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Exercise 7.30 (The primal-dual method as steepest dual ascent)
Consider the dual ascent algorithm. Show that the choice of the set S in the primal-dual method maximizes over all sets S for which is a feasible direction.
Answers
We content ourselves with a high-level description of the proof. Choose an arbitrary feasible direction, say D. We can transform it to S with two moves that doesn’t make smaller. Let
We delete all of
and any vertex that has a path in the graph(with balanced edges to keep it feasible. Obviously
is also removed. Because every vertex of
has a path to a vertex of
. Note that all the outputed flow of
goes through
. So
, the first equality comes from the fact that
weren’t markes though there is a edge from s to them. Notice the change in
, it increases with
.
In a similar manner we can define:
. And add all of
(and other necessary vertices for feasibility) to D. Similarly
Taking these two steps, we turned D to S and only made bigger. So S is optimal.