Linear Programming (LP) Problems with Non-Unique Solutions

linear programmingoptimization

Consider the following LP problem: $$\mbox{minimize } c^{\top} x: Ax \le b,$$ where $A \in \mathbb{R}^{m \times n}$. Suppose $x^*$ solves this problem to optimality. Let $A_i$ be the $i$th row of $A$. Suppose that

  1. the contour lines of the vector $c$ are not parallel to any of the vectors $\{A_i\}_i$ (i.e., $c$ is not orthogonal to any of the vectors $A_i$),
  2. and that the LP problem is not degenerate (i.e., all extreme points are unique).

My question is: do these two conditions imply that $x^*$ is unique? It is easy to see that this would be true for $x \in \mathbb{R}^2$, but it is not obvious to me if $x \in \mathbb{R}^n$, where $n > 2$.

Edit: Suppose each element of $x$ appears in at least two constraints. To be concrete, assume $A$ is an incidence matrix and $x$ are network flows.

Best Answer

No, the solution is not necessarily unique. As an example: $$ \begin{array}{cl} \max_{x,y,z\in\mathbb{R}} & x + y \\ s.t. & \left\{ \begin{array}{l} 0 \leq x \leq 1 \\ 0 \leq y \leq 1 \\ 0 \leq z \leq 1 \\ \end{array} \right. \end{array} $$ which consists in maximizing the sum of the two first coordinate over the simplex. The solutions are of the form $(1,1,z)$, $z\in(0,1)$.

Edit : I am not a specialist of flow network -- at all. Formally, $x$, $y$ and $z$ already enters in two constraints already.

Now, the example was constructed so than an edge of the hypercube is the set of solution (Borisd is right, this edge is orthogonal to the vector defining the objective function). First, you still can deform a little so than this is no longer an hypercube. Secondly, you can also write the same problem in another system of coordinates so that $z$ enters in all the constraints.

More formally, we have an example $$ \min_{x\in\mathbb{R}^n} \ c^Tx \ : \ Ax \leq b $$ which has several solutions. Let $X$ be an invertible matrix. Then the above problem is equivalent to $$ \min_{x\in\mathbb{R}^n} \ c^TXX^{-1}x \ : \ AXX^{-1}x \leq b \ . $$ Now let us consider the problem $$ \min_{y\in\mathbb{R}^n} \ c^TX y \ : \ AXy \leq b \ . $$ This problem has also several solutions. I think that you can choose $X$ so that every component of $y$ enters in all the constraints.

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