Prof. P.A.

Parrilo

Fall 2011

MIT 6.255/15.093 Optimization Methods Homework assignment # 1
Date Given: Date Due: September 13th, 2011 Thursday, September 22nd, 2:30PM

Several of the problems are from the course textbook, Introduction to linear optimization, by D. Bertsimas and J. Tsitsiklis. P1. [10 pts] Bertsimas & Tsitsiklis, Exercise 1.3. P2. [15 pts] Bertsimas & Tsitsiklis, Exercise 1.6. P3. [25 pts] Bertsimas & Tsitsiklis, Exercise 1.14. In addition to solving the problem graphically, please solve the corresponding LP problem using the software package of your choice (e.g., MATLAB, Excel, GLPK, CPLEX, etc). P4. [25 pts] Consider the two sets in R3 given by: 1. P1 = {(x, y, z) ∈ R3 | |x| ≤ 1, |y| ≤ 1, |z| ≤ 1} 2. P2 = {(x, y, z) ∈ R3 | |x| + |y| + |z| ≤ 3} (a) Show that both sets are polyhedra. Represent them graphically. (b) Give a description of the sets using only linear inequality constraints on x, y, z (no absolute values). (c) Consider the point (1, 1, 1). For each set, is the point feasible? A basic solution? A basic feasible solution? (d) For each set, find the extreme points. Are they nondegenerate? P5. [25 pts] Consider the problem: minimize s.t. y x+y x −2x + y ≤ 1 ≤ 1 ≤ 4

(a) Draw the feasible set. (b) Convert to standard LP form, by adding slack variables. (c) Solve the problem using the simplex method, starting from the BFS where x, y are both zero. (d) Redo the problem, this time maximizing y ( i.e., change the objective function to −y instead). If necessary, feel free to use MATLAB (or similar) to compute the reduced costs and matrix inversions.

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