Lecture 1b:

Linear Programming Problem (LPP):

Geometry of Linear Programming Problems
Jeff Chak-Fu WONG
Department of Mathematics
Chinese University of Hong Kong
jwong@math.cuhk.edu.hk

MAT581SS
Mathematics for Logistics
Produced by Jeff Chak-Fu WONG

TABLE OF C ONTENTS
Geometry of Linear Programming Problems

ABLE OF

1. Geometry of a Constraint
2. Geometry of the Objection Function
3. Geometry of the Set of Feasible Solutions

C ONTENTS

G EOMETRY OF L INEAR P ROGRAMMING P ROBLEMS

G EOMETRY OF L INEAR P ROGRAMMING P ROBLEMS

Consider the geometry of linear programming problems by looking

at the geometric interpretation of a single constraint,
at a set of constraints, and
at the objection function.

G EOMETRY OF L INEAR P ROGRAMMING P ROBLEMS

G EOMETRY OF A C ONSTRAINT
A single constraint of a linear programming problem in general form,
say ith one,
ai1 x1 + ai2 x2 + ai3 x3 + + ain xn bi ,
can be written as
aT x bi
where
aT = [ai1

ai2

ain ].

The set of points

x = [x1

x2

xn ] Rn

that satisfy this constraint is called a closed half-space.

G EOMETRY OF A C ONSTRAINT

If this inequality is reversed, the set of points

x = [x1

x2

xn ] Rn

that satisfy
aT xbi
is also called a closed half-space.

G EOMETRY OF A C ONSTRAINT

Example 1 Consider the constraint

2x + 3y 6
and the closed half-space


x  h
 2
H=
y 

x
y

which consists of the points satisfying the constraint.

Note that
The points (3, 0) and (1, 1) satisfy the inequality and therefore are in
H.
The points (3, 4) and (1, 3) do not satisfy the inequality and
therefore are not in H.
Every point on the line 2x + 3y = 6 satisfies the constraint and thus
lies in H.

G EOMETRY OF A C ONSTRAINT

Compute the xintercept to be x = 3 and the intercept to be y = 2.

These points have been plotted and the line connecting them has
been drawn in Figure 1(a).
y

2
H

(a)

(b)

Figure 1: Closed half-space in two dimensions

G EOMETRY OF A C ONSTRAINT

Since the origin does not lie on the line 2x + 3x = 6, we use the origin
as the test point.
y

2
H

(a)

(b)

The coordinates of the origin satisfy the inequality, so that H lies

below the line and contains the origin as show in Figure 1(b).

G EOMETRY OF A C ONSTRAINT

Example 2 The constraint in three variables,

4x + 2y + 5z 20,
defines the closed half-space in R3 , where

 h
 4
H=
y


x
i

5 y
20 .

Let us graph H in R3 by graphing the plane

4x + 2y + 5z = 20
and checking a test point.

G EOMETRY OF A C ONSTRAINT

10

 To graph the plane, we graph the intersection of the plane with

each of the coordinate planes.
These intersections are lines in the coordinate planes.
Letting z = 0 yields the line 4x + 2y = 20 in the xy-plane,
which can be graphed as described in Example 1.
Letting y = 0 yields the line 4x + 5z = 20 in the xz-plane.
Setting x = 0 yields the line 2y + 5z = 20 in the yz-plane.
The graph of the plane containing these lines is shown in Figure 2.

G EOMETRY OF A C ONSTRAINT

11

(0,0,4)
2x + 5z = 20
4x + 5z = 20
(0,10,0)
(5,0,0)

4x + 2y = 20

Figure 2: Closed half-space in three dimensions

The origin does not lie on the plane and thus can be used as a test
point.
It satisfies the inequality so that the closed half-space contains the
origin as shown in Figure 2.

G EOMETRY OF A C ONSTRAINT

12

In more than three dimensions, it is impossible to sketch a closed

half-space.
However, one can
think about the geometry of closed half-spaces in any
dimension and
use the lower dimension examples as models for our
computations.

G EOMETRY OF A C ONSTRAINT

13

A typical constraint of a linear programming problem in standard

form has the equation
aT x = b.

(1)

Its graph in Rn is a hyperplane.

If this equation were an inequality namely,
aT x b,
then the set of points satisfying the inequality would be a closed
half-space.
Thus, a hyperplane is the boundary of a closed half-space.
Intuitively, it consists of the points that are in the half-space, but on
its edge.

G EOMETRY OF A C ONSTRAINT

14

Example 3 The equation

4x + 2y + 5z = 20
in R3 .
defines a hyperplane H
The graph of this hyperplane, which is really a plane in this case, is shown
in Figure 2.

G EOMETRY OF A C ONSTRAINT

(0,0,4)
2x + 5z = 20
4x + 5z = 20
(0,10,0)
(5,0,0)

4x + 2y = 20

15

 is the boundary of the closed half-space H1 defined by

The hyperplane H
the inequality
4x + 2y + 5z 20,
considered in Example 2.

(0,0,4)
2x + 5z = 20
4x + 5z = 20
(0,10,0)
(5,0,0)

4x + 2y = 20

and lies behind the

The half-space H1 extends below the hyperplane H
page.

G EOMETRY OF A C ONSTRAINT

16

 is the boundary of the closed half-space H2 defined by

Also see that H
4x + 2y + 5z 20.
The half-space H2 extends above the hyperplane and reaches out of the
page.

G EOMETRY OF A C ONSTRAINT

(0,0,4)
2x + 5z = 20
4x + 5z = 20
(0,10,0)
(5,0,0)

4x + 2y = 20

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The hyperplane H defined by Eq. (1) divides Rn into the two closed
half-spaces
H1 = {x Rn |aT x b}
and
H2 = {x Rn |aT x b}.
the original hyperplane.
Observe that H1 H2 = H,
In other words, a hyperplane is the intersection of two closed
half-spaces.

G EOMETRY OF A C ONSTRAINT

18

Recall that
A feasible solution to a LPP is a point in Rn that satisfies all the
constraints of the problem and the non-negativity restrictions.
It then follows that this set of feasible solutions is the intersection of
all the closed half-spaces determined by the constraints.
Specifically, the set of solutions to an inequality ( or )
constraints is a single closed half-space, whereas the set of
solutions to an equality constraint is the intersection of two
closed half-spaces.

G EOMETRY OF A C ONSTRAINT

19

Recall that
A feasible solution to a LPP is a point in Rn that satisfies all the
constraints of the problem and the non-negativity restrictions.
It then follows that this set of feasible solutions is the intersection of
all the closed half-spaces determined by the constraints.
Specifically, the set of solutions to an inequality ( or )
constraints is a single closed half-space, whereas the set of
solutions to an equality constraint is the intersection of two
closed half-spaces.

G EOMETRY OF A C ONSTRAINT

20

Recall that
A feasible solution to a LPP is a point in Rn that satisfies all the
constraints of the problem and the non-negativity restrictions.
It then follows that this set of feasible solutions is the intersection of
all the closed half-spaces determined by the constraints.
Specifically, the set of solutions to an inequality ( or )
constraints is a single closed half-space, whereas the set of
solutions to an equality constraint is the intersection of two
closed half-spaces.

G EOMETRY OF A C ONSTRAINT

21

Example 4 Sketch the set of all feasible solutions satisfying the set of
inequalities

G EOMETRY OF A C ONSTRAINT

2x + 3y

x + 2y

0.

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Solution
The set of solutions to the first inequality, 2x + 3y 6, is shown as the
shaded region in Figure 3(a), and the set solutions to the second
inequality, x + 2y 4, form the shaded region in Figure 3(b).
y

-x + 2y = 4

2x + 3y = 6
4

(a)

-4

(b)

Figure 3: Set of all feasible solutions (two dimensions)

In determining these regions, we have used the origin as a test
point.

G EOMETRY OF A C ONSTRAINT

23

The regions satisfying the third and fourth constraints as shown in

Figures 4(a) and (b), respectively.
y
y
x=0

x
y=0

(a)

(b)

Figure 4: Set of all feasible solutions (two dimensions)

G EOMETRY OF A C ONSTRAINT

24

The point (1, 1) was used as a test point to determine these regions.
The intersection of the regions in Figures 3 and 4 is shown in Figure 5;
it is the set of all feasible solutions to the given set of constraints.
y

-x + 2y = 4

-4

x
2x + 3y = 6

Figure 5: Set of all feasible solutions (two dimensions)

G EOMETRY OF A C ONSTRAINT

25

G EOMETRY OF THE O BJECTION F UNCTION

The objective function of any LPP can be written as
cT x.
If k is a constant, then the graph of the equation
cT x = k
is a hyperplane.
Assume that we have a LPP that asks for a maximum value of the
objective function.
In solving this problem, we are searching for points x in the set of
feasible solutions for which the value of k as large as possible.

G EOMETRY OF THE O BJECTION F UNCTION

26

Geometrically we are looking for a hyperplane that intersects the

set of feasible solutions and for which k is a maximum.

The value of k measures the distance from the origin to the

hyperplane.

One can think of starting with very large values of k and then
decreasing them until we find a hyperplane that just touches the set
of feasible solutions.

G EOMETRY OF THE O BJECTION F UNCTION

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Example 5 Consider the LPP

Maximise z = 4x + 3y
subject to

G EOMETRY OF THE O BJECTION F UNCTION

5x

3x2

15

x, y

28

The set of feasible solutions (the shaded region) and the

hyperplanes
z = 9,

z = 12,

z=

27
,
2

and

z = 15

are shown in Figure 6.

z=9

Figure 6: Objective function hyperplanes (two dimensions)

G EOMETRY OF THE O BJECTION F UNCTION

29

The set of feasible solutions (the shaded region) and the

hyperplanes
z = 9,

z = 12,

z=

27
,
2

and

z = 15

are shown in Figure 7.

z = 12
z=9

Figure 7: Objective function hyperplanes (two dimensions)

G EOMETRY OF THE O BJECTION F UNCTION

30

The set of feasible solutions (the shaded region) and the

hyperplanes
z = 9,

z = 12,

z=

27
,
2

and

z = 15

are shown in Figure 8.

z = 27/2

z = 12
z=9

Figure 8: Objective function hyperplanes (two dimensions)

G EOMETRY OF THE O BJECTION F UNCTION

31

The set of feasible solutions (the shaded region) and the

hyperplanes
z = 9,

z = 12,

z=

27
,
2

and

z = 15

are shown in Figure 9.

z = 27/2

z = 15
z = 12
z=9

Figure 9: Objective function hyperplanes (two dimensions)

G EOMETRY OF THE O BJECTION F UNCTION

32

Note that it appears that the maximum value of the objective

3
5
function is 27
,
which
is
obtained
when
x
=
,
y
=
.
2
2
2
This conjecture will be verified in a later lecture.

G EOMETRY OF THE O BJECTION F UNCTION

33

A linear programming problem may not have a solution if the set of

feasible solutions is unbounded.

G EOMETRY OF THE O BJECTION F UNCTION

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Example 6 Consider the LPP

Maximise z = 2x + 5y
subject to
3x

2y

2x2

x, y

G EOMETRY OF THE O BJECTION F UNCTION

35

The graph of the set of feasible solutions and the graphs of

hyperplanes are shown as the shaded region in Figure 10. E.g.,
z = 6,

z = 14,

and

z = 20.

- 3x + 2y = 6

z = 20
x + 2y = 2

z=6

z = 14

Figure 10: Unbounded objective function hyperplanes (two dimensions)

Observe that in each case there are points that lie to the right of
the hyperplane and that are still in the set of feasible solutions.
Evidently the value of the objective function can be made

G EOMETRY OF THE O BJECTION F UNCTION

36

arbitrarily large.

G EOMETRY OF THE O BJECTION F UNCTION

37

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

Let is explore the question of where in the set of feasible solutions we
are likely to find a point at which the objective function takes on its
optimal value.
First show that
if x1 and x2 are two feasible solutions, then any point on the line segment
joining these two points is also a feasible solution.

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

38

The line segment joining x1 and x2 is defined as

{ x Rn | x = x1 + (1 )x2 ,

0 1}.

Observe that, if = 0, we get x2 , and if = 1, we get x1 .

The points of the line segment at which 0 < < 1 are called the
interior points of the line segment.
x1 and x2 and called its end points.

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

39

Suppose that x1 and x2 are feasible solutions of a LPP.

If
aT x bi
is a constraint of the problem, then we have
aT x1 bi

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

and aT x2 bi .

40

For any point

x = x1 + (1 )x2 ,

0 1,

on the line segment joining x1 and x2 , we have

aT x = aT (x1 + (1 )x2 )
= aT x1 + (1 )aT x2
bi + (1 )bi
= bi .
Hence, x also satisfies the constraint.
This result also holds if the inequality in the constraint is reversed
or if the constraint is an equality.
Thus, the line segment joining any two feasible solutions to a LPP
is contained in the set of feasible solutions.

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

41

Consider now two feasible solutions x1 and x2 to a LPP in general

form with objective function
cT x.
If the objective function has the same value k at x1 and x2 , then
proceeding as above we can easily show that
it has the value of k at any point on the line segment joining x1 and x2 .

Suppose that the value of the objective function is different at x1

and x2 , say

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

c T x1 < c T x2 .

42

If x = x1 + (1 )x2 , 0 < < 1, is any interior point of the line

segment joining x1 and x2 , then
cT x = cT (x1 + (1 )x2 )
= cT x1 + (1 )cT x2
< cT x1 + (1 )cT x2

(since cT x1 < cT x2 )

= c T x2 .
That is, the value of the objective function at any interior point of
the line segment is less than its value at one end point.
Likewise, we may show that the value of the objective function at
any interior point of the line segment is greater than its value at one
end point.

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

43

Summarizing, we conclude that

on a given line segment joining two feasible solutions to a LPP,
the objective function
either
is a constant
or
attains a maximum at one end point and a minimum at the
other.
Thus, the property that a set contains the line segment joining
any two points in it has strong implications for linear
programming.
The following definition gives a name to this property.

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44

Definition 1 A subset S of Rn is called convex if any two distinct points

x1 and x2 in S the line segment joining x1 and x2 lies in S.
That is, S is convex if, whenever x1 and x2 S, so does
x = x1 + (1 )x2 ,

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

for 0 1.

45

Example 7 The sets in R2 in Figures 11 and 12 and are convex.

D
C
x

x2
C

x2

x1

x2

x1

A
B

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

B
D

x1

x2
B

Figure 11:

46

x1

x2

x1
x

x
A

x2
O

z
y

x2

x1

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

x
x

x2

x1

Figure 12:

47

The sets in R2 in Figure 13 are not convex.

x1

x2

x1

x1

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

x1

x2

x2

x2

Figure 13:

48

The following results help to identify convex sets.

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

49

Theorem 1 A closed half-space is a convex set.

Theorem 2 A hyperplane is a convex set.
Theorem 3 The intersection of a finite collection of convex sets is convex.
Theorem 4 Let A be an m n matrix, and let b be a vector in Rm . The set
of solutions to the system of linear equations Ax = b, if it is not empty, is a
convex set.

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

50

Convex sets are of two types: bounded and unbounded.

To define a bounded convex set, we first need the concept of a
rectangle.
A rectangle in Rn is a set,
R = { x Rn | ai xi bi }
where ai < bi , i = 1, 2, , n, are real numbers.
A bounded convex set is one that can be enclosed in a rectangle
in Rn . An unbounded convex set cannot be so enclosed.

G EOMETRY OF THE S ET OF F EASIBLE S OLUTIONS

51