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Math 0602339
Math 0602339
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Leonid Vaserstein
Pennsylvania State University
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All content following this page was uploaded by Leonid Vaserstein on 24 December 2012.
Abstra
t. It is well known that every l∞ linear approximation problem can be reduced to a
linear program. In this paper we show that conversely every linear program can be reduced
to an l∞ linear approximation problem.
It is well known that every l∞ linear approximation problem can be reduced to a linear
program. In this paper we show that conversely every linear program can be reduced to
an l∞ linear approximation problem.
Now we recall relevent definitions.
An affine function of variables x1 , . . . , xn is b0 + c1 x1 + · · · + cn xn where b0 , ci are
given numbers.
A linear constraint is any of the following constraints: f ≤ g, f ≥ g, f = g, where f, g
are affine functions.
A linear program is an optimization (maximization or minimization) of an affine func-
tion subject to a finite system of linear constraints.
An l∞ linear approximation problem, also known as (discrete) Chebyshev approxima-
tion problem or finding the least-absolute-deviation fit, is the problem of minimization of
the following function:
where fi are affine functions. This objective function is piece-wise linear and convex.
Given any Chebyshev approximation problem, here is a well-known reduction (Vaser-
stein, 2003) to a linear program with one additional variable t:
1
As usual, x ≥ 0 means that every entry of the column x is ≥ 0. Later we write y ≤ t
for a column y and a number t if every entry of y is ≤ t. We go even further in abusing
notation, denoting by y − t the column obtaining from y by subtracting t from every entry.
Similarly we denote by M + c the matrix obtained from M by adding a number c to every
entry.
This problem (1) (of finding an optimal strategy) is about finding a feasible solution
for a system of linear constraints. It can be written as the following linear program with
an additional variable t:
X
t → min, M x ≤ t, x ≥ 0, xi = 1. (2)
Now we find the largest entry c in the matrix M . If c = 0, then M = 0 and the
problem (1) is trivial (every mixed strategy x is optimal). So we assume that c > 0.
Adding the number c to every entry of the matrix M, we obtain a matrix M + c ≥ 0
(all entries ≥ 0). The linear program (2) is equivalent to
X
t → min, (M + c)x ≤ t, x ≥ 0, xi = 1 (3)
in the sense that these two programs have the same feasible solutions and the same optimal
solutions. The optimal value for (2) is 0 while the optimal value for (3) is c.
Now we can rewrite (3) as follows:
X
k(M + c)xk∞ → min, x ≥ 0, xi = 1 (4)
(M + c)x
c−x
k P k∞ → min . (5)
Px i + c − 1
− xi − c + 1
Note that the optimization problems (4) and (5) have the same optimal value c and
every optimal solution of (4) is optimal for (5). Conversely, for every
P x with a negative
entry, the objective function in (5) is > c. Also, for every x with xi 6= 1, the objective
function in (5) is > c. So every optimal solution for (5) is feasible and hence optimal for
(4).
Thus, we have reduced solving any symmetric matrix game with N × N payoff matrix
to a Chebyshev approximation problem (5) with 2N + 2 affine functions in N variables.
Remark. It is well known that every l1 linear approximation problem can be reduced
to a linear program. Our result implies that every l1 linear approximation problem can
be reduced to a l∞ linear approximation problem. I do not know whether the converse is
true.
2
Note that our reduction of the l1 linear approximation problem
m
X
|fi | → min (6)
i=1
where fi are affine functions in n variables, produces first the well-known linear program
(Vaserstein, 2003)
Xm
ti → min, −ti ≤ fi ≤ ti
i=1
with m + n variables and 2m linear constraints, then a symmetric game with the payoff
matrix of size (3m + 2n + 1) × (3m + 2n + 1), and finally a Chebyshev approximation
problem with 6m + 4n + 4 affine functions in 3m + 2n + 1 variables.
By comparison, an obvious direct reduction produces
References
Vaserstein, L. N. (2003), Introduction to Linear Programming, Prentice Hall. (There is a
Chinese translation by Mechanical Industry Publishing House ISBN: 7111173295. )