mthsc810-lecture20-2x2

mthsc810-lecture20-2x2 - MthSc 810: Mathematical...

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Unformatted text preview: MthSc 810: Mathematical Programming Lecture 20 Pietro Belotti Dept. of Mathematical Sciences Clemson University December 6, 2011 Reading for today: Sections 6.1, 6.2 Reading for Thursday: Sections 6.3, 6.4. Recap: Lagrangian relaxation Consider a problem z OPT = min c x s . t . A x = b d x = f x . Lagrangian relaxation applied to the last constraint yields min c x + ( d x f ) s . t . A x = b x , and a lower bound on z OPT for any R . Lagrangian function Consider the function L ( ) = min { c x + ( d x f ) : A x = b , x } = f + min { ( c + d ) x : A x = b , x } , which gives a lower bound on z OPT for any R . What does it look like? For variable c , G ( c ) = min { c x : A x = b , x } is a concave function. It is the objective function value of an LP whose objective function has parametric coefficients, just like L ( ) . Similarly, it can be proved that L ( ) is concave. A tight lower bound Because L ( ) z OPT for any R , the tightest lower bound is max {L ( ) : R } . If the relaxed constraint were d x f , then would be constrained in sign Anyway, max R L ( ) is a maximization problem of a concave function Easy! Equivalent to min {L ( ) : R } , where L ( ) is convex Minimizing L ( ) L ( ) is a convex , piece-wise linear function Piece-wise linear there exists no gradient However, it admits a subgradient . Consider = : L ( ) = f min { ( c + d ) x : A x = b , x } L ( ) = f ( c + d ) x , where x is the optimal solution of the relaxation with = A subgradient of L ( ) at = is f d x If f...
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This note was uploaded on 03/14/2012 for the course MTHSC 810 taught by Professor Staff during the Fall '08 term at Clemson.

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mthsc810-lecture20-2x2 - MthSc 810: Mathematical...

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