Linear programming

In mathematics, linear programming (LP) problems involve the optimization of a linear objective function,
subject to linear equality and inequality constraints.

Put very informally, LP is about trying to get the best outcome (e.g. maximum profit, least effort, etc) given
some list of constraints (e.g. only working 30 hours a week, not doing anything illegal, etc), using a linear
mathematical model.

More formally, given a polytope (for example, a polygon or a polyhedron), and a real-valued affine function

f(x1, x2, . . . , xn) = a1 x1 + a2 x2 + . . . + an xn + b

defined on this polytope, the goal is to find a point in the polytope where this function has the smallest (or
largest) value. Such point may not exist, but if they do, searching through the polytope vertices is guaranteed
to find at least one of them.

Linear programs are problems that can be expressed in canonical form:

Maximize C T X
Subject to Ax < b
Where x > 0

X represents the vector of variables, while C and b are vectors of coefficients and A is a matrix of coefficients.
The expression to be maximized or minimized is called the objective function ( C T X in this case). The
equations Ax < b are the constraints which specify a convex polyhedron over which the objective function is
to be optimized.

Linear programming can be applied to various fields of study. Most extensively it is used in business and
economic situations, but can also be utilized for some engineering problems. Some industries that use linear
programming models include transportation, energy, telecommunications, and manufacturing. It has proved
useful in modeling diverse types of problems in planning, routing, scheduling, assignment, and design.

History of linear programming

The problem of solving a system of linear inequalities dates back at least as far as Fourier, after whom the
method of Fourier-motzkin elimination is named. Linear programming arose as a mathematical model
developed during the Second World War to plan expenditures and returns in order to reduce costs to the army
and increase losses to the enemy. It was kept secret until 1947. Postwar, many industries found its use in their
daily planning.

The founders of the subject are George B. Dantzig, who published the simplex method in 1947, John von
Neumann, who developed the theory of the duality in the same year, and Leonid Kantorovich, a Russian
mathematician who used similar techniques in economics before Dantzig and won the Nobel prize in 1975 in
economics. The Linear programming problem was first shown to be solvable in polynomial time by Leonid
khachiyan in 1979, but a larger major theoretical and practical breakthrough in the field came in 1984 when
Narendra karmarkar introduced a new interior point method for solving linear programming problems.

Dantzig’s original example of finding the best assignment of 70 people to 70 jobs exemplifies the usefulness
of linear programming. The computing power required to test all the permutations to select the best
assignment is vast; the number of possible configurations exceeds the number of particles in the universe.
However, it takes only a moment to find the optimum solution by posing the problem as a linear program and
applying the simplex algorithm. The theory behind linear programming drastically reduces the number of
possible optimal solutions that must be checked.

Algorithms

A series of linear constraints on two variables produces a region of possible values for those variables,
solvable problems will have a feasible region in the shape of a simple polygon.

The simplex algorithm, developed by George Dantzig, solves LP problems by constructing an admissible
solution at a vertex of the polyhedron and then walking along edges of the polyhedron to vertices with
successively higher values of the objective function until the optimum is reached. Although this algorithm is
quite efficient in practice and can be guaranteed to find the global optimum if certain precautions against
cycling are taken, it has poor worst-case behavior: it is possible to construct a linear programming problem for
which the simplex method takes a number of steps exponential in the problem size. In fact, for some time it
was not known whether the linear programming problem was solvable in polynomial time (complexity class
P).

This long standing issue was resolved by Leonid Khachiyan in 1979 with the introduction of the ellipsoid
method, the first worst-case polynomial-time algorithm for linear programming. To solve a problem which has
n variables and can be encoded in L input bits, this algorithm uses O(n4L) arithmetic operations on numbers
with O(L) digits. It consists of a specialization of the nonlinear optimization proposed by Arkadi Nemirovski,
a 2003 John von Neumenn Theory Price winner, and D. Yudin.

Khachiyan’s algorithm was of landmark importance for establishing the polynomial-time solvability of linear
programs. The algorithm had little practical impact, as the simplex method is more efficient for all but
specially constructed families of linear programs. However, it inspired new lines of research in linear
programming with the development of interior point methods, which can be implemented as a practical tool.
In contrast to the simplex algorithm, which finds the optimal solution by progresses along points on the
boundary of the polyhedral set, interior point methods move through the interior of the feasible region.

In 1984, N. Kayaker proposed a new interior point projective method for linear programming. Karmarkar’s
algorithm not only improved on Khachiyan’s theoretical worst-case polynomial bound (giving O(n3.5L)), but
also promised dramatic practical performance improvements over the simplex method. Since then, many
interior point methods have been proposed and analyzed. Early successful implementations were based on
affine scaling variants of the method. For both theoretical and practical properties, barrier function or path-
following methods are the most common recently.

The current opinion is that the efficiency of good implementations of simplex-based methods and interior
point methods similar for routine applications for linear programming.
LP solvers are in widespread used for optimization of various problems in industry, such as optimization of
flow in transportation networks, many of which can be transformed into linear programming problems only
with some difficulty.

Open problems and recent work

There are several open problems in the theory of linear programming, the solution of which would represent
fundamental breakthroughs in mathematics and potentially major advances in our ability to solve large-scale
linear programs.

 Does LP admit a strongly polynomial-time algorithm?

 Does LP admit strongly polynomial algorithm to find a strictly complementary solution?
 Does LP admit a polynomial algorithm in the real number (unit cost) model of computation?

This closely related set of problems has been cited by Stephen Smale as among the 18 greatest unsolved
problems of the 21st century. In Smale’s words, the third version of the problem “is the main unsolved
problem of linear programming theory”. While algorithms exist to solve linear programming in weakly
polynomial time, such as the ellipsoid methods and interior-point techniques, no algorithms have yet been
found that allow strongly polynomial-time performance in the number of constraints and the number of
variables. The development of such algorithms would be of great theoretical interest, and perhaps allow
practical gains in solving large LPs as well.

 Are there pivot rules which lead to polynomial-time Simplex variants?

 Do all polyhedral graphs have polynomially-bounded diameter?
 Is the Hirsch conjecture true for polyhedral graphs?

These questions relate to the performance analysis and development of Simplex-like methods. The immense
efficiency of the Simplex algorithm in practice despite its exponential-time theoretical performance hints that
there may be variations of Simplex that run in polynomial or even strongly polynomial time. It would be of
great practical and theoretical significance to know whether any such variants exist, particularly as an
approach to deciding if LP can be solved in strongly polynomial time.

The Simplex algorithm and its variants fall in the family of edge-following algorithms, so named because they
solve linear programming problems by moving from vertex to vertex along edges of a polyhedron. This means
that their theoretical performance is limited by the maximum number of edges between any two vertices on
the LP polyhedron. As a result, we are interested in knowing the maximum graph-theoretical diameter of
polyhedral graphs. It has been proved that all polyhedra have subexponential diameter, and all experimentally
observed polyhedra have linear diameter, it is presently unknown whether any polyhedron has
superpolynomial or even superlinear diameter. If any such polyhedra exist, then no edge-following variant can
run in polynomial or linear time, respectively. Questions about polyhedron diameter are of independent
mathematical interest.

Recent developments in linear programming include workby Vladlen Koltun to show that linear programming
is equivalent to solving problems on arrangement polytopes, which have small diameter, allowing the
possibility of strongly polynomial-time algorithms without resolving questions about the diameter of general
polyhedra. Jonathan Kelner and Dan Spielman have also proposed a randomized (weakly) polynomial-time
Simplex algorithm.

Integer unknowns
If the unknown variables are all required to be integers, then the problem is called an integer programming
(IP) or integer linear programming (ILP) problem. In contrast to linear programming, which can be solved
efficiently in the worst case, integer programming problems are in many practical situations (those with
bounded variables) NP-hard. 0-1 integer programming or binary integer programming (BIP) is the special
case of integer programming where variables are required to be 0 or 1 (rather than arbitrary integers). This
problem is also classified as NP-hard, and in fact the decision version was one of Karp’s 21 NP-complete
problems.

If only some of the unknown variables are required to be integers, then the problem is called a mixed integer
programming (MIP) problem. These are generally also NP-hard.

There are however some important subclasses of IP and MIP problems that are solvable, most notably
problems where the constraints matrix is totally unimodular and the right-hand sides of the constraints are
integers.

Advanced algorithms for solving integer linear programs include:

 cutting-plane method
 branch and bound
 branch and prize
 if the problem has some extra structure, it may be possible to apply delayed column generation

LINEAR PROGRAMMING

Linear programming, sometimes known as a linear optimization, is the problem of maximizing or minimizing
a linear function over a convex polyhedron specified by linear and non-negativity constraints. Simplistically,
linear programming is the optimization of an outcome based on some set of constraints using a linear
mathematical method.

Linear programming is implemented in Mathematica as Linear Programming [c, m, b], which finds a vector x
which minimizes the quality c x subject to the constraints m x > b and xi >0 for x = (x1, . . . xn).

Linear programming theory falls within convex optimization theory and is also considered to be an important
part of operations research. Linear programming is extensively used in business and economics, but may also
be used to solve certain engineering problems.

Examples from economics include Leontief’s input-output model, the determination of shadow prizes, etc., an
example of a business application would be maximizing profit in a factory that manufactures a number of
different products from the same raw material using the same resources, and example engineering applications
include Chebyshev approximation and the design of structures (e.g., limit analysis of a planar truss).

Linear programming can be solved using the simplex method (Wood and Dantzig 1949, Dantzig 1949) which
runs along polytope edges of the visualization solid to find the best answer. Khachian (1979) found a O(x5)
polynomial time algorithm. A much more efficient polynomial time algorithm was found by Karmarkar
(1984). This method goes through the middle of the solid (making it a so-called interior point method), and
then transforms and warps. Arguably, interior point methods were known as early as the 1960s in the form of
the barrier function methods, but the media hype accompanying Karmarkar’s announcement led to these
methods receiving a great deal of attention.

Linear programming in which variables may take on integer values only is known as integer programming.
Uses:

Linear programming is an important field of optimization for several reasons. Many practical problems in
operations research can be expressed as linear programming problems. Certain special cases of linear
programming, such as network flow problems and multicommodity flow problems are considered important
enough to have generated much research on specialized algorithms for their solution. A number of algorithms
for other types of optimization problems work by solving LP problems as sub-problems. Historically, ideas
from linear programming have inspired many of the central concepts of optimization theory, such as duality,
decomposition, and the importance of convexity and its generalizations. Likewise, linear programming is
heavily used in microeconomics and business management, either to maximize the income or minimize the
costs of a production scheme. Some examples are food blending, inventory management, portfolio and finance
management, resource allocation for human and machine resources, planning advertisement campaigns, etc.

Standard form:

Standard form is the usual and most intuitive form of describing a linear programming problem. It consists of
the following three parts:

 A linear function to be maximized

e.g. maximize C1X1 + C2X2

 Problem constraints of the following form

e.g. a11x1 + a12x2 < b1

a21x1 + a22x2 < b2
a31x1 + a32x2 < b3

 Non-negative variables

e.g. x1 > 0
x2 > 0

The problem is usually expressed in matrix form, and then becomes:

maximize cT x
subject to Ax < b, x > 0

Other forms, such as minimization problems, problems with constraints on alternative forms, as well as
problems involving negative variables can always be rewritten into an equivalent problem in standard form.

Example

Suppose that a farmer has a piece of farm land, say A square kilometres large, to be planted with either wheat
or barley or some combination of the two. The farmer has a limited permissible amount F of fertilizer and P of
insecticide which can be used, each of which is required in different amounts per unit area for wheat (F1, P1)
and barley (F2, P2). Let S1 be the selling price of wheat, and S2 the price of barley. If we denote the area
planted with wheat and barley by x1 and x2 respectively, then the optimal number of square kilometres to plant
with wheat vs barley can be expressed as a linear programming problem:

maximize S1x1 + S2x2 (maximize the revenue – revenue is the “objective function”)
subject to x1 + x2 < A (limit on total area)
F1x1 + F2x2 < F (limit on fertilizer)
P1x1 + P2x2 < P (limit on insecticide)
x1 > Q, x2 > 0 (cannot plant a negative area)

Which in matrix form becomes:

x1

[S1 S2] x2
maximize

1 1 x1 A x1
F1 F2 x2 ≤ F , x2 ≥O
subject to P1 P2 P

Augmented form (slack form)

Linear programming problems must be converted into augmented form before being solved by the simplex
algorithm. This form introduces non-negative slack variables to replace inequalities with equalities in the
constraints. The problem can then be written in the following form:

Maximize Z in:
Z
T 0
1 c X = 0
0 A 1 Xs b

x, xs ≥ 0
where xs are the newly introduced slack variables, and Z is the variable to be maximized.

Example

The example above becomes as follows when converted into augmented form:

subject to:

maximize S1x1 + S2x2 ( objective function)

subject to x1 + x2 + x3 = A (augmented constraint)
F1x1 + F2x2 + x1 = F (augmented constraint)
P1x1 + P2x2 + x1 = P (augmented constraint)
x1, x2, x3, x1, x5 > 0

where x3, x1, x5 are (non-negative) slack variables.

Which in matrix form becomes:

Maximize Z in:

Z x1
1 S1 S2 0 0 0 x1 0 x2
0 1 1 1 0 0 x2 = A , x3 ≥0
0 F1 F2 0 1 0 x3 F x4
0 P1 P2 0 0 1 x4 P x5
x5
Duality

Every linear programming problem, referred to as a primal problem, can be converted into a dual problem,
which provides an upper bound to the optimal value of the primal problem. In matrix form, we can express the
primal problem as:

maximize cT x
subject to Ax < b, x > 0

The corresponding dual problem is:

minimize b T y
subject to AT y > c, y > 0

where y is used instead of x as variable factor.

There are two ideas fundamental to duality theory. One is the fact that the dual of a dual linear program is the
original primal linear program. Additionally, every feasible solution for a linear program gives a bound on the
optimal value of the objective function of its dual. The weak duality theorem states that the objective function
value of the dual at any feasible solution is always greater than or equal to the objective function value of the
primal at any feasible solution. The strong duality theorem states that if the primal has an optimal solution, x *,
then the dual also has an optimal solution, y*, such that cTx* = bTy*.

A linear program can also be unbounded or infeasible. Duality theory tells us that if the primal is unbounded
then the dual is infeasible by the weak duality theorem. Likewise, if the dual is unbounded, then the primal
must be infeasible. However, it is possible for both the dual and the primal to be infeasible.

Example

Following the above example of the farmer with some A land, F fertilizer and P insecticide, the farmer can tell
others that he has no way to earn more than a specific amount of profit with the following scheme: to claim
that with his available method of earning, each kilometre of land can give him no more than y A, each amount
of fertilizer can earn him no more than yF, and each amount of insecticide can earn him no more than yp. Then
he can tell others that the most he can earn is AyA + FyF + PyP. in order to find the best (lowest) claim he can
make, he can set yA, yF and yP by using the following linear programming problem:

minimize AyA + FyP + PyP (minimize the revenue bound – revenue bound is the “objective
function”)
subject to yA + F1yF + P1yP > S1 (he can earn no more by growing wheat)
yA + F2yF + P2yP > S2 (he can earn no more by growing barley)
 yA > 0, yF > 0, yP > 0 (cannot claim negative revenue on resource)

Which in matrix form becomes:

yA
[A F P] yF
yP
minimize
yA yA
1 F1 P1 S1
yF ≥ yF ≥O
1 F2 P2 S2
subject to yP yP

Note that each variable in the primal problem (amount of wheat/barley to grow) correspond to an inequality in
the dual problem (revenue obtained by wheat/barley), and each variable in the dual problem (revenue bound
provided by each resource) correspond to an inequality in the primal problem (limit on each resource).

Since each inequality can be replaced by an equality and a slack variable, this means each primal variable
correspond to a dual slack variable, and each dual variable correspond to a primal slack variable. This relation
allows us to complementary slackness.

Complementary slackness

It is possible to obtain an optimal solution to the dual when only an optimal solution to the primal is known
using the complementary slackness theorem. The theorem states:

Suppose that x = (x1, x2, . . .. xn) is primal feasible and that y = (y1, y2, . . .,ym) is dual feasible. Let (w1, w2, . . .,
wm) denote the corresponding primal slack variables, and let (z1, z2, . . ., zn) denote the corresponding dual
slack variables. Then x and y are optimal for their respective problems if and only if xjzj = 0, for j = 1,2,
…,n,wiyj = 0, for i = 1,2,…, m.

Theory

Geometrically, the linear constraints define a convex polyhedron, which is called the feasible region. Since the
objective function is also linear, hence a convex function, all local optima are automatically global optima (by
the KKT theorem). The linearity of the objective function also implies that the set of optimal solutions is the
convex hull of a finite set of points – usually a single point.

There are two situations in which no optimal solution can be found. First, if the constraints contradict each
other (for instance, x > 2 and x < 1) then the feasible region is empty and there can be no optimal solution,
since there are no solutions at all. In this case, the LP is said to be infeasible.

Alternatively, the polyhedron can be unbounded in the direction of the objective function (for example:
maximize x1 + 3 x2 subject to x1 > 0, x2 > 0, x1 + x2 > 10), in which case there is no optimal solution since
solutions with arbitrarily high values of the objective function can be constructed.
Barring these two pathological conditions (which are often ruled out by resource constraints integral to the
problem being represented, as above), the optimum is always attained at a vertex of a polyhedron. However,
the optimum is not necessarily unique: it is possible to have a set of optimal solutions covering an edge or face
of the polyhedron, or even the entire polyhedron (this last situation would occur if the objective function were
constant).