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Outline
Background
Definition (canonical form)
Standard form
Excel solver
Branch-and-Bound algorithm
Background
Optimization (Wikipedia)
Choosing the best elements from some set of available alternatives
Subfields:
Convex programming (includes linear programming)
Integer programming
Nonlinear programming
Stochastic programming
Combinatorial optimization
Components:
Variables
Objectives
constraints
Linear Programming
A Linear Program (LP) is a mathematical optimization problem in which
Canonical form:
n
min
ci xi
min
s.t.
i 1
n
s.t.
aij xi
bi ,
i 1
Uses:
Operations research
Electrical engineering
Portfolio management
Heuristics
j 1, 2,..., m
cT x
Ax b
Linear Programming
Examples (LP?):
max
x1 x2
s.t.
sin( x1 ) x2
max
x1
x2
s.t.
x1 x2
x2 {0,1}
max
x1 x1 x2
s.t.
x1 x2 1
x1
max
x1
x2
s.t.
x1 x2
x1 , x2
2
0
Linear Programming
Standard form:
An LP is said to be in its standard form if it is of the form:
min
cT x
s.t.
Ax b
x 0
Linear Programming
Classes of LP problems:
Feasible and bounded
min
x1
x2
s.t.
x1 x2
x1 , x2
Infeasible
min
x1 x2
s.t.
x1 x2
x1 , x2
Unbounded
min
x1
x2
s.t.
x1
x2
2
0
Linear Programming
Important theorems:
Global optimal, local optimal
Unimodal Function:
Convex region:
For any two points within the region, all the points on the line segment between them are all
within the region
Linear Programming
Solving LP:
Graphical method (2-dimentional LP)
min
s.t.
x1 x2
x1 2 x2
2 x1
x1 , x2
Simplex method
Interior point method
Ellipsoid algorithm
x2
0
Excel Solver
Load Solver Add-In:
Menu -> Excel Options -> Add-Ins -> Manage Excel Add-Ins
s.t.
x1 2 x2 3x3
x1
x3
x2
x1
x4
1
x4
x2
x1 , x2 , x3 , x4 , x5
1
x5 1.5
Branch-and-Bound
Background Integer Programming
An integer program (IP) is just a linear program with the additional
cT x
Ax b
x 0
x
zn
Branch-and-Bound
Basic idea: solve the linear programming relaxation, and hope
max
17 x1 12 x2
s.t.
10 x1 7 x2
x1
x2
x1 , x2
40
5
Z
( 5 ,10 )
3
3
P1 {( x1 , x2 ) :10 x1 7 x2
40, x1
x2
5, x1 1}
P2
40, x1
x2
5, x1
{( x1 , x2 ) :10 x1 7 x2
2}
Branch-and-Bound