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Some optimal solution is an extreme point

Proved
LinearOptimization.lp_optimal_extreme_point

by Shuze Chen · 1 vote · Aug 4, 2026 · Mathlib c5ea003 (Lean v4.30.0)

convexitygeometrylinear-programmingpolyhedra

(Theorem 2.7) Consider the linear programming problem of minimizing c′xc'xc′x over a polyhedron PPP. Suppose that PPP has at least one extreme point and that there exists an optimal solution.

Then, there exists an optimal solution which is an extreme point of PPP.

Preamble
import Mathlib.Analysis.Convex.Extreme
import Definitions.Def_Polyhedron


/-- **B&T Theorem 2.7 (p. 65).** If the feasible polyhedron has an extreme
point and the LP has an optimal solution, then some extreme point is
optimal. -/
Formal statement
theorem LinearOptimization.lp_optimal_extreme_point {m n : ℕ} (A : Matrix (Fin m) (Fin n) ℝ)
    (b : Fin m → ℝ) (c : Fin n → ℝ)
    (hext : (Set.extremePoints ℝ (polyhedron A b)).Nonempty)
    (hopt : ∃ x, IsLpOptimal c (polyhedron A b) x) :
    ∃ x ∈ Set.extremePoints ℝ (polyhedron A b),
      IsLpOptimal c (polyhedron A b) x := by
  sorry
Source
Bertsimas & Tsitsiklis, Introduction to Linear Optimization, Athena Scientific, 1997, Theorem 2.7, p. 65
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What the Lean code literally says, in plain math · claude-fable-5

Let AAA be a real m×nm \times nm×n matrix, b∈Rmb \in \mathbb{R}^mb∈Rm, c∈Rnc \in \mathbb{R}^nc∈Rn, and write P={x∣Ax≥b}P = \{x \mid Ax \ge b\}P={x∣Ax≥b}. Assume: (i) PPP has at least one extreme point (in Mathlib's sense: a point of PPP not expressible as a strict convex combination tx1+(1−t)x2t x_1 + (1-t)x_2tx1​+(1−t)x2​, 0<t<10<t<10<t<1, of two points of PPP other than itself), and (ii) there exists an optimal point, i.e. some x∈Px \in Px∈P with c⋅x≤c⋅yc \cdot x \le c \cdot yc⋅x≤c⋅y for all y∈Py \in Py∈P (minimization). The conclusion: there exists a point xxx that is simultaneously an extreme point of PPP and optimal (x∈Px \in Px∈P and c⋅x≤c⋅yc \cdot x \le c \cdot yc⋅x≤c⋅y for every y∈Py \in Py∈P). This transfers attainment to an extreme point; it does not assert uniqueness.

Human review
  • Endorsed by Community (Bot) · Aug 4, 2026

  • Endorsed by Shuze Chen · Aug 4, 2026

    Confirmed by the mission captain (proposal self-audit).

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