ALGORITHME DE DANTZIG PDF

In mathematical optimization , Dantzig 's simplex algorithm or simplex method is a popular algorithm for linear programming. The name of the algorithm is derived from the concept of a simplex and was suggested by T. The shape of this polytope is defined by the constraints applied to the objective function. The simplex algorithm operates on linear programs in the canonical form. There is a straightforward process to convert any linear program into one in standard form, so using this form of linear programs results in no loss of generality. An extreme point or vertex of this polytope is known as basic feasible solution BFS.

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Dantzig—Wolfe decomposition is an algorithm for solving linear programming problems with special structure. It was originally developed by George Dantzig and Philip Wolfe and initially published in Dantzig—Wolfe decomposition relies on delayed column generation for improving the tractability of large-scale linear programs.

For most linear programs solved via the revised simplex algorithm , at each step, most columns variables are not in the basis. In such a scheme, a master problem containing at least the currently active columns the basis uses a subproblem or subproblems to generate columns for entry into the basis such that their inclusion improves the objective function.

In order to use Dantzig—Wolfe decomposition, the constraint matrix of the linear program must have a specific form. A set of constraints must be identified as "connecting", "coupling", or "complicating" constraints wherein many of the variables contained in the constraints have non-zero coefficients. The remaining constraints need to be grouped into independent submatrices such that if a variable has a non-zero coefficient within one submatrix, it will not have a non-zero coefficient in another submatrix.

This description is visualized below:. The D matrix represents the coupling constraints and each F i represents the independent submatrices. Note that it is possible to run the algorithm when there is only one F submatrix. After identifying the required form, the original problem is reformulated into a master program and n subprograms. This reformulation relies on the fact that a non-empty, bounded convex polyhedron can be represented as a convex combination of its extreme points or, in the case of an unbounded polyhedron, a convex combination of its extreme points and a weighted combination of its extreme rays.

Each column in the new master program represents a solution to one of the subproblems. The master program enforces that the coupling constraints are satisfied given the set of subproblem solutions that are currently available. The master program then requests additional solutions from the subproblem such that the overall objective to the original linear program is improved.

While there are several variations regarding implementation, the Dantzig—Wolfe decomposition algorithm can be briefly described as follows:.

The algorithm can be implemented such that the subproblems are solved in parallel, since their solutions are completely independent. When this is the case, there are options for the master program as to how the columns should be integrated into the master. The master may wait until each subproblem has completed and then incorporate all columns that improve the objective or it may choose a smaller subset of those columns.

Another option is that the master may take only the first available column and then stop and restart all of the subproblems with new objectives based upon the incorporation of the newest column. Another design choice for implementation involves columns that exit the basis at each iteration of the algorithm. Those columns may be retained, immediately discarded, or discarded via some policy after future iterations for example, remove all non-basic columns every 10 iterations.

Tebboth [11]. From Wikipedia, the free encyclopedia. Dantzig; Philip Wolfe Operations Research. Tsitsiklis Linear Optimization. Athena Scientific. Dantzig; Mukund N. Thapa Linear Programming 2: Theory and Extensions. Linear Programming. Beasley ed. Advances in linear and integer programming. Oxford Science. Computational techniques of the simplex method. Optimization theory for large systems reprint of the Macmillan ed. Retrieved December 26, Retrieved October 15, University of Buckingham, United Kingdom.

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