MATH 308 D100, Spring 2017

3. Geometric background of linear programming

(based on notes from Dr. J. Hales and Dr. L. Stacho)

Luis Goddyn

SFU Burnaby

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 1/1
Convex Sets

Definition (hyperplane, closed half-space)

Let 0 6= a Rn be a non-zero vector. The set of points x Rn satisfying an equation of
the form
a1 x1 + a2 x2 + + an xn = b
is called a hyperplane of Rn . The set of points x Rn satisfying an inequality

a1 x1 + a2 x2 + + an xn 6 b

or
a1 x1 + a2 x2 + + an xn > b
is called a closed half-space of Rn .
Alternative notation:
Pn Pn Pn
i=1 ai xi = b, i=1 ai xi 6 b, i=1 ai xi > b
a x = b, a x 6 b, a x > b (dot product of the vectors a, x)
a| x = b, a| x 6 b, a| x > b (matrix product)

a1 x1
. .
vectors can be viewed as an n 1 matrix a = .. , x = ..
an xn
f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010
d ep a r t m e nt of m a t he ma t i cs Course Schedule 2/1
Definition (line segment)
Let x = (x1 , x2 , . . . , xn ), y = (y1 , y2 , . . . , yn ) Rn . Then the set

xy = {tx + (1 t)y : 0 6 t 6 1}

is said to be the line segment between x and y inclusive.

Definition (convex set)

Let S be a subset of Rn . S is said to be convex if

xy S for any x, y S .

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 3/1
Theorem
Intersection of arbitrary collection of convex sets in Rn is convex.

Proof.

Theorem
Closed half-space of Rn is a convex set.

Proof.

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 4/1
Canonical Forms for Linear Programming Problems

Definition (Canonical Maximization LP Problem)

The problem

Maximize f (x1 , x2 , . . . , xn ) = c1 x1 + c2 x2 + . . . cn xn d
subject to
a11 x1 + a12 x2 + + a1n xn 6 b1
a21 x1 + a22 x2 + + a2n xn 6 b2
..
.
am1 x1 + am2 x2 + + amn xn 6 bm
x1 , x2 , . . . , xn > 0

is said to be a canonical maximization linear programming problem.

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 5/1
Definition (Canonical Minimization LP Problem)
The problem

Minimize f (x1 , x2 , . . . , xn ) = c1 x1 + c2 x2 + . . . cn xn d
subject to
a11 x1 + a12 x2 + + a1n xn > b1
a21 x1 + a22 x2 + + a2n xn > b2
..
.
am1 x1 + am2 x2 + + amn xn > bm
x1 , x2 , . . . , xn > 0

is said to be a canonical minimization linear programming problem.

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 6/1
Matrix Notation for Linear Programming Problems
A Rmn , c Rn , b Rm , d R

Definition (canonical maximization LP problem)

Maximize f (x) = c| x d subject to Ax 6 b, x > 0.

Definition (canonical minimization LP problem)

Minimize f (x) = c| x d subject to Ax > b, x > 0.

main constraints (first m constraints)

non-negativity constraints (second n constraints)

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 7/1
Definition (objective function)
The linear functions f in definitions above are said to be objective functions.

Definition (constraint set, feasible points)

The set of all points x Rn satisfying the m + n constraints of a canonical LP problem is
said to be constraint set or set of feasible points of the problem.

Definition
Any feasible solution of a canonical maximization (respectively minimization) LP problem
which maximizes (minimizes) the objective function is said to be an optimal solution.

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 8/1
Polyhedral Convex Sets

Definition (polyhedral convex set)

Intersection of finitely many closed half-spaces is called a polyhedral convex set.

Theorem
The constraint set of a canonical LP problem is a polyhedral convex set.

Example
Draw the constraint set corresponding to constraints

2x + 5y > 10
x 2y 6 8
x, y > 0

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 9/1
Definition (extreme point)
Let S Rn be a convex set. Point e S is said to be an extreme point of S if there do
not exist points x, y S and 0 < t < 1 such that

e = tx + (1 t)y .

Theorem
A point x = (x1 , x2 , . . . , xn ) Rn is an extreme point of a constraint set
n
X
aij xj 6 bi , (i = 1, 2, . . . , m) (1)
j=1

xj > 0, (j = 1, 2, . . . , n) (2)

if and only if it satisfies (1) and (2), and there exist index sets BM , BN such that
|BM | + |BN | = n and
n
X
aij xj = bi , (i BM )
j=1

xj = 0, (j BN )

f ac ul t y o f s c ie nc e MATH 895-4 Fall 2010

d ep a r t m e nt of m a t he ma t i cs Course Schedule 10 / 1