Identifying the Set of Always-Active Constraints in a System of Linear Inequalities by a Single Linear Program Robert M. Freund Robin Roundy Michael J. Todd Sloan W.P. No. 1674-85 (Rev) October, 1985 Abstract: Given a system of m linear the form Ax < b, a constraint inequalities in n unknowns of index i is called always-active if Ax < b has a solution and every solution satisfies Aix = b i. lies Our interest in identifying the set of always-active constraints of Ax solving one linear program generated from the data Key Words: Linear Abbreviated Title: b by (A,b). Inequalities, Active Constraints, Linear Program. Always-Active Constraints. Given a system of m linear inequalities in n unknowns, of the form Ax < b, (*) a constraint index i is called always-active if Ax < b has a solution and every solution satisfies Aix = bi, active in every solution. i.e. the ith constraint is In large optimization problems where the constraint set is given by the system (*), identifying the always- a-ctive constraints before processing the problem enables the user to explicitly reduce both the dimension of the feasible region and the number of constraints, and has the potential therefore to simplify the original problem. Our interest lies in identifying the set of always- active constraints by solving just one linear program generated from the data (A,b). A first attempt (also noted by several of our colleagues) is to solve maximize eTy x,y Ax+y < b (P1) 0 < y < ce where e is the vector of ones of appropriate dimension and positive and "sufficiently small." however hard to determine. A suitable value of is seems If the data (A,b) is integer (or rational), then Orlin has pointed out [3] that a sufficiently small can be predetermined (using arguments similar to those used in the ellipsoid method). 2 Our first solution is closely related to homogenization as similar to (P1), and employs those reducing questions about polyhedra to questions about convex cones. Consider the linear program: maximize eTy x,y,a Ax+y-ba < 0 a > (P2) 1 We have the following straightforward result: Proposition 1. and finite, If the system (*) is feasible, then (P2) and for any optimal solution always-active constraint indices (x*,y*,a*) to is the set ily* is feasible (P2), the set of = 0). Furthermore, x* is an element of the relative interior of (xeRnlAx < b}. the system (*) is not feasible, then Another linear program that (P2) is infeasible. identifies all of If [X] the always-active constraints is obtained through consideration of the following problem. maximize t x,t subject Obviously, to: (P3). Ax+et < b (P3) is always feasible, solution to constraints. (*), When t*=O, it can easily be shown that if x* and X* are and its dual minimize X subject if and only if there is no > 0 if and only if there are no always-active and t optimal values of (P3) t* < 0 to: XTb ATX = 0 eT = (D3), namely (D3), 1 >O 3 then if X i > 0, the ith constraint is always-active, and if Aix* than the ith-constraint is not always-active. we have a strictly complementary (D3) (i.e. X i > 0 or bi - pair of for each constraint whether or not it If we could ensure that optimal Aix*> 0 for each i), < bi, solutions to (P3) and then we could identify is always-active. This is accomplished by solving the following linear program: maximize e x,X,t,e subject to: (1) Ax + et < b (2) ATX = 0 (3) eTX = + t = 0 (4) -bTX (5) X-Ax-et-ee (6) X (6) represent dual > -b > 0 feasibility, contraint duality, and a positive value of strict complementarity of X and (*) has a solution. Proposition 2. constraints. If If set (4) represents strong in constraints (b-Ax) when t=0. (5) represents Tucker's strict We have: infeasible, then (*) has no always-active (x*,X*,t*,e*), we have: = 0, the set of always-active constraint indices (i*kXi {xERnAx (3) and (P4) is feasible, then it is finite, and for any optimal solution If t (P4) is (2), ensures that a positive value of e will complementarity theorem [4] (i) (P4) (1) represent primal feasibility, constraints Constraints exist if 1 > 0) and x* lies in the relative interior of < b). 4 is the III t* > O, (ii) If (iii) If t* < 0, Instead of there are no always-active constraints. the system (*) has no solution. the system (*), Ax=b, [X] we could have worked with the system x> O, (**) whereby the always-active constraints would correspond to null variables of to (**), interest (**), i.e. see Luenberger in the recent variables xj [2]. such that xj=O Determining null in every solution variables is also of linear programming algorithm of Karmarkar 5 [1]. References [1] N. Karmarkar, "A new polynomial-time algorithm for linear programming," Combinatorica 4 (1984) pp. 373-395. [2] D.G. Luenberger, Introduction to linear and nonlinear programming (Addison-Wesley, Reading, Massachusetts, 1973). [3] J.B. [4] A.W. Tucker, "Dual systems of homogeneous linear relations," in: H.W. Kuhn and A.W. Tucker, eds., Linear Inequalities and Related Systems, Annals of Mathematics Study No. 38 (Princeton University Press, Princeton, New Jersey, 1956) pp. 3-18. Orlin, private communication. 6