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Introduction To Mathematical Programming IE406: Dr. Ted Ralphs

This document provides an introduction to mathematical programming concepts including: 1) The existence of extreme points in polyhedra and the equivalence to a polyhedron not containing a line or having n linearly independent rows. 2) The optimality of extreme points in linear programs, meaning an optimal solution must be an extreme point. 3) An example problem about maximizing profit from manufacturing trophies under resource constraints to demonstrate linear program formulation and solving.

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Gustavo G Borzellino C
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84 views

Introduction To Mathematical Programming IE406: Dr. Ted Ralphs

This document provides an introduction to mathematical programming concepts including: 1) The existence of extreme points in polyhedra and the equivalence to a polyhedron not containing a line or having n linearly independent rows. 2) The optimality of extreme points in linear programs, meaning an optimal solution must be an extreme point. 3) An example problem about maximizing profit from manufacturing trophies under resource constraints to demonstrate linear program formulation and solving.

Uploaded by

Gustavo G Borzellino C
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Introduction to Mathematical Programming

IE406

Lecture 5

Dr. Ted Ralphs


IE406 Lecture 5 1

Reading for This Lecture

• Bertsimas 2.5-2.7
IE406 Lecture 5 2

Existence of Extreme Points

Definition 1. A polyhedron P ∈ Rn contains a line if there exists a vector


x ∈ P and a nonzero vector d ∈ Rn such that x + λd ∈ P ∀λ ∈ R.

Theorem 1. Suppose that the polyhedron P = {x ∈ Rn|Ax ≥ b} is


nonempty. Then the following are equivalent:

• The polyhedron P has at least one extreme point.


• The polyhedron P does not contain a line.
• There exist n rows of A that are linearly independent.
IE406 Lecture 5 3

Optimality of Extreme Points

Theorem 2. Let P ⊆ Rn be a polyhedron and consider the problem


minx∈P c>x for a given c ∈ Rn. If P has at least one extreme point and
there exists an optimal solution, then there exists an optimal solution that
is an extreme point.

Proof:
IE406 Lecture 5 4

Optimality in Linear Programming

• For linear optimization, a finite optimal cost is equivalent to the existence


of an optimal solution.
• The previous result can be strengthened.
• Since any linear programming problem can be written in standard form,
we can derive the following result:

Theorem 3. Consider the linear programming problem of minimizing c>x


over a nonempty polyhedron. Then, either the optimal cost is −∞ or there
exists an optimal solution which is an extreme point.
IE406 Lecture 5 5

Representation of Polyhedra

Theorem 4. A nonempty, bounded polyhedron is the convex hull of its


extreme points.

Theorem 5. The convex hull of a finite set of vectors is a polyhedron.

Notes:
IE406 Lecture 5 6

Example: Product Mix

• In this example, we consider Top Brass Trophy, a shop that manufactures


two kinds of trophies, football and soccer.
• Resource requirements
– Football trophies: 1 brass football, 1 plaque, 4 board feet of wood.
– Soccer Trophies: 1 brass soccer ball, 1 plaque, 2 board feet of wood.
• Resource constraints
– 1000 footballs
– 1500 soccer balls
– 1750 plaques
– 4800 board feet of wood
• Profit is $12 on football trophies and $9 on soccer trophies.
• The goal is to maximize profit.
IE406 Lecture 5 7

Top Brass Example: Formulation

• What are the decision variables?


• What is the objective function?
• What are the constraints?
IE406 Lecture 5 8

Top Brass Example: Solving

• Basic scheme
– Rewrite constraints in standard form.

– Find an initial basic feasible solution.


– Move to an adjacent vertex that improves the solution value.
– Keep moving until no further improvement is possible.
• Question: What sets of variables do not form a basis?
IE406 Lecture 5 9

Top Brass Example: Degeneracy

• Suppose we had the additional constraint 3x1 + 2x2 ≤ 5000.


• Note that this constraint is redundant.
• This new constraint is linearly dependent on the other constraints.
• Initially, we may not know this.
• What could happen to our solution method?
IE406 Lecture 5 10

Top Brass Example: Alternative Representation

• Denote the polyhedron from the example by P.


• Denote the extreme points of P by p1, . . . , p6.
• Then we could also represent P as

6
X 6
X
P = {x ∈ Rn : x = λipi, λi = 1, λi ≥ 0, i = 1, . . . , 6}
i=1 i=1

• Rewriting the objective function as

6
X
max c> λipi,
i=1

we have another form of the LP.

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