IE 5531: Engineering Optimization I

Transcription

1 IE 5531: Engineering Optimization I Lecture 3: Linear Programming, Continued Prof. John Gunnar Carlsson September 15, 2010 Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

2 Pop quiz Write the region above in the form Ax b. For points A, B, and C, give a vector c such that c T x is minimized at that point (or explain why none exists) Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

3 Administrivia Lecture slides 1, 2, 3 posted PS 1 posted this evening Xi Chen's oce hours: Tuesdays 10:00-12:00, ME 1124, Table B Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

4 Today: Linear Programming, continued Linearization Mathematical preliminaries Simplex method Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

5 Recap A linear program (LP) is a mathematical optimization problem in which the objective function and all constraint functions are linear: minimize 2x 1 x 2 +4x 3 s.t. x 1 + x 2 + x 4 2 3x 2 x 3 = 5 x 3 + x 4 3 x 1 0 x 3 0 Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

6 2-dimensional LPs If x R 2, it is easy to solve a linear program Consider the problem minimize x 1 x 2 s.t. x 1 + 2x 2 3 2x 1 + x 2 3 x 1, x 2 0 How do we solve this? Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

7 The graphical method Draw half-spaces corresponding to the constraints: Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

8 The graphical method Draw half-spaces corresponding to the constraints: Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

9 The graphical method Draw half-spaces corresponding to the constraints: Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

10 The graphical method Draw half-spaces corresponding to the constraints: Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

11 The graphical method Draw level sets of the objective function (they're lines orthogonal to c) Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

12 Active constraints We say a constraint a T x b is active at a point x if we have a T x = b In the previous example we had two active constraints: x 1 + 2x 2 = 3 and 2x 1 + x 2 = 3, while x 1, x 2 > 0 Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

13 Facts about LP All LP problems fall into one of three classes: Problem is infeasible: the feasible region is empty Problem is unbounded: the feasible region is unbounded in the objective function direction Problem is feasible and bounded: There exists an optimal solution x There may be a unique optimal solution or multiple optimal solutions All optimal solutions are on a face of the feasible region There is always at least one corner optimizer if the face has a corner If a corner point is not worse than its neighboring corners, then it is optimal Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

14 Linearizing a problem LP can also be used to model certain non-linear problems A convex function is a function f ( ) : R n R satisfying f (λx + (1 λ) y) λf (x) + (1 λ) f (y) for all x, y R n and λ [0, 1] (bowl-shaped) A concave function is a function f ( ) : R n R satisfying f (λx + (1 λ) y) λf (x) + (1 λ) f (y) for all x, y R n and λ [0, 1] (hill-shaped) We claim that any piecewise linear convex function can be minimized by solving an LP Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

15 Linearizing a problem Consider the function f ( ) dened by { f (x) = max i=1,...,m c T i x + d i } It is easy to prove that this function is convex We can solve the problem minimize f (x) s.t. Ax b by solving an LP Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

16 Linearizing a problem The LP is minimize z s.t. z c T i Ax b x + d i i {1,..., m} Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

17 Absolute values Problems involving absolute values can be handled as well; consider minimize n i=1 c i x i s.t. Ax b Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

18 Absolute values The LP is minimize n i=1 c i z i s.t. z i x i i {1,..., n} z i x i i {1,..., n} Ax b Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

19 Data tting Consider the unconstrained problem of minimizing the largest residual minimize max b i a T i x i i where a i and b i are given, for i {1,..., m} Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

20 Data tting Consider the unconstrained problem of minimizing the largest residual minimize max b i a T i x i i where a i and b i are given, for i {1,..., m} The LP is minimize z s.t. z b i a T i x i ) z (b i a Ti x i Note that we can impose additional linear constraints on x, say C x d We could even impose something like n i=1 x i q! Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

21 Polyhedra Denition A polyhedron is a set that can be described in the form {x R n : Ax b} where A is an m n matrix and b R n. By the equivalence of linear programs, we know that a set of the form is also a polyhedron {x R n : Ax = b, x 0} Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

22 Boundedness Denition A set S R n is bounded if there exists a constant K such that S is contained in a ball of radius K. Note: a linear program can be bounded, but have an unbounded feasible set! However, if a linear program has a bounded feasible set, it must be bounded Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

23 Hyperplanes and half spaces Let a R n be nonzero and let b be a scalar. Denition The set { x : a T x = b} is called a hyperplane. Denition The set { x : a T x b} is called a half-space. Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

24 Convex sets Denition A set S R n is convex if, for any x, y S and any λ [0, 1], we have λx + (1 λ) y S. Intuitively, this means that the line segment between two points in the set must also lie in the set Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

25 Facts about convex sets The intersection of convex sets is convex Every polyhedron is convex The sub-level set of a convex function is convex (converse?) Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

26 Linear independence We say a set of vectors x 1,... x k is linearly dependent if there exist real numbers a 1,..., a k, not all of which are zero, such that a 1 x a k x k = 0 If no such real numbers exist, we say that x 1,..., x k is linearly independent If x 1,..., xn R n are linearly independent, then the matrix (x 1,..., xn) is invertible Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

27 Real functions Weierstrass theorem: a continuous function f (x) dened on a compact (closed and bounded) region S R n has a minimizer in S. Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

28 Gradient The gradient of a function f (x) : R n R, is the vector f dened by f / x 1 f =. f / x n The gradient vector always points in the direction that the function is increasing the fastest The gradient of a linear function c T x is c Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

29 Extreme points Denition Let P be a polyhedron. A point x P is said to be an extreme point of P if we cannot nd two vectors y, z P, both dierent from x, and a scalar λ [0, 1], such that x = λy + (1 λ) z In other words, x does not lie on the line segment between two other points in P Denition Let P be a polyhedron. A point x P is said to be a vertex of P if there exists some c such that c T x < c T y for all y P not equal to x. The vector c is said to dene a supporting hyperplane to P at x. Vertices and extreme points are the same thing! Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

30 Algorithmic interpretation of extreme points We gave two geometric interpretations of vertices/extreme points However, this does not suggest how a computer might nd an extreme point How can a computer recognize a vertex? How can we make a computer tell that two corners are neighboring? How can we make a computer terminate and declare optimality? How can we recognize vertices/extreme points directly from the polyhedron {x : Ax = b, x 0}? Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

31 Basic feasible solution Consider a polyhedron dened by {x : Ax = b, x 0} where A is an m n matrix and b R n. What describes the extreme points? Select m linearly independent columns, denoted by the indices B, from A, and solve A B x B = b Then, set all other variables x N to 0 If all entries x B 0, then x is called a basic feasible solution (BFS) A basic feasible solution is the same thing as a corner or extreme point this is an algebraic description, rather than a geometric description Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

32 Example Consider the polyhedron {x : Ax = b, x 0}, where ( ) ( ) A = ; b = If we take B = {1, 2}, then we solve ( ) x B = ( and nd that x B = (1; 2). Thus the BFS is x = (1; 2; 0; 0) However, if we take B = {2, 3}, then we solve ( ) ( ) x B = 16 and nd that x B = (3.42, 0.5), which is not a BFS ) Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

33 Example We can enumerate all of the vertices of the polyhedron {x : Ax = b, x 0}, where A = by choosing all subsets B ( ) ( 17 ; b = 16 ) B {1, 2} {1, 3} {1, 4} {2, 3} {2, 4} {3, 4} xb (1; 2) (2.41; 0.70) (2.8; 0.6) (3.42; 0.5) (3.11; 0.33) (5.09; 3.73) BFS? Y Y Y N N N Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

34 The simplex method One way to solve a linear program is clearly to write out all of the BFS's, although that would clearly be slow A better strategy is to start at a BFS, and move to a better neighboring BFS if one is available If no neighboring BFS exists, we're done! How to identify a neighboring BFS? Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

35 Neighboring basic solutions Two basic solutions are neighboring or adjacent if they dier by exactly one basic (or nonbasic) variable A basic feasible solution is optimal if no better neighboring feasible solution exists How to check if this is true? Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

36 Optimality test Consider the BFS (0, 0, 1, 1, 1.5); is this optimal for the problem minimize x 1 2x 2 s.t. x 1 +x 3 = 1 x 2 + x 4 = 1 x 1 + x 2 +x 5 = 1.5 x 1,x 2, x 3,x 4, x 5 0 Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

37 Optimality test Consider the BFS (0, 0, 1, 1, 1.5); is this optimal for the problem minimize x 1 2x 2 s.t. x 1 +x 3 = 1 x 2 + x 4 = 1 x 1 + x 2 +x 5 = 1.5 x 1,x 2, x 3,x 4, x 5 0 No, it isn't; the basic set is {3, 4, 5}; if we increase x 1 while decreasing x 3 and x 5, the objective function decreases Thus, a better basic set has 1 in it, and we should remove 3 or 5 (don't know which one yet) Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

38 Optimality test Consider the BFS (0, 0, 1, 1, 1.5); is this optimal for the problem minimize x 1 + 2x 2 s.t. x 1 +x 3 = 1 x 2 + x 4 = 1 x 1 + x 2 +x 5 = 1.5 x 1,x 2, x 3,x 4, x 5 0 Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

39 Optimality test Consider the BFS (0, 0, 1, 1, 1.5); is this optimal for the problem minimize x 1 + 2x 2 s.t. x 1 +x 3 = 1 x 2 + x 4 = 1 x 1 + x 2 +x 5 = 1.5 x 1,x 2, x 3,x 4, x 5 0 Yes, it is; our basic set is {3, 4, 5} and the objective function is 0. If we exchange any indices, the objective function becomes positive. Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

40 LP canonical form A standard-form LP is said to be in canonical form at a basic feasible solution if the objective coecients to all the basic variables are zero the constraint matrix for the basic variables form an identity matrix (with some permutation if necessary) If the LP is in canonical form, then it's easy to tell if the current BFS is optimal Can we always transform an LP problem to an equivalent LP in canonical form? Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

41 Transforming to canonical form Consider the constraint Ax = b and suppose that ( A = (A 1, A 2 ) and x = y z ) It is therefore the case that Ax = A 1 y + A 2 z = b Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

42 Transforming to canonical form If we let y = x B and z = x N, then we nd that A B x B + A N x N = b A B x B = b A N x N x B = A 1 B (ignore the fact that x N = 0 for now) The objective function is b A 1 B A N x N c T (x B; x N) = c T B x B + c T N x N = c T B (A 1 B = c T B A 1 B = c T B A 1 b A 1 B b ct B A 1 B B b + ( A N x N ) + c T N x N A N x N + c T N x N c T N ct B A 1 B A N ) x N Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

43 An equivalent LP We can ignore the constant term c T B A 1 b which doesn't contribute to B the optimization The alternative LP is minimize r T x s.t. Āx = b x 0 where r B = 0, r N = c N A T N ) (A 1 T B c B, Ā = A 1 A, b = A 1 B B b Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

44 Optimality testing Note that c Ā T c B = c ( ) A T A 1 T B c B = c (A B, A N ) ( T A 1 ( ) A T B ( A 1 B = c ( = c = = ( ( c B c N A T N ) A T B (A 1 T B A T N (A 1 B ) c N A T N ( 0 A T N (A 1 B ) T B c B ) T c B ) T ) c B c B ) T c B (A 1 B ) T c B ) = r ) Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

45 Optimality test The vector r = c Ā T c B = c ( ) A T A 1 T B c B is called a reduced cost coecient vector We often write y = ( ) A 1 T B c B so that r = c A T y Note that if r N 0 (equivalently r 0) at a BFS with basic variable set B, then the BFS is an optimal basic solution and A B is an optimal basis Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

46 Example Consider the example minimize x 1 + 2x 2 +3x 3 x 4 s.t. x 1 +x 3 = 1 x 2 + x 4 = 1 x 1 + x 2 +x 5 = 1.5 x 1,x 2, x 3,x 4, x 5 0 We set B = {1, 2, 3} so that x = (0.5, 1, 0.5, 0, 0) as A B = ; A 1 = B and therefore r N = c N A T N optimal ( ) (A 1 T 6 B c B = 3 ) ; this is not Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

47 Simplex tableau While performing the simplex algorithm, we maintain a simplex tableau that organizes the intermediate canonical form data: B r T c T B b basis indices Ā b What does the upper-right corner represent? Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

48 Simplex tableau While performing the simplex algorithm, we maintain a simplex tableau that organizes the intermediate canonical form data: B r T c T B b basis indices Ā b What does the upper-right corner represent? Since b = A 1 b, B ct B b = c T B A 1 B b = ct B x B, the negative objective function value Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

49 Simplex tableau example The problem minimize x 1 2x 2 s.t. x 1 +x 3 = 1 x 2 + x 4 = 1 x 1 + x 2 +x 5 = 1.5 x 1,x 2, x 3,x 4, x 5 0 has the following tableau for B = {3, 4, 5}: B Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

50 Finding a better neighbor point If one of the indices of r is negative, our basic set is not optimal We make an eort to nd a better neighboring basic solution (that diers by the current basic solution by exactly one basic variable), as long as the reduced cost coecient of the entering variable is negative Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

51 Changing basis With B = {3, 4, 5}, B Try inserting variable x 1 into the basic set; the constraint says x1 + 1 x2 + 0 x3 + 1 x4 + 0 x5 = }{{} i.e. 0 x 3 x 4 x 5 = x Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

52 Minimum ratio test The question is: how much can we increase x 1 while the current basic variable remain feasible (non-negative)? This is easy to gure out with the minimum ratio test (MRT): 1 Select the entering variable x e with reduced cost r e < 0 2 If Ā e 0 then the problem is unbounded 3 The MRT: What does θ represent? θ = min { bi Ā ie : Ā ie > 0 } Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

53 Minimum ratio test θ represents the largest amount that x e can be increased before one (or more) of the current basic variables x i becomes zero (and leaves the feasible set) Suppose that the minimum ratio is attained by one unique basic variable index o. Then x e is the entering basic variable and x o is the out-going basic variable: x o = b o ā oe θ = 0 x i = b i ā ie θ > 0 i 0 Thus the new basic set contains x e and drops x o Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

54 Tie breaking If the MRT does not give a single index, but instead a set of one or more, we choose one of these arbitrarily We say that the new basic feasible solution is degenerate because some of the basic variables x B just happen to be 0 We'll deal with this later; for now, we can just pretend that the degeneracies are actually ɛ > 0 and continue Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

55 The simplex algorithm Initialize the simplex algorithm with a feasible basic set B, so that x B 0. Let N be the remaining indices. Write the simplex tableau. 1 Test for termination. Find r e = min {r j } j N If r e 0, the solution is optimal. Otherwise, determine whether the column of Ā e contains a positive entry. If not, the objective function is unbounded below. Otherwise, let x e be the entering basic variable 2 Determine the outgoing variable. Use the MRT to determine the outgoing variable x o. 3 Update the basic set. Update B and A B and transform the problem to canonical form. Return to step 1. Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49

56 Expanded simplex tableau B basis indices ) T c B c T B A 1 B b A 1 B A A 1 B b c A T ( A 1 B Prof. John Gunnar Carlsson IE 5531: Engineering Optimization I September 15, / 49