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2: Some Advanced Topics in LPP

This document discusses advanced topics in linear programming problems (LPP), including degeneracy and cycling. It defines classical and computer cycling, and explains how modern solvers overcome cycling issues. It also covers the relationships between primal and dual LPP, noting that the dual problem can sometimes be easier to solve and that the optimal values of the primal and dual problems are equal.

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Tsehayou Sieley
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© © All Rights Reserved
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Download as PPTX, PDF, TXT or read online on Scribd
62 views

2: Some Advanced Topics in LPP

This document discusses advanced topics in linear programming problems (LPP), including degeneracy and cycling. It defines classical and computer cycling, and explains how modern solvers overcome cycling issues. It also covers the relationships between primal and dual LPP, noting that the dual problem can sometimes be easier to solve and that the optimal values of the primal and dual problems are equal.

Uploaded by

Tsehayou Sieley
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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MBA 662

2: Some Advanced Topics in LPP


2.1 Degeneracy and cycling in LPP
 Collected and analyzed a number of linear programming problems that have been
shown to cycle (not converge).

 Degenerate , not fitting to the model, no more easily optimize , not reaching or
does not have feasible solution.

 For linear programming software, one such situation that has to be guarded against
is the nonconference of a problem, given that it has a finite or infinite optimal
solution.

 Given that the linear-programming (LP) problem in question has feasible


solutions, then every basic feasible solution has all of its basic variables strictly
positive.
Cont’d
 Here “to cycle” means that the simplex algorithm would keep repeating a degenerate
basic feasible solution. If the repeated basis happened to be the optimal one, the simplex
method would not so indicate.
 Such problems, which is an unusual one in that its coefficients are given in terms of
trigonometric functions.
 In discussing the simplex algorithm and cycling, we need to differentiate between
classical cycling and computer cycling.

 Classical cycling arises when the data of the problem are given in decimal notation and
can be expressed as rational fractions.

 Computations are performed without loss of accuracy or round-of error; that is, the data
are always transformed from rational fractions to rational wholes(totalities).
Cont’d
 A problem written on paper and solved by hand (classical mode) is not the same problem entered into a
computer and solved by a computer-based simplex algorithm (computer mode).

 In the early days of linear programming, there was concern and interest in finding a “real-world”
problem that cycled.
 The oil refinery problem considered by Charnes, Cooper and Mellon [7] was an early practical problem
that exhibited degeneracy, but converged without any difficulty.

 In the real world of computer-based solutions, the question of cycling in linear-programming problems
has been resolved for all practical purposes.

 Today’s commercial mathematical programming systems (MPS) have been designed to overcome any
chance that a degenerate linear-programming problem would cycle.
 Example: STATA data
2.2 Primal and dual LPP

 Duality of LP problem is a useful property that makes the problem easier in some cases and leads
to dual simplex method.
 This is also helpful in sensitivity or post optimality analysis of decision variables .
 Unbounded solution :
 If at any iteration no departing variable can be found corresponding to entering variable, the value
of the objective function can be increased indefinitely, i.e., the solution is unbounded.

 Minimization versus maximization problems :standard form of LP problems consist of a


maximizing objective function.
 Simplex method is described based on the standard form of LP problems, i.e., objective function is
of maximization type.
Cont’d
 However, if the objective function is of minimization type, simplex method may still be applied with a
small modification.
 The required modification can be done in either of following two ways
 1. The objective function is multiplied by -1 so as to keep the problem identical and ‘minimization’
problem becomes ‘maximization’.
 This is because of the fact that minimizing a function is equivalent to the maximization of its negative .

 2. While selecting the entering non basic variable, the variable having the maximum coefficient among
all the cost coefficients is to be entered.
 In such cases, optimal solution would be determined from the tableau having all the cost coefficients as
non-positive (< 0 ).
 Generally, the minimization problems consist of constraints with ‘greater-than-equal-to’ (> ) sign.

 For example, minimize the price (to compete in the market); however, the profit should cross a
minimum threshold
Cont’d
 Whenever the goal is to minimize some objective, lower bounded requirements play the leading role.
 Constraints with ‘greater-than-equal-to’ ( >) sign are obvious in practical situations.

 DUALITY OF LP PROBLEMS.
 Each LP problem (called as Primal in this context) is associated with its counterpart known as Dual
LP problem. Instead of primal, solving the dual LP problem is sometimes easier when:

 a) The dual has fewer constraints than primal (time required for solving LP problems is directly
affected by the number of constraints, i.e., number of iterations necessary to converge to an optimum
solution which in Simplex method usually ranges from 1.5 to 3 times the number of structural
constraints in the problem) and

 b) The dual involves maximization of an objective function (it may be possible to avoid artificial
variables that otherwise would be used in a primal minimization problem).
Cont’d

 The dual’s requirements vector consists of coefficients of decision variables in the


primal objective function.

 Coefficients of each constraint in the dual (i.e., row vectors) are the column vectors
associated with each decision variable in the coefficients matrix of the primal problem.

 In other words, the coefficients matrix of the dual is the transpose of the primal’s
coefficient matrix.

 Finally, maximizing the primal problem is equivalent to minimizing the dual and their
respective values will be exactly equal.
Cont’d
 When a primal constraint is less than equal to type, the corresponding variable in the dual is non-negative.
 And equality constraint in the primal problem means that the corresponding dual variable is unrestricted in sign.
Obviously, dual’s dual is primal.
 In summary the following relationships exists between primal and dual.
Cont’d
Cont’d
 It may be noted that, before finding its dual, all the constraints should be transformed to ‘less-than-equal-to’
or ‘equal-to’ type for maximization problem and to ‘greater-than-equal-to’ or ‘equal-to’ type for minimization
problem. It can be done by multiplying with-1 both sides of the constraints, so that inequality sign gets
reversed.

PRIMAL-DUAL RELATIONSHIPS
 Following points are important to be noted regarding primal-dual relationship:

 1. If one problem (either primal or dual) has an optimal feasible solution, other problem also has an
optimal feasible solution. The optimal objective function value is the same for both primal and dual.

 2. If one problem has no solution (infeasible), the other problem is either infeasible or unbounded.

 3. If one problem is unbounded the other problem is infeasible.

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