Linearly Constrained Optimization and Simplex Algorithm
This chapter recalls some theoretical results on linearly constrained optimization with convex objective function. In the case of a linear or quadratic objective, we show existence of an optimal solution whenever the value of the problem is finite, as well as existence of a basic solution in the linear case. Lagrangian duality theory is presented. In the linear case, existence of a strictly complementary solutions is obtained whenever the optimal value of the problem is finite. Finally, the simplex algorithm is introduced in the last part of the chapter.
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