Extreme Points, Vertices and BFS

Linear Algebra Primitives

Extreme Points, Vertices and BFS

Mathematical Programming

Minati De

Department of Mathematics, Indian Institute of Technology Delhi, India.

Lecture 5: The Geometry of Linear Programming (contd.)

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Table of Contents

1 Extreme Points, Vertices and BFS

2 Linear Algebra Primitives

3 Extreme Points, Vertices and BFS

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Vertices

Vertex
Let P be a polyhedron. A vector x ∈ P is a vertex of P if there
exists some c such that c T x < c T y for all y satisfying y ∈ P and
y 6= x.
Example:?

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Vertices

Vertex
Let P be a polyhedron. A vector x ∈ P is a vertex of P if there
exists some c such that c T x < c T y for all y satisfying y ∈ P and
y 6= x.
Vertex of P is the unique optimal solution to some LP with
feasible set P.

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Active or binding

Consider a polyhedron P ⊂ Rn defined in terms of linear equality

and inequality constraints:

ai T x ≥ bi , i ∈ M1
ai T x ≤ bi , i ∈ M2
ai T x = bi , i ∈ M3 ,

Where M1 , M2 , M3 are finite index sets,

each ai is a vector in Rn , and
each bi is a scalar.

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Active or binding

Consider a polyhedron P ⊂ Rn defined in terms of linear equality

and inequality constraints:

ai T x ≥ bi , i ∈ M1
ai T x ≤ bi , i ∈ M2
ai T x = bi , i ∈ M3 ,

Where M1 , M2 , M3 are finite index sets,

each ai is a vector in Rn , and
each bi is a scalar.
Active or binding
If a vector x ∗ satisfies ai T x ∗ = bi for some i in M1 , M2 or M3 , we
say that the corresponding constraint is active or binding at x ∗ .

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Basic Solution

Consider a polyhedron P ⊂ Rn defined in terms of linear equality

and inequality constraints, and x ∗ be an element of Rn .
Basic Solution
The vector x ∗ is a Basic Solution if
All equality constraints are active;
Out of the constraints that are active at x ∗ , there are n of
them that are linearly independent.
Example: ?
Q: Is a basic solution always a feasible solution?

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Basic Feasible Solution

Basic Feasible Solution

The vector x ∗ is a Basic Feasible Solution if
x ∗ is a basic solution and
all constraints are satisfied.
Example: ?

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Extreme Points, Vertices and BFS

Theorem
Let P be a nonempty polyhedron, and let x ∗ ∈ P. Then the
following are equivalent:
x ∗ is a vertex;
x ∗ is an extreme point;
x ∗ is a basic feasible solution.
Proof:?

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Table of Contents

1 Extreme Points, Vertices and BFS

2 Linear Algebra Primitives

3 Extreme Points, Vertices and BFS

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Some Basic Linear Algebra

Theorem
Suppose that span S of the vectors x 1 , . . . , x K has dimension m.
Then:
(a) ∃ a basis of S consisting of m of the vectors x 1 , . . . , x K .
(b) If ` ≤ m and x 1 , . . . , x ` are linearly independent, we can form
a basis of S by starting with x 1 , . . . , x ` , and choosing m − ` of
the vectors from x `+1 , . . . , x K
Proof: ?

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Some Basic Linear Algebra

Theorem
Let x ∗ ∈ Rn and let I = {i|aiT x ∗ = bi } be the set of indices of
active constraints at x ∗ . Then the following are equivalent:
(a) ∃ n vectors in the set {ai |i ∈ I }, which are linearly
independent.
(b) The span of the vectors in {ai |i ∈ I } is all of Rn .
(c) The system of equations {aiT x = bi |i ∈ I } has a unique
solution.
Proof: First, show that a and b are equivalent, then show b and c
are equivalent.

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Table of Contents

1 Extreme Points, Vertices and BFS

2 Linear Algebra Primitives

3 Extreme Points, Vertices and BFS

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Extreme Points, Vertices and BFS

Let P be a polyhedron.
A vector x ∈ P is an extreme point of P if we cannot find two
vectors y , z ∈ P, both different from x, and a scalar
λ ∈ [0, 1], such that x = λy + (1 − λ)z.
A vector x ∈ P is a vertex of P if there exists some c such
that c T x < c T y for all y satisfying y ∈ P and y 6= x.
The vector x ∗ is a basic feasible solution if
All equality constraints are active;
Out of the constraints that are active at x ∗ , there are n of
them that are linearly independent;
All constraints are satisfied.

M. De Mathematical Programming
 Extreme Points, Vertices and BFS
Linear Algebra Primitives
Extreme Points, Vertices and BFS

Extreme Points, Vertices and BFS

Theorem
Let P be a nonempty polyhedron, and let x ∗ ∈ P. Then the
following are equivalent:
(a) x ∗ is a vertex;
(b) x ∗ is an extreme point;
(c) x ∗ is a basic feasible solution.
Proof:?

M. De Mathematical Programming