Revised Simplex Method
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1 DM545 Linear and Integer Programming Lecture 7 Marco Chiarandini Department of Mathematics & Computer Science University of Southern Denmark
2 Outline
3 Motivation Complexity of single pivot operation in standard simplex: entering variable O(n) leaving variable O(m) updating the tableau O(mn) Problems with this: Time: we are doing operations that are not actually needed Space: we need to store the whole tableau: O(mn) floating point numbers Most problems have sparse matrices (many zeros) sparse matrices are typically handled efficiently the standard simplex has the "Fill in"effect: sparse matrices are lost accumulation of Floating Point Errors over the iterations 3
4 Outline
5 Several ways to improve wrt pitfalls in the previous slide, requires matrix description of the simplex. max n j=1 c j x j n a ij x j b i i = 1..m j=1 x j 0 j = 1..n max c T x max{c T x Ax = b, x 0} Ax = b x 0 A R m (n+m) c R (n+m), b R m, x R n+m At each iteration the simplex moves from a basic feasible solution to another. For each basic feasible solution: = {1... m} basis N = {m m + n} A = [a 1... a m ] basis matrix A N = [a m+1... a m+n ] x N = 0 x 0 5
6 A N A 0 b c T N c T 1 0 Ax = A N x N + A x = b A x = b A N x N Theorem asic feasible solution A is non-singular x = A 1 b A 1A Nx N 6
7 for the objective function: z = c T x = c T x + c T N x N Substituting for x from above: z = c T (A 1 b A 1 A Nx N ) + c T N x N = = c T A 1 b + (ct N c T A 1 A N)x N Collecting together: x = A 1 b A 1 A Nx N z = c T A 1 b + (ct N ct A 1 A N)x N }{{} Ā In tableau form, for a basic feasible solution corresponding to we have: A 1 A N I 0 A 1 b We do not need to compute all elements of Ā c T N ct A 1 A N 0 1 c T A 1 b
8 c T = [ ] c T N = [ 0 0 ] 8 Example max x 1 + x 2 x 1 + x 2 1 x 1 3 x 2 2 x 1, x 2 0 Initial tableau x1 x2 x3 x4 x5 z b max x 1 + x 2 x 1 + x 2 + x 3 = 1 x 1 + x 4 = 3 x 2 + x 5 = 2 x 1, x 2, x 3, x 4, x 5 0 After two iterations x1 x2 x3 x4 x5 z b asic variables x 1, x 2, x 4. Non basic: x 3, x 5. From the initial tableau: x 1 [ ] A = A N = 0 0 x = x 2 x3 x N = x x 5 4
9 Entering variable: in std. we look at tableau, in revised we need to compute: c T N ct A 1 A N 1. find y T = c T A 1 more efficiently) 2. calculate c T N yt A N (by solving yt A = c T, the latter can be done 9
10 Step 1: [ y1 y 2 ] y = [ ] [ ] = Step 2: [ ] [ ] = [ 1 2 ] 0 1 y T A = c T c T A 1 = yt c T N y T A N (Note that they can be computed individually: c j y T a j > 0) Let s take the first we encounter x 3 10
11 Leaving variable we increase variable by largest feasible amount θ R1: x 1 x 3 + x 5 = 1 x 1 = 1 + x 3 0 R2: x 2 + 0x 3 + x 5 = 2 x 2 = 2 0 R3: x 3 + x 4 x 5 = 2 x 4 = 2 x 3 0 x = x A 1 A Nx N x = x dθ column 3. Find θ such that x stays positive: Find d = A 1 a (by solving A d = a) d 1 d 2 d 3 d is the column of A 1 A N that corresponds to the entering variable, ie, d = A 1 a where a is the entering Step 3: = = d = 0 = x = 2 0 θ θ 0 = θ 2 x 4 leaves
12 So far we have done computations, but now we save the pivoting update. The update of A is done by replacing the leaving column by the entering column x 1 d 1 θ x = x 2 d 2 θ = 2 A = θ Many implementations depending on how y T A = c T and A d = a are solved. They are in fact solved from scratch. many operations saved especially if many variables! special ways to call the matrix A from memory better control over numerical issues since A 1 can be recomputed. 12
13 Outline
14 Solving the two Systems of Equations A x = b solved without computing A 1 (costly and likely to introduce numerical inaccuracy) Recall how the inverse is computed: For a 2 2 matrix [ ] a b A = c d For a 3 3 matrix a 11 a 12 a 13 A = a 21 a 22 a 23 a 31 a 32 a 33 the matrix inverse is A 1 = 1 [ ] T [ ] d c 1 d b = A b a ad bc c a the matrix inverse is + a22 a23 a 32 a 33 a 21 a 23 a 31 a 33 + a 21 a 22 a 31 a 32 A 1 = 1 A a12 a13 a 32 a 33 + a 11 a 13 a 31 a 33 a 11 a 12 a 31 a 32 + a12 a13 a 22 a 23 a 11 a 13 a 21 a 23 + a 11 a 12 a 21 a 22 T 14
15 Eta Factorization of the asis Let A =, kth iteration k be the matrix with col p differing from k 1 Column p is the a column appearing in k 1 d = a solved at 3) Hence: k = k 1 E k E k is the eta matrix differing from id. matrix in only one column = No matter how we solve y T k 1 = c T and k 1d = a, their update always relays on k = k 1 E k with E k available. Plus when initial basis by slack variable 0 = I and 1 = E 1, 2 = E 1 E 2 : k = E 1 E 2... E k ((((y T E 1)E 2)E 3) )E k = c T, eta factorization u T E 4 = c T, v T E 3 = u T, w T E 2 = v T, y T E 1 = w T (E 1(E 2 E k d)) = a, E 1u = a, E 2v = u, E 3w = v, E 4d = w 15
16 LU factorization Worth to consider also the case of 0 I : k = 0 E 1 E 2... E k eta factorization ((((y T 0 )E 1 )E 2 ) )E k = c T ( 0 (E 1 E k d)) = a We need an LU factorization of 0 16
17 LU Factorization To solve the system Ax = b by Gaussian Elimination we put the A matrix in row echelon form by means of elemntary row operations. Each row operation corresponds to multiply left and right side by a lower triangular matrix L and a permuation matrix P. Hence, the method: thus Ax = b L 1 P 1 Ax = L 1 P 1 b L 2 P 2 L 1 P 1 Ax = L 2 P 2 L 1 P 1 b. L m P m... L 2 P 2 L 1 P 1 Ax = L m P m... L 2 P 2 L 1 P 1 b U = L m P m... L 2 P 2 L 1 P 1 A triangular factorization of A where U is an upper triangular matrix whose entries in the diagonal are ones. (if A is nonsingular such triangularization is unique) [see numerical example in Va sc 8.1] 17
18 We can compute the triangular factorization of 0 before the initial iterations of the simplex: L m P m... L 2 P 2 L 1 P 1 0 = U We can then rewrite U as U = U m U m 1..., U 1 Hence, for k = 0 E 1 E 2... E k : L m P m... L 2 P 2 L 1 P 1 k = U m U m 1... U 1 E 1 E 2 E k Then y T k = c T can be solved by first solving: ((((y T U m )U m 1 ) )E k = c T and then replacing y T by ((y T L m P m ) )L 1 P 1 k = (L m P m L 1 P 1 ) 1 U m E }{{}}{{ k } L U yl 1 U = c wu = c w = yl 1 = y = Lw
19 Solving y T k = c T also called backward transformation (TRAN) Solving k d = a also called forward transformation (FTRAN) E i matrices can be stored by only storing the column and the position If sparse columns then can be stored in compact mode, ie only nonzero values and their indices Same for the triangular eta matrices L j, U j while for P j just two indices are needed 19
20 More on LP Tableau method is unstable: computational errors may accumulate. Revised method has a natural control mechanism: we can recompute at any time A 1 Commercial and freeware solvers differ from the way the systems y T = c T A 1 and A d = a are resolved 21
21 Efficient Implementations Dual simplex with steepest descent Linear Algebra: Dynamic LU-factorization using Markowitz threshold pivoting (Suhl and Suhl, 1990) sparse linear systems: Typically these systems take as input a vector with a very small number of nonzero entries and output a vector with only a few additional nonzeros. Presolve, ie problem reductions: removal of redundant constraints, fixed variables, and other extraneous model elements. dealing with degeneracy, stalling (long sequences of degenerate pivots), and cycling: bound-shifting (Paula Harris, 1974) Hybrid Pricing (variable selection): start with partial pricing, then switch to devex (approximate steepest-edge, Harris, 1974) A model that might have taken a year to solve 10 years ago can now solve in less than 30 seconds (ixby, 2002). 22
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