Lecture 18 Linear Program Algorithms Dual LP

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Lecture 18 Linear Program Algorithms Dual LP

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Lecture 18 Linear Program Algorithms Dual LP Strong Duality: The two LP has the same optimal value. The dual of dual LP is the primal LP. Primal and Dual Optimal Solution: x (4, 3, 0) Optimal Solution: y (2.5, 0, 0.5) Observation: If a

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Lecture 18 Linear Program Algorithms

Dual LP Strong Duality: The two LP has the same optimal value. The dual of dual LP is the primal LP.

Primal and Dual Optimal Solution:x = (4, 3, 0) Optimal Solution:y = (2.5, 0, 0.5) Observation: If a primal constraint is not tight, then the dual variable is 0.

LP algorithms Given a linear program, how do we find its optimal solution?

Many different algorithms
Simplex
Ellipsoid
Interior Point

Simplex Algorithm Recall: geometric interpretation

Basic Feasible Solution: A vertex in the polytope.
Algebraic interpretation: Solution of n tight constraints.
Claim: There is always an optimal basic feasible solution.

Simplex Algorithm [Dantzig 1947] Idea: Start from a basic feasible solution, follow an edge in the polytope.

Algorithmically: follow an edge  swap a constraint.
Many ways to decide which constraint to swap.

Running time of Simplex algorithm Each move takes polynomial time, but how many moves do we need?
In the worst case can require 2n moves.
But in practice simplex is often very fast!
Still used in many LP solvers.

Ellipsoid algorithm First idea: finding a feasible solution  finding optimal solution.

Finding a feasible solution

Running time of ellipsoid Polynomial in the number of variables and constraints.

Actual running time is a bit slow, often used for low dimensional problems.

Interior Point algorithms Idea: Build barrier functions for constraints.

Barrier: Reach infinity at boundary, but small when far from boundary.

Interior Point algorithms Idea: First find the optimal solution for objective + all barrier functions.

Gradually decrease the barrier functions to make the point closer to the actual optimal.

Running time for Interior point Also polynomial in number of variables and constraints.
Can be implemented efficiently in practice.
Many recent developments in both theory and practice, becoming the method of choice in many LP solvers.

Lecture 18 Linear Program Algorithms Dual LP

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