Combinatorics (Fall 2010)/Duality, Matroid

Duality

Consider the following LP:

[math]\displaystyle{ \begin{align} \text{minimize} && 7x_1+x_2+5x_3\\ \text{subject to} && x_1-x_2+3x_3 &\ge 10\\ && 5x_1-2x_2-x_3 &\ge 6\\ && x_1,x_2,x_3 &\ge 0 \end{align} }[/math]

Let [math]\displaystyle{ OPT }[/math] be the value of the optimal solution. We want to estimate the upper and lower bound of [math]\displaystyle{ OPT }[/math].

Since [math]\displaystyle{ OPT }[/math] is the minimum over the feasible set, every feasible solution forms an upper bound for [math]\displaystyle{ OPT }[/math]. For example [math]\displaystyle{ \boldsymbol{x}=(2,1,3) }[/math] is a feasible solution, thus [math]\displaystyle{ OPT\le 7\cdot 2+1+5\cdot 3=30 }[/math].

For the lower bound, the optimal solution must satisfy the two constraints:

[math]\displaystyle{ \begin{align} x_1-x_2+3x_3 &\ge 10,\\ 5x_1-2x_2-x_3 &\ge 6.\\ \end{align} }[/math]

Since the [math]\displaystyle{ x_i }[/math]'s are restricted to be nonnegative, term-by-term comparison of coefficients shows that

[math]\displaystyle{ 7x_1+x_2+5x_3\ge(x_1-x_2+3x_3)+(5x_1-2x_2-x_3)\ge 16. }[/math]

The idea behind this lower bound process is that we are finding suitable nonnegative multipliers (in the above case the multipliers are all 1s) for the constraints so that when we take their sum, the coefficient of each [math]\displaystyle{ x_i }[/math] in the sum is dominated by the coefficient in the objective function. It is important to ensure that the multipliers are nonnegative, so they do not reverse the direction of the constraint inequality.

To find the best lower bound, we need to choose the multipliers in such a way that the sum is as large as possible. Interestingly, the problem of finding the best lower bound can be formulated as another LP:

[math]\displaystyle{ \begin{align} \text{maximize} && 10y_1+6y_2\\ \text{subject to} && y_1+5y_2 &\le 7\\ && -y_1+2y_2 &\le 1\\ &&3y_1-y_2 &\le 5\\ && y_1,y_2&\ge 0 \end{align} }[/math]

Here [math]\displaystyle{ y_1 }[/math] and [math]\displaystyle{ y_2 }[/math] were chosen to be nonnegative multipliers for the first and the second constraint, respectively. We call the first LP the primal program and the second LP the dual program. By definition, every feasible solution to the dual program gives a lower bound for the primal program.

LP duality

Given an LP in canonical form, called the primal LP:

[math]\displaystyle{ \begin{align} \text{minimize} && \boldsymbol{c}^T\boldsymbol{x}\\ \text{subject to} && A\boldsymbol{x} &\ge\boldsymbol{b}\\ && \boldsymbol{x} &\ge \boldsymbol{0} \end{align} }[/math]

the dual LP is defined as follows:

[math]\displaystyle{ \begin{align} \text{maximum} && \boldsymbol{b}^T\boldsymbol{y}\\ \text{subject to} && A^T\boldsymbol{y} &\le\boldsymbol{c}\\ && \boldsymbol{y} &\le \boldsymbol{0} \end{align} }[/math]

We then give some examples.

Surviving problem (diet problem)

Let us consider the surviving problem. Suppose we have [math]\displaystyle{ n }[/math] types of natural food, each containing up to [math]\displaystyle{ m }[/math] types of vitamins. The [math]\displaystyle{ j }[/math]th food has [math]\displaystyle{ a_{ij} }[/math] amount of vitamin [math]\displaystyle{ i }[/math], and the price of the [math]\displaystyle{ j }[/math]th food is [math]\displaystyle{ c_j }[/math]. We need to consume [math]\displaystyle{ b_i }[/math] amount of vitamin [math]\displaystyle{ i }[/math] for each [math]\displaystyle{ 1\le i\le m }[/math] to keep a good health. We want to minimize the total costs of food while keeping healthy. The problem can be formalized as the following LP:

[math]\displaystyle{ \begin{align} \text{minimize} \quad& c_1x_1+c_2x_2+\cdots+c_nx_n\\ \begin{align} \text{subject to} \\ \\ \end{align} \quad & \begin{align} a_{i1}x_{1}+a_{i2}x_{2}+\cdots+a_{in}x_{n} &\le b_{i} &\quad& \forall 1\le i\le m\\ x_{j}&\ge 0 &\quad& \forall 1\le j\le n \end{align} \end{align} }[/math]

The dual LP is

[math]\displaystyle{ \begin{align} \text{maximize} \quad& b_1y_1+b_2y_2+\cdots+b_ny_m\\ \begin{align} \text{subject to} \\ \\ \end{align} \quad & \begin{align} a_{1j}y_{1}+a_{2j}y_{2}+\cdots+a_{mj}y_{m} &\le c_{j} &\quad& \forall 1\le j\le n\\ y_{i}&\ge 0 &\quad& \forall 1\le i\le m \end{align} \end{align} }[/math]

The problem can be interpreted as follows: A food company produces [math]\displaystyle{ m }[/math] types of vitamin pills. The company wants to design a pricing system such that

• The vitamin [math]\displaystyle{ i }[/math] has a nonnegative price [math]\displaystyle{ y_i }[/math].
• The price system should be competitive to any natural food. A costumer cannot replace the vitamins by any natural food and get a cheaper price, that is, [math]\displaystyle{ \sum_{i=1}^my_ja_{ij}\le c_j }[/math] for any [math]\displaystyle{ 1\le j\le n }[/math].
• The company wants to find the maximal profit, assuming that the customer only buy exactly the necessary amount of vitamins ([math]\displaystyle{ b_i }[/math] for vitamin [math]\displaystyle{ i }[/math]).

Maximum flow problem

In the last lecture, we defined the maximum flow problem, whose LP is

[math]\displaystyle{ \begin{align} \text{maximize} \quad& \sum_{v:(s,v)\in E}f_{sv}\\ \begin{align} \text{subject to} \\ \\ \\ \\ \end{align} \quad & \begin{align} f_{uv}&\le c_{uv} &\quad& \forall (u,v)\in E\\ \sum_{u:(u,v)\in E}f_{uv}-\sum_{w:(v,w)\in E}f_{vw} &=0 &\quad& \forall v\in V\setminus\{s,t\}\\ f_{uv}&\ge 0 &\quad& \forall (u,v)\in E \end{align} \end{align} }[/math]

where directed graph [math]\displaystyle{ G(V,E) }[/math] is the flow network, [math]\displaystyle{ s\in V }[/math] is the source, [math]\displaystyle{ t\in V }[/math] is the sink, and [math]\displaystyle{ c_{uv} }[/math] is the capacity of directed edge [math]\displaystyle{ (u,v)\in E }[/math].

We add a new edge from [math]\displaystyle{ t }[/math] to [math]\displaystyle{ s }[/math] to [math]\displaystyle{ E }[/math], and let the capacity be [math]\displaystyle{ c_{ts}=\infty }[/math]. Let [math]\displaystyle{ E' }[/math] be the new edge set. The LP for the max-flow problem can be rewritten as:

[math]\displaystyle{ \begin{align} \text{maximize} \quad& f_{ts}\\ \begin{align} \text{subject to} \\ \\ \\ \\ \end{align} \quad & \begin{align} f_{uv}&\le c_{uv} &\quad& \forall (u,v)\in E\\ \sum_{u:(u,v)\in E'}f_{uv}-\sum_{w:(v,w)\in E'}f_{vw} &\le0 &\quad& \forall v\in V\\ f_{uv}&\ge 0 &\quad& \forall (u,v)\in E' \end{align} \end{align} }[/math]

The second set of inequalities seem weaker than the original conservation constraint of flows, however, if this inequality holds at every node, then in fact it must be satisfied with equality at every node, thereby implying the flow conservation.

To obtain the dual program we introduce variables [math]\displaystyle{ d_{uv} }[/math] and [math]\displaystyle{ p_v }[/math] corresponding to the two types of inequalities in the primal. The dual LP is:

[math]\displaystyle{ \begin{align} \text{minimize} \quad& \sum_{(u,v)\in E}c_{uv}d_{uv}\\ \begin{align} \text{subject to} \\ \\ \\ \\ \end{align} \quad & \begin{align} d_{uv}-p_u+p_v &\ge 0 &\quad& \forall (u,v)\in E\\ p_s-p_t &\ge1 \\ d_{uv} &\ge 0 &\quad& \forall (u,v)\in E\\ p_v&\ge 0 &\quad& \forall v\in V \end{align} \end{align} }[/math]

It is more helpful to consider its integer version:

[math]\displaystyle{ \begin{align} \text{minimize} \quad& \sum_{(u,v)\in E}c_{uv}d_{uv}\\ \begin{align} \text{subject to} \\ \\ \\ \\ \end{align} \quad & \begin{align} d_{uv}-p_u+p_v &\ge 0 &\quad& \forall (u,v)\in E\\ p_s-p_t &\ge1 \\ d_{uv} &\in\{0,1\} &\quad& \forall (u,v)\in E\\ p_v&\in\{0,1\} &\quad& \forall v\in V \end{align} \end{align} }[/math]

In the last lecture, we know that the LP for max-flow is totally unimordular, so is this dual LP, therefore the optimal solutions to the integer program are the optimal solutions to the LP.

The variables [math]\displaystyle{ p_v }[/math] defines a bipartition of vertex set [math]\displaystyle{ V }[/math]. Let [math]\displaystyle{ S=\{v\in V\mid p_v=1\} }[/math]. The complement [math]\displaystyle{ \bar{S}=\{v\in V\mid p_v=1\} }[/math].

For 0/1-valued variables, the only way to satisfy [math]\displaystyle{ p_s-p_t\ge1 }[/math] is to have [math]\displaystyle{ p_s=1 }[/math] and [math]\displaystyle{ p_t=0 }[/math]. Therefore, [math]\displaystyle{ (S,\bar{S}) }[/math] is an [math]\displaystyle{ s }[/math]-[math]\displaystyle{ t }[/math] cut.

In an optimal solution, [math]\displaystyle{ d_{uv}=1 }[/math] if and only if [math]\displaystyle{ u\in S,v\in\bar{S} }[/math] and [math]\displaystyle{ (u,v)\in E }[/math]. Therefore, the objective function of an optimal solution [math]\displaystyle{ \sum_{u\in S,v\not\in S\atop (u,v)\in E}c_{uv} }[/math] is the capacity of the minimum [math]\displaystyle{ s }[/math]-[math]\displaystyle{ t }[/math] cut [math]\displaystyle{ (S,\bar{S}) }[/math].

Duality theorems

Let the primal LP be:

[math]\displaystyle{ \begin{align} \text{minimize} && \boldsymbol{c}^T\boldsymbol{x}\\ \text{subject to} && A\boldsymbol{x} &\ge\boldsymbol{b}\\ && \boldsymbol{x} &\ge \boldsymbol{0} \end{align} }[/math]

Its dual LP is:

[math]\displaystyle{ \begin{align} \text{maximum} && \boldsymbol{b}^T\boldsymbol{y}\\ \text{subject to} && A^T\boldsymbol{y} &\le\boldsymbol{c}\\ && \boldsymbol{y} &\le \boldsymbol{0} \end{align} }[/math]

Matroid

Matroids

Let [math]\displaystyle{ X }[/math] be a finite set and [math]\displaystyle{ \mathcal{F}\subseteq 2^X }[/math] be a family of subsets of [math]\displaystyle{ X }[/math]. A member set [math]\displaystyle{ S\in\mathcal{F} }[/math] is called maximal if [math]\displaystyle{ S\cup\{x\}\not\in\mathcal{F} }[/math] for any [math]\displaystyle{ x\in X\setminus S }[/math].

For [math]\displaystyle{ Y\subseteq X }[/math], denote [math]\displaystyle{ \mathcal{F}_Y=\{S\in\mathcal{F}\mid S\subseteq Y\} }[/math]. Clearly [math]\displaystyle{ \mathcal{F}_Y }[/math] is the restriction of [math]\displaystyle{ \mathcal{F} }[/math] over [math]\displaystyle{ 2^Y\, }[/math].

Definition

A set system [math]\displaystyle{ \mathcal{F}\subseteq 2^X }[/math] is a matroid if it satisfies: (hereditary) if [math]\displaystyle{ T\subseteq S\in\mathcal{F} }[/math] then [math]\displaystyle{ T\in\mathcal{F} }[/math]; (matroid property) for every [math]\displaystyle{ Y\subseteq X }[/math], all maximal [math]\displaystyle{ S\in\mathcal{F}_Y }[/math] have the same [math]\displaystyle{ |S| }[/math].

Suppose [math]\displaystyle{ \mathcal{F} }[/math] is a matroid. Some matroid terminologies:

• Each member set [math]\displaystyle{ S\in\mathcal{F} }[/math] is called an independent set.
• A maximal independent subset of a set [math]\displaystyle{ Y\subset X }[/math], i.e., a maximal [math]\displaystyle{ S\in\mathcal{F}_Y }[/math], is called a basis of [math]\displaystyle{ Y }[/math].
• The size of the maximal [math]\displaystyle{ S\in\mathcal{F}_Y }[/math] is called the rank of [math]\displaystyle{ Y }[/math], denoted [math]\displaystyle{ r(Y) }[/math].