[Osi] Question re. meaning of OsiSimplex::getReducedGradient
Matthew Saltzman
mjs at clemson.edu
Fri Sep 3 22:05:00 EDT 2010
On Fri, 2010-09-03 at 14:29 -0400, Ted Ralphs wrote:
> Well, I think that "reduced gradient" is mixing two different
> terminologies. It seems to me that "reduced" really only make sense as
> a modifier to "cost." The reduced cost (as I usually define) _is_ a
> (sub)gradient of the value function of the linear program (with the
> variable bounds considered to be parametric). I'm not sure what a
> "reduced gradient" would be. It should really be just a "subgradient,"
> technically speaking.
Actually, it's standard terminology from NLP. It's a mapping of the
gradient onto the the nullspace of the structural constraints.
Projection is one way to do it. Another is to solve Ax = b for a set of
basic variables, then compute the gradient in the "reduced space" of
nonbasic variables by substituting out the basic variables in the
objective function.
>
> Generally, I agree with Matt, though. The way the reduced cost is
> defined in most LP textbooks, it's precisely the gradient. I think it
> would be confusing and not terribly useful to define it otherwise.
> It's easy enough to take absolute value if you need to.
>
> Cheers,
>
> Ted
>
> On Fri, Sep 3, 2010 at 1:52 PM, Matthew Saltzman <mjs at clemson.edu> wrote:
> > My initial sense is that this should be the true reduced gradient. I
> > reason that when I develop the revised simplex method, I'd write the
> > basis equations the same way, whether I'm maximizing or minimizing:
> >
> > Solve structural constraints Ax = b for x_B:
> >
> > x_B = B^{-1} b - B^{-1}N x_n
> >
> > Substitute into z = c x:
> >
> > z = c_B B^{-1} b + (c_N - c_B B^{-1} N) x_N
> >
> > The optimality test then changes depending on whether I'm minimizing
> > (entering variable has negative coefficient in the z row) or maximizing
> > (entering variable has positive coefficient in the z row). So my sense
> > is that if I asked for this vector, I'd expect the sign on a coefficient
> > to tell me the actual effect (increase or decrease) on the objective of
> > increasing the corresponding variable.
> >
> > In the alternative, I guess positive coefficients always improve the
> > objective, whether maximizing or minimizing. For myself, I find that
> > rather counterintuitive and potentially ambiguous. (Maybe negative
> > coefficients should always improve the objective?) I notice Lou didn't
> > specify which way around he'd adjust the signs, only that they'd be
> > consistent WRT improvement. Anyone want to argue for it? Which way
> > around is the right way?
> >
> >
> > On Fri, 2010-09-03 at 10:18 -0700, Lou Hafer wrote:
> >> Folks,
> >>
> >> In the process of writing up the unit test for the OsiSimplex API, I've
> >> run into a question of interpretation that needs to be resolved.
> >>
> >> The original spec for getReducedGradient is this:
> >>
> >> // Get the reduced gradient for the cost vector c
> >>
> >> virtual void getReducedGradient (double *columnReducedCosts,
> >> double *duals,
> >> const double * c);
> >>
> >> The question is straightforward: should the signs of columnReducedCosts and
> >> duals be adjusted for maximisation / minimisation? Put in another way, is
> >> gradient a different thing from reduced costs and duals?
> >>
> >> I have no strong opinion, but it affects the way the test will be
> >> written and it should be clarified in the documentation. In the absence of any
> >> replies, I'm going to go with the meaning implied by the parameter names (i.e.,
> >> sign should be appropriate for maximisation / minimisation).
> >>
> >> Lou
> >>
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> >
> > --
> > Matthew Saltzman
> >
> > Clemson University Math Sciences
> > mjs AT clemson DOT edu
> > http://www.math.clemson.edu/~mjs
> >
> >
> > _______________________________________________
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> > http://list.coin-or.org/mailman/listinfo/osi
> >
>
>
>
--
Matthew Saltzman
Clemson University Math Sciences
mjs AT clemson DOT edu
http://www.math.clemson.edu/~mjs
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