INTRODUCTION TO LINEAR AND NONLINEAR PROGRAMMING

Similar documents
David G. Luenberger Yinyu Ye. Linear and Nonlinear. Programming. Fourth Edition. ö Springer

Contents. I Basics 1. Copyright by SIAM. Unauthorized reproduction of this article is prohibited.

Nonlinear Programming

LECTURE 13: SOLUTION METHODS FOR CONSTRAINED OPTIMIZATION. 1. Primal approach 2. Penalty and barrier methods 3. Dual approach 4. Primal-dual approach

Linear Optimization and Extensions: Theory and Algorithms

LARGE SCALE LINEAR AND INTEGER OPTIMIZATION: A UNIFIED APPROACH

APPLIED OPTIMIZATION WITH MATLAB PROGRAMMING

Convex Optimization CMU-10725

Convex Optimization CMU-10725

DETERMINISTIC OPERATIONS RESEARCH

Linear programming and duality theory

Programming, numerics and optimization

Linear and Integer Programming :Algorithms in the Real World. Related Optimization Problems. How important is optimization?

Tribhuvan University Institute Of Science and Technology Tribhuvan University Institute of Science and Technology

Introduction to Optimization Problems and Methods

George B. Dantzig Mukund N. Thapa. Linear Programming. 1: Introduction. With 87 Illustrations. Springer

COMS 4771 Support Vector Machines. Nakul Verma

Artificial Intelligence

Support Vector Machines. James McInerney Adapted from slides by Nakul Verma

16.410/413 Principles of Autonomy and Decision Making

Introduction to Optimization

Introduction to Mathematical Programming IE496. Final Review. Dr. Ted Ralphs

Linear Programming. Linear programming provides methods for allocating limited resources among competing activities in an optimal way.

Section Notes 5. Review of Linear Programming. Applied Math / Engineering Sciences 121. Week of October 15, 2017

for Approximating the Analytic Center of a Polytope Abstract. The analytic center of a polytope P + = fx 0 : Ax = b e T x =1g log x j

Linear methods for supervised learning

THEORY OF LINEAR AND INTEGER PROGRAMMING

COMPUTER AND ROBOT VISION

OPTIMIZATION METHODS

Convex Analysis and Minimization Algorithms I

DISCRETE CONVEX ANALYSIS

Optimization Methods. Final Examination. 1. There are 5 problems each w i t h 20 p o i n ts for a maximum of 100 points.

Advanced Operations Research Techniques IE316. Quiz 2 Review. Dr. Ted Ralphs

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

Simplex Algorithm in 1 Slide

Math 5593 Linear Programming Lecture Notes

DM545 Linear and Integer Programming. Lecture 2. The Simplex Method. Marco Chiarandini

A large number of user subroutines and utility routines is available in Abaqus, that are all programmed in Fortran. Subroutines are different for

Linear Programming. Linear Programming. Linear Programming. Example: Profit Maximization (1/4) Iris Hui-Ru Jiang Fall Linear programming

Ec 181: Convex Analysis and Economic Theory

Local and Global Minimum

Characterizing Improving Directions Unconstrained Optimization

5 Machine Learning Abstractions and Numerical Optimization

Some Advanced Topics in Linear Programming

Optimization under uncertainty: modeling and solution methods

Ellipsoid Algorithm :Algorithms in the Real World. Ellipsoid Algorithm. Reduction from general case

Read: H&L chapters 1-6

Linear Programming and its Applications

COPYRIGHTED MATERIAL. Index

Introduction to optimization methods and line search

Department of Mathematics Oleg Burdakov of 30 October Consider the following linear programming problem (LP):

Multidimensional scaling

TMA946/MAN280 APPLIED OPTIMIZATION. Exam instructions

Unconstrained Optimization Principles of Unconstrained Optimization Search Methods

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

Computational Optimization. Constrained Optimization Algorithms

Chapter 3 Numerical Methods

Linear Programming. Larry Blume. Cornell University & The Santa Fe Institute & IHS

Lecture 9: Linear Programming

Contents. Preface CHAPTER III

Lecture 12: convergence. Derivative (one variable)

Constrained Optimization COS 323

Linear Programming: Mathematics, Theory and Algorithms

25. NLP algorithms. ˆ Overview. ˆ Local methods. ˆ Constrained optimization. ˆ Global methods. ˆ Black-box methods.

Constrained and Unconstrained Optimization

Fast-Lipschitz Optimization

IMAGE ANALYSIS, CLASSIFICATION, and CHANGE DETECTION in REMOTE SENSING

Lecture 12: Feasible direction methods

Linear Programming. Presentation for use with the textbook, Algorithm Design and Applications, by M. T. Goodrich and R. Tamassia, Wiley, 2015

LECTURE 6: INTERIOR POINT METHOD. 1. Motivation 2. Basic concepts 3. Primal affine scaling algorithm 4. Dual affine scaling algorithm

Lecture 7: Support Vector Machine

Lec13p1, ORF363/COS323

Surrogate Gradient Algorithm for Lagrangian Relaxation 1,2

Constrained optimization

Lecture 4 Duality and Decomposition Techniques

Computational Methods. Constrained Optimization

Linear Discriminant Functions: Gradient Descent and Perceptron Convergence

MATHEMATICS II: COLLECTION OF EXERCISES AND PROBLEMS

Optimization III: Constrained Optimization

EARLY INTERIOR-POINT METHODS

M. Sc. (Artificial Intelligence and Machine Learning)

Mathematical Programming and Research Methods (Part II)

Constrained optimization

Probabilistic Graphical Models

Machine Learning for Signal Processing Lecture 4: Optimization

SYSTEMS OF NONLINEAR EQUATIONS

Module 1 Lecture Notes 2. Optimization Problem and Model Formulation

Solution Methods Numerical Algorithms

VARIANTS OF THE SIMPLEX METHOD

Convex Optimization Algorithms

Modern Methods of Data Analysis - WS 07/08

Short Reminder of Nonlinear Programming

Lecture 1: Introduction

Linear Programming Duality and Algorithms

Today. Golden section, discussion of error Newton s method. Newton s method, steepest descent, conjugate gradient

DEGENERACY AND THE FUNDAMENTAL THEOREM

of Convex Analysis Fundamentals Jean-Baptiste Hiriart-Urruty Claude Lemarechal Springer With 66 Figures

STRUCTURAL & MULTIDISCIPLINARY OPTIMIZATION

Math Models of OR: The Simplex Algorithm: Practical Considerations

Linear Programming Problems

Transcription:

INTRODUCTION TO LINEAR AND NONLINEAR PROGRAMMING DAVID G. LUENBERGER Stanford University TT ADDISON-WESLEY PUBLISHING COMPANY Reading, Massachusetts Menlo Park, California London Don Mills, Ontario

CONTENTS Chapter 1 Introduction 1.1 Optimization 1 1.2 Types of problems 2 1.3 Size of problems 5 1.4 Iterative algorithms and convergence 6 PART I Linear Programming Chapter 2 Basic Properties of Linear Programs 2.1 Introduction 11 2.2 Examples of linear programming problems 14 2.3 Basic Solutions 16 2.4 The fundamental theorem of linear programming 18 2.5 Relations to convexity 20 2.6 Exercises 25 Chapter 3 The Simplex Method 3.1 Pivots 27 3.2 Adjacent extreme points 33 3.3 Determining a minimum feasible Solution 36 3.4 Computational procedure simplex method 40 3.5 Artiflcial variables 43 *3.6 Variables with upper bounds 48 3.7 Matrix form of the simplex method 53 3.8 The revised simplex method 55 *3.9 The simplex method and LU decomposition 60 3.10 Summary 63 3.11 Exercises 63 ix

x Chapter 4 Duality 4.1 Dual linear programs 68 4.2 The duality theorem 71 4.3 Relations to the simplex procedura 73 4.4 Sensitivity and complementary slackness 76 *4.5 The dual simplex method 78 *4.6 The primal-dual algorithm 81 4.7 Exercises 86 Chapter 5 Reduction of Linear Inequalities 5.1 Introduction 90 5.2 Redundant equations 91 5.3 Null variables 91 5.4 Nonextremal variables 94 5.5 Reduced problems 96 5.6 Applications of reduction 104 5.7 Exercises 105 PART II Unconstrained Problems Chapter 6 Basic Properties of Solutions and Algorithms 6.1 Necessary conditions for local minima 110 6.2 Sufficient conditions for a relative minimum 113 6.3 Convex and concave functions 114 6.4 Minimization and maximization of convex functions... 118 6.5 Global convergence of descent algorithms 120 6.6 Speed of convergence 127 6.7 Summary 131 6.8 Exercises 131 Chapter 7 Basic Descent Methods 7.1 Fibonacci and golden section search 134 7.2 Line search by curve fitting 137 7.3 Global convergence of curve fitting 143 7.4 Closedness of line search algorithms 146 7.5 Inaecurate line search 147 7.6 The method of steepesj descent.. 148 7.7 Newton's method 155 7.8 Coordinate descent methods 158 7.9 Spacer steps 161 7.10 Summary 162 7.11 Exercises 163

xi Chapter 8 Conjugate Direction Methods 8.1 Conjugate directions 168 8.2 Descent properties of the conjugate direction method... 171 8.3 The conjugate gradient method 173 8.4 The conjugate gradient method as an optimal process... 176 8.5 The partial conjugate gradient method 178 8.6 Extension to nonquadratic problems 181 8.7 Parallel tangents 184 8.8 Exercises 186 Chapter 9 Quasi-Newton Methods 9.1 Modified Newton method 189 9.2 Construction of the inverse 192 9.3 Davidon-Fletcher-Powell method 194 9.4 Convergence properties 197 *9.5 Scaling 201 9.6 Combination of steepest descent and Newton's method.. 205 9.7 Updating procedures 210 9.8 Summary 211 9.9 Exercises 213 PART III Constrained Minimization Chapter 10 Constrained Minimization Conditions 10.1 Constraints 219 10.2 Tangent plane 221 10.3 Necessary and sufficient conditions (equality constraints).. 224 10.4 Eigenvalues in tangent subspace 227 10.5 Sensitivity 230 10.6 Inequality constraints 232 10.7 Summary 236 10.8 Exercises 237 Chapter 11 Primat Methods 11.1 Advantage of primal methods 240 11.2 Feasible direction methods 241 11.3 Global convergence 243 11.4 The gradient projection method 247 11.5 Convergence rate of the gradient projection method... 254 11.6 The reduced gradient method 262 11.7 Convergence rate of the reduced gradient method.... 267 11.8 Variations 270 11.9 Summary 272 11.10 Exercises 273

xii Chapter 12 Penalty and Barrier Methods 12.1 Penalty methods 278 12.2 Barrier methods 281 12.3 Properties of penalty and barrier functions 283 *12.4 Extrapolation 289 12.5 Newton's method and penalty functions 290 12.6 Conjugate gradients and penalty methods 292 12.7 Normalization of penalty functions 294 12.8 Penalty functions and gradient projection 296 12.9 Penalty functions and the reduced gradient method.... 299 12.10 Summary 301 12.11 Exercises 302 Chapter 13 Cutting Plane and Dual Methods 13.1 Cutting plane methods 306 13.2 Kelley's convex cutting plane algorithm 308 13.3 Modifications 310 13.4 Local duality 312 13.5 Dual canonical convergence rate 317 13.6 Separable Problems 318 13.7 Duality and penalty functions 320 13.8 Exercises 322 Appendix A Mathematical Review A.l Sets 324 A.2 Matrix notation 325 A.3 Spaces 326 A.4 Eigenvalues and quadratic forms 327 A.5 Topological concepts 328 A.6 Functions 329 Appendix B Convex Sets B.l Basic definitions 332 B.2 Hyperplanes and polytopes 334 B.3 Separating and supporting hyperplanes 337 B.4 Extreme points 338 Appendix C Gaussian Elimination Bibliography 344 Index 353