DSC1007

Business Analytics

Na#onal University of Singapore

Lecture 8

The Geometry of Linear Programming

Recap: Linear Optimization

Origin of Optimization Modeling Optimization: What? When? Why? Optimization process:
Practical Problem Optimization Model Solution

Optimization Model: 3 major components

Objective Decision variables Constraints

Standard formulation of optimization models Examples:

production, transportation, investment

Geometry of Linear Programming

How to visualize a linear program geometrically? Decision variables? Constraints? Objective? How to Nind the optimal solution geometrically? An example:

Geometry of LP Decision Variables

Each dimension represents a decision variable an n-dimensional space Each point in the space represents a particular solution X2
3 (2, 3)

X1
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Geometry of LP Constraints
Constraint: x1 0 Inequality constraint x1 0 deNines a half space X2
X1 0

x1 = 0

X1
5

Geometry of LP Constraints
Constraint: x2 0 Inequality constraint x2 0 deNines a half space X2
X2 0

x2 = 0

X1
6

Geometry of LP Constraints
Constraint: 2x1 + x2 3 Inequality constraint 2x1 + x2 3 deNines a half space X2
2x2 +x2 = 3
(0, 3)

(1.5, 0) 2x1 + x2 3

X1
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Geometry of LP Constraints
Constraint: x1 + 2x2 3 Inequality constraint x1 + 2x2 3 deNines a half space X2
x2 +2x2 = 3
(0, 1.5)

0
x1 + 2x2 3

(3, 0)

X1
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Geometry of LP Constraints
The intersection of all the constraints Feasible Region

X2

X1
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Geometry of LP Constraints
Feasible Region: The set of all the allowed solutions; a region (polygon) bounded by the constraints
Each equality constraint deNines a line Each inequality constraint deNines a half-space

Extreme Points: Corner points on the boundary of the feasible region. E.g., (0, 0), (1.5, 0), (0, 1.5), and (1, 1) Infeasible problem: A problem with an empty feasible region Redundant constraint: Adding or removing the constraint does not affect the feasible region

X2

X1

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Geometry of LP Objective
Objective: maximize x1 + x2 Isoquant: A line on which all points have the same objective value; all points are equally good on the objective function. X2

x1 + x 2 = 0

X1
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Geometry of LP Objective
Isoquant: x1 + x2 = 1

X2

x1 + x 2 = 1 (0, 1)

(1, 0)

X1
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Geometry of LP Objective
Isoquant: x1 + x2 = 1.5

X2
x1 + x2 = 1.5

X1
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Geometry of LP Objective
Isoquant: x1 + x2 = 3
x1 + x 2 = 3

X2

X1
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Geometry of LP Optimal Solution

Optimal Solution: The best feasible solution Theorem: For any feasible LP with a Ninite optimal solution, there exists an optimal solution that is an extreme point X2
Max x1 + x2

Optimal Solution:

(1, 1)

0 x1 + x 2 = 2

X1
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Geometry of LP Optimal Solution

Optimal solutions may NOT be unique

Max 2x1 + x2

X2

X1
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Geometry of LP Optimal Solution

Optimal solution may NOT be Ninite
-X1 + 2X2 2

X2
Max x1 + x2

X1 - 2X2 2

(0, 1)

(2, 0)

X1
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Geometry of LP Optimal Solution

Binding (or active) constraints: The constraints that are satisNied at equality at the optimal solution All equality constraints are binding by deNinition Non-binding (or inactive) constraints are satisNied at strict inequality at the optimal solution The inequality level (= RHS LHS) is known as the slack Binding constraints have zero slack by deNinition

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Geometry of LP Optimal Solution

Active constraints are the ones that pass through the optimal solution. Inactive constraints are the ones that do not pass through the optimal solution. Why are binding constraints important?

Constraints
Optimal (1, 1)

Binding? Yes Yes No No

Slack 0 0 1 1

X1 + 2X2 3 2X1 + X2 3 X1 0 X2 0

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Geometry of LP Summary
Decision variables
Each decision variable forms a dimension n decision variables deNine an n-dimensional space A solution is a point in the space

Constraints
Each equality constraint deNines a hyper-plane (line in a 2-D space) Each inequality constraint deNines a half-space All constraints collectively deNine the feasible region

Objective
The objective function deNines isoquants and a direction in the space

To Ninding the optimal solution, push along the direction deNined by the objective until we reach the boundary of the feasible region At the optimal solution, some constraints are binding (or active) while others are not

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Geometry of LP BeneNits
A inNinite number of feasible solutions

A Ninite number of extreme points How many? (+)

An extreme point is the optimal solution

The Simplex algorithm developed by Dantzig

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