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Linear Programming

# Linear Programming

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01/17/2013

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# Linear Programming

IE 5551, Spring 2011 Xi Chen

Outline  Background  Definition (canonical form)  Standard form  Excel solver  Branch-and-Bound algorithm .

Background  Optimization (Wikipedia)  Choosing the best elements from some set of available alternatives  Subfields:  Convex programming (includes linear programming)  Integer programming  Nonlinear programming  Stochastic programming  Combinatorial optimization  …  Components:  Variables  Objectives  constraints .

 Canonical form: n min i 1 n ci xi aij xi i 1 min s. m Operations research Electrical engineering Portfolio management Heuristics .t.t. j 1..Linear Programming  A Linear Program (LP) is a mathematical optimization problem in which the objective function and all constraints are linear. 2...  Uses:     bi . cT x Ax b s..

t.t. x2 x2 {0.t. x1 x2 2 0 x1 x2 x1 x2 x1 .t.1} . x1 x1 x2 x1 x2 1 x1 0 max s. x1 x2 sin( x1 ) x2 2 max s. x1 x2 2 max s.Linear Programming  Examples (LP?): max s.

Rardin. cT x Ax b x 0  Any LP can be written in the standard form using a few tricks (Ronald L.t. 1998).Linear Programming  Standard form:  An LP is said to be in its standard form if it is of the form: min s.  Standard form is used to apply algorithm and use software . Optimization in Operations Research.

x1 x2 2 0 x1 x2 x1 .t.Linear Programming  Classes of LP problems:  Feasible and bounded min s. x2  Infeasible min s. x2 0 2  Unbounded min s. x1 x1 x2 x2 2 .t. x1 x2 x1 x2 x1 .t.

local optimal  Unimodal Function:  Convex region:  For any two points within the region. all the points on the line segment between them are all within the region  Unimodal Objective function & Convex feasible set implies  Global optimal exists  Local optimal is global optimal  LP has UOF & CFS  Global optimal exists  Local optimal is global optimal  Global optimal are among the vertices .Linear Programming  Important theorems:  Global optimal.

x1 x2 x1 2 x2 2 x1 x1 .Linear Programming  Solving LP:  Graphical method (2-dimentional LP) min s. x2 x2 0 3 3  Simplex method  Interior point method  Ellipsoid algorithm  Computer programming tools:  Excel Solver  CPLEX .t.

x2 . x5 x3 x4 1 x4 0 1 x5 1. x4 .5 s. . x3 .t.Excel Solver  Load Solver Add-In:  Menu -> Excel Options -> Add-Ins -> Manage Excel Add-Ins -> select Solver Add-in  Example: min x1 2 x2 3x3 x1 x2 x1 x2 x1 .

min s. cT x Ax b x 0 x zn  Although a linear program is easily solved.t.  The most commonly applied technique is branch-and-bound . the presence of the integral make the problem much harder (NP-hard)  One natural idea is to take the solution to the linear-programming relaxation and round it to the nearest integer point  This may not be feasible.Branch-and-Bound  Background – Integer Programming  An integer program (IP) is just a linear program with the additional constraint imposed that all variables must be integers. there is no guarantee that we're at an optimal point. but even if it is.

x2 ) :10 x1 7 x2 40.Branch-and-Bound  Basic idea: solve the linear programming relaxation.t. x2  Solving the linear relaxation gives us: ( x1 . 17 x1 12 x2 10 x1 7 x2 x1 x2 5 Z ( 5 . x1 1} 5. x1 x2 x2 5. x2 )  We split the search space into two nodes: P {( x1 . x2 ) :10 x1 7 x2 1 P2 {( x1 .10 ) 3 3 40 x1 . and hope that the solution is integral  Example: max s. x1 40. x1 2} .

Branch-and-Bound .

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