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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

Linear Programming

A Linear Program (LP) is a mathematical optimization problem in which

Canonical form:

n

min

ci xi

min

s.t.

i 1

n

s.t.

aij xi

bi ,

i 1

Uses:

Operations research

Electrical engineering

Portfolio management

Heuristics

j 1, 2,..., m

cT x

Ax b

Linear Programming

Examples (LP?):

max

x1 x2

s.t.

sin( x1 ) x2

max

x1

x2

s.t.

x1 x2

x2 {0,1}

max

x1 x1 x2

s.t.

x1 x2 1

x1

max

x1

x2

s.t.

x1 x2

x1 , x2

2

0

Linear Programming

Standard form:

An LP is said to be in its standard form if it is of the form:

min

cT x

s.t.

Ax b

x 0

1998).

Standard form is used to apply algorithm and use software

Linear Programming

Classes of LP problems:

Feasible and bounded

min

x1

x2

s.t.

x1 x2

x1 , x2

Infeasible

min

x1 x2

s.t.

x1 x2

x1 , x2

Unbounded

min

x1

x2

s.t.

x1

x2

2

0

Linear Programming

Important theorems:

Global optimal, 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

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

Solving LP:

Graphical method (2-dimentional LP)

min

s.t.

x1 x2

x1 2 x2

2 x1

x1 , x2

Simplex method

Interior point method

Ellipsoid algorithm

Excel Solver

CPLEX

x2

0

Excel Solver

Load Solver Add-In:

Menu -> Excel Options -> Add-Ins -> Manage Excel Add-Ins

Example:

min

s.t.

x1 2 x2 3x3

x1

x3

x2

x1

x4

1

x4

x2

x1 , x2 , x3 , x4 , x5

1

x5 1.5

Branch-and-Bound

Background Integer Programming

An integer program (IP) is just a linear program with the additional

min

s.t.

cT x

Ax b

x 0

x

zn

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, but even if it is, there is no guarantee that

we're at an optimal point.

The most commonly applied technique is branch-and-bound

Branch-and-Bound

Basic idea: solve the linear programming relaxation, and hope

Example:

max

17 x1 12 x2

s.t.

10 x1 7 x2

x1

x2

x1 , x2

40

5

Z

We split the search space into two nodes:

( 5 ,10 )

3

3

P1 {( x1 , x2 ) :10 x1 7 x2

40, x1

x2

5, x1 1}

P2

40, x1

x2

5, x1

{( x1 , x2 ) :10 x1 7 x2

2}

Branch-and-Bound

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