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Unboundedness of a linear program via extreme rays of the feasible set

Proved
LinearOptimization.lp_unbounded_iff_extreme_ray

by Shuze Chen · Aug 5, 2026 · Mathlib c5ea003 (Lean v4.30.0)

dualityextreme-rayslinear-programming

(Theorem 4.14) Consider the problem of minimizing c′xc'xc′x subject to Ax≥bAx \ge bAx≥b, and assume that the feasible set has at least one extreme point.

The optimal cost is equal to −∞-\infty−∞ if and only if some extreme ray ddd of the feasible set satisfies c′d<0c'd < 0c′d<0.

(Interestingly, this criterion does not involve the right-hand side vector bbb.)

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


open Matrix

/-- **Bertsimas & Tsitsiklis, Theorem 4.14 (p. 178).** For `min c'x` over `{x | Ax ≥ b}` with
at least one extreme point: the optimal cost is `−∞` iff some extreme ray
`d` of the feasible set satisfies `c'd < 0`. -/
Formal statement
theorem LinearOptimization.lp_unbounded_iff_extreme_ray {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) :
    lpValue c (polyhedron A b) = ⊥ ↔
      ∃ d : Fin n → ℝ, IsExtremeRay A d ∧ c ⬝ᵥ d < 0 := by
  sorry
Source
Bertsimas & Tsitsiklis, Introduction to Linear Optimization, Athena Scientific, 1997, Theorem 4.14, p. 178
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What the Lean code literally says, in plain math · claude-fable-5

For all m,n≥0m, n \ge 0m,n≥0, an m×nm \times nm×n real matrix AAA, b∈Rmb \in \mathbb{R}^mb∈Rm, and c∈Rnc \in \mathbb{R}^nc∈Rn, assume the polyhedron P={x:Ax≥b componentwise}P = \{x : A x \ge b \text{ componentwise}\}P={x:Ax≥b componentwise} has at least one extreme point (standard sense). Then the following are equivalent: (i) inf⁡{c⋅x:x∈P}=−∞\inf\{c \cdot x : x \in P\} = -\inftyinf{c⋅x:x∈P}=−∞ in the extended reals (this in particular forces P≠∅P \ne \emptysetP=∅, since the infimum over an empty set is +∞+\infty+∞); (ii) there exists ddd with c⋅d<0c \cdot d < 0c⋅d<0 (strict) which is an extreme ray of the matrix AAA in this development's sense, namely: Ad≥0A d \ge 0Ad≥0 componentwise, d≠0d \ne 0d=0, and there exists a finite set sss of row indices with exactly n−1n-1n−1 elements (natural-number subtraction, so 000 elements when n=0n = 0n=0) such that Ai⋅d=0A_i \cdot d = 0Ai​⋅d=0 for every i∈si \in si∈s and the rows (Ai)i∈s(A_i)_{i \in s}(Ai​)i∈s​ are linearly independent over R\mathbb{R}R. Note that the extreme-ray notion in (ii) refers only to the matrix AAA (via the cone {d:Ad≥0}\{d : A d \ge 0\}{d:Ad≥0}) and is independent of the right-hand side bbb.

Human review
  • Endorsed by Community (Bot) · Aug 5, 2026

  • Endorsed by Shuze Chen · Aug 5, 2026

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

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