Optimization Week 3: Programming (convex program, linear program)

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} xmins.t.f(x)xC is convex if f f f is a convex function and C 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 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} xmins.t.cTxAxbCx=d

  • 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\} P={x:Axb,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 y,zP and λ ∈ [ 0 , 1 ] \lambda \in [0,1] λ[0,1], such that x = λ y + ( 1 − λ ) z x=\lambda y+(1-\lambda) z x=λy+(1λ)z, then x x x is not extreme.
  • Definition 2: It is the unique optimum for some cost vector c c c.

Basic feasible point

  • Active constraints: Constraint a i a_i ai is active at x x x if a i T x = b i a_i^Tx=b_i aiTx=bi.
  • 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\} Ax={ai:aiTx=bi}{di:ciTx=d}.
  • Basic feasible solution (BFS): x x x is BFS is its active set A x \mathcal{A}_x Ax has n linearly independent vectors.

Extreme point and Basic feasible point

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

2.3 Converting LPs

Homework

TODO

已标记关键词 清除标记
©️2020 CSDN 皮肤主题: 1024 设计师:白松林 返回首页