[Math] Optimality conditions and Directions in Simplex method

linear programmingreference-request

I am trying to understand the optimality conditions in Simplex -method, more in the chat here — more precisely the terms such as "reduced cost" i.e. $\bar{c}_j=c_j-\bf{c}'_B \bf{B}^{-1} \bf{A}_j$ and the "feasible direction" (p.83 1). I am stuck to this point on page 83:

"Given that we are interested in the feasible solutions, we require $\bf A (\bf x + \theta \bf d)=\bf b$, and since $\bf x$ is feasible, we also have $\bf A \bf x=\bf b$. Thus, for the equality constraints to be satsified for $\theta>0$, we need $\bf A \bf d=\bf 0$. Recall now that $d_j=1$, and that $d_i=0$ for all other nonbasic indices $i$. Then,

$$\bf{0}=\bf{A}\bf{d}=\sum_{i=1}^n \bf{A}_i d_i=\sum_{i=1}^m
\bf{A}_{B(i)}d_{B(i)}+A_j=\bf{B}\bf{d}_B +\bf{A}_j$$

or picture here.

Questions

  1. "$d_j=1$ for basic variables" means that all basic vars will be moved by the same amount in the direction $\bf d$, does it?

  2. The phrase "$d_i=0$ for all other nonbasic indices $i$" means that we won't move at all in the direction of nonbasic variables, does
    it?

References

1 Introduction to linear optimization, Bertsimas, 1997

Best Answer

Bertsimas provides some intuition as to what a "feasible direction" is. If you want to remain inside $P$ starting from $x$ in the direction $d$ (given that $x$ is feasible) then you want to make sure that you can find a positive $\theta$ such that $x + \theta d$ is still inside $P$. Graphically, this means that $d$ is a feasible direction (starting from $x$) if you can move at least a little in the direction of $d$ starting from $x$ and stay inside the feasible region $P$.

To answer your questions, you need to look at what Bertsimas states on page 83 carefully. First, recall that for a basic feasible solution in the case that $x\geq 0$, that all the nonbasic variables are zero. Bertsimas wants to move in a particular direction $d$, and he chooses the direction $d$ where $d_j=1$ for exactly one non-basic coordinate corresponding to the nonbasic variable $x_j$ and $d_j$=0 for all other coordinates corresponding to the the remaining non-basic variables. You can think of this as moving along the $x_j$ axis in the positive direction starting from a "non-basic origin" where $x_i=0$ for all non-basic $i$. To visualize this, imagine an example of moving along the $x$-axis from (0,0,0) if you were in $\mathbb{R}^3$ with axes $x$, $y$ and $z$.

By moving in this particular direction, it is very easy to determine the values of the $d$ coordinates corresponding to the basic variables. It is useful to think of $x_B$ and $d_B$ as functions of the non-basic variables. In particular, for his choice of $d$ you end up with a closed-form solution for $d_B$ which he calls the $j$th basic direction.

Bertsimas defines reduced cost in Definition 3.2. Intuitively, $c_j$ is the cost per unit increase in $x_j$ and $-c_B'B^{-1}A_j$ is the cost of the change in the basic variables that arises from enforcing the condition that $Ax=b$. The reduced cost of the non-basic variable $x_j$ is simply $c_j -c_B'B^{-1}A_j$.

Hopefully, this helps.