Would anyone please explain in more details (examples or graphical illustrations) these optimal and feasible conditions for linear programming.

Assume that we have the following linear program:

$$z= \min {c'x : Ax=b, x \geq 0}$$

The basis B is the optimal feasible solution if it satisfies two conditions:

  • Feasibility: $B^{-1}b \geq 0$
  • Optimality: c' $\geq $ $c_{B}'B^{-1}$A.

Many thanks.

  • 1
    $\begingroup$ If $x_B=B^{-1}b$, then we must have $B^{-1}b\geqslant0$ in order for $x\geqslant0$ to be satisfied. The other condition means that all reduced costs are nonnegative, so there does not exist a candidate entering variable that may improve the objective value - so the current basis corresponds to an optimal solution. $\endgroup$ – Math1000 Oct 9 '16 at 13:22

If $B \in \mathbb{R}^{mm}$ is a nonsingular submatrix of $A$, then the problem $$z=\min c^{'}x : Ax=b, x\geq 0\ \ \ \ \ \ (1)$$ can be written as \begin{align} &z=\min c^{'}_{B}x_{B}+c^{'}_{N}x_{N}\\ &Bx_B+Nx_N=b\ \ \ \ \ \ \ \ \ \ \ (2)\\ &x_{B} \geq 0, x_{N} \geq 0 \end{align} where $N \in \mathbb{R}^{m(n-m)}$ is the submatrix of $A$ whose columns are not in $B$ and subscripts for $x_B$, $x_N$, $c_B$, $c_N$ are taken accordingly. Solving the system of equations for $x_B$ we get \begin{align} x_B=B^{-1}b - B^{-1}Nx_N\ \ \ \ \ (3) \end{align} Equation (3) shows that all the solutions of the equation system depend on $n-m$ parameters (namely the $n-m\ \ x_N$ variables). The particular solution obtained by setting $x_N=\mathbb{0}_{n-m}$ is called basic solution of the equation system. If $x=[x_B,x_N]^{'}=[B^{-1}b,\mathbb{0}_{n-m}]^{'}$ is such that $x_B=B^{-1}b \geq 0$ then $x$ is called basic feasible solution of the LP problem (1) or (2), $x_B$ are the basic variables, $x_N$ are the non basic variables. Note that feasibility condition is necessary for a basic solution to be optimal. As far as it concerns the optimality condition there are two ways to derive it.

  1. Substituting expression (3) for $x_B$ in the problem (2) we get \begin{align} &z=\min c^{'}_{B}B^{-1}b+\mathbb{0}_m^{'}x_B+(c^{'}_{N}-c_B^{'}B^{-1}N)x_{N}\\ & x_{N} \geq 0\ \end{align} The above problem is called reduced problem, the vector \begin{align} \hat{c}^{'}=[\hat{c}_B^{'}, \hat{c}_N^{'}]=[\mathbb{0}^{'}_{m}, c_N^{'}-c_B^{'}B^{-1}N]=c^{'}-c_B^{'}B^{-1}[B\: |\: N]= c^{'}-c_B^{'}B^{-1}A \end{align} is the vector of the reduced costs and the constant term in the objective function $c_B^{'}B^{-1}b$ is the value the objective function takes at the current basic feasible solution $[x_B, \mathbb{0}_{n-m}]^{'}$. Now assume we want to perform a pivot operation, that is we want a non basic variable, say $x_{k}$, enters the basis and one of the basic variables, say $ x_h$, leaves the basis. The pivot operation can be performed by setting $x_h=0$ and letting $x_{k}$ assumes the maximum allowed increasing, say $\delta \geq 0$. Then the variation in the objective function will be \begin{align} \Delta z = \hat{c}_k \delta \end{align} It follows that $\Delta z \geq 0$ if $\hat{c}_k \geq 0$ for all the non basic variables, which is a sufficient condition to say that the current base $B$ is optimal. Note that this condition is also necessary if $[x_B, \mathbb{0}_{n-m}]^{'}$ is non degenerate.

  2. A more elegant way to derive the optimality condition relies on the duality theory. Let P the problem (1) and D its dual \begin{align} w=\max y^{'}b\\ y^{'}A \leq c^{'} \end{align} The Weak Duality Theorem states that if $x$ and $y$ are feasible solutions for $P$ and $D$, respectively, then \begin{align} y^{'}b \leq c^{'}x \end{align} It follows that if $x$ and $y$ are feasible solutions for $P$ and $D$, respectively, and $w=y^{'}b = c^{'}x=z$, then $x$ and $y$ are also optimal. Now let $x=[x_B, \mathbb{0}_{n-m}]^{'}$ a basic feasible solution for P. Set \begin{align} y^{'}=c_B^{'}B^{-1} \end{align} We get \begin{align} w=y^{'}b=c_B^{'}B^{-1}b=c_B^{'}x_B=c^{'}x=z \end{align} Therefore $x$ and $y$ are two vectors where the primal and dual functions assume the same value. Then the primal basic feasible solution $x=[x_B, \mathbb{0}_{n-m}]^{'}$ is optimal if the dual solution $y^{'}=c_B^{'}B^{-1}$ is feasible, that is \begin{align} c^{'} \geq c_{B}^{'}B^{-1}A \end{align}

  • $\begingroup$ Thanks for your great answer. $\endgroup$ – philipvn Oct 10 '16 at 22:59
  • $\begingroup$ I really like the second approach, would you let me know where can I find more info (books, lecture notes) on the first approach (reduced costs formula). Cheers. $\endgroup$ – philipvn Oct 13 '16 at 20:25
  • $\begingroup$ You can find the reduce cost condition in whatever book on linear programming. I personally prefer two books. 1) Introduction to Linear Optimization, by Bertsimas & Tsitsiklis. 2) Linear Programming and Network Flows, by Bazaraa, Jarvis &. Sherali. $\endgroup$ – Marcello Sammarra Oct 15 '16 at 22:01

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