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Is it correct to state that if a linear objective function is not in parallel with any of the constraints, than there is a single optimal solution at some vertex of the polytope?

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there can be more than one optimal solution, neednt be single – Bhargav Sep 27 '11 at 9:06
Even if the objective function is not in parallel with any of constraints? Can you construct such example with 2 variables? – Michael Sep 27 '11 at 9:17
up vote 4 down vote accepted

This is incorrect. To construct a class of simple counterexamples in three dimensions, consider problems of the form $Ax \le b, \, x \ge 0$ where $A$ is any positive $2 \times 3$ matrix of rank 2 and $b$ is a positive 2-vector. This defines a non-empty bounded feasible set in the first octant. Now consider objective functions of the form $x \mapsto cx$ where $c$ is a convex combination of the two rows of $A$. The solution set of the maximization problem is the line segment where $x \ge 0$ and $Ax = b$, but the objective function is not parallel to any of the constraints.

You may get multiple solutions in any situation where $c$ is in the space spanned by the rows of $A$.

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You are right. Thank you very much for the answer. But is there a way I can use LP to find some vertex of a given polytope? – Michael Sep 27 '11 at 13:57
ask a new question, asking questions in comments is not advisable on the site – Bhargav Sep 29 '11 at 1:03

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