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Use Complementary Slackness to Find Optimal Solution

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Use complementary slackness to check the solution: ( 20/3 , 0 , 16/3 , 0) Maximize PowerPoint Presentation

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Use complementary slackness to check the solution: ( 20/3 , 0 , 16/3 , 0) Maximize

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Use complementary slackness to check the solution: ( 20/3 , 0 , 16/3 , 0) Maximize

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  1. Use complementary slackness to check the solution: • ( 20/3, 0 , 16/3, 0) • Maximize • 9 x1 -3 x2+ 3 x3 -7 x4 • subject to • 2 x1+ 8 x2- 1 x3 + 11x4≤ 8 • 1 x1 + 1 x2+ 1 x3 + 1 x4≤13 • 1x1 + 4 x2+ 1 x3 + 3 x4≤12 • -1 x1+ 2 x2+ 1 x3 + 3 x4≤-1 • x1, x2, x3, x4 ≥ 0

  2. Recipe for Using this Theorem Given: x' which is a feasible solution. Question: Is x' an optimal solution? Procedure: First consider each xj' (j=1, 2, ..., n) such that xj' is NOT 0. Write down the equation of the dual that corresponds to the coefficients of xj in the primal: (a1j y1 + a2j y2 + ... + amjym) = cj 2. Next consider each equation i of the primal problem (i=1, 2, 3, ... , m). If the ith equation is NOT tight (there is some slack), write down yi= 0.

  3. 3. Solve these equations that you get for y. If there is a unique solution continue. If not, abort. 4. Test y to see if it is dual feasible. Yes- x' is optimal. No- x' is not optimal. When does the system of equations have a unique solution? Theorem 5.4 in text: when x' is a nondegenerate basic feasible solution. Nondegenerate: no basic variables have value 0.

  4. Suppose you are solving a LP problem for an industrial partner, have found an optimal solution to their problem, but then a change to the bi's is desired. Is is necessary to resolve the problem? The answer is NO if the change to the bi's is sufficiently small (defined later).

  5. Forestry Example: A forester has 100 acres of land and $4000 in capital and would like to plant X1 acres of hardwood and X2 acres of pine to maximize profit where per acre: What is the linear programming problem?

  6. The linear programming problem is: Maximize 40 X1 + 70 X2 subject to X1+ X2≤ 100 10 X1+ 50 X2≤ 4000 X1, X2 ≥0

  7. The initial dictionary is: X3 = 100 - 1 X1 - 1 X2 X4 = 4000 -10 X1 -50 X2 -------------------------- z = 0 +40 X1 +70 X2 The final dictionary is: X1 = 25 - 1.25 X3 + 0.025 X4 X2 = 75 + 0.25 X3 - 0.025 X4 ------------------------------- z = 6250 -32.50 X3 - 0.750 X4 Dual solution:Y1= 32.5, Y2= 0.75

  8. The initial dictionary is: X3 = 100 - 1 X1 - 1 X2 * Y1 X4 = 4000 -10 X1 -50 X2 * Y2 -------------------------- z = 0 +40 X1 +70 X2 From our results on duality, we know that the z row is equal to: 0 + 40X1 + 70 X2 + (32.5) *[ 100 - 1 X1 - 1 X2 - X3] + (0.75) *[4000 -10 X1 - 50 X2 - X4] ------------------------------------- = 6250.00 -32.50 X3 - 0.75 X4

  9. Suppose that t1 extra acres and t2 extra dollars are provided. The problem then becomes: Maximize 40 X1 + 70 X2 subject to X1 + X2 ≤ 100 + t1 10 X1 + 50 X2 ≤ 4000 + t2 X1, X2 ≥ 0

  10. If X1 and X2 are still the basis elements at the end, then z will be: 0 +40 X1 +70 X2 + (32.5)*[ 100+t1- 1 X1 - 1 X2 – X3] + (0.75)*[4000+t2-10 X1 -50 X2 - X4] -------------------------------- = 6250 + 32.50 t1+ 0.75 t2 -32.50 X3 - 0.75 X4 Conclusion (proof later): If b changes to b + t where t is sufficiently small, then z changes by a factor of yTt.

  11. How does X change when b changes to b + t? • Consider the equations that we started with: • X1+ X2 + X3= 100 • 10 X1 + 50 X2 + X4 =4000 • In matrix form: • = Equation A

  12. At the end of the computation: X1 = 25 - 1.25 X3 + 0.025 X4 X2 = 75 + 0.25 X3 - 0.025 X4 -------------------------------- z = 6250 -32.50 X3 - 0.75 X4 In matrix form (Equation B): =

  13. At the end X1, X2 is the basis. Take the columns that correspond to the basis in the original matrix and make a square matrix B with basis headers: X1X2B-1 = B= [ 1 1 ] [ 5/4 -1/40] [ 10 50 ] [-1/4 1/40] To get from Eq. A to Eq. B, multiply both the LHS, and the RHS by B-1.

  14. B-1= B-1 If b changes: B-1= B-1

  15. If b changes: B-1= B-1 and the change is not so big that the basis changes in the optimal solution, the new value for X is: B-1 * (x + t) = [X1] = [ 5/4 -1/40] [ 100 + t1] [X2] [-1/4 1/40] [4000 + t2] X1 = 25 +5 t1 /4 -t2/40 X2 = 75 -1 t1 /4 +t2/40 This equation only gives the correct solution when X1, X2 is the correct basis at the end.

  16. B-1= B-1 Solution to this is X. If the change is not so big that the basis changes in the optimal solution, the new value for X' is: X' = X + B-1 t = [X1] = [ 5/4 -1/40] [ 100 + t1] [X2] [-1/4 1/40] [4000 + t2] X1 = 25+ 5/4 t1 -1/40 t2 X2 = 75- 1/4 t1 +1/40 t2 This equation only gives the correct solution when X1, X2 is the correct basis at the end.

  17. This equation only gives the correct solution when X1, X2 is the correct basis at the end. The final dictionary would be: X1= 25+ (5/4) t1- (1/40)t2 -1.25 X3 + 0.025 X4 X2= 75 –(1/4) t1 +(1/40) t2 + 0.25 X3 - 0.025 X4 -------------------------------- z= 6250 + 32.5 t1 +0.75 t2 -32.50 X3 - 0.75 X4 When is this feasible?

  18. When is this feasible? • X1= 25+ (5/4) t1 -(1/40) t2 - … • X2= 75 –(1/4) t1 +(1/40) t2 - … • This is not a correct choice for the basis if X1 < 0 or X2 < 0. • If t1=0, and [ 25 – (1/40)t2] < 0 • (or equivalently, t2 > 1000), • X1moves out of the basis. • If t2=0, and [75- (1/4)t1] < 0 • (or equivalently t1 > 300), then • X2moves out of the basis.

  19. Forestry Example: 100 acres, $4000 • t1 > 300:X1 + X2≤ 100 + t1 • If the forester had 400 acres (300 more) then he could afford to grow and harvest all hardwood. • If he had > 300 more acres, the extra land is wasted (no money to harvest). The slack for the acres equation enters the basis, the variable for the number of acres of pine leaves.

  20. Forestry Example: 100 acres, $4000 • t2 > 1000:10 X1 + 50 2 ≤ 4000 + t2 • Pine provides more profit. With $5000 ($1000 more) the forester could grow all pine. • If the forester has > $5000, the extra money is not useful. The slack variable for the money equation enters the basis and the variable for number of acres of hardwood leaves.

Use Complementary Slackness to Find Optimal Solution

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