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Oct 02, 2014

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Lecture notes about LP-problems and the Simplex method

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Lecture notes about LP-problems and the Simplex method

© All Rights Reserved

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FORM

min

xR

n

c

t

x;

Ax = b; x 0:

x 0 means x

i

0; i = 1; ; n:

A of size r n is supposed to have full rank r:

is a polytope (polyhedron if bounded).

This is a convex optimization problem = KKT con-

ditions sucient for a global minimum.

GEOMETRY OF THE FEASIBLE SET

Denition: The point x

e

@ (= the boundary of

) is an extreme point if

x

e

= y + (1 ) z ; y; z ; 0 < < 1

implies that y = z = x

e

.

Where are the extreme points for a line segment, for R

and R

n

+

, a cube, and a sphere (all sets closed)?

The extreme points for are the vertices.

Vertex

Edges

Face

Vertex

Edges

Face

Denition: A feasible point x ( x 0, Ax = b) is called

a basic point if there is an index set B = i

1

; ; i

r

,

where the corresponding subset of columns of A,

n

a

i

1

; ; a

i

r

o

;

are linearly independent, and x

i

= 0 for all i = B.

If x

i

happens to be 0 also for some i B, we say that

the basic point is degenerate.

For a basic point, the corresponding r r matrix

B =

h

a

i

1

; ; a

i

r

i

;

will be non-singular, and the equation Bx

B

= b has a

unique solution.

The Fundamental Theorem for LP (N&W Theorem

13.2):

1. If ,= ?, it contains basic points.

2. If there are optimal solutions, there are optimal basic

points (basic solutions).

Theorem (N&W Theorem 13.3): The basic points are

the extreme points of .

The number of basic points is between 1 (because of the

rst statement in the Fundamental Theorem) and

n

r

:

THE SIMPLEX ALGORITHM

The Simplex Algorithm is reported to have been dis-

covered by G. B. Dantzig in 1947.

The idea of the Simplex Algorithm is to search for

the minimum by going from vertex to vertex (from

basic point to basic point) in .

Hand calculations are never used anymore!

The Simplex Iteration Step

We assume that the problem has the standard form, and

that we are located in a basic point which, after a re-

arrangement of variables, has the form

x =

"

x

B

0

#

:

The partition is therefore according to A = [B N], where

B is non-singular, and

Ax = [B N]

"

x

B

0

#

= Bx

B

= b:

Split a general x in the same way,

Ax = [B N]

"

x

1

x

2

#

= Bx

1

+ Nx

2

= b:

Hence,

x

1

= B

1

(b Nx

2

) = x

B

B

1

Nx

2

:

Note also that

f (x) = c

t

x = [c

1

c

2

]

"

x

1

x

2

#

= c

t

1

x

1

+ c

t

2

x

2

= c

t

1

x

B

B

1

Nx

2

+ c

t

2

x

2

= c

t

1

x

B

+

c

t

2

c

t

1

B

1

N

x

2

Around [x

B

0]

t

, we may express both x

1

and f (x) in

terms of x

2

:

We are located at x

1

= x

B

, x

2

= 0, and try to change

one of the components (x

2

)

j

of x

2

so that

f (x) = c

t

1

x

B

+

c

t

2

c

t

1

B

1

N

x

2

decreases.

If

c

t

2

c

t

1

B

1

N

0 = FINISHED!

Assume that

c

t

2

c

t

1

B

1

N

j

< 0:

If all components of x

1

increase when (x

2

)

j

increases,

then

min c

t

x = o:

= FINISHED!

If not, we have the situation shown in Fig. 1.

x

1 x

2

(x

B

,0)

1 r

n

(x

2

)

j

x

1 x

2

(x

B

,0)

1 r

n

(x

2

)

j

Figure 1: Change in x

1

when (x

2

)

j

increases from 0.

The Simplex algorithm always converges if all basic

points are non-degenerate.

Degenerate basic point: Try a dierent component

of x

2

. (FINISHED if impossible!)

It is straightforward to construct a generalized Sim-

plex Algorithm for bounds of the form

l

i

x

i

u

i

; i = 1; ; n:

If we LU-factorize B once, we can update the fac-

torization with the new column without making a

complete new factorization (N&W, Sec. 13.4).

It is often preferable to take the "steepest ridge"

(fastest decrease in the objective) out from where

we are (N&W, Sec. 13.5).

Starting the Simplex Method

The Simplex method consists of two phases:

Phase 1: Find a rst basic point

Phase 2: Solve the original problem

The Phase 1 algorithm:

1. Turn the signs in Ax = b so that b 0:

2. Introduce additional variables y R

r

and solve the

extended problem

min (y

1

+ + y

r

) ;

[A I]

"

x

y

#

= b; x; y 0:

(Note that [0 b]

t

already is a basic point for the ex-

tended problem!).

Assume that the solution of the extended problem is

"

x

0

y

0

#

:

If y

0

,= 0, then the original problem is infeasible

( = ?).

If y

0

= 0, then x

0

is a basic point (= possible start

for the original problem).

This is not the only Phase 1 algorithm.

1 EPILOGUE

Open Problem: Are there LP algorithms of polyno-

mial complexity?

The Simplex Method has exponential complexity in

the worst case (KleeMintyCheval counterexample)

Interior Point Methods (Khachiyan, 1978): #Op _

C

n

4

L

n

3:5

L

ods, #Op _ C

n

3

L

after discussing penalty and barrier methods)

Solving large LP problems is BIG business!

Entering data into the computer for large LP prob-

lems is a lot of work. Look up a description of the

industry standard MPS Data Format on the inter-

net.

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