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Convex Hull of Extreme Points in Optimization

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Convex Hull of Extreme Points in Optimization

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ahmedEm
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© All Rights Reserved
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CS 435 : Linear Optimization Fall 2008

Lecture 9: Convex Hull of Extreme Points


Lecturer: Sundar Vishwanathan
Computer Science & Engineering Indian Institute of Technology, Bombay

In this lecture, we complete the proof of the theorem on extreme points mentioned in the previous lecture
and begin the last part of understanding the object {x : Ax ≤ b}.
Proof: (Continuing Part 2.) Here we prove that every extreme point of {x : Ax ≤ b} can be expressed
as an intersection of n linearly independent hyperplanes. We show that if a point in the set cannot be
expressed as an intersection of n linearly independent hyperplanes then we can express it as a convex
combination of two other points in the set.
Let x0 be such a point. We split Ax0 ≤ b into two parts
0 0
A x0 = b (1)
00 00
A x0 < b (2)

By the assumption on x0 , A0 has rank strictly less than n. We wish to express x0 as the convex
combination of two other points y and z. Where do we find this y and z ? At this point, we recommend
visualising examples in two and three dimensions. It will not take long to conjecture that y and z must
also satisfy A0 x = b0 . For instance, if the object is a cube, and x0 is a point on one face of the cube, it
is easy to see that both y and z must also be on that face.
0 0
We need to use the fact that A has rank less than n. One fallout of this is that the solutions to A x = b0
is a subspace of dimension at least one (at least a line) shifted by a vector, and x0 lies in this shifted
subspace. Again it is natural to consider y and z on this line passing through x0 , very close to, and on
either side of x0 . This is what we will show below.
00 00
Since A x0 is strictly less than b , we can draw a small enough sphere around x0 such that every point
00 00
x within the sphere satifies A x0 < b . This means that there is an  such that for which all unit vectors
v, v,
00 00
A (x0 + v) < b (3)
0 0
Since A does not have n linearly independent vectors, we can find an x0 6= ~0 such that A x0 = 0. Then,
0 0 0
A (x0 + x0 ) = A (x0 − x0 ) = b Also,
00 00
A (x0 + x0 ) < b (4)
00 00
0
A (x0 − x ) < b (5)

So x0 + x0 and x0 − x0 are points in {x : Ax ≤ b} and x0 = (1/2)(x0 + x0 ) + (1/2)(x0 − x0 ). Thus
we have expressed x0 as a convex combination of two points in the set. 

1 Convex hull of the extreme points


Definition 1 A convex hull of points p1 , p2 , . . . pn is the set of all points which can be written as convex
combination of p1 , p2 , . . . pn .

One can make a definition even when the set of points is infinite, but we will only deal with finite sets
in this course.
The last step in understanding {x : Ax ≤ b} is the following theorem.

1
2

Theorem 1 Let p1 , p2 , . . . pn be extreme points of x : Ax ≤ b. Then every point in x : Ax ≤ b can be


expressed as a convex combination of the points p1 , p2 , . . . pn .

Take any x0 such that Ax0 ≤ b. We need to show that this can be written as:

x0 = Σi λi pi where Σλi = 1 , 0 ≤ λi ≤ 1. (6)

Again, it is instructive to look at examples especially in two dimensions and see what can be done.
Our proof will be by induction on the dimension of the object {x : Ax ≤ b}. Base Case: Exercise: Do
this when the dimension is 0 and 1.
For the rest of this lecture, we will use an example in two dimensions to illustrate the technique of the
proof. So consider a set {x : Ax ≤ b} as shown in the figure.
Let p be any point inside the set. Now take the extreme point pi , join it to p, and we extend this line
till it touches one of the bounding segments (pk pk+1 in this case) at a point, say q.
Since q lies on the segment joining the extreme points pk and pk+1 it can be expressed as a convex
combination of pk and pk+1 . Therefore,

q = λ1 pk + λ2 pk+1 where λ1 + λ2 = 1. (7)

Also p lies on the segment joining q and pi . So p can expressed as a convex combination of q and pi .
Therefore,
p = λ3 pi + λ4 q where λ3 + λ4 = 1. (8)
Combining the above equations we get

p = λ3 pi + λ4 λ1 pk + λ4 λ2 pk+1 (9)

Now λ3 + λ4 λ1 + λ4 λ2 = 1. Why?
Thus we have expressed p as a convex combination of the extreme points. Where did we use induction ?
In expressing q as a convex combination of pk and pk+1 . Once we have q, our focus was the line segment
between pk and pk+1 .
In the next lecture we use the same technique and complete the proof. This needs some clear thinking
and the ability to be able to express your intuition in the language we have developed.

Common questions

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Visualizing simpler geometric cases, such as lines and polygons in two or three dimensions, helps in intuitively grasping the nature of higher-dimensional interactions in convex hull problems. By examining extreme points, line segments, and intersection behaviors in lower-dimensional spaces, one can generalize these observations to understand dimensional transitions and boundary conditions affecting point sets within the feasible region \(\{x: Ax \leq b\}\). Such visualization fosters comprehension of extending line segments, deriving bounding determinants, and utilizing induction for complex geometry, moving beyond linear recognition into recognizing layered dimensional relationships needed at advanced stages of linear optimization .

Examining two and three-dimensional examples is encouraged to provide intuitive geometric understanding and insights into the behaviors and properties of convex combinations and interactions within geometric spaces. These dimensions allow manageable visualization of key processes like convex hull construction, linearity verification, and intersection assessment under constraints \(Ax \leq b\). By reducing complexity, one gains appreciation for properties extending into abstract higher dimensions without losing focus on core structural implications and behaviors manifested graphically, bolstering reasoning for more intricate analytic exploration and proofs advanced in theoretical linear optimization contexts .

Induction is utilized in proving the convex hull theorem by tackling progressively higher dimensions, illustrating how each case extends from simpler dimensions. For a 2D example, a point \(p\) inside the set \(\{x: Ax \leq b\}\) is examined by drawing a line from an extreme point \(p_i\) through \(p\), continued until meeting a boundary. Any point \(q\) on this line between boundary points \(p_k, p_{k+1}\) induces the step \(q = \lambda_1 p_k + \lambda_2 p_{k+1}\). This inductive step bridges from lower to higher dimensions, proving any point \(p\) within the set as a convex combination of extreme points by inductive assumptions validated at lower dimensions .

Rank plays a crucial role in linear optimization because it defines the linear independence of constraints, predicting expressibility outcomes for points like \(x_0\). If \(A'\), deriving from a system \(Ax_0 \leq b\), has rank less than \(n\) (full row rank), then there exists nontrivial solutions \(x'\) to \(A'x' = 0\). This indicates that the feasible region, though bounded by these constraints, contains a dimensional subspace: \(x_0\) inside depends on additional dimensional movement freedom, enabling its expression as a combination of other set points, demonstrating continuity and possible combinatory structure required for optimization solutions .

An extreme point in the context of a convex hull is defined as a point that cannot be expressed as a convex combination of other points within the set. It is essentially a vertex that forms at the intersection of several hyperplanes \(n\) where those hyperplanes are linearly independent. Within the constraint set \(\{x : Ax \leq b\}\) if \(x_0\) is at the intersection of \(n\) linearly independent hyperplanes, \(x_0\) represents an extreme boundary. Therefore, every configuration of the convex hull in this linear system must encompass these extreme points as intersection loci essential for structure and delineation of limits within optimization contexts .

By proving that any point, specifically an extreme point in the set \(\{x : Ax \leq b\}\), can be expressed as an intersection of \(n\) linearly independent hyperplanes, we rely on the theorem that if a point cannot be so expressed, it must be a convex combination of other points in the set. Consider a point \(x_0\) which, under the decomposition \(Ax_0 \leq b\), splits into \(A'x_0 = b'\) and \(A''x_0 < b''\). If \(A'\) has rank less than \(n\), then \(x_0\) can be expressed as a convex combination \((1/2)(x_0 + \epsilon x') + (1/2)(x_0 - \epsilon x')\), where \(x'\neq 0\) satisfies \(A'x' = 0\). Thus, \(x_0\) can be a combination of other points, supporting both intersection and convex hull principles .

The mathematical representation \(x_0 = \Sigma_i \lambda_i p_i\) implies that any point \(x_0\) within the set \(\{x : Ax \leq b\}\) can be reconstructed exactly via a convex combination of its extreme points \(p_1, p_2, \ldots, p_n\). This equation states the position \(x_0\) holds is not arbitrary but derived from formal linear proportions. Each coefficient \(\lambda_i\) must satisfy \(\Sigma \lambda_i = 1\) and \(0 \leq \lambda_i \leq 1\), ensuring \(x_0\) lies within the 'extremes' defined spatially by endpoints of feasible bounding hyperplanes. It symbolizes structured consistency within geometric independence from any other arbitrary direction or external offsets simplifying expression of entire feasible region by extremities .

A convex hull of extreme points \(p_1, p_2, \ldots, p_n\) of a set \(\{x : Ax \leq b\}\) is the collection of all points which can be represented as convex combinations of the set's extreme points. Formally, a point \(x_0\) in the convex hull can be expressed as \(x_0 = \Sigma_i \lambda_i p_i\), where \(\Sigma \lambda_i = 1\), and \(0 \leq \lambda_i \leq 1\). This theorem implies every point within the set adheres to this linear combination .

Within the context of extreme points and geometric properties, expressing \(x_0\) as a convex combination demonstrates that \(x_0\) is not uniquely determined by \(n\) linearly independent hyperplanes, implying that \(x_0\) isn't an extreme point. Particularly, if \(x_0\) can be expressed as \(\frac{1}{2}(x_0 + \epsilon x') + \frac{1}{2}(x_0 - \epsilon x')\), it reveals \(x_0\)'s position in relation to other points in its set—standing on a line defined by these other points (namely, close vicinity \(x_0 + \epsilon x', x_0 - \epsilon x'\)) for which \(Ax \leq b\) holds true, emphasizing how all points lie in the attainable space spanned by extreme points .

In two-dimensional space, if a point \(q\) lies on a bounding segment defined by extreme points \(p_k\) and \(p_{k+1}\), it means that \(q\) is on the line segment between these two points. Geometrically, any point \(q\) on this line segment can be expressed as a convex combination of \(p_k\) and \(p_{k+1}\). This concept follows from the equation \(q = \lambda_1 p_k + \lambda_2 p_{k+1}\), where \(\lambda_1 + \lambda_2 = 1\) and \(0 \leq \lambda_1, \lambda_2 \leq 1\).

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