MAS 326

Basic Optimization Assignment 1: Suggested Solutions

AY 2011/12 S2

1. Determine all values of (a, b) for which the following LP is unbounded. minimize ax + by subject to x 3y 6, 2x + y 8, x 0. Solution. The feasible region of the LP is shown below. y 8 6 4 2 0 2 2 4 (6, 4) 4 6 8 x Feasible region

The LP is unbounded if and only if the objective value is (strictly) decreasing either (a) along the edge {(6, 4) + t(3, 1) : t 0}, or (b) along the edge {(0, 8) + t(0, 1) : t 0}. Equivalently, the LP is unbounded if and only if either (a) the objective value at (6, 4) is (strictly) greater than that at (9, 5), or (b) the objective value at (0, 8) is (strictly) greater than that at (0, 9). Therefore the set of values of (a, b) for which the LP is unbounded is {(a, b) : 6a 4b > 9a 5b or 8b > 9b} = {(a, b) : b > 3a or b < 0}.

2. Prove that a collection JB of m variables is a basis of a system of linear equations if and only if the collection of m column vectors, each formed by the coecients of the respective variable in JB , is a basis of the real vector space Rm . Solution. By denition, a collection JB of m variables is a basis of a system of linear equations Ax = b if and only if the sub-system BxB = b has a unique solution, where B is the m-by-m sub-matrix of A consisting of the columns of A corresponding to the basic variables in JB , and xB is the vector of basic variables.
1

From Linear Algebra, we know that the square system BxB = b of m linear equations has a unique solution if and only if the rank of B is m. The rank of B is the dimension of its column space. Therefore, BxB = b has a unique solution if and only if the columns of the coecient matrix spans an m-dimensional subspace of the real vector space Rm . Since the only m-dimensional subspace of Rm is Rm itself, this happens if and only if the columns of B spans Rm . Since there are exactly m columns in B, this happens if and only if the columns of B is a basis of Rm . 3. Consider the LP minimize c1 x1 + + cn xn subject to a11 x1 + + a1n xn = b1 , . . . am1 x1 + + amn xn = bm , x1 , . . . , xn 0. Explain how the simplex method may be modied to solve this LP starting from a given basic solution of a11 x1 + + a1n xn = b1 . . . am1 x1 + + amn xn = bm satisfying x 0. You need to show how each modied step is derived. Solution. In the optimality test, we express the objective value in terms of the nonbasic variables by using the equality constraints to eliminate the basic variables from the objective function. The coecients in this expression are the reduced costs, which tell us the rate of change in the objective value with respect to the increase in the corresponding nonbasic variables. Since the variables are required to be nonpositive, we would want to decrease the nonbasic variables from 0, and the negative of the reduced costs would tell us the rate of change of the objective value when the corresponding nonbasic variables are decreased. Moreover, the objective is to minimize the objective value. Thus we would claim that the current BFS is optimal if the negative of all reduced costs are nonnegative; in other words, the optimality test concludes optimality when all reduced costs are nonpositive. The optimality test is thus not modied. When there is a positive reduced cost, we would pick the corresponding nonbasic variable xNk as the entering variable. In this case, entering a variable means decreasing its value from 0. In the minimum ratio test, we are trying to decide how much the entering variable may be decreased before the solution becomes infeasible. Therefore, we write the basic variables in terms of the nonbasic variables, and zero out all nonbasic variables other than the entering variable. This gives the expression xB = B aN B xN b
i i k i k

for each basic variable xBi . Feasibility is violated when any of the basic variable starts becoming positive. When aNk Bi 0, the term Nk Bi xNk is not increasing when xNk a decreasing. In this case, the basic variable xBi does not become positive no matter how much xNk is decreased. When aNk Bi > 0, the term Nk Bi xNk increases when xNk a

decreases, and xBi starts becoming negative when xNk starts decreasing beyond the ratio B b i . Thus we would pick the leaving variable as a basic variable xBr that attains aN B
k i

B b i : aNk Bi > 0 . aNk Bi In summary the modied simplex method is max Modied Simplex Method Step 1. Start with the basis for the given basic feasible solution x. Step 2. (a) Use the equality constraints to write the basic variables, and subsequently the objective value, in terms of the nonbasic variables. (b) If all coecients in the expression of the objective value in terms of the nonbasic variables are nonpositive, declare the BFS determined by the current basis as optimal. Step 3. Otherwise, (a) pick a nonbasic variable xNk with positive coecient as the entering variable; (b) pick as leaving variable a basic variable xBr that attains B b i : aNk Bi > 0 , max aNk Bi where Bi is the right-hand-side value, and aNk Bi is the coecient of xNk in the b expression of xBi in terms of the nonbasic variables; and (c) update the basis and go to Step 2.