L20 Simplex Method

Chapter 10: Iterative Improvement Simplex Method The Design and Analysis of Algorithms

Iterative Improvement Introduction Linear Programming The Simplex Method Standard Form of LP Problem Basic Feasible Solutions Outline of the Simplex Method Example Notes on the Simplex Method Improvements

Introduction Algorithm design technique for solving optimization problems Start with a feasible solution Repeat the following step until no improvement can be found: change the current feasible solution to a feasible solution with a better value of the objective function Return the last feasible solution as optimal

Introduction Note: Typically, a change in a current solution is “small” ( local search ) Major difficulty: Local optimum vs. global optimum

Important Examples Simplex method Ford-Fulkerson algorithm for maximum flow problem Maximum matching of graph vertices Gale-Shapley algorithm for the stable marriage problem

Linear Programming Linear programming (LP) problem is to optimize a linear function of several variables subject to linear constraints: maximize (or minimize) c 1 x 1 + ...+ c n x n subject to a i1 x 1 + ...+ a in x n ≤ (or ≥ or =) b i , i = 1,..., m , x 1 ≥ 0 , ... , x n ≥ 0 The function z = c 1 x 1 + ...+ c n x n is called the objective function ; constraints x 1 ≥ 0 , ... , x n ≥ 0 are called non-negativity constraints

Example maximize 3x + 5y subject to x + y ≤ 4 x + 3y ≤ 6 x ≥ 0, y ≥ 0 Feasible region is the set of points defined by the constraints

Geometric solution maximize 3x + 5y subject to x + y ≤ 4 x + 3y ≤ 6 x ≥ 0, y ≥ 0 Extreme Point Theorem Any LP problem with a nonempty bounded feasible region has an optimal solution; moreover, an optimal solution can always be found at an extreme point of the problem's feasible region.

Possible outcomes in solving an LP problem has a finite optimal solution , which may not be unique unbounded : the objective function of maximization (minimization) LP problem is unbounded from above (below) on its feasible region infeasible : there are no points satisfying all the constraints, i.e. the constraints are contradictory

The Simplex Method Simplex method is the classic method for solving LP problems, one of the most important algorithms ever invented Invented by George Dantzig in 1947 (Stanford University) Based on the iterative improvement idea: Generates a sequence of adjacent points of the problem’s feasible region with improving values of the objective function until no further improvement is possible

Standard form of LP problem must be a maximization problem all constraints (except the non-negativity constraints) must be in the form of linear equations all the variables must be required to be nonnegative Thus, the general linear programming problem in standard form with m constraints and n unknowns ( n ≥ m ) is maximize c 1 x 1 + ...+ c n x n subject to a i1 x 1 + ...+ a in x n = b i , , i = 1,..., m , x 1 ≥ 0 , ... , x n ≥ 0 Every LP problem can be represented in such form

Example maximize 3 x + 5 y maximize 3 x + 5 y + 0 u + 0 v subject to subject to x + y ≤ 4 x + y + u = 4 x + 3 y ≤ 6 x + 3 y + v = 6 x ≥0, y ≥0 x ≥0, y ≥0, u ≥0, v ≥0 Variables u and v , transforming inequality constraints into equality constrains, are called slack variables

Basic feasible solutions A basic solution to a system of m linear equations in n unknowns ( n ≥ m ) is obtained by setting n – m variables to 0 and solving the resulting system to get the values of the other m variables. The variables set to 0 are called nonbasic ; the variables obtained by solving the system are called basic . A basic solution is called feasible if all its (basic) variables are nonnegative. Example x + y + u = 4 x + 3 y + v = 6 (0, 0, 4, 6) is basic feasible solution ( x , y are nonbasic; u , v are basic)

Simplex Tableau maximize z = 3 x + 5 y + 0 u + 0 v subject to x + y + u = 4 x + 3 y + v = 6 x ≥0, y ≥0, u ≥0, v ≥0

Outline of the Simplex Method Step 0 [Initialization] Present a given LP problem in standard form and set up initial tableau. Step 1 [Optimality test] If all entries in the objective row are nonnegative — stop: the tableau represents an optimal solution. Step 2 [Find entering variable] Select (the most) negative entry in the objective row. Mark its column to indicate the entering variable and the pivot column.

Outline of the Simplex Method Step 3 [Find departing variable] For each positive entry in the pivot column, calculate the θ -ratio by dividing that row's entry in the rightmost column by its entry in the pivot column. (If there are no positive entries in the pivot column — stop: the problem is unbounded.) Find the row with the smallest θ -ratio, mark this row to indicate the departing variable and the pivot row. Step 4 [Form the next tableau] Divide all the entries in the pivot row by its entry in the pivot column. Subtract from each of the other rows, including the objective row, the new pivot row multiplied by the entry in the pivot column of the row in question. Replace the label of the pivot row by the variable's name of the pivot column and go back to Step 1.

Example of Simplex Method maximize z = 3 x + 5 y + 0 u + 0 v subject to x + y + u = 4 x + 3 y + v = 6 x ≥0, y ≥0, u ≥0, v ≥0 basic feasible sol. (0, 0, 4, 6) z = 0 basic feasible sol. (0, 2, 2, 0) z = 10 basic feasible sol. (3, 1, 0, 0) z = 14

Notes on the Simplex Method Finding an initial basic feasible solution may pose a problem Theoretical possibility of cycling Typical number of iterations is between m and 3 m , where m is the number of equality constraints in the standard form. Number of operations per iteration: O(nm) Worse-case efficiency is exponential

Improvements L. G. Khachian introduced an ellipsoid method (1979) that seemed to overcome some of the simplex method's limitations. O(n 6 ). Disadvantage – runs with the same complexity on all problems Narendra K. Karmarkar of AT&T Bell Laboratories proposed in1984 a new very efficient interior-point algorithm - O( n 3.5 ). In empirical tests it performs competitively with the simplex method.

L20 Simplex Method

More Related Content

What's hot (20)

Viewers also liked (20)

Similar to L20 Simplex Method (20)

Recently uploaded (20)

L20 Simplex Method