1 Convex programming

1.1 Definition

min ⁡ x f ( x ) s . t . x ∈ C \begin{aligned} \min_x& \quad f(x)\\ s.t.& \quad x\in C \end{aligned} is convex if f f is a convex function and C C is a convex set.

1.2 Local, Global optimality

• Local Optimality ⇏ \nRightarrow Global Optimality
• If convex programming, Local Optimality ⇔ \Leftrightarrow Global Optimality
• Unconstrained programming, Local Optimality ⇔ \Leftrightarrow ∇ f = 0 \nabla f=0 ⇔ \Leftrightarrow Global Optimality

2 Linear programming

2.1 Definition of LP

min ⁡ x c T x s . t . A x ≤ b C x = d \begin{aligned} \min_x& \quad c^Tx\\ s.t.& \quad Ax\leq b\\ & \quad Cx=d \end{aligned}

• Feasible set of LP is a Polyhedron
• LP can be :
• No optimal solution
• Infeasible
• Unbounded
• Finite optimal solution

2.2 Optimality of LP

Feasible set P = { x : A x ≤ b , C x = d } P=\{x: Ax\leq b, Cx=d\}

Extreme point

• Definition 1: Not the convex combination of any other two other points in the polytope.
If ∃ y , z ∈ P \exists y,z \in P and λ ∈ [ 0 , 1 ] \lambda \in [0,1] , such that x = λ y + ( 1 − λ ) z x=\lambda y+(1-\lambda) z , then x x is not extreme.
• Definition 2: It is the unique optimum for some cost vector c c .

Basic feasible point

• Active constraints: Constraint a i a_i is active at x x if a i T x = b i a_i^Tx=b_i .
• Active set: A x = { a i : a i T x = b i } ∪ { d i : c i T x = d } \mathcal{A}_x=\{a_i: a_i^Tx=b_i\}\cup\{d_i: c_i^Tx=d\} .
• Basic feasible solution (BFS): x x is BFS is its active set A x \mathcal{A}_x has n linearly independent vectors.

Extreme point and Basic feasible point

• The following are equivalent:
(1) x x is a BFS;
(2) x x satisfies definition 1 of BFS;
(3) x x satisfies definition 2 of BFS;

• Possible to have no extreme point:
P has no extreme point ⇔ \Leftrightarrow P contains a full line.

Optima and extreme point (BFS)

• If an LP
• (a) has a finite optimum, and
• (b) its contraint polytope has at least one extreme point,
• then there is an extreme point which is optimal.

Homework

TODO

05-30 3293
07-27 3760
08-22 9032
09-14 728
03-19 2070
10-30 874
02-13 5384
10-05 82万+
11-24
02-12 1万+
08-23