Advanced Linear Programming, May 18, 2009, 10:00 - 13.

00
Please notice my mistake in Exercise 5 for which my sincere
apologises
(1) (1 pt.) Formulate Farkas Lemma.
Answer.
Theorem. Given m n matrix A and b IRm , exactly one of the following
two alternatives holds:
a) x 0 : Ax = b;
b) y IRm : y T A 0 y T b < 0.

(2) (1 pt.) Let A be an m n matrix, and let b IRm . Prove that exactly one
of the following holds:
(a) there exists an x IRn such that Ax b, x 0; or
(b) there exists y IRm such that y 0, y T A 0, and y T b > 0.
Answer. Proof. Since there is no sign restriction on y in (b) of Farkas
Lemma as given in 1, the alternative (b) is equivalent to
y IRm : y T A 0 y T b > 0.
This yields the equivalent Farkas Lemma formulation
Theorem. Given m n matrix A and b IRm , exactly one of the following
two alternatives holds:
a) x 0 : Ax = b;
b) y IRm : y T A 0 y T b > 0.
Now in statement (a) of 2 introduce a vector of surplus variables s and write
(a) there exists an x IRn and s IRm such that Ax Is = b, x 0, s 0
Clearly (a) (a)
But (a) is in the form of (a) in Farkas Lemma. Applying Farkas Lemma as
stated above to the statement (a) we obtain
Given mn matrix A and b IRm , exactly one of the following two alternatives
holds:
(a) there exists a x IRn and s IRm such that Ax Is = b, x 0, s 0;
(b) there exists a y IRm : y T A 0, y T (I) 0, y T b > 0, i.e.
there exists a y IRm : y T A 0, y 0, y T b > 0.
QED

(3) (1 pt.) Give the denition of convex hull. Let X IRn be a nite set and
let y IRn . Prove that if y conv.hull(X), then there exists a set X  X such
1

that |X  | n + 1 and y conv.hull(X  ).

Answer. Let X IRn then


conv.hull(X) = y IRn | [0, 1] and x, x X such that y = x + (1 )x

Proof. This is Caratheodorys Theorem, which has been proved in Exercise
2.6.

(4) (1.5 pts.) Consider the linear optimization problem

max

1 3 2

1
1 2
2

,
x

0
.
3
2
1
1

8 3 2
2

(a) Solve this problem using the simplex method.

Answer. Written in standard form using slackvariables s1 , s2 , s3 0 and
writing the objective as Z + x1 3x2 2x3 + s1 + s2 + s3 = 0 gives in table
form:
1 3 2 0 0 0
1
1
2 1 0 0
3
2
1 0 1 0
8 3
2 0 0 1

0
2
1
2

Select x2 as entering basic variable. The minimum ratio test shows that s2
leaves the basis. Pivoting to create a unit-vector in the column of x2 yields:
72

0 12

3
2

3
2

1
2

3
2

1 12

3
2

32

1
2

1
2

1
2

7
2

7
2

3
2

7
2

Select x1 as entering basic variable. The minimum ratio test shows that s3
leaves the basis. Pivoting to create a unit-vector in the column of x1 yields:
0 0 3 0

1 5

0 0 1 1 10
14

17

0 1 2 0

16
14

3
7

1 0 1 0

3
7

2
7

All reduced coecients have become positive. Thus the optimal solution is
x1 = 1, x2 = 2, x3 = 0 with objective value 5.
(b) Determine the dual of this problem.
Answer. The dual problem is:

min

2 1 2

1
1 2
1

T
y 3
2 1 3 ,y 0 .

8 3 2
2

(c) State the complementary slackness condition for optimality of a primal feasible solution x and a dual feasible solution y.
Answer. Dene the vector s = (s1 , s2 , s3 ) by

2
1
1 2

s = 1 3
2 1 x
2
8 3 2
Then the rst set of complementary slack constraints is yi si = 0 for i = 1, 2, 3.
For the second set of complementary slack constraints dene t = (t1 , t2 , t3 ) by

1
1 2


T
2 1 1 3 2 x
t = y 3
8 3 2
Then tj xj = 0 for j = 1, 2, 3.
(d) Find a dual optimal solution.
Answer. The optimal dual solution is equal to the reduced objective coecients of the slack variables. Thus from the optimal table we read: y1 = 0, y2 =
3, y3 = 1 indeed having dual objective value 5.

(5) (1 pt.) Determine k N , v ZZ 4 and a k 4 matrix W such that



x ZZ 4

2
1 4
5 4
7

x=

3
1



= v + W y
y ZZ k .

No Answer. This is a problem of solving a system of linear diophantine equations, which we did not treat in the course. I apologise for this mistake. I
thought that it was an easy exercise, since I missed the ZZ-condition. It is an
easy exercise if all ZZ are replaced by IR. Instead I have given everyone 1 point
for free.

(6) (1 pt.) Let D = (N , A) be a directed graph and let A be the |N | |A|

(signed) incidence matrix. Suppose x ZZ|A| is such that Ax = 0 and x 0.
Show that there are directed circuits C1 , . . . , Ck of D such that
x = (C1 ) + . . . + (Ck ),
where for any B A, the vector (B) ZZ|A| is dened by (B)a = 1 if a B
/ B.
and (B)a = 0 if a
Answer. Take an arbitrary x with Ax = 0. Such a x is called a circulation.
Take any arc (i, j) with xij > 0. Because x is a circulation there must exist
an arc (j, h) that carries positive ow. Continue to do so until returning to a
vertex that was visited before. Then we have detected a directed cycle C1 in
D that carries positive integer x-ow, hence each arc on C1 carries integer ow
at least 1. Dene xa = 1 for all a C1 and xa = 0 otherwise. (This is what
was called a simple ow on only forward arcs in the book.) It is here called
(C1 ). Clearly, A(C1 ) = 0 and therefore x
= x (C1 ) is another circulation:
+ (C1 ) and aA x
a aA xa 2.
A
x = Ax A(C1 ) = 0. Moreover, x = x
The process can be repeated for x
, etc. until a zero-ow remains.

(7) (1 pt.) Let A be an m n integer matrix with linearly independent rows

and let b ZZm . Let x be a vertex of {x IRn | Ax b, x 0}. Prove that for
all i = 1, . . . , n
(mU )m xi (mU )m ,
with U the maximum absolute value of the entries in A and b. Hint. Use
Cramers rule.
Answer. This is Lemma 8.2 (b) in the book.

(8) (1 pt.) A dynamic single-item lot-sizing problem. We consider the production of a single product over T periods. If we decide to produce at period t,
a setup cost of ct is incurred. For t = 1, . . . , T , let dt be the demand for this
product in period t, and let pt and ht be the unit production cost and the unit
storage cost for period t, respectively.
(a) Formulate an integer linear programming problem in order to minimize the
total cost of production, storage and setup in order to satisfy all demand.
Answer. Let
xt := production in period t;
yt a binary variable indicating if there is production in period t (yy = 1)
or not (yt = 0);
4

 as auxiliary variable we use St as the storage at the end of period t 1;

T
i=t di

we also use Mt =
t.

as an upper bound on the production in period

The binary ILP becomes:

min

T
t=1 (ct yt

+ pt xt + ht St )

s.t. S1 = x1 d1
St = St1 + xt dt , t = 2, . . . , T
xt Mt yt , t = 1, . . . , T
xt 0, t = 1, . . . , T
yt {0, 1}, t = 1, . . . , T
St 0, t = 1, . . . , T
(b) Suppose we allow demand to be rejected in every period except for period
T , at a cost of bt per unit rejected demand. Show how to modify the model to
handle this option.
Answer. Introduce extra variable rt as the amount of demand rejected in
period t. The problem then becomes
min

T
t=1 (ct yt

+ pt xt + bt rt + ht St )

s.t. S1 = x1 d1 + r1
St = St1 + xt dt + rt , t = 2, . . . , T
xt Mt yt , t = 1, . . . , T
xt 0, t = 1, . . . , T
0 rt dt , t = 1, . . . , T 1
rT = 0
yt {0, 1}, t = 1, . . . , T
St 0, t = 1, . . . , T
(c) Suppose that production can occur in at most ve periods, but no two such
periods can be consecutive. Show how to modify the model to handle this option.

Answer. Into the program insert the restrictions:

T
!

yt 5

t=1

and
yt + yt1 1, t = 2, . . . , T.

(9) (1.5 pt.) Consider the integer linear optimization problem

min x1 + x2
3x1 + 4x2 6, 4x1 + 2x2 3, 3 x1 0, 3 x2 0, x ZZ2 .
(a) Sketch the feasible set and point out the optimal solution.
(b) Give the Lagrange relaxation and the Lagrange dual associated that arises
by relaxing the rst inequality, 3x1 + 4x2 6.
Answer. The Lagrange relaxation for some multiplier 0 is

min x1 + x2 + (6 3x1 4x2 )

4x1 + 2x2 3, 3 x1 0, 3 x2 0, x ZZ2 ,
and the Lagrange dual is therefore


max
0

min x1 + x2 + (6 3x1 4x2 )

4x1 + 2x2 3, 3 x1 0, 3 x2 0, x ZZ2