2 p dng cho hm n
bin sau. Cho

l mt dng:
(i)

l cc i nu


(ii)

l cc tiu nu



Nu

, o hm bc cao hn phi c nghin cu t m


nh yu cu ca nh l di y.
Hnh 18.1.2
Hnh 18.2 l th ca 2
hm sau:
4
( ) f y y = v
3
( ) g y y =
- nh l 3. Cho

mt im dng ca

, nu o hm u
tin ( n-1 ) l 0 v

, th:
(i) Nu n l,

l im un.
(ii) Nu n chn th

l cc tiu nu

v cc i nu


V d 18.1.2: Hnh 18.2 biu din 2 th sau
Quy hoch tuyn tnh

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2
0
(2) (3)
'( ) 3 0 0
0, 0
g X X X
g g
= = =
= =

l im cc tiu
0
X l im un

2. Phng php Newton-Raphson
Vic gii h phng trnh phi tuyn ca iu kin cn d xc nh cc
im dng c th gp kh khn khi tnh ton. Phng php Newton-
Raphson l 1 qu trnh lp gip gii h phng trnh phi tuyn.
Xt nhng phng trnh khng ng thi sau y:

l mt im cho trc. Ri t khai trin ca Taylor




Do , phng trnh gc ,

c th c xp
x nh sau:



Nhng phng trnh ny c th vit di dng k hiu ma trn nh:


Nu

l khng phi s t , th sau :



3
0
(3)
0
'( ) 4 0 0
'(0) (0) 0, '(0) 24 0
0
f X X X
f f f
X
= = =
= = = >
=
Quy hoch tuyn tnh

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tng ca phng php ny bt u t gi tr ban u

v s
dng phng trnh trn y xc inh im mi. Qu trnh tip tc vi 2
im tip theo ,

, l xp x bng nhau.

Cch hiu theo hnh hc ca phng php ny c minh ha bi
hm n bin hnh 18.3 . Mi lin quan gia

ca hm n bin
f(x) c gim xung thnh:


Hnh 18.3
Quy hoch tuyn tnh

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Hnh ch ra rng

c xc nh bi dc ca f(x) ti

, ni m

Mt kh khn na vi phng php ny l s hi t s lun


khng c m bo tr khi hm f c chun b tt. hnh 18.3, nu gi
tr ban u l a, phng php s khng hi t . Ni chung, phng php th
sai c dng xc nh im ban u tt.


B. BI TON RNG BUC
Phn ny gii quyt vic ti u ha ca hm lin tc b rng buc.
Phn 18.2.1 gii thiu cc trng hp ca rng buc phng trnh v phn
18.2.2 gii quyt rng buc dng bt phng trnh. S trnh by phn
18.2.1 bao gm hu ht cc phn trong Beightler v Associates.
1. Rng buc phng trnh
Chng ny gii thiu hai phng php : Jacobian v Lagrangean.
Phng php Lagrangean c th c pht trin theo quy lut lgic t
phng php Jacobian. Mi lin quan ny cung cp mt s gii thch v kinh
t ng ch ca phng php Lagrangean.
- Phng php o hm c rng buc ( Jacobian ).
Xt bi ton:
Minimize z = f(X)
subject to
g(X)=0
where



Quy hoch tuyn tnh

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Hm f(X) v g(X), i = 1,2,,m , l hai hm lin tc c th phn bit
c.
tng s dng phng php o hm c rng buc l t pht trin
mt biu thc dng khp kn m o hm ring u tin ca f(X) ti mi
im tha mn rng buc g(X) = 0. Nhng im n nh tng ng c
xc nh nh nhng im m ti o hm ring trit tiu. iu kin
c gii thiu phn 18.1 c th c dng kim tra tnh ng nht ca
nhng im n nh.
lm cho sng t d hiu mc ch ca khi nim, coi


c minh ha nh hnh 18.4 . Hm ny cn c cc tiu ty thuc vo
rng buc


vi b l 1 hng s. T hnh 18.4, ng cong c nh r bi 3 im
A,B,C i din cho gi tr ca

m rng buc c cho lun lun


tha mn. Phng php o hm rng buc c nh r bi cong ca

ti bt k im no trn ng cong ABC. im B ti o hm


rng buc b trit tiu l mt im n nh cho rng bi ton rng buc.
Phng php ny by gi c pht trin theo tnh ton s hc. Theo
nh l ca Taylor , cho thuc vng kh thi ln cn ca X , ta c


Nu

, phng trnh rt gn thnh



v

Quy hoch tuyn tnh

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Hnh 18.4
kh thi, chng ta phi c = , v n dn ti



iu ny cho ta ( m + 1 ) phng trnh vi ( n + 1 ) n ,
. Lu rng l mt bin ph thuc, v t y n c xc nh ngay
Quy hoch tuyn tnh

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khi bit c gi tr , iu ny ngha l chng ta c m phng trnh vi n
n.
Nu , t nht ( m n ) phng trnh b tha. Loi b nhng ci
b tha , h thng rt gn v . Nu m = n , p n l , v X
khng c vng kh thi ln cn, ngha l khong p n ch gm mt im
duy nht. Trng hp cn li , yu cu s t m xa hn.
nh ngha :
X = ( Y,Z )
vi



Theo th t vectors Y v Z c gi l bin ph thuc v bin c
lp. Vit li nghing vectors ca f v g theo cc s hng ca Y v Z , ta
c

.

nh ngha :

c gi l ma trn Jacobian v

l ma trn iu
chnh. Ma trn Jacobian J c cho l khng suy bin. iu ny lun lun
Quy hoch tuyn tnh

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c th v phng trnh m cho trc l c lp bi nh ngha. Thnh phn
ca vector Y phi c la chn gia cc X vi J l khng suy bin.
Nguyn bn phng trnh ca c th c vit nh sau


v


Bi v J l khng suy bin , ma trn nghch o

tn ti. Theo ,

.

Thay th cho trong phng trnh theo cho nh l mt
hm ca , th l:



T phng trnh ny , o hm rng buc i vi vector c lp Z
c cho bi



vi

f l vector dc c rng buc ca f i vi Z. Theo ,

ti cc im dng.
iu kin tng t vi vic pht trin phn 18.1 . Ma trn
Hessian tng ng vi vector c lp Z, v cc phn t ca ma trn Hessian
l o hm bc 2 c rng buc . ch r iu ny thu c nh th no ,

.

Quy hoch tuyn tnh

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Hng th i ca ma trn Hessian ( c rng buc ) l

. Ch rng
W l mt hm ph thuc vo Y v Y l mt hm ph thuc vo Z. Do vy,
o hm ring ca

i vi

da trn qui lut sau y :



V d 18.2-1
Xem bi ton di y:



Cho im kh thi

, ta mun nghin cu s bin thin ca


hm

trong vng kh thi ln cn ca

.
t


T ta c

)
Quy hoch tuyn tnh

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(

) (

*

Gi s rng chng ta cn c lng

trong vng ln cn kh thi


ca im kh thi

c mt s thay i nh

trong
bin c lp

. Ta c

(


)

) (

,(

) (

)

T gi tr tng ln ca hm f b rng buc c tnh nh sau

( (

))



Bng vic ch r gi tr ca

t bin c lp

, gi tr kh thi ca

c xc nh t bin ph thuc

v s dng cng thc


sau :


Theo , vi

)

Gi ta so snh gi tr ca

c tnh ton nh trn vi



Quy hoch tuyn tnh

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Kt qu ny


hay



Gi tr -0,477 so snh vi

. S khc
nhau gia hai gi tr ny l kt qu ca php tuyn tnh xp x trong phn
tnh ton

.
V d 18.2-2 : V d ny minh ha vic s dng phng php o
hm b rng buc . Xt bi ton.



subject to



Ta xc nh im cc tr b rng buc nh sau y.t


T ,


Quy hoch tuyn tnh

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(


)

, (

)
Theo ,

,(



Phng trnh xc nh im dng nh sau:


hay
(



+(

+ (

+

Kt qu l :



Tnh ng nht ca im dng ny c kim tra bng iu kin .
Cho rng

l bin c lp, n theo sau t

* (

*
(


Quy hoch tuyn tnh

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T phng php Jacobian:
(

,

Thay vo ta c

. Vy ,

l im cc tiu.

- Phn tch nhy theo phng php Jacobian.
Phng php Jacobian c th dng nghin cu nh hng ca s
thay i nh v phi ca rng buc trn gi tr ti u ca f. Mt cch c
th, ci g nh hng n s thay di

trn gi
tr ti u ca f . Loi nghin cu ny c gi l phn tch nhy v n
tng t vi phn tch nhy trong qui hoch tuyn tnh.
Chng ta ch ra v trc rng



Cho , ta c



Thay th vo phng trnh , c


vi

c xc nh phn trc. Khai trin cho


c th dng nghin cu s bin thin ca f trong vng kh thi
ln cn ca im kh thi

kt qu t s thay i nh .
Quy hoch tuyn tnh

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Ti im cc tr

, dc b rng buc

phi b trit
tiu. Theo :


hay



nh hng ca s thay i nh trn gi tr ti u ca f c th c
nghin cu tm gi tr s t s ca s thay i ca f i vi g. Nhng t s
ny l h s nhy.

V d 18.2-3
Xem bi ton v d 18.2-2. im ti u c cho bi

, ta c


Do :
(

,

iu c ngha rng vi

, f s tng xp x khong 0.0876.


Tng t, vi

, f s tng xp x khong 0.3067.



Quy hoch tuyn tnh

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Hnh 18.5: Cc tr ca gii php khng gian ca chng trnh
tuyn tnh.




- Phng php Lagrangean.
Trong phng php Jacobian , vector i din cho h s nhy,
v ta c:


T

Phng trnh ny tha mn iu kin cn ca im dng v


c tnh ton khi

. Mt hnh thc thun tin hn biu th nhng


phng trnh ny l ly o hm ring i vi

. Kt qu ny


Quy hoch tuyn tnh

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Phng trnh t c ny cng vi phng trnh rng buc g(X) = 0,
gi tr kh thi ca tha mn iu kin cn ca im dng.
Th tc c cho ny nh r Phng php Lagrangean nhn ra
im dng ca bi ton ti u vi rng buc ng thc. Coi


Hm L c gi l hm Lagrangean v thng s l s nhn
Lagrangean. Bng s nh ngha, nhng s nhn ny c cng cch hiu vi
h s nhy ca phng php Jacobian.
Phng trnh:


cho ta iu kin cn xc nh im dng ca f(X) vi rng buc g(X) = 0.
iu kin ca phng php Lagrangean tn ti nhng chng ni chung
kh lm bng in ton.
V d 18.2-4
Xem bi ton v d 18.2-2. Hm Lagrangean l



Kt qu ny a ra nhng iu kin cn sau :


Quy hoch tuyn tnh

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Kt qu nhng phng trnh ng thi ny l


p n ny kt hp vi kt qu ca v d 18.2-2 v 18.2-3. Gi tr ca
s nhn Lagrangean bng vi h s nhy thu c v d 18.2-3. Kt
qu ch ra rng nhng h s ny l c lp vi la chn c th ca vector
ph thuc Y trong phng php Jacobian.
1. Rng buc bt phng trnh - iu kin Karush-Kuhn-Tucker
(KKT)
Phn ny m rng phng php Lagrangean ti bi ton rng buc bt
phng trnh. S ng gp chnh ca phn ny l pht trin iu kin cn
Karush-Kuhn-Tucker (KKT) xc nh im dng. iu kin ny cng l
di nhng qui lut chc chn s c ni sau.
Xt bi ton sau

subject to


Rng buc bt phng trnh ny c th chuyn qua thnh phng
trnh bng cc s dng bin thiu khng m. t

l con s thiu
c thm vo vi rng buc th i

v nh ra
Quy hoch tuyn tnh

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vi m l tng s rng buc bt phng trnh. Hm Lagrangean th c cho
bng



Rng buc c cho nh sau

mt iu kin cn ti u l phi khng m ( hoc khng dng ) trong
bi ton cc i ( cc tiu ). Kt qu ny c chng minh bng ghi ch
rng vector c c s t l s bin thin ca f i vi g , ngha l ,



Trong trng hp cc i, v phi ca rng buc tng t 0
n vector , vng li gii tr nn t rng buc hn v do f khng th
gim , ngha l . Tng t vi cc tiu, v phi ca rng buc tng , f
khng th tng, ngha l a n . Cn nu rng buc l phng trnh
g(X) = 0 , t tr nn khng b gii hn.
S hn ch coi nh l mt phn ca iu kin KKT. iu kin
cn li s c pht trin tip.
Ly o hm ring ca L i vi X,S v , ta c


Quy hoch tuyn tnh

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T phng trinh th hai, ta c:
- Nu

, th


- Nu

, th



T phng trnh th hai v ba , ta c



iu kin mi ny v c bn lp li t ch trn, bi v nu

; v nu

.
iu kin cn KKT cho bi ton cc i c tm tt nh sau:





Nhng iu kin ny cng p dng cho bi ton cc tiu, ngoi tr
th phi khng dng. C hai bi ton cc i v cc tiu, s nhn
Lagrangean tng ng vi rng buc phng trnh u b hn ch.
- S i vi iu kin KKT.
iu kin cn KKT th cng nu hm mc tiu v vng li gii
tha mn iu kin r rng. Nhng iu kin ny th c tm tt bng
18.1.
N th n gin hn nu xc minh rng mt hm l li hay lm hn
chng minh vng li gii l mt tp hp li. Vi l do ny, chng ta cung
Quy hoch tuyn tnh

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cp mt danh sch cc iu kin d hn p dng trong thc hnh theo
hng m li ca vng li gii c th c thnh lp bng vic kim tra
tnh li hay lm ca hm b rng buc. cung cp nhng iu kin ny,
chng ta ch ra bi ton phi tuyn mt cch tng qut nh sau:


subject to

l s nhn Lagrangean km vi rang buc i. iu kin thnh lp s


ca iu kin KKT c tm tt bng 18.2.

Nhng iu kin bng 18.2 ch th hin mt tp hp con nhng iu
kin bng 18.1 v vng li gii c th li m khng tha mn iu kin
bng 18.2.

TABLE 18.1
Sense of
optimization
Required conditions
Objective function Solution space
Maximization Concave Convex set
Minimization Convex Convex set

Quy hoch tuyn tnh

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TABLE 18.2
Sense of
optimization
Required conditions
f(X)


Maximization Concave Convex
Concave

Linear Unrestricted

Minimization Convex Convex
Concave

Linear Unrestricted



Bng 18.2 th hp l v iu kin c cho mang li mt hm
Lagrangean lm trong trng hp cc i v mt hm li
trong trng hp cc tiu. Kt qu ny c chng minh bng
nhn xt rng nu

l li , th

l li nu

v lm nu

. Tng t s th hin c th c thnh lp cho mi iu kin cn


li. Quan st rng mt hm tuyn tnh l c li v lm. V , nu mt hm f
lm th (-f) li.
Quy hoch tuyn tnh

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V d 18.2-5:
Xt v d bi ton cc tiu sau:


subject to



y l mt bi ton cc tiu , do . iu kin KKT c cho
nh sau




Nhng iu kin ny qui v thnh:


Quy hoch tuyn tnh

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Li gii l:



Bi v c f(X) v vng li gii l li , phi li v
kt qu im dng l mt im cc tiu b rng buc bao trm. iu kin
KKT l iu ch yu pht trin thut ton qui hoch phi tuyn.

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