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Mathematics

TMA947/MAN280

APPLIED OPTIMIZATION

Date: 07–03–12

Examiner: Michael Patriksson

EXAM SOLUTION

TMA947/MAN280 — APPLIED OPTIMIZATION 1

Question 1

(LP duality)

subject to y1 −2y2 ≤ 2,

2y1 +y2 ≤ 1,

3y1 ≤ α,

−y1 +3y2 ≤ 0,

3y1 −2y2 ≤ 1,

y1 , y2 ≥ 0.

( 31 , 19 )T with w ∗ = 13

9

. From the graph it is easy to se that the constraints

corresponding to x1 , x2 and x5 are not active, hence x∗1 = x∗2 = x∗5 = 0

must hold. Both dual variables are stricly positive in the optimum point,

and therefore both primal constraints must hold with equality. For this

to happen, we must have x∗3 = 13 9

and x∗4 = 43 . This gives (as expected)

13

z = 9 =w .

∗ ∗

(1p) b) Changing α means moving the vertical constraint horizontally. We see that

if α < 0 the dual feasible set is empty and x can no longer be optimal

due to strong duality. If we choose α > 79 the vertical constraint becomes

inactive and x∗3 can no longer stay positive due to complementarity. For

α ∈ [0, 79 ] the dual basis remain optimal and so does x∗ .

EXAM SOLUTION

TMA947/MAN280 — APPLIED OPTIMIZATION 2

(3p) Question 2

(3p) Question 3

(Farkas Lemma)

{ y ∈ Rm | AT y = 0n , y ≥ 0m } has a solution y = (1, 1)T .

(3p) Question 4

Starting at x0 = (1, 2)T , the algorithm proceeds as follows: f (x0 ) = 41; ∇f (x0 ) =

(40, 2)T ; y 0 = (0, 0)T ; the lower bound z(y 0 ) = f (x0 ) + ∇f (x0 )T (y 0 − x0 ) = −3;

p0 = y 0 − x0 = −(1, 2)T ; f (x0 + αp0 ) = 10(2 − α)2 + (1 − 2α)2 , which yields

minimum α = 1 over the interval α ∈ [0, 1]; x1 = (0, 0)T ; f (x1 ) = 11; ∇f (x1 ) =

(20, −2)T ; y 1 = (0, 2)T ; the lower bound is z(y 1 ) = f (x1 )+∇f (x1 )T (y 1 −x1 ) = 7;

p1 = (0, 2)T ; f (x1 + αp1 ) = 10 + (2α − 1)2 , which yields minimum in α = 0.5;

x2 = (0, 1)T ; f (x2 ) = 10; ∇f (x2 ) = (20, 0)T ; y 2 = (0, 0)T (for example). The

lower and upper bounds are equal, hence x2 = (0, 1)T = x∗ , with optimal value

f ∗ = 10.

EXAM SOLUTION

TMA947/MAN280 — APPLIED OPTIMIZATION 3

Question 5

(the Levenberg–Marquardt modification of Newton’s method)

(1p) a) The Slater CQ holds, so the optimum must be a KKT point. Use the KKT

conditions to get

µ (kpk2 − δ) = 0,

µ ≥ 0.

" #

2 0 −4 0

∇ f (x ) = ,

0 2

which requires a shift σ > 4, otherwise the step p is not a descent direction.

1

minimize φ(α) = α2 ∇f (x)∇2 f (x)∇f (x) + αk∇f (x)k2

2

√

δ

subject to α ≤

k∇f (x)k

Which gives

( √ )

δ k∇f (x)k2

α = minimum , .

k∇f (x)k ∇f (x)T ∇2 f (x) ∇f (x)

EXAM SOLUTION

TMA947/MAN280 — APPLIED OPTIMIZATION 4

(3p) Question 6

(modelling)

yij Amount of ore in tonnes to be transp from mine i to mill j, i = 1, 2, 3; j = 1, 2

uj Amount of energy in kWh used in mill j, j = 1, 2

vj Produced amount of steel in mill j, j = 1, 2

wjk Number of produced units of product k in mill j, j = 1, 2; k = 1, 2

(where k = 1 represents plates and k = 2 represents pipes)

X XX X X XX

min (g + rj )xj + (h + tij )yij + puj + qvj − sk wjk

j i j j j j k

X

yij ≤ cpi , i = 1, 2, 3, (1)

j

X

wjk ≤ dk , k = 1, 2, (2)

j

xj

vj ≤ , j = 1, 2, (3)

a

X yij

vj ≤ , j = 1, 2, (4)

i b

uj

vj ≤ , j = 1, 2, (5)

c

X wjk

vj ≥ , j = 1, 2, (6)

k ek

xj , yij , uj , vj , wjk ≥ 0, ∀i, j, k, (7)

where (1) is the capacity constraint in the ore mines, (2) is the limitation of the

market demand, (3)–(5) are the process constrint telling how much raw material

that at least is needed, (6) the balance constraint in the production of prod-

uct using the steel and finally (7) the logical non-negativity constraints on all

variables.

EXAM SOLUTION

TMA947/MAN280 — APPLIED OPTIMIZATION 5

Question 7

(linear programming duality and optimality)

+ and σ ∈ R+ , respec-

tively.

Setting the partial derivative of the Lagrangian L(x, µ, σ) := cT x+µT (b −

Ax)−σ T x to zero yields that σ = c−AT µ must hold. (This can be used to

eliminate σ altogether.) Inserting this into the Lagrangian function yields

that the optimal value of the Lagrangian when minimized over x ∈ Rn is

bT µ. According to the construction of the Lagrangian dual problem, bT µ

should then be maximized over the constraints that the dual variables are

non-negative; here, we obtain that µ ≥ 0m , and from σ ≥ 0n we further

obtain that AT µ ≤ c must hold. The Lagrangian dual problem hence is

equivalent to the canonical LP dual:

maximize w = bT µ, (D)

T

subject to A µ ≤ c,

µ ≥ 0n .

!

b − Ax

g(x) = .

−x

but σ is eliminated here as well. Primal feasibility corresponds to the

requirements that Ax ≥ b and x ≥ 0n hold, while dual feasibility was above

shown to be equivalent to the requirements that AT µ ≤ c and µ ≥ 0m hold.

Finally, complementarity yields that µT (b − Ax) = 0 hold, as well as the

condition that σ T x = 0 holds; the latter reduces (thanks to the possibility

to eliminate σ) to xT (AT µ − c) = 0, the familiar one. We are done.

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