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Fundamental theorem of linear programming

Statement

Let the feasible region P={x:Ax≤b,x≥0}P=\{x : Ax\le b, x\ge 0\} be nonempty and bounded. If the linear program max⁡x∈PcTx\max_{x\in P} c^{\mathsf{T}}x has an optimal value, then that optimal value is attained at a vertex (extreme point) of PP.

Why is it true?

The objective is linear, so its level sets are parallel hyperplanes; sliding such a hyperplane across a convex polyhedron, the last point it touches before leaving the region is always a corner, never a point in the interior of a face, because interior points can always be pushed further in the direction that improves the objective.

Proof sketch

Since PP is a bounded polyhedron defined by finitely many linear inequalities, it has finitely many vertices v1,…,vkv_1,\ldots,v_k, and a classical fact about polytopes (Minkowski's theorem) states that every point of PP is a convex combination of these vertices: x=∑i=1kλivix=\sum_{i=1}^{k}\lambda_i v_i, where λi≥0\lambda_i\ge 0 and ∑iλi=1\sum_i \lambda_i=1.

Because the objective cTxc^{\mathsf{T}}x is linear, evaluating it on such a convex combination gives cTx=∑iλi(cTvi)≤(max⁡icTvi)∑iλi=max⁡icTvic^{\mathsf{T}}x=\sum_i \lambda_i\left(c^{\mathsf{T}}v_i\right)\le \left(\max_i c^{\mathsf{T}}v_i\right)\sum_i\lambda_i=\max_i c^{\mathsf{T}}v_i, since each λi≥0\lambda_i\ge 0 and they sum to 11.

This shows every feasible xx has objective value no larger than the best vertex value max⁡icTvi\max_i c^{\mathsf{T}}v_i. But that best vertex, call it vi∗v_{i^*}, is itself a feasible point of PP, so it actually attains this upper bound: cTvi∗=max⁡x∈PcTxc^{\mathsf{T}}v_{i^*}=\max_{x\in P} c^{\mathsf{T}}x. Hence the optimum of the linear program is achieved at the vertex vi∗v_{i^*}, proving the claim.

Topics that use this theorem

Step-by-step proofs

No step-by-step proof yet for this theorem.

References

  1. George B. Dantzig (1963). Linear Programming and Extensions
  2. Dimitris Bertsimas, John N. Tsitsiklis (1997). Introduction to Linear Optimization