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Linear programming

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Linear programming, also known as linear optimization, is a mathematical method for finding the best possible outcome within a model. This outcome might be maximizing a profit or minimizing a specific cost. The method works by using linear relationships to represent both the requirements and the objectives of a problem. It is a specialized branch of a broader field called mathematical programming.

Linear optimization in a 2-dimensional polytope
Linear optimization in a 2-dimensional polytope

A linear programming problem is built from two main components. The first is the objective function, which is a real-valued affine function. This function represents the goal, such as total revenue or total cost. The second component consists of linear equality and inequality constraints. These constraints define the limits of the problem, such as available land, time, or materials. When these constraints are combined, they create a feasible region. This region is a convex polytope, which is a set formed by the intersection of many half spaces.

Linear Programming Feasible Region
Linear Programming Feasible Region

To solve the problem, a linear programming algorithm searches the convex polytope for a specific point. This point is where the objective function reaches its largest or smallest value. In a two-dimensional problem, the feasible region might look like a polygon. In three dimensions, the region forms a convex polyhedron.

3dpoly
3dpoly

Finding the optimum involves navigating these shapes to find the most efficient solution. If the problem is written in standard form, it uses variables, vectors, and a matrix to express these relationships clearly.

The history of this field spans many decades and involves several key figures. The ability to solve systems of linear inequalities dates back to 1827, when Fourier published a specific method. This method is now known as Fourier–Motzkin elimination. In the late 1930s, Leonid Kantorovich and Wassily Leontief independently explored practical applications. Kantorovich focused on manufacturing schedules, while Leontief looked at economic applications. Although their work was groundbreaking, it was largely overlooked for many years.

Leonid Kantorovich 1975
Leonid Kantorovich 1975

World War II served as a major turning point for the recognition of linear programming. The method became a vital tool for solving complex wartime challenges. It was used for resource allocation, scheduling, and transportation logistics. These successes propelled the field into the spotlight after the war. In 1941, Frank Lauren Hitchcock formulated transportation problems using these methods. Later, between 1946 and 1947, George B. Dantzig developed a general formulation for the US Air Force. In 1947, Dantzig also invented the simplex method, which allowed for efficient solutions in most cases.

JohnvonNeumann-LosAlamos
JohnvonNeumann-LosAlamos

Dantzig's simplex method demonstrated incredible power through scale. One of his original examples involved assigning 70 people to 70 different jobs. The number of possible configurations for this task exceeds the number of particles in the observable universe. However, the simplex algorithm can find the optimum solution in just a moment. This is because the theory drastically reduces the number of solutions that must be checked. Other breakthroughs include Leonid Khachiyan showing the problem is solvable in polynomial time in 1979, and Narendra Karmarkar's 1984 interior-point method.

Linear programming also features a concept called duality. Every linear programming problem, known as the primal problem, can be converted into a dual problem. The dual problem provides an upper bound for the optimal value of the primal. There are two fundamental ideas in duality theory. First, the dual of a dual linear program returns the original primal program. Second, the weak duality theorem states that the dual's objective value is always greater than or equal to the primal's value at any feasible solution. If the primal has an optimal solution, the strong duality theorem states the dual also has one.

Today, the applications of linear programming are vast and diverse. It is used heavily in mathematics, business, economics, and engineering. Industries such as telecommunications, energy, and manufacturing rely on it for planning and design. It is also used in routing, scheduling, and assignment tasks. Even modern technology uses it, such as Google using linear programming to stabilize YouTube videos. By modeling complex decisions, linear programming helps manage limited resources to achieve the best possible results.

linear programming feasible region farmer example
linear programming feasible region farmer example
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