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You are on page 1of 43

– the geometry of LPs illustrated

1

Quotes of the day

learn it more than one way.

Marvin Minsky

them.

Herbert Simon

2

Overview

– Geometry

– Algebra

– Economic interpretations

3

What does the feasible region of an LP

look like?

4

Some 3-dimensional LPs

mathworld.wolfram.com/ ConvexPolyhedron.html

5

Goal of this Lecture: understand the geometrical

nature of 2 and 3 dimensional LPs

What properties does the feasible region have?

– the “geometric method”

– The simplex method

6

A Two Variable Linear Program

(a variant of the DTC example)

objective z = 3x + 5y

2x + 3y ≤ 10 (1)

Constraints

x + 2y ≤ 6 (2)

x + y ≤ 5 (3)

x ≤ 4 (4)

y ≤ 3 (5)

x, y ≥ 0 (6)

7

Finding an optimal solution

program, without looking ahead.

8

Inequalities

An inequality with two variables

y determines a unique half-plane

5

4 x + 2y ≤ 6

1 2 3 4 5 6 x 9

Graphing the Feasible Region

2x+ 3y ≤ 10 (1)

5

x ≥ 0 , y ≥ 0. (6)

4

2 2x + 3y = 10

1 2 3 4 5 6 x

10

Add the Constraint:

x + 2y ≤ 6 (2)

y

5

2

x + 2y = 6

1

1 2 3 4 5 6 x

11

Add the Constraint:

x+ y ≤ 5

y A constraint is

called redundant if

5 deleting the

constraint does

x+ y = 5

4 not increase the

size of the feasible

3 region.

2 “x + y = 5”

is redundant

1

1 2 3 4 5 6 x

12

Add the Constraints:

x ≤ 4; y ≤ 3

y

5

4 We have now

graphed the

3 feasible

region.

2

1 2 3 4 5 6 x

13

The geometrical method for optimizing 3x + 5y

for various values of p.

3

Choose p maximal

1 3x + 5y = 11

3x + 5y = 8

Isocost lines

x

1 2 3 4 14

Find the maximum value p such that there is a

feasible solution with 3x + 5y = p.

y

Move the line with profit p parallel as much as

3 possible.

2 3x + 5y = 16

The optimal

solution

occurs at a

1

3x + 5y = 11 corner point.

3x + 5y = 8

x

1 2 3 4 15

16

What types of Linear Programs are there?

solution. s.t. x + 2y ≤ -1

x ≥ 0, y ≥ 0

There is a feasible

solution and an max x

optimal solution. s.t. x + 2y ≤ 1

x ≥ 0, y ≥ 0

There is a feasible

solution and the max x

objective value is s.t. x - y = 1

unbounded from x ≥ 0, y ≥ 0

above.

17

Any other types

region is bounded, and such that there is no

optimal solution?

permitted strict inequality

constraints.

Maximize x

subject to 0 < x < 1

18

Corner Points

A corner point (also called an extreme point) of the feasible region is a

point that is not the midpoint of two other points of the feasible region.

(They are only defined for convex sets, to be described later.)

corner points of

this feasible

region?

19

Some examples of LP feasible regions.

5

Region 1.

No corner point. Unbounded feasible region

4

3 Region 2.

Two corner points. Unbounded feasible region

2

1

Region 3.

1 2 3 4 5 6

20

Facts about corner points.

If a feasible region is non-empty, and if it does not

contain a line, then it has at least one corner point.

region is non-empty, then there is a corner point.

two equality constraints.

Region 1.

No corner point. Unbounded feasible region

Region 2.

Two corner points. Unbounded feasible region

21

Optimality at corner points

optimal solution, then there is an optimal solution that

is a corner point.

y

Region 2

Example 2: minimize y

22

Suppose an LP has a feasible solution.

Which of the following is not

possible?

1. The LP has no corner point.

2. The LP has a corner point that is

optimal.

3. The LP has a corner point, but

there is no optimal solution.

4. The LP has a corner point and an

optimal solution, but no corner

point is optimal.

23

Mental Break

15.053 Trivia

Trivia about US

Presidents

24

Towards the simplex algorithm

– edges and rays

25

Edges of the feasible region

In two dimensions, an edge of the feasible region is one of

the line segments making up the boundary of the feasible

region. The endpoints of an edge are corner points.

An

ed

ge

26

An edge

Edges of the feasible region

In three dimensions, an edge of the feasible region is one of the line segments

making up the framework of a polyhedron. The edges are where the faces

intersect each other. A face is a flat region of the feasible region.

A face

An edge

A face

27

Extreme Rays

An extreme ray is like an edge, but it starts

at a corner point and goes on infinitely.

y Two extreme

5 rays.

1 2 3 4 5 6 x 28

The Simplex Method

Start at any feasible corner point.

Move along an edge (or extreme ray) in which the

y objective value is continually improving. Stop at the next

corner point. (If moving along an extreme ray, the

5

objective value is unbounded.)

Continue until no adjacent corner point has a better

4

objective value. Max z = 3 x + 5 y

2

3 x + 5 y = 19

1 2 3 4 5 6 x 2929

The Simplex Method

“edges” are the intersections of

two constraints. The corner points

are the intersection of three

constraints.

Pentagonal prism

30

Solving for the Corner Point

intersection of two lines.

x + 2y = 6

2x + 3y = 10

y

3 x +2y = 6

x=2

2 y=2

2x +3y = 10

1 2 3 4

x 31

Solving for Corner Points

In three dimensions, a corner point is the

intersection of three constraints. (3 planes)

0≤x≤2

0≤y≤2

z 0≤z≤2

x -y +z≤3

x y

32

Each corner points of a 2- Yes. And each

variable linear program is the corner points of

solution of two equations. Each an n-variable

corner point of a 3-variable linear program

linear program is the solution is the solutions

of three equations. of n equations.

Is each corner points of a 4-

variable linear program the

solution of four equations?

Cool !!

33

An important difference between the

geometry and the algebra

5 described in a unique way as an

intersection of two lines

x + 2y = 9

4 (constraints). But not always.

2x + y ≤ 9

3

x + 2y ≤ 9

2

0≤x≤3

0≤y≤3

1 The point (3, 3) can be

written as the

intersection of two lines

1 2 3 4 5 in 66ways.

34

Degeneracy

When a corner point is the solution of

two or more different sets of equality I was once

constraints, then this is called told that

degeneracy. This will turn out to be “degeneracy”

important for the simplex algorithm. killed the

dinosaurs.

35

36

Suppose an LP has a feasible solution.

Which of the following is not possible for the

simplex algorithm (maximization problem)?

solution.

2. It does not terminate.

3. It terminates with a proof that the

objective value is unbounded

from above.

37

Convex Sets

A set S is convex if for every two points in the set,

the line segment joining the points is also in the set;

y that is,

if p1, p2 ∈ S, then so is (1 - λ)p1 + λp2 for λ ∈ [0,1].

3

Theorem. The feasible region

p1 of a linear program is convex.

2

1 p2

x

1 2 3 4 38

More on Convexity

Which of the following are convex ? or not ?

y

5

4

3

2

1

1 2 3 4 5 6 x

39

The feasible region of a linear program

is convex

y

5

1 2 3 4 5 6 x

40

41

2-Dimensional LPs and

Sensitivity Analysis

Hi, we have a tutorial It’s on sensitivity analysis in

for you stored at the two dimensions. We know

subject web site. We that you’ll find it useful for

hope to see you there. doing the problem set.

Amit, an MIT Beaver

42

Summary: Geometry helps guide the

intuition

tutorial on solving equations prior to lecture.

43

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