LINEAR PROGRAMMING

Presented By Meenakshi Tripathi

Linear Programming
Linear programming (LP, or linear optimization) is a problem of
maximizing or minimizing a linear function (objective function) in presence of linear inequality and/or equality constraints.

Standard & Canonical Form

. ; , 0 . ; , 0
Objective function & Constraints

Corner Point : x=(x1, x2,,xn) is a vertex iff columns of Ai are Linearly Independent rank(A)=n and xi0. Also called Basic feasible solution
Surplus/Slack Variable: Used to transform and inequality into equality eg. 1) as =1 =1 + = +

2)

=1

as

=1

+ + = + 0

BASIC and BASIC FEASIBLE SOLUTION

System = & 0, , . If rank(A)=rank(A,b)=m then _ = , , . = 1 & = 0 . Then x = " " .

If xB0 then x is Basic feasible solution, xB are basic variables and xN nonbasic matrix.
Extreme Points: A point in a convex set is called an extreme point of X, if x cannot be represented as a strict convex combination of two distinct points in X. i.e. If = 1 + 1 2 0,1 & 1, 2, = 1 = 2

Bounded Set: A set is bounded if . . <

x1

Half-spaces: Polyhedral Set/Polyhedron: Intersection of finite-number of half-spaces. A bounded polyhedral set is called Polytope
Polytope:

x2

x3

Geometric Solution
Interchanging Maximization & Minimization Problems: =1 = =1
Types of Geometric Solution:
1) Unique Optimal Solution- unique optimal solution 2) Alternative Optimal Solutions- optimal solution set is unbounded 3) Unbounded Optimal Objective Value both feasible region & optimal value unbounded, hence no optimal solution exists 4) Empty Feasible Region inconsistent system of equations

Definitions
For positive variables since they represent physical quantities, if unrestricted sign

variable j, replace it with xj xj, where xj 0 and xj 0.

Work from vertex to vertex of the polyhedron and in each step improve the objective function value.

Degeneracy: A LP max* : , } is degenerate if s.t. more than n constraints of that are active at x* Optimal Bases: Basis B is optimal if it is feasible & unique with

TA = &i=0, i B . Then x*=A-1BbB is optimal solution of LP.

Adjacent Vertices: Vertices x1 & x2 of P = * : } are adjacent if (n-1) Linearly Independent inequalities active at both x1 & x2

x* - 3 constraints active

SIMPLEX ALGORITHM
Basic Idea: Start with vertex x* While x* is not optimal Find vertex x adjacent to x* with cTx > * update x*:=x or assert that LP is unbounded

SIMPLEX ALGORITHM: Basis notation

Basic Idea:
Start with feasible basis B While B is not optimal Let iB be index with i<0 Compute d with aTj=0, j B\{i} & aTj d=-1 Determine K = *: 1 , > 0+ if K= assert LP is unbounded else

Let kK index where

Update B:=B\{i}{k}

min bk

is attained

SIMPLEX
Standard Maximization form of Objective function, constraints in form of less than or

equal to equations, RHS values always positive

Table constructed with basic variables, coefficients of variables, RHS constants & ratio columns = 0 ( 0)

New Pivot =(old/leaving new element)/key element Ratio= constant/entry column coefficient

Old element (OE)=OE-(starting column coefficient corresponding new pivot element)

Example
Z=30x1+20x2

s.t. 2x1+x2+s1=100 X1+x2+s2=80 X1+s3=40 X1,x2,s1,s2,s30

BV
Z S1 S2

z
1 0 0

x1
-30 2 1

x2
-20 1 1

s1
0 1 0

s2
0 0 1

s3
0 0 0

B
0 100 80

S3

40

Iteration 1: column = minimum negative entry = -30; Row : min{ 100/2, 80/1,40/1}=40 => s3 leaving, x1 entering

BV

x1

x2

s1

s2

s3

Z
S1 S2 x1

1
0 0 0

0
0 0 1

-20
1 1 0

0
1 0 0

0
0 1 0

30
-2 -1 1

1200
20 40 40

Example
Iteration 2: column = minimum negative entry = -20; Row : min{ 20/1, 40/1,-}=20 => s1 leaving, x2 entering

BV Z x2 S2 x1

z 1 0 0 0

x1 0 0 0 1

x2 0 1 0 0

s1 20 1 -1 0

s2 0 0 1 0

s3 -10 -2 1 1

B 1600 20 20 40

Iteration 3: column = minimum negative entry = -10; Row : min{-, 20/1, 40/1,-}=20 => s2 leaving, s3 entering

BV

x1

x2

s1

s2

s3

Z
x2 S3 x1

1
0 0 0

0
0 0 1

0
1 0 0

10
-1 -1 0

10
2 1 -1

0
0 1 1

1800
60 20 20

All nonbasic variables with non-negative coefficients in row 0, Optimal solution : x1=20, x2=60 & Z=1800

PRIMAL-DUAL
With every LP associated LP called dual
. ; , 0

Dual : . ; , 0
or

Primal : . ; , 0 Dual: . ; , 0
Theorems: Dual of dual is primal
Weak Duality: LP max* : , } & its dual min* : y , Ty c, y 0}. If

x* & y* are primal & dual feasible respectively, then cTx* bTy*

Strong Duality: LP max* : , } & its dual min* : y , Ty c, y 0}.

If primal is feasible and bounded then primal feasible x* & dual feasible y* respectively, then cTx* =bTy*

Primal Dual
Problem 1: Maximize Z

Z=3x1+4x2 4x1+2x280 3x1+5x2 180

Dual of Problem1: Minimize Z

Z=80y1+180y2 4y1+3y23 2y1+5y2 4

Reference
Linear Programming and network flows, M.S. Bazaraa,

J.J.Jarvis & H.D.Sherali Coursera lectures,Linear Optimization Wikipedia