Introduction to Mathematical Programming IE406. Lecture 10. Dr. Ted Ralphs

Similar documents
Linear and Combinatorial Optimization

Example Problem. Linear Program (standard form) CSCI5654 (Linear Programming, Fall 2013) Lecture-7. Duality

Lecture 10: Linear programming duality and sensitivity 0-0

Lecture 10: Linear programming. duality. and. The dual of the LP in standard form. maximize w = b T y (D) subject to A T y c, minimize z = c T x (P)

4.6 Linear Programming duality

IE 5531: Engineering Optimization I

Part 1. The Review of Linear Programming

Linear Programming Duality

Farkas Lemma, Dual Simplex and Sensitivity Analysis

Review Solutions, Exam 2, Operations Research

Note 3: LP Duality. If the primal problem (P) in the canonical form is min Z = n (1) then the dual problem (D) in the canonical form is max W = m (2)

Linear Programming Inverse Projection Theory Chapter 3

Sensitivity Analysis and Duality in LP

CSCI5654 (Linear Programming, Fall 2013) Lecture-8. Lecture 8 Slide# 1

LP Duality: outline. Duality theory for Linear Programming. alternatives. optimization I Idea: polyhedra

14. Duality. ˆ Upper and lower bounds. ˆ General duality. ˆ Constraint qualifications. ˆ Counterexample. ˆ Complementary slackness.

Optimisation and Operations Research

Discrete Optimization

Lecture #21. c T x Ax b. maximize subject to

Lecture 5. x 1,x 2,x 3 0 (1)

Introduction to Mathematical Programming IE406. Lecture 13. Dr. Ted Ralphs

Linear Programming Duality P&S Chapter 3 Last Revised Nov 1, 2004

EE364a Review Session 5

Duality Theory, Optimality Conditions

How to Take the Dual of a Linear Program

Introduction to Operations Research Prof. G. Srinivasan Department of Management Studies Indian Institute of Technology, Madras

Understanding the Simplex algorithm. Standard Optimization Problems.

Slack Variable. Max Z= 3x 1 + 4x 2 + 5X 3. Subject to: X 1 + X 2 + X x 1 + 4x 2 + X X 1 + X 2 + 4X 3 10 X 1 0, X 2 0, X 3 0

In the original knapsack problem, the value of the contents of the knapsack is maximized subject to a single capacity constraint, for example weight.

Week 3 Linear programming duality

Sensitivity Analysis and Duality

Chap6 Duality Theory and Sensitivity Analysis

Introduction to Mathematical Programming

Chapter 1 Linear Programming. Paragraph 5 Duality

Optimization for Communications and Networks. Poompat Saengudomlert. Session 4 Duality and Lagrange Multipliers

Chapter 3, Operations Research (OR)

The Simplex Algorithm

Part IB Optimisation

Convex Optimization & Lagrange Duality

Lecture 18: Optimization Programming

Extreme Abridgment of Boyd and Vandenberghe s Convex Optimization

March 13, Duality 3

Lecture 11: Post-Optimal Analysis. September 23, 2009

Lecture 7 Duality II

II. Analysis of Linear Programming Solutions

Algorithms and Theory of Computation. Lecture 13: Linear Programming (2)

F 1 F 2 Daily Requirement Cost N N N

Algorithmic Game Theory and Applications. Lecture 7: The LP Duality Theorem

MVE165/MMG631 Linear and integer optimization with applications Lecture 5 Linear programming duality and sensitivity analysis

Conic Linear Optimization and its Dual. yyye

The Primal-Dual Algorithm P&S Chapter 5 Last Revised October 30, 2006

I.3. LMI DUALITY. Didier HENRION EECI Graduate School on Control Supélec - Spring 2010

1 Review Session. 1.1 Lecture 2

3. Duality: What is duality? Why does it matter? Sensitivity through duality.

Convex Optimization and Support Vector Machine

1. Algebraic and geometric treatments Consider an LP problem in the standard form. x 0. Solutions to the system of linear equations

Convex Optimization M2

5. Duality. Lagrangian

Duality of LPs and Applications

Convex Optimization and SVM

MATH 373 Section A1. Final Exam. Dr. J. Bowman 17 December :00 17:00

Today: Linear Programming (con t.)

Summary of the simplex method

4. The Dual Simplex Method

Midterm Review. Yinyu Ye Department of Management Science and Engineering Stanford University Stanford, CA 94305, U.S.A.

LINEAR PROGRAMMING II

Motivation. Lecture 2 Topics from Optimization and Duality. network utility maximization (NUM) problem:

(P ) Minimize 4x 1 + 6x 2 + 5x 3 s.t. 2x 1 3x 3 3 3x 2 2x 3 6

Lecture: Duality.

END3033 Operations Research I Sensitivity Analysis & Duality. to accompany Operations Research: Applications and Algorithms Fatih Cavdur

On the Method of Lagrange Multipliers

Lagrangian Duality Theory

12. Interior-point methods

Lecture: Duality of LP, SOCP and SDP

Lectures 6, 7 and part of 8

A Review of Linear Programming

6.854J / J Advanced Algorithms Fall 2008

Homework Set #6 - Solutions

4. Duality and Sensitivity

Optimization (168) Lecture 7-8-9

4. Algebra and Duality

CO 250 Final Exam Guide

Agenda. 1 Duality for LP. 2 Theorem of alternatives. 3 Conic Duality. 4 Dual cones. 5 Geometric view of cone programs. 6 Conic duality theorem

Topic: Primal-Dual Algorithms Date: We finished our discussion of randomized rounding and began talking about LP Duality.

Linear Programming: Chapter 5 Duality

Convex Optimization Boyd & Vandenberghe. 5. Duality

Applications of Linear Programming

"SYMMETRIC" PRIMAL-DUAL PAIR

Convex Optimization and Modeling

Section Notes 9. IP: Cutting Planes. Applied Math 121. Week of April 12, 2010

3.10 Lagrangian relaxation

BBM402-Lecture 20: LP Duality

IE 5531 Midterm #2 Solutions

ECE 307- Techniques for Engineering Decisions

Lecture 3: Lagrangian duality and algorithms for the Lagrangian dual problem

The simplex algorithm

Lagrange duality. The Lagrangian. We consider an optimization program of the form

Support Vector Machines: Maximum Margin Classifiers

CS711008Z Algorithm Design and Analysis

Generalization to inequality constrained problem. Maximize

Transcription:

Introduction to Mathematical Programming IE406 Lecture 10 Dr. Ted Ralphs

IE406 Lecture 10 1 Reading for This Lecture Bertsimas 4.1-4.3

IE406 Lecture 10 2 Duality Theory: Motivation Consider the following minimization problem min x 2 + y 2 s.t. x + y = 1 How could we solve this problem? Idea: Consider the function L(x, y, p) = x 2 + y 2 + p(1 x y) What can we do with this?

IE406 Lecture 10 3 Lagrange Multipliers The idea is not to strictly enforce the constraints. We associate a Lagrange multiplier, or price, with each constraint. Then we allow the constraint to be violated for a price. Consider an LP in standard form. Using Lagrange multipliers, we can formulate an alternative LP: min c x + p (b Ax) s.t. x 0 How does the optimal solution of this compare to the original optimum?

IE406 Lecture 10 4 Lagrange Multipliers Because we haven t changed the cost of feasible solutions to the original problem, this new problem gives a lower bound. g(p) = min x 0 [ c x + p (b Ax) ] c x + p (b Ax ) = c x Since each value of p gives a lower bound, we consider maximizing g(p). Think of this as finding the best lower bound. This is known as the dual problem.

IE406 Lecture 10 5 Simplifying In linear programming, we can obtain an explicit form for the dual. g(p) = min x 0 [ c x + p (b Ax) ] = p b + min x 0 (c p A)x Note that min x 0 (c p A)x = { 0, if c p A 0,, otherwise, Hence, we can show that the dual is equivalent to max p b s.t. p A c

IE406 Lecture 10 6 Inequality Form Suppose our feasible region is P = {x R n Ax b, x 0}. We can add slack variables and convert to standard form with constraints [ ] x [A I] = b s This leads to dual constraints p [A I] [ c 0 ] Hence, we get the dual max p b s.t. p A c p 0

IE406 Lecture 10 7 From the Primal to the Dual We can dualize general LPs as follows PRIMAL minimize maximize DUAL b i 0 constraints b i 0 variables = b i free 0 c j variables 0 c j constraints free = c j

IE406 Lecture 10 8 Properties of the Dual All equivalent forms of the primal give equivalent forms of the dual. The dual of the dual is the primal. Weak Duality: If x is a feasible solution to the primal and p is a feasible solution to the dual, then p b c x Corollaries: If the optimal cost of the primal is, then the dual is infeasible. If the optimal cost of the dual is +, then the primal is infeasible. If x is a feasible primal solution and p is a feasible dual solution such that c x = p b, then both x and p are optimal.

IE406 Lecture 10 9 Relationship of the Primal and the Dual The following are the possible relationships between the primal and the dual: Finite Optimum Unbounded Infeasible Finite Optimum Possible Impossible Impossible Unbounded Impossible Impossible Possible Infeasible Impossible Possible Possible

IE406 Lecture 10 10 Strong Duality Proposition 1. (Strong Duality) If a linear programming problem has an optimal solution, so does its dual, and the respective optimal costs are equal. Proof:

IE406 Lecture 10 11 More About the Dual When we interpret the quantity c B B 1 as the vector of dual prices, the reduced costs are then the slack in the constraints of the dual. The condition that all the reduced costs be nonnegative is then equivalent to dual feasibility. Hence, the simplex algorithm can be interpreted as maintaining primal feasibility while trying to achieve dual feasibility. We will shortly see an alternative algorithm which maintains dual feasibility while trying to achieve primal feasibility.

IE406 Lecture 10 12 Complementary Slackness Proposition 2. If x and p are feasible primal and dual solutions to a general linear program with constraint matrix A R m n and right-hand side vector b R m, then x and p are optimal if and only if p (Ax b) = 0, (c p A)x = 0. Proof:

IE406 Lecture 10 13 Optimality Without Simplex Let s consider an LP in standard form. We have now shown that the optimality conditions for (nondegenerate) x are 1. Ax = b (primal feasibility) 2. x 0 (primal feasibility) 3. x i = 0 if p a i c i (complementary slackness) 4. p A c (dual feasibility) In standard form, the complementary slackness condition is simply x c = 0. This condition is always satisfied during the simplex algorithm, since the reduced costs of the basic variables are zero.