Fundamental theorem of linear programming
Statement
Let the feasible region be nonempty and bounded. If the linear program has an optimal value, then that optimal value is attained at a vertex (extreme point) of .
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 is a bounded polyhedron defined by finitely many linear inequalities, it has finitely many vertices , and a classical fact about polytopes (Minkowski's theorem) states that every point of is a convex combination of these vertices: , where and .
Because the objective is linear, evaluating it on such a convex combination gives , since each and they sum to .
This shows every feasible has objective value no larger than the best vertex value . But that best vertex, call it , is itself a feasible point of , so it actually attains this upper bound: . Hence the optimum of the linear program is achieved at the vertex , proving the claim.
Topics that use this theorem
Step-by-step proofs
No step-by-step proof yet for this theorem.
References
- George B. Dantzig (1963). Linear Programming and Extensions
- Dimitris Bertsimas, John N. Tsitsiklis (1997). Introduction to Linear Optimization