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You are on page 1of 10

Iterations

Robert M. Freund

February, 2004

c 2004 Massachusetts Institute of Technology.

1

_ _ ¸ ¸ ¸ ¸

¸ ¸ ¸ ¸

1 Equations Involving the Basis Matrix

At each iteration of the simplex method, we have a basis consisting of an

index of variables:

B(1), . . . , B(m) ,

from which we form the basis matrix B by collecting the columns A

B(1)

, . . . , A

B(m)

of A into a matrix:

. B := A

B(1)

¸ A

B(2)

¸ . . . ¸ A

B(m−1)

¸ A

B(m)

In order to execute the simplex method at each iteration, we need to be

able to compute:

T T

x = B

−1

r

1

and/or p = r

2

B

−1

, (1)

for iteration-speciﬁc vectors r

1

and r

2

, which is to say that we need to solve

equation systems of the type:

T

Bx = r

1

and/or p

T

B = r

2

(2)

for x and p.

2 LU Factorization

One way to solve (2) is to factor B into the product of a lower and upper

triangular matrix L, U:

B = LU ,

and then compute x and/or p as follows. To compute x, we solve the fol-

lowing two systems by back substitution:

• First solve Lv = r

1

for v

• Then solve Ux = v for x.

2

To compute p, we solve the following two systems by back substitution:

T

• First solve u

T

U = r

2

for u

• Then solve p

T

L = u

T

for p.

It is straightforward to verify that these procedures yield x and p that

satisfy (2). If we compute according to these procedures, then:

T

Bx = LUx = Lv = r

1

and p

T

B = p

T

LU = u

T

U = r

2

.

3 Updating the Basis and its Inverse

As the simplex method moves from one iteration to the next, the basis

matrix B changes by one column. Without loss of generality, assume that

the columns of A have been re-ordered so that

B := [ A

1

| . . . | A

j−1

| A

j

| A

j+1

| . . . | A

m

]

at one iteration. At the next iteration we have a new basis matrix

˜

B of the

form:

˜

B := [ A

1

| . . . | A

j−1

| A

k

| A

j+1

| . . . | A

m

] .

Here we see that column A

j

has been replaced by column A

k

in the new

basis.

Assume that at the previous iteration we have B and we have computed

an LU factorization of B that allows us to solve equations involving B

−1

. At

the current iteration, we now have

˜

B and we would like to solve equations

involving

˜

B

−1

. Although one might think that we might have to compute

˜

an LU factorization of B, that is not the case. Herein we describe how

the linear algebra of working with

˜

B

−1

is computed in practice. Before we

describe the method, we ﬁrst need to digress a bit to discuss rank-1 matrices

and rank-1 updates of the inverse of a matrix.

3

_ _

3.1 Rank-1 Matrices

Consider the following matrix:

_ _

−2 2 0 −3

_

−4 4 0 −6

_

_ _

W =

_ _

−14 14 0 −21

.

10 −10 0 15

W is an example of rank-1 matrix. All rows are linearly dependent and all

columns are linearly dependent. Now deﬁne:

_ _

1

_

2

_

T

u =

_ _

and v = ( −2 2 0 −3 ) .

_

7

_

−5

If we think of u and v as n × 1 matrices, then notice that it makes sense

to write:

_

1

_ _

−2 2 0 −3

_

W = uv

T

=

_

_

_

2

7

_

_

_

× ( −2 2 0 −3 ) =

_

_

_

−4

−14

4

14

0

0

−6

−21

_

_

_

.

−5 10 −10 0 15

In fact, we can write any rank-1 matrix as uv

T

for suitable vectors u and v.

3.2 Rank-1 Update of a Matrix Inverse

Suppose we have a matrix M and we have computed its inverse M

−1

. Now

consider the matrix

˜

M := M + uv

T

M

−1

for some rank-1 matrix W = uv

T

. Then there is an exact formula for

˜

based on the data M

−1

, u, and v, which is called the Sherman-Morrison

formula:

˜

T

M

−1

Property. M is invertible if and only if v u = −1, in which case

M

−1

uv

˜

= I −

M

−1 T

M

−1

. (3)

1 + v

T

M

−1

u

4

_ _ _ _

_ _ _ _

_ _

_ _

_ _ _ _

Proof: Let

_ _

M

−1 T

uv

Q = I − M

−1

.

1 + v

T

M

−1

u

˜

Then it suﬃces to show that MQ = I, which we now compute:

˜

uv

MQ = M + uv

T

× I −

M

−1 T

M

−1

T

M

−1

1+v u

M

−1

−

M

−1

uv

T

M

−1

= M + uv

T

×

T

M

−1

1+v u

= I + uv

T

M

−1

−

uv

T

M

−1

−

uv

T

M

−1

uv

T

M

−1

T

M

−1 T

M

−1

1+v u 1+v u

1

= I + uv

T

M

−1

1 −

T

M

−1

−

v

T

M

−1

u

T

M

−1

1+v u 1+v u

= I

q.e.d.

˜

3.3 Solving Equations with M using M

−1

Suppose that we have a convenient way to solve equations of the form Mx =

b (for example, if we have computed an LU factorization of M ), but that

we want to solve the equation system:

˜

Mx = b .

Using (3), we can write:

˜

M

−1 T

x = M

−1

b = I −

uv

M

−1

b .

1 + v

T

M

−1

u

Now notice in this expression that we only need to work with M

−1

, which

we presume that we can do conveniently. In fact, if we let

2

x

1

= M

−1

b and x = M

−1

u ,

we can write the above as:

˜

M

−1 T 2 T T 1

1 2

x = M

−1

b = I −

uv

M

−1

b = I −

x v

x = x

1

−

v x

x .

T

x

2 T

x

2

1 + v

T

M

−1

u 1 + v 1 + v

5

_ _

˜

Therefore we have the following procedure for solving Mx = b:

1

• Solve the system Mx

1

= b for x

2

• Solve the system Mx

2

= u for x

v x 2

• Compute x = x

1

−

T 1

.

1+v

T

x

2

x

3.4 Computational Eﬃciency

The number of operations needed to form an LU factorization of an n × n

3

matrix M is on the order of n . Once the factorization has been computed,

the number of operations it takes to then solve Mx = b using back substi-

tution by solving Lv = b and Ux = v is on the order of n

2

. If we solve

˜ ˜

Mx = b by factorizing M and then doing back substitution, the number

2

of operations needed would therefore be n

3

+ n . However, if we use the

above rank-1 update method, the number of operations is n

2

operations for

each solve step and then 3n operations for the ﬁnal step, yielding a total

operation count of 2n

2

+ 3n. This is vastly superior to n

3

+ n

2

for large n.

3.5 Application to the Simplex Method

Returning to the simplex method, recall that we presume that the current

basis is:

B := [ A

1

| . . . | A

j−1

| A

j

| A

j+1

| . . . | A

m

]

at one iteration, and at the next iteration we have a new basis matrix

˜

B of

the form:

˜

B := [ A

1

| . . . | A

j−1

| A

k

| A

j+1

| . . . | A

m

] .

Now notice that we can write:

˜

_ _

T

B = B + (A

k

− A

j

) × e

j

,

where e

j

is the j

th

unit vector (e

j

has a 1 in the j

th

component and a 0 in

every other component). This means that

˜

B is a rank-1 update of B with

j

u = (A

k

− A

j

) and v = e . (4)

6

_ _

_ _

_ _

_ _

_ _

_ _ _

_ _

_ _ _

If we wish to solve the equation system

˜

Bx = r

1

, we can apply the method

of the previous section, substituting M = B, b = r

1

, u = (A

k

− A

j

) and

v = e

j

. This works out to:

1

• Solve the system Bx

1

= r

1

for x

2

• Solve the system Bx

2

= A

k

− A

j

for x

1

(e

j

)

T

x

2

• Compute x = x

1

−

1+(e

j

)

T

x

2

x .

This is ﬁne if we want to update the basis only once. In practice, how-

ever, we would like to systematically apply this method over a sequence of

iterations of the simplex method. Before we indicate how this can be done,

we need to do a bit more algebraic manipulation. Notice that using (3) and

(4) we can write:

˜

uv

B

−1

= I −

B

−

T

1

B

−

T

1

B

−1

1+v u

B

−1

(A

k

−A

j

)(e

j

)

T

B

−1

= I −

1+(e

j

)

T

B

−1

(A

k

−A

j

)

.

Now notice that because A

j

= Be

j

, it follows that B

−1

A

j

= e

j

, and substi-

tuting this in the above yields:

B

−1

I −

(B

−1

A

k

−e

j

)(e

j

)

T

B

−1

˜

=

(e

j

)

T

B

−1

A

k

˜

= EB

−1

where

e

j

_

T

˜

B

−1

A

k

− e

j

E = I − .

(e

j

)

T

B

−1

A

k

w be the solution of the system B ˜ Furthermore, if we let ˜ w = A

k

, that is,

˜ E as w = B

−1

A

k

, then we can write

˜

e

j

_

T

˜

˜

w − e

j

E = I − .

(e

j

)

T

w˜

We state this formally as:

7

_ _

_ _ _

_ _

˜

Property A. Suppose that the basis B is obtained by replacing the j

th

column of B with the new column A

k

. Let ˜ w be the solution of the system

B ˜ w = A

k

and deﬁne:

e

j

_

T

˜

˜

w − e

j

E = I − .

(e

j

)

T

w˜

Then

B

−1

˜ ˜

= EB

−1

. (5)

Once we have computed w we can easily form E. And then we have ˜

˜

from above:

˜ ˜

x = B

−1

r

1

= EB

−1

r

1

.

Using this we can construct a slightly diﬀerent (but equivalent) method for

solving

˜

Bx = r

1

:

• Solve the system B ˜ w w = A

k

for ˜

w−e

j

)(e

j

)

T

• Form and save the matrix

˜

I −

( ˜

E =

(e

j

)

T

w˜

1

• Solve the system Bx

1

= r

1

for x

˜

• Compute x = Ex

1

.

Notice that

_ _

1 c˜

1

_

1 c˜

2

_

_ _

_ . . _

. .

_ . .

_

˜ _ _

E =

_ _

c˜

j

_ _

_ _

. .

_ . . _

. .

c˜

m

1

where

_

w − e

j

_

˜

c˜ = .

(e

j

)

T

w˜

˜

E is an elementary matrix, which is matrix that diﬀers from the identity

matrix in only one column or row. To construct

˜

E we only need to solve

8

_

w = A

k

, and that the information needed to create

˜

˜ B ˜ E is the n-vector w

and the index j. Therefore the amount of memory needed to store

˜

E is just

n + 1 numbers. Also the computation of

˜

Ex

1

involves only 2n operations if

the code is written to take advantage of the very simple special structure of

˜

E.

4 Implementation over a Sequence of Iterations

Now let us look at the third iteration. Let

˜

˜

B be the basis at this iteration.

We have:

˜

B := [ A

1

| . . . | A

i−1

| A

i

| A

i+1

| . . . | A

m

]

at the second iteration, and let us suppose that at the third iteration we

replace the column A

i

with the column A

l

, and so

˜

˜

B is of the form:

˜

˜

B := [ A

1

| . . . | A

i−1

| A

l

| A

i+1

| . . . | A

m

] .

Then using Property A above, let

˜

˜ w be the solution of the system

˜

w = A

i

. Then B

˜

˜

−1

˜

˜

B

−1 ˜

˜

B = E

˜

(6)

where

_ _

_ _

˜

˜ w −e

i

e

i

_

T

˜

˜ _

E =

_

I −

˜

˜

.

(e

i

)

T

w

−1

˜

˜

B

−1

B = E

˜

= E

˜

It then follows that

˜

˜

˜

˜

EB

−1

, and so:

−1

B = E

˜

˜

˜

˜

˜

EB

−1

. (7)

B by forming E and

˜

˜

Therefore we can easily solve equations involving

˜

˜ ˜

E

and working with the original LU factorization of B.

This idea can be extended over a large sequence of pivots. We start

with a basis B and we compute and store an LU factorization of B. Let

our sequence of bases be B

0

= B, B

1

, . . . , B

k

and suppose that we have

computed matrices E

1

, . . . , E

k

with the property that

(B

l

)

−1

= E

l

E

l−1

· · · E

1

B

−1

, l = 1, . . . , k .

9

Then to work with the next basis inverse B

k+1

we compute a new matrix

E

k+1

and we write:

(B

k+1

)

−1

= E

k+1

E

k

· · · E

1

B

−1

.

This method of working with the basis inverse over a sequence of it-

erations eventually degrades due to accumulated roundoﬀ error. In most

simplex codes this method is used for K = 50 iterations in a row, and then

the next basis is completely re-factorized from scratch. Then the process

continues for another K iterations, etc.

5 Homework Exercise

1. In Section 3.2 we considered how to compute a solution x of the equa-

˜ ˜

tion Mx = b where M = M + uv

T

and we have on hand an LU

factorization of M . Now suppose instead that we wish to compute a

˜

solution p of the equation p

T

M = c

T

for some RHS vector c. Using

the ideas in Section 3.2, develop an eﬃcient procedure for computing

p by working only with an LU factorization of M .

2. In Section 3.5 we considered how to compute a solution x of the equa-

tion

˜

B diﬀers from B by one column, and we have on Bx = r

1

where

˜

hand an LU factorization of B. Now suppose instead that we wish

T

to compute a solution p of the equation p

T

˜

B = r

2

for some vector

r

2

. Using the ideas in Section 3.5, develop an eﬃcient procedure for

computing p by working only with an LU factorization of B.

10

B(m) . which is to say that we need to solve equation systems of the type: Bx = r1 for x and p. . we need to be able to compute: x = B −1 r1 and/or T pT = r2 B −1 .1 Equations Involving the Basis Matrix At each iteration of the simplex method. we solve the following two systems by back substitution: • First solve Lv = r1 for v • Then solve U x = v for x. . 2 . AB(m) of A into a matrix: B := AB(1) AB(2) . . from which we form the basis matrix B by collecting the columns AB(1) . To compute x. and/or T pT B = r 2 (2) 2 LU Factorization One way to solve (2) is to factor B into the product of a lower and upper triangular matrix L. . . . . (1) for iteration-speciﬁc vectors r1 and r2 . In order to execute the simplex method at each iteration. . we have a basis consisting of an index of variables: B(1). U : B = LU . . . and then compute x and/or p as follows. AB(m−1) AB(m) .

we solve the following two systems by back substitution: T • First solve uT U = r2 for u • Then solve pT L = uT for p. If we compute according to these procedures. | Am ] ˜ at one iteration. . . Although one might think that we might have to compute ˜ an LU factorization of B. . | Am ] . Herein we describe how ˜ the linear algebra of working with B −1 is computed in practice. we now have B and we would like to solve equations ˜ involving B −1 . | Aj−1 | Ak | Aj+1 | . that is not the case. 3 . . . Assume that at the previous iteration we have B and we have computed an LU factorization of B that allows us to solve equations involving B −1 . . then: Bx = LU x = Lv = r1 T pT B = pT LU = uT U = r2 . It is straightforward to verify that these procedures yield x and p that satisfy (2). . Without loss of generality. Here we see that column Aj has been replaced by column Ak in the new basis. At ˜ the current iteration. | Aj−1 | Aj | Aj+1 | . the basis matrix B changes by one column. At the next iteration we have a new basis matrix B of the form: ˜ B := [ A1 | . Before we describe the method. we ﬁrst need to digress a bit to discuss rank-1 matrices and rank-1 updates of the inverse of a matrix.To compute p. and 3 Updating the Basis and its Inverse As the simplex method moves from one iteration to the next. . assume that the columns of A have been re-ordered so that B := [ A1 | .

and v. Now consider the matrix ˜ M := M + uv T ˜ for some rank-1 matrix W = uv T . −5 If we think of u and v as n × 1 matrices. 1 + v T M −1 u (3) 4 . Now deﬁne: 1 2 T u= 7 and v = ( −2 2 0 −3 ) . we can write any rank-1 matrix as uv T for suitable vectors u and v. All rows are linearly dependent and all columns are linearly dependent. u. W = −14 14 0 −21 10 −10 0 15 W is an example of rank-1 matrix.2 Rank-1 Update of a Matrix Inverse Suppose we have a matrix M and we have computed its inverse M −1 . M is invertible if and only if v T M −1 u = −1. which is called the Sherman-Morrison based on the data M formula: ˜ Property.3. Then there is an exact formula for M −1 −1 .1 Rank-1 Matrices Consider the following matrix: −2 2 0 −3 −4 4 0 −6 . 3. then notice that it makes sense to write: 1 2 W = uv T = 7 −5 −2 2 −4 4 × ( −2 2 0 −3 ) = −14 14 10 −10 0 0 0 0 −3 −6 . in which case ˜ M −1 = I − M −1 uv T M −1 . −21 15 In fact.

which we now compute: ˜ M Q = M + uv T × I − = M + uv T × M −1 − = I + uv T M −1 − M −1 uv T 1+v T M −1 u M −1 M −1 uv T M −1 1+v T M −1 u uv T M −1 1+v T M −1 u − uv T M −1 uv T M −1 1+v T M −1 u = I + uv T M −1 1 − =I q. 1 1+v T M −1 u − v T M −1 u 1+v T M −1 u 3. In fact. we can write the above as: ˜ x = M −1 b = I − M −1 uv T x2 v T v T x1 M −1 b = I − x1 = x1 − x2 .e. Using (3).3 ˜ Solving Equations with M using M −1 Suppose that we have a convenient way to solve equations of the form M x = b (for example. which we presume that we can do conveniently.d. if we have computed an LU factorization of M ). if we let x1 = M −1 b and x2 = M −1 u .Proof: Let Q= I− M −1 uv T M −1 . 1 + v T M −1 u Now notice in this expression that we only need to work with M −1 . we can write: ˜ x = M −1 b = I − M −1 uv T M −1 b . but that we want to solve the equation system: ˜ Mx = b . 1 + v T M −1 u 1 + v T x2 1 + v T x2 5 . 1 + v T M −1 u ˜ Then it suﬃces to show that M Q = I.

recall that we presume that the current basis is: B := [ A1 | .˜ Therefore we have the following procedure for solving M x = b: • Solve the system M x1 = b for x1 • Solve the system M x2 = u for x2 • Compute x = x1 − v T x1 x2 . | Am ] ˜ at one iteration. and at the next iteration we have a new basis matrix B of the form: ˜ B := [ A1 | . . the number of operations is n2 operations for each solve step and then 3n operations for the ﬁnal step. This is vastly superior to n3 + n2 for large n. Once the factorization has been computed. However. 3. 1+v T x2 3. . If we solve ˜ ˜ M x = b by factorizing M and then doing back substitution. the number of operations needed would therefore be n3 + n2 . where ej is the j th unit vector (ej has a 1 in the j th component and a 0 in ˜ every other component). This means that B is a rank-1 update of B with u = (Ak − Aj ) and v = ej 6 . if we use the above rank-1 update method. | Aj−1 | Ak | Aj+1 | . (4) . the number of operations it takes to then solve M x = b using back substitution by solving Lv = b and U x = v is on the order of n2 . . | Aj−1 | Aj | Aj+1 | . Now notice that we can write: ˜ B = B + (Ak − Aj ) × ej T . | Am ] . . yielding a total operation count of 2n2 + 3n.5 Application to the Simplex Method Returning to the simplex method. . . . .4 Computational Eﬃciency The number of operations needed to form an LU factorization of an n × n matrix M is on the order of n3 .

if we let w be the solution of the system B w = Ak . substituting M = B.˜ If we wish to solve the equation system Bx = r1 . . Now notice that because Aj = Bej . however. we need to do a bit more algebraic manipulation. This works out to: • Solve the system Bx1 = r1 for x1 • Solve the system Bx2 = Ak − Aj for x2 • Compute x = x1 − (ej )T x1 x2 . it follows that B −1 Aj = ej . we can apply the method of the previous section. Before we indicate how this can be done. we would like to systematically apply this method over a sequence of iterations of the simplex method. In practice. Notice that using (3) and (4) we can write: ˜ B −1 = I − = I− B −1 uv T 1+v T B −1 u B −1 T 1+(ej )T B −1 (A B −1 (Ak −Aj )(ej ) k −Aj ) B −1 . u = (Ak − Aj ) and v = ej . b = r1 . ˜ ˜ ˜ ˜ w = B −1 Ak . then we can write E as w − ej ej ˜ ˜ E= I− (ej )T w ˜ We state this formally as: 7 T . 1+(ej )T x2 This is ﬁne if we want to update the basis only once. and substituting this in the above yields: (B −1 Ak −ej )(ej ) ˜ B −1 = I − j T −1 (e ) B Ak T B −1 ˜ = EB −1 where B −1 Ak − ej ej ˜ E= I− (ej )T B −1 Ak T . that is. Furthermore.

. which is matrix that diﬀers from the identity ˜ matrix in only one column or row. c1 ˜ c2 ˜ . Let w be the solution of the system ˜ B w = Ak and deﬁne: ˜ w − ej ej ˜ ˜ E= I− (ej )T w ˜ Then ˜ ˜ B −1 = EB −1 . (5) ˜ Once we have computed w we can easily form E.. Using this we can construct a slightly diﬀerent (but equivalent) method for ˜ solving Bx = r1 : • Solve the system B w = Ak for w ˜ ˜ ˜ (w−ej )(ej ) ˜ • Form and save the matrix E = I − j T (e ) w ˜ T • Solve the system Bx1 = r1 for x1 ˜ • Compute x = Ex1 . To construct E we only need to solve 8 . 1 . Notice that ˜= E 1 1 . . Suppose that the basis B is obtained by replacing the j th column of B with the new column Ak . . And then we have ˜ from above: ˜ ˜ x = B −1 r1 = EB −1 r1 . cj ˜ . . . .. where c= ˜ w − ej ˜ (ej )T w ˜ ˜ E is an elementary matrix.˜ Property A. cm ˜ . T .

B1 . Then ˜ B˜ ˜˜ ˜ −1 ˜ ˜ (6) B = E B −1 where ˜ ˜ E = I − ˜ ˜ w − ei ei T . . . Let our sequence of bases be B0 = B. Therefore the amount of memory needed to store E is just ˜ n + 1 numbers. | Am ] at the second iteration. Ek with the property that (Bl )−1 = El El−1 · · · E1 B −1 9 . . and let us suppose that at the third iteration we ˜ ˜ replace the column Ai with the column Al . We start with a basis B and we compute and store an LU factorization of B. .˜ B w = Ak . ˜ ˜ (ei )T w ˜˜ ˜ −1 ˜˜ ˜ ˜ ˜ It then follows that B = E B −1 = E EB −1 . . l = 1. (7) ˜ ˜ ˜ ˜ ˜ Therefore we can easily solve equations involving B by forming E and E and working with the original LU factorization of B. . ˜ ˜ Then using Property A above. . 4 Implementation over a Sequence of Iterations ˜ ˜ Now let us look at the third iteration. . . . This idea can be extended over a large sequence of pivots. . and so: ˜˜ ˜ −1 ˜ ˜ B = E EB −1 . Bk and suppose that we have computed matrices E1 . Also the computation of Ex1 involves only 2n operations if the code is written to take advantage of the very simple special structure of ˜ E. | Ai−1 | Al | Ai+1 | . and so B is of the form: ˜ ˜ B := [ A1 | . . . . and that the information needed to create E is the n-vector w ˜ ˜ ˜ and the index j. We have: ˜ B := [ A1 | . Let B be the basis at this iteration. | Ai−1 | Ai | Ai+1 | . let w be the solution of the system ˜ w = Ai . . . . k . . . | Am ] . . .

etc. develop an eﬃcient procedure for computing p by working only with an LU factorization of B. Using the ideas in Section 3.2. develop an eﬃcient procedure for computing p by working only with an LU factorization of M .5. In Section 3. 10 . and then the next basis is completely re-factorized from scratch. and we have on hand an LU factorization of B. 5 Homework Exercise 1.5 we considered how to compute a solution x of the equa˜ ˜ tion Bx = r1 where B diﬀers from B by one column. Now suppose instead that we wish to compute a ˜ solution p of the equation pT M = cT for some RHS vector c. Then the process continues for another K iterations. Using the ideas in Section 3. This method of working with the basis inverse over a sequence of iterations eventually degrades due to accumulated roundoﬀ error. In most simplex codes this method is used for K = 50 iterations in a row.Then to work with the next basis inverse Bk+1 we compute a new matrix Ek+1 and we write: (Bk+1 )−1 = Ek+1 Ek · · · E1 B −1 . In Section 3. 2.2 we considered how to compute a solution x of the equa˜ ˜ tion M x = b where M = M + uv T and we have on hand an LU factorization of M . Now suppose instead that we wish T ˜ to compute a solution p of the equation pT B = r2 for some vector r2 .

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