Mathematical Programming

Examples 1 - Solutions
1. Constraints are represented by lines
L1: x
1
+ 2x
2
= 10
L2: 5x
1
+ 3x
2
= 41
L3: 2x
1
3x
2
= 8
Corners of feasible region are (0; 0) ; (4; 0) ; (7; 2) ; (4; 7) ; (0; 5) :
Optimal vertex is (7; 2) with value z
min
= 5:
In standard form Ax = b with x = (x
1
; x
2
; s
1
; s
2
; s
3
)
T
and
A =
_
_
_
1 2 1 0 0
5 3 0 1 0
2 3 0 0 1
_
_
_
b =
_
_
_
10
41
8
_
_
_
At optimal vertex, basic variables are x
B
= (x
1
; x
2
; s
1
)
T
. Hence
B =
_
_
_
1 2 1
5 3 0
2 3 0
_
_
_
B
1
=
1
21
_
_
_
0 3 3
0 2 5
21 1 13
_
_
_
and can verify that x
B
= B
1
b = (7; 2; 13)
T
.
2. Reorder the variables in x so that the basic variables x
j
s.t. A
j
2 B are the rst m variables.
Then
x

=
_
x
B
0
_
where Bx
B
= b
The value of the OF z = c
T
x at x

is z (x

) = 0. This is a minimum since 0 c

T
x 8x 2 F
follows from c 0 and x 0:
To show uniqueness, suppose y

is another optimal solution. Then c

T
y

= 0 so y
j
= 0, 8j
s.t. A
j
= 2 B: Hence
y

=
_
y
B
0
_
hence By
B
= b
Therefore y
B
= B
1
b = x
B
and so y

= x

:
3. Constraints in standard form are Ax = b with x = (x
1
; x
2
; x
3
; s
1
; s
2
)
T
and
A =
_
1 1 2 1 0
1 4 1 0 1
_
b =
_
6
4
_
1
There are a maximum of
_
5
2
_
basic feasible solutions (BFSs). By enumeration these are
_
14
3
; 0;
2
3
; 0; 0
_
z =
26
3
(4; 0; 0; 2; 0) z = 8
_
0;
14
9
;
20
9
; 0; 0
_
z =
2
3
(0; 0; 3; 0; 7) z = 3
(0; 0; 0; 6; 4) z = 0
(0; 1; 0; 5; 0) z = 1
The remaining potential basic pairs of variables (x
1
; x
2
) ; (x
1
; s
2
) ; (x
2
; s
2
) and (x
3
; s
1
) are
infeasible as they have no positive solution. Hence x
max
=
_
14
3
; 0;
2
3
_
T
with z
max
=
26
3
and
x
min
= (0; 0; 3)
T
with z
min
= 3:
Constraint 1 and non-negativity of x =) x
1
6; x
2
6 and x
3
3: If Constraint 1 is
replaced by x
1
+x
2
2x
3
6 then x
3
is unbounded above (x
3
can be made arbitrarily large
whilst satisfying both constraints) and so z is unbounded below. The LP does not have a
nite minimum, so cannot be determined by evaluating vertices.
4. Let L; H be required quantities (in units of 10
5
barrels) of light and heavy crude oil. We
require to
minimize 11L + 9H
subject to 0:4L + 0:32H 10
0:2L + 0:4H 4
0:35L + 0:2H 2:5
L; H 0
The constraints may be re-written
40L + 32H 1000
20L + 40H 400
35L + 20H 250
A graph shows that the minimum cost solution is L = 25; H = 0:
2
5. Substituting 2x
2
= x
1
+ x
3
5 into the 2nd constraint gives the equivalent LP in standard
form
minimize w = x
1
+ 5x
3
subject to x
1
x
3
+ 3 = 0
x
1
; x
3
0
which can be solved graphically. The objective functions w is related to z (of the original
problem) by 2z = 15 + w. We see that
_
x

1;
x

2
; x

3
_
= (0; 1; 3) with z
min
= 15:
6. Regard the objective function (OF) as the total value of the knapsack from choosing x
1
units
of item 1, x
2
units of item 2 etc. and the constraint as a resource limitation (i.e. total weight
of knapsack 90) on the components of x:
At an optimal solution x

the components making a negative contributions to the value must

be zero i.e. x

2
= x

4
= 0; otherwise we could redistribute these to other positively contributing
components.
To maximize value, the constraint must be active at x

and it is intuitively clear that we

should seek to maximize the value to weight ratio
_
5
1
;
3
5
;
12
3
_
:
Thus x

1
= 90 and all remaining components are zero. The maximum value is z

= 450.
By adding a single slack variable s the problem becomes an LP in standard form with m = 1;
n = 6: Any BFS has at most m = 1 non-zero components and we know that the optimum is
reached at a BFS. This conrms the form of the solution.
7. This example illustrates the notion of extreme points.
(a) Let X =
_
x 2 R
n
: p
T
x = k
_
: Take some x 2 X and a y such that p
T
y = 0: [Such a y
which is orthogonal to a given p can always be constructed.]
Let x
1
= x + y, x
2
= x y. We see p
T
x
1
= p
T
(x +y) = p
T
x + 0 = k: Similarly
p
T
x
2
= k: Therefore x
1
; x
2
2 X and x =
1
2
_
x
1
+x
2
_
: So X has no extreme points.
(b) Let X = f(x
1
; x
2
) : x
1
+ x
2
1g. Consider x 2 X and y = ("; ") : x has the form
(a; b) with a + b 1: Let x
1
= x +y; x
2
= x y:
x
1
= (a + "; b ")
x
2
= (a "; b + ")
so that x
1
; x
2
2 X and x =
1
2
_
x
1
+x
2
_
: Therefore x is not an extreme point.
(c) U = f(u
1
; v
1
; u
2
; v
2
) : u
i
; v
i
0 (i = 1; 2) and u
1
+ u
2
v
1
v
2
1g : We show that
(1; 0; 0; 0) is an extreme point. Suppose (1; 0; 0; 0) = u
1
+ (1 ) u
2
for some u
1
,
u
2
2 U: Consider the rst component of u
1
and u
2
; say u
1
1
= p and u
2
1
= q.
3
Then 1 = p + (1 ) q for some in the range 0 < < 1. If p < 1 then (1 ) q =
1 p > 1 so q > 1, showing that u
2
= 2 U: The same argument applies if q < 1:
Therefore p = q = 1: Similarly we may show that the remaining components of u
1
and
u
2
are identical. Therefore (1; 0; 0; 0) is an extreme point.
4