11/25/13

An Example of Dantzig-Wolfe Decomposition

MATP6640/DSES6780 Linear Programming

An Example of Dantzig-Wolfe Decomposition

Consider the linear programming problem:

Thus, cT=(1,-1,-2), A=(1,1,1) and b=3. The Master Problem (MP) is:

where

is the set of extreme points of X, and

is the set of extreme rays of X.

homepages.rpi.edu/~mitchj/handouts/egdcmp/

1/7

11/25/13

An Example of Dantzig-Wolfe Decomposition

Initialization: Start with the two extreme points x 1:=(2,0,0)T and x 2:=(2,0,2)T of X. Then when using the revised simplex method, our basic variables are and . So, in terms of the basic variables, we get the Revised Master Problem (RMP):

Here, the coefficient of

in the objective function is cTx 1, the coefficient of 4 for

in the first . We

constraint comes from Ax 2, etc. The second constraint is the convexity constraint will denote costs in (MP) by Initial basis: , columns by , etc.

homepages.rpi.edu/~mitchj/handouts/egdcmp/

2/7

11/25/13

An Example of Dantzig-Wolfe Decomposition

Thus, the initial basic feasible solution is:

the corresponding dual solution is:

the corresponding solution to the initial problem is

Thus the subproblem is

By inspection, the optimal solution is x =(0,0,0)T, giving

. Therefore, our current

primal solution is not optimal, and we need to introduce a column for x 3:=(0,0,0)T into the Revised Master Problem. First iteration: Then enters the basis. Objective function value is ; column of constraint matrix is

In order to determine which variable leaves the basis, we need to

calculate

. We then compare this column of ``B-1N'' with the current bfs

homepages.rpi.edu/~mitchj/handouts/egdcmp/

3/7

11/25/13

An Example of Dantzig-Wolfe Decomposition

using the minimum ratio test. Thus,

leaves the basis. The new basis matrix is:

Thus, the new primal solution to (MP) is

and the new dual solution is

Hence, the new solution for the original LP is:

The subproblem is

This subproblem has an unbounded optimal solution, and the extreme ray is d=(0,1,0)T.

Set d4:=(0,1,0)T; then into the basis.

and

. We introduce

Second iteration: We need to determine which variable leaves the basis. Therefore, we calculate
homepages.rpi.edu/~mitchj/handouts/egdcmp/ 4/7

11/25/13

An Example of Dantzig-Wolfe Decomposition

. Using the minimum ratio test with leaves the basis. The new basis matrix is:

shows that

Thus, the new primal solution to (MP) is

and the new dual solution is

Hence, the new solution for the original LP is:

The subproblem is

An optimal solution is x =(0,0,2)T, giving

. So we do not have the optimal solution to the

master problem (MP). Hence, we set x 5:=(0,0,2)T, and we introduce a column for this extreme point into the Revised Master Problem. Third iteration: Then enters the basis. Objective function value is ; column of constraint matrix

homepages.rpi.edu/~mitchj/handouts/egdcmp/

5/7

11/25/13

An Example of Dantzig-Wolfe Decomposition

is

. In order to determine which variable leaves the basis, we need to

calculate

. Using the minimum ratio test with

shows that

leaves the basis. The new basis matrix is:

Thus, the new primal solution to (MP) is

and the new dual solution is

Hence, the new solution for the original LP is:

The subproblem is

An optimal solution is x =(0,0,2)T, giving and

. Hence, our optimality criterion is satisfied,

is an optimal solution to our original LP.

homepages.rpi.edu/~mitchj/handouts/egdcmp/

6/7

11/25/13

An Example of Dantzig-Wolfe Decomposition

About this document ... John E Mitchell 2000-02-03

homepages.rpi.edu/~mitchj/handouts/egdcmp/

7/7