Heuristic Optimization Today: Linear Programming. Tobias Friedrich Chair for Algorithm Engineering Hasso Plattner Institute, Potsdam

Transcription

1 Heuristic Optimization Today: Linear Programming Chair for Algorithm Engineering Hasso Plattner Institute, Potsdam

2 Linear programming Let s first define it formally: A linear program is an optimization problem in finitely many variables having a linear objective function and a constraint region determined by a finite number of linear equality and/or inequality constraints.

3 Linear programming A linear function of the variables x 1, x 2,...,x n is any function f of the form f (x) =c 1 x 1 + c 2 x c n x n for fixed c i 2 R i =1,...,n. 2 R A linear equality constraint is any equation of the form where, a 1, a 2,...,a n 2 R. 2 a 1 x 1 + a 2 x a n x n =, A linear inequality constraint is any inequality of the form a 1 x 1 + a 2 x a n x n apple, or a 1 x 1 + a 2 x a n x n, where, a 1, a 2,...,a n 2 R.

4 Linear programming The standard compact representation is minimize c 1 x 1 + c 2 x c n x n subject to a i1 x i + a i2 x a in x n apple i i =1,...,s b i1 x i + b i2 x b in x n = i i =1,...,r.

5 Linear programming The standard matrix representation is minimize c T x subject to Ax apple a and Bx = b A = c = c 1. c n 3 7 5, a = a a 1n s 3 7 5, B = 7 5, b = r b b 1n a s1... a sn b r1... b rn

6 Introductory Example #1: Optimization in Politics Assume you are a politician, who wants to get 50% of the votes u in metropolitan region #1 with 100k inhabitants u in suburban region #2 with 200k inhabitants u in rural region #3 with 50k inhabitants You want to buy advertisements; each commercial block costs 1000

7 Introductory Example #1: Optimization in Politics The commercial blocks have the following effect: Build more streets Disempower secret service More agriculture subvention Increase petrol taxes Metropolitan region #1 Suburban region #2 Rural region #

8 Introductory Example #1: Optimization in Politics Some sample spending: Total Spending Build more streets Disempower secret service 0 More agriculture subvention Increase petrol taxes 9.000

9 Introductory Example #1: Optimization in Politics Effect of our sample spending: Metropolitan region #1 Suburban region #2 Rural region #3 Build more streets Disempow er secret service More agriculture subvention Increase petrol taxes Resultiu ng Votes 20*(-2) +0*8 +4*0 +9*10 = *5 +0*2 +4*0 +9*0 = *3 +0*(-5) +4*10 +9*(-2) = Is there a cheaper way to win the election?

10 Introductory Example #1: Optimization in Politics Let s formulate this mathematically: u x 1 = #commercial blocks for building more streets u x 2 = #commercial blocks for disempower secret service u x 3 = #commercial blocks for more agriculture subvention u x 4 = #commercial blocks for increasing petrol taxes

11 Introductory Example #1: Optimization in Politics Mathematically speaking, our target is: Minimize x 1 +x 2 +x 3 +x 4 such that u -2 x x x x 4 50 u 5 x x x x u 3 x 1-5 x x 3-2 x 4 25 u x 1, x 2, x 3, x 4 0

12 Introductory Example #2: Optimization in Economics Let s look at another problem: Maximize profit G(x 1,x 2 ) = 300 x x 2 such that (1) x x (2) x 1 + x (3) 3 x (4) x 1, x 2 0

13 Introductory Example #2: Optimization in Economics

14 Introductory Example #2: Optimization in Economics Wort-Bild-Marke CMYK Größe 40 Name: hpi_logo_cmyk_wb à see white board Conclusion: Look for y 0, such that yta is an upper bound for yta ct

15 Primal vs. Dual P Primal: max c T x D Dual: min b T y s.t. Ax apple b 0 apple x s.t. A T y c 0 apple y

16 Weak Duality Theorem Weak Duality Theorem: If x 2 R n is feasible for P and y 2 R m is feasible for D, then c T x apple y T Ax apple b T y. Thus, if P is unbounded, then D is necessarily infeasible, and if D is unbounded, then P is necessarily infeasible.

17 Weak Duality Theorem Proof of Weak Duality Theorem: c T x = n P apple j=1 P n j=1 c j x j ( m P i=1 = y T Ax P = m P ( n apple i=1 P m i=1 = b T y j=1 a ij y i )x j a ij x j )y i b i y i [0 apple y i, [0 apple x j, c j apple m P np j=1 i=1 a ij y i a ij x j apple b i ) c j x j apple ( m P ) ( n P j=1 i=1 a ij y i )x j ] a ij x j )y i apple b i y i ]

18 Strong Duality Theorem Theorem: If either P or D has a finite optimal value, then so does the other, the optimal values coincide, and optimal solutions to both P and D exist.

19 Fundamental Theorem Theorem: Every LP has the following three properties: (i) If it has no optimal solution, then it is either infeasible or unbounded. (ii) If it has a feasible solution, then it has a basic feasible solution. (iii) If it is bounded, then it has an optimal basic feasible solution.

20 Reduction to Standard Form Any linear program can be brought into standard form: I elimination of free (unbounded) variables x j : replace x j with x + j, x j 0: x j = x + j x j I elimination of non-positive variables x j : replace x j apple 0 with ( x j ) 0. I elimination of inequality constraint a T i x apple b i : introduce slack variable s 0 and rewrite: a T i x + s = b i I elimination of inequality constraint a T i x b i : introduce slack variable s 0 and rewrite: a i T x s = b i

21 Simplex Algorithm Observations: Feasible region (Ax b, x 0) is a (possibly unbounded) convex polytope Maximum value on the feasible region occurs on one of the extreme points Number of extreme points is finite, but exponentially large It is enough to check corners of the polytope

22 Simplex Algorithm Walks along edges of the polytope to extreme points with greater and greater objective values Continues until the maximum value is reached or an unbounded edge is visited (i.e. problem has no solution) Runtime Finite as the number of vertices in the polytope is finite For every deterministic Pivot rule there is a worstcase which need exponential time Still very efficient in practice There are other algos for LPs with poly. time

23 Integer Linear Program Adding integrality constraints make things MUCH harder; example Weighted Vertex Cover Problem: Given: undirected graph G =(V, E), weight function w : V! R 0. Task: find U V of minimum total weight such that every edge e 2 E has at least one endpoint in U. Formulation as an integer linear program (IP): Variables: x v 2 {0, 1} for v 2 V with x v = 1 if and only if v 2 U. X minimize w(v) x v v2v subject to x v + x v 0 1 for all e = {v, v 0 } 2 E, x v 2 {0, 1} for all v 2 V.