Linear Programming. Course review MS-E2140. v. 1.1

Transcription

1 Linear Programming MS-E2140 Course review v. 1.1

2 Course structure Modeling techniques Linear programming theory and the Simplex method Duality theory Dual Simplex algorithm and sensitivity analysis Integer Programming methods Network flow problems and special cases

3 Linear Programming problems Any linear programming problem can be transformed into an equivalent one in standard form: min c x s. t. Ax = b x 0 If its optimal cost is finite, then at least one optimal solution corresponds to an extreme point of its feasible region

4 Basic solutions To obtain a basic solution of a standard form problem with an m n constraint matrix A Choose m linearly independent columns of A that form a basis matrix B = (A B 1,, A B m ) Define the vector of basic variables x B = (x B 1,, x B m ) where x B i is associated with the i-th column A B i of B Define the vector x N of non-basic variables which is formed by all variables x j associated with the columns not in B The basic solution associated with B is x B = B 1 b, x N = 0 The associated basic cost vector is c B = (c B 1,, c B m )

5 Basic feasible solutions A basic solution x of a standard form problem associated with a basis matrix B is called: Feasible if x B = B 1 b 0 Degenerate if some component(s) of x B is 0 Optimal if x B = B 1 b 0 and c = c c B B 1 A 0 basic feasible solutions correspond to extreme points of the feasible region The Simplex method solves an LP in standard form by looking for an optimal basic feasible solution

6 Simplex method: Basic directions Works by iteratively moving from a basic feasible solution to an adjacent one with better cost Adjacent basic solutions have all basic variables in common except for one: The corresponding bases differ by one column The movement from a basic solution x associated with basis B to an adjacent one is along a basic direction Moving along the j-th basic direction d increases the value of a non-basic variable x j. The j-th basic direction d is defined as: d j = 1, d i = 0, for all other i j such that x i is non basic d B = B 1 A j where d B = (d B 1,, d B m ) The solutions obtained by moving along this direction are x + θd

7 Simplex method: Change of basis A movement of θ along the j th basic direction d Changes the solution cost from z to z + θ c j where c j = c j c B B 1 A j is the reduced cost of variable x j Changes the value of the non-basic variable x j from 0 to θ If all reduced costs are non-negative then none of the adjacent basic solutions has better cost: The current solution is optimal If a variable x j has negative reduced cost c j a better adjacent basic feasible solution is obtained by moving as much as possible along the corresponding basic direction. The maximum movement possible along a basic direction d is θ = min i=1,,m x B i d B i d B i < 0

8 Full tableau Simplex c B B 1 b c c B B 1 A Reduced cost vector Basic variables values column 0 z x B(1) c 1 e 1 Choose an entering variable x j with reduced cost c j < 0 Increase the value of x j by moving along the corresponding basic direction until a basic variable x B(i) becomes 0 x B(i) is such that x B i u i = min k=1,,m x B(m) B 1 b c m c m+1 e m B 1 A m+1 I B 1 N B 1 A n Each column j is the vector u = d B where d B is the vector of basic components of the j th basic direction x B k u k u k > 0 (where u k = a kj ) Update the tableau to reflect this change: make a pivoting operation on row i and column j c n zeroth row a ij : element in row i and column j

9 Two phase Simplex method Original LP Auxiliary problem (auxiliary LP) n m minimize z = c j x j minimize z = y i j=1 i=1 n n s. t. a ij x j = b i, i = 1,, m s. t. a ij x j + y i = b i, i = 1,, m j=1 j=1 x j 0, j = 1,, n x j 0, j = 1,, n y i 0, i = 1,, m Phase 1: Solve the auxiliary problem The initial basis matrix is formed by the columns of the artificial variables and corresponds to the identity matrix If the auxiliary problem has optimal cost > 0 then the original problem is infeasible

10 Phase 2: Solve the original problem Start from the optimal tableau obtained at the end of Phase 1 For each artificial variable y B(i) which is basic: If row i has all zero entries in the columns of the original variables x j, j = 1,, n, then remove row i Otherwise, find a column j corresponding to a variable x j with element a ij 0 in row i. Make a pivoting on a ij Recompute the reduced cost of each variable x j and the value of the objective function by using the original costs c j Update the tableau (zeroth row) and continue with the Simplex

11 Duality Any LP has a dual problem Primal problem (in standard form) min c x s. t. Ax = b x 0 Dual problem max p b s. t. p A c p unrestricted A R m n, c R n, b R m, x R n, p R m Any feasible solution of the dual has a cost lower than or equal to any feasible solution of the primal (assuming the primal is a minimization problem)

12 Construction of the dual problem Each constraint of the primal (except for non-negativity constraints) corresponds to a variable of its dual Each variable of the primal corresponds to a constraint of its dual PRIMAL (min) DUAL (max) Constraints a i x b i p i 0 Variables (p) a i x b i p i 0 a i x = b i p i unrestricted x j 0 p A j c j Variables (x) x j 0 Constraints p A j c j x j unrestricted p A j = c j

13 Weak duality Weak duality theorem If x is a feasible solution to the primal, and p is a feasible solution to the dual, then p b c x Corollaries (assuming the primal is a minimization problem) a) If the optimal cost of the primal is, then its dual is infeasible b) If the optimal cost of the dual is +, then its primal is infeasible c) Let x and p be feasible solutions to the primal and the dual, respectively. If p b = c x, then x and p are optimal

14 Strong duality Strong duality theorem If an LP has an optimal solution x, then its dual also has an optimal solution p, and their costs are equal, i.e., c x = p b Possibilities for a pair of primal and dual problems Dual Primal Optimal solution Optimal solution Unbounded Infeasible Possible Impossible Impossible Unbounded Impossible Impossible Possible Infeasible Impossible Possible Possible

15 Complementary slackness Complementary slackness theorem Let x and p be feasible solutions to the primal and to its dual, respectively. Then, x and p are optimal if and only if they satisfy Complementary slackness conditions p i a ix b i = 0, i = 1,, m c j p A j x j = 0, j = 1,, n (C1) (C2) Given a pair of optimal primal and dual solutions x and p : If a primal/dual constraint is not satisfied with equality then the corresponding dual/primal variable must be 0 If a primal/dual variable is not 0 then the corresponding dual/primal constraint must be satisfied with equality In absence of degeneracy we can use complementary slackness to obtain an optimal x from an optimal p and vice versa

16 Primal and dual basic solutions A basis matrix B of a standard form problem P corresponds to a basic primal solution x with x B = B 1 b, x N = 0 a basic dual solution p = c B B 1 dual constraint j satisfied by p variable x j has non-negative reduced cost p A j c j c j c B B 1 A j = c j 0 dual constraint j binding at p variable x j has reduced cost 0 p A j = c j c j c B B 1 A j = c j = 0 If these two basic primal and dual solutions are both feasible, then they are both optimal

17 Dual Simplex We call a basis matrix B dual-feasible if the corresponding dual basic solution p = c B B 1 is feasible primal-feasible if the corresponding primal basic solution is feasible, i.e., x B = B 1 b 0 The (primal) Simplex algorithm only considers primal-feasible basis matrices B and looks for one which is also dual-feasible The Dual Simplex algorithm only considers dual-feasible basis matrices B and looks for one which is also primal-feasible

18 Dual Simplex: Starts with a dual-feasible basis B: All reduced costs must be non-negative At each iteration moves to an adjacent basic solution corresponding to a new basis matrix B such that: 1. B is dual-feasible, i.e., c 1,, c n are again non negative 2. c B B 1 b c B B 1 b (the solution cost does not decrease) If B is also primal-feasible the corresponding solution is optimal One iteration on the tableau: Find a variable x B(i) with negative value b i If all elements of row i (except b i ) are non-negative, then the optimal dual cost is + and the primal problem is infeasible Find a column j such that = min a ij 1 k n a ik <0 Make a pivot operation on row i and column j c j c k a ik

19 Sensitivity analysis How does the optimal cost change if the problem data (coefficients of A, b, or c) is subject to small variations? Main idea: The optimal basis does not change if the coefficient change is small enough (in absence of degeneracy) A basis matrix B is optimal if it satisfies 1. B 1 b 0 (B is primal-feasible) 2. c = c c B B 1 A 0 (B is dual-feasible) If something changes we can check if the optimal basis remains optimal by verifying if it still satisfies 1 and 2 after the change If it does not remain optimal we can find a new optimal solution without resolving from scratch

20 A coefficient change can affect feasibility/optimality: Feasibility (primal feasibility): Optimality conditions (dual feasibility): B 1 b 0 c c B B 1 A 0 A change in a right hand side b i can only affect primal feasibility: Check if B remains primal feasible A change in a cost c j can only affect dual feasibility: If x j is not basic, check the reduced cost of x j If x j is basic, check all the reduced costs A change in a coefficient a ij of a non-basic column j can only affect dual feasibility: Check the reduced cost of x j

21 The addition of a new variable x n+1 to the problem can affect dual feasibility but not primal feasibility Setting x n+1 = 0 leaves the previous optimal solution feasible Check the reduced cost of x n+1 to check optimality The addition of a new constraint to the problem can affect primal feasibility If primal feasibility is lost after a change in the problem data but dual feasibility is not affected: Continue with the dual Simplex to find a new optimal solution If dual feasibility is lost after a change in the problem data but primal feasibility is not affected: Continue with the primal Simplex to find a new optimal solution

22 Network flow problems Flow exiting from node i minimize z = (i,j) A c ij f ij Flow entering into node i s.t. f ij f ji = b i i N (1) j N (i,j) A j N (j,i) A 0 f ij u ij (i, j) A (2) Basic solutions correspond to tree solutions: Defined by a set T of N 1 arcs forming a tree Flows f ij on all arcs in A T are equal to 0 Flows f ij on arcs in T are uniquely determined by constraints (1) A tree solution f is feasible if f 0

23 Network simplex (for uncapacitated problems) 1. Start with a feasible tree solution associated with a set of arcs T that form a tree 2. Compute the dual variables p i, i = 1,, n by setting p n = 0 and solving the system c ij p i + p j = 0, (i, j) T 3. Compute reduced costs c ij = c ij p i + p j, i, j A T 4. If c ij < 0 for some i, j, add (i, j) to T to form a cycle C Otherwise the solution is optimal 5. Push a flow θ around C until the flow on a backward arc (k, l) of C becomes 0 (if C has no backward arcs the optimal cost is ) (k, l) is removed from T and replaced by (i, j). Return to 2

24 Special cases of network flow problems Efficient tailored algorithms for some special cases: Shortest path problem: Label correcting method The label p i of node i represents the cost of the best (shortest) path from i to n found so far Iteratively corrects labels as p i = min p i, min j (i,j) A {c ij + p j } Maximum flow problem: Ford-Fulkerson algorithm Iteratively checks if there is an augmenting path If an augmenting path is found, it is used to increase the flow from the source to the sink, if not the solution is optimal

25 Integer programming problems Integer programming problems (IPs) are more difficult to solve than LPs with all continuous variables We don t have an efficient algorithm to solve a general IP Different formulations are possible for the same IP: If we remove the integrality constraints from an IP formulation we obtain its LP relaxation which is an LP An IP formulation is the strongest possible if the feasible region of its LP relaxation is the convex hull of integer solutions: In this case, solving the LP relaxation solves the IP

26 Integer programming methods Gomory cutting plane method: Iteratively solves the LP relaxation and then adds a cutting plane that cuts off its optimal fractional solution The cutting plane is derived from the optimal Simplex tableau Branch and Bound (minimization problem): Splits the problem into sub problems Solves the LP relaxation of each sub problem to obtain a lower bound (lower estimate) on its optimal costs Sub problems with a lower bound bigger or equal than the cost of the best feasible integer solution are discarded Branch and Cut: Extends branch and bound by adding cutting planes to the sub problems

27 Exams Thursday :00-16:00 Monday :00-12:00 Tuesday :00-12:00 Old exams can be found in MyCourses within section Additional Reading Calculators are allowed (not graphical) but not other material Remeber to sign up for the exam via WebOodi. The registration deadline for the first exam is this Thursday ( )