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Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

## Detailed Tutorial on Linear Programming

### Optimization problems can be broadly classified into two types : Unconstrained and constrained optimization problems. In an unconstrained optimization problem , we are given a function f(x) and our aim is to find the value of x which maximizes/minimizes f(x). There are no constraints on the parameter x. In constrained optimization, we are given a function f(x) which we want to maximize/minimize subject to the constraints g(x). We will focus more on

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

and any
,

,

### Linear/affine functions are, for example, convex. One very neat property of convex functions is that any local optimum is also a global optimum. Additionally, the

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### linear programming instance to the standard form in a finite time. For the rest of the

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### Consider a simple Linear Programming instance with 2 variables and 4 constraints :

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### Each of the four inequalities individually form a convex region where the feasible solution for the respective inequality is satisfied. The feasible region of the problem is found by intersecting all the individual feasible regions. By the property of convex sets, the problem’s feasible region is also a convex region. For this example, the feasible region geometrically looks like :

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### Once we have found the feasible region, we have to explore the region to find the point which maximises the objective function. Due to feasible region being convex and the objective function being a convex function (linear function), we know that the optimum lies only in the boundary. Once we find a local optima we are done as convex function on a compact convex set implies that this is also the global optima of

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### vertices. This

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### So the informal outline of the simplex algorithm (assuming the problem is feasible) is

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### which is our initial

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### pick the vertex (0.5,0). So the new lower bound of the objective function becomes 0.5 and we do not need to check any more points in the region where The figure below shows the new region to explore.

.

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### of this point is 0.66. So the new lower bound of the objective function becomes 0.66

and we do not need to check any more points in the region where
. When
we try to find the feasible region where
we
do not
find any
and we

### Ellipsoid Algorithm

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### Linear

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### Facts :

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

and any
,

### Informally, in a geometric sense, for any two points x,y in a convex region C, all the points in the line joining x and y are also in C. For eg the set of all real numbers , is a convex set. One of the interesting properties of such sets is that the intersection of two convex sets is again a convex set. We will exploit this feature when discussing the geometric interpretation of Linear Programming.

http://www.stanford.edu/class/msande310/lecture07.pdf contains a worst case example of Simplex algorithm and also a discussion of the Ellipsoid algorithm. About these ads A set C is convex if for and any , Informally, in a geometric sense, for any two points x,y in a convex region C, all the points in the line joining x and y are also in C. For eg the set of all real numbers , is a convex set. One of the interesting properties of such sets is that the intersection of two convex sets is again a convex set . We will exploit this feature when discussing the geometric interpretation of Linear Programming. http://saravananthirumuruganathan.wordpress.com/2011/03/26/detailed-tutorial-on-linear-programming/ Page 14 of 26 " id="pdf-obj-13-79" src="pdf-obj-13-79.jpg">

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM
,
and

### A minimization linear programming instance looks like :

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### For the ease of visualization, let us take a Linear Programming instance with just 2

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

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### points which satisfy the inequality.

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### Approaches to solve Linear Programming

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

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### Each of the vertices of the feasible region are points that is the solution of the linear

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### As we discussed above, each of the vertices of the feasible region are points are the solution the linear system where $n$ constraints are changed to equalities. For eg, let

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### So we do not need to check any points with cost of below 0. The figure below shows

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### pick the vertex (0.5,0). So the new lower bound of the objective function becomes 0.5 and we do not need to check any more points in the region where The figure below shows the new region to explore.

.

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### of this point is 0.66. So the new lower bound of the objective function becomes 0.66

and we do not need to check any more points in the region where
. When
we try to find the feasible region where
we
do not
find any
and we

### Ellipsoid Algorithm

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### Linear

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM

### Facts :

Detailed Tutorial on Linear Programming | God, Your Book Is Great !!

12/17/13 4:30 PM