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Optimization

A polyhedron can represents the feasible set of an optimization program. The program is infeasible when the polyhedron is empty.

isempty

If the V-representation of the polyhedron has been computed, it can be used to solve the linear program.

VRepOptimizer

Otherwise, any programming solver implementing the MathOptInterface interface can be used. See here for a list of available solvers.

Polyhedra.default_solver
Polyhedra.linear_objective_solver

Using a polyhedron for in an optimization model

A polyhedron or representation can be used in the constraint of a JuMP model. For instance, consider the 1-simplex:

julia> using Polyhedra

julia> simplex = HalfSpace([-1, 0], 0) ∩ HalfSpace([0, -1], 0) ∩ HyperPlane([1, 1], 1)
H-representation Polyhedra.Intersection{Int64,Array{Int64,1},Int64}:
1-element iterator of HyperPlane{Int64,Array{Int64,1}}:
 HyperPlane([1, 1], 1),
2-element iterator of HalfSpace{Int64,Array{Int64,1}}:
 HalfSpace([-1, 0], 0)
 HalfSpace([0, -1], 0)

and the following JuMP model with two variables

julia> using JuMP

julia> model = Model()
A JuMP Model
Feasibility problem with:
Variables: 0
Model mode: AUTOMATIC
CachingOptimizer state: NO_OPTIMIZER
Solver name: No optimizer attached.

julia> @variable(model, λ[1:2])
2-element Array{VariableRef,1}:
 λ[1]
 λ[2]

The variables can be constrained to belong to the simplex as follows:

julia> @constraint(model, λ in simplex)
[λ[1], λ[2]] ∈ Polyhedra.PolyhedraOptSet{Int64,Polyhedra.Intersection{Int64,Array{Int64,1},Int64}}(HyperPlane([1, 1], 1) ∩ HalfSpace([-1, 0], 0) ∩ HalfSpace([0, -1], 0))

but a vector of affine or quadratic expressions can also be constrained to belong to the simplex:

julia> A = [1  1
            1 -1]
2×2 Array{Int64,2}:
 1   1
 1  -1

julia> @constraint(model, A * λ in simplex)
[λ[1] + λ[2], λ[1] - λ[2]] ∈ Polyhedra.PolyhedraOptSet{Int64,Polyhedra.Intersection{Int64,Array{Int64,1},Int64}}(HyperPlane([1, 1], 1) ∩ HalfSpace([-1, 0], 0) ∩ HalfSpace([0, -1], 0))

We can verify that the model contains both constraints:

julia> model
A JuMP Model
Feasibility problem with:
Variables: 2
`Array{JuMP.VariableRef,1}`-in-`Polyhedra.PolyhedraOptSet{Int64,Polyhedra.Intersection{Int64,Array{Int64,1},Int64}}`: 1 constraint
`Array{JuMP.GenericAffExpr{Float64,JuMP.VariableRef},1}`-in-`Polyhedra.PolyhedraOptSet{Int64,Polyhedra.Intersection{Int64,Array{Int64,1},Int64}}`: 1 constraint
Model mode: AUTOMATIC
CachingOptimizer state: NO_OPTIMIZER
Solver name: No optimizer attached.
Names registered in the model: λ

When the model is solved, the constraint is automatically transformed into appropriate constraints if the optimizer does not support consraints with the set Polyhedra.PolyhedraOptSet.

julia> import GLPK

julia> optimize!(model, with_optimizer(GLPK.Optimizer))

julia> termination_status(model)
OPTIMAL::TerminationStatusCode = 1

julia> value.(λ)
2-element Array{Float64,1}:
 0.5
 0.5

For instance, GLPK, does not support Polyhedra.PolyhedraOptSet constraints but supports MOI.EqualTo{Float64} and MOI.LessThan{Float64}. The polyhedral constraints are therefore bridged into several MOI.EqualTo{Float64} and MOI.LessThan{Float64} constraints using the following constraint bridge:

Polyhedra.PolyhedraToLPBridge

See Polyhedral Function for an example notebook.

Creating a polyhedron from the feasible set of a JuMP model

A typical application of polyhedral computation is the computation of the set of extreme points and rays of the feasible set of an optimization problem. This comes from the fact that given a minimization of a concave function (or maximization of a convex function) on a convex feasible set (e.g. Linear Programming), we are either in the following three situations:

  • The feasible set is empty, i.e. the problem is infeasible.
  • An extreme ray is optimal, i.e. the problem is unbounded (or it may also be bounded if the objective is constant along the ray).
  • An extreme point is optimal.

A JuMP model is treated by polyhedron just like any H-representation. For example, the hypercube of dimension n can be created as follows

m = Model()
@variable(m, 0 ≤ x[1:n] ≤ 1)

poly = polyhedron(m, CDDLib.Library(:exact))