# ENGR62/MS&E111 Introduction to Optimization Dr. K.

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Handout 5 July 3, 2002 Page 1 of 4

AN EXAMPLE USING THE BIG-M METHOD

The original problem maximize − x1 + 2x2 subject to x1 + x2 ≥ 2 − x1 + x2 ≥ 1 x2 ≤ 3 x1 ≥ 0, x2 ≥ 0 The problem initialized maximize − x1 + 2x2 subject to x1 + x2 − x4 − x1 + x2 − x5 x2 + x3 xj ≥ 0, j = 1, . . . , 5 The problem with modiﬁed objective maximize − x1 + 2x2 − M x6 − M x7 subject to x1 + x2 − x4 + x6 − x1 + x2 − x5 + x7 x2 + x3 xj ≥ 0, j = 1, . . . , 7 = = = = z 2 1 3 = = = = z 2 1 3

ENGR62/MS&E 111 Handout 5 2 -z z x6 x7 x3 1 0 0 0 x1 -1 1 -1 0 x2 2 1 1 1 x3 0 0 0 1 x4 0 -1 0 0 x5 0 0 -1 0 x6 -M 1 0 0 x7 -M 0 1 0 RHS 0 2 1 3 The current basic variables of this tableau are x3. and x7. we can decrease the value of z.. The system needs to be put into "canonical form" with respect to this basis: -z z x6 x7 x3 1 0 0 0 x1 -1 1 -1 0 x2 2+2M 1 1 1 x3 0 0 0 1 x4 -M -1 0 0 x5 -M 0 -1 0 x6 0 1 0 0 x7 0 0 1 0 RHS 3M 2 1 3 2 1 3 Ratio As the coefficient of x2 is positive. . After pivoting we obtain. Using the minimum ratio test. x2 will replace x7 as a basic variable.. x6.

x1 will replace x6 as a basic variable. We pick x5 as its coefficient is bigger than that of x4. and z is independent of M. Pivoting gives . x5 replaces x1 as a basic variable.. Further decrease in the objective can be achieved by increasing either x4 or x5.ENGR62/MS&E 111 Handout 5 3 -z z x6 x2 x3 1 0 0 0 x1 1+2M 2 -1 1 x2 0 0 1 0 x3 0 0 0 1 x4 -M -1 0 0 x5 2+M 1 -1 1 x6 0 1 0 0 x7 -2-2M -1 1 -1 RHS -2+M 1 1 2 Ratio 1/2 * 2 Here we observe that z has decreased from 3M to M-2. Using the minimum ratio test.. Pivoting leads to -z z x1 x2 x3 1 0 0 0 x1 0 1 0 0 x2 0 0 1 0 x3 0 0 0 1 x4 1/2 -1/2 -1/2 1/2 x5 3/2 1/2 -1/2 1/2 x6 -1/2-M 1/2 1/2 -1/2 x7 -3/2-M -1/2 1/2 -1/2 RHS -5/2 1/2 3/2 3/2 3 1 Ratio The artificial variables have both been made nonbasic. . We increase x1 as its coefficent is bigger than that of x5. Further decrease can be achieved by increasing either x1 or x5. Using the minimum ratio test.

.0. We see that x4 will replace x3 as a basic variable. The optimal solution found is given by (x1. and the maximum value of the objective function is z = 6.1.ENGR62/MS&E 111 Handout 5 4 -z z x5 x2 x3 1 0 0 0 x1 -3 2 1 -1 x2 0 0 1 0 x3 0 0 0 1 x4 2 -1 -1 1 x5 0 1 0 0 x6 -2-M 1 1 -1 x7 -M -1 0 0 RHS -4 1 2 1 Ratio * * 1 The tableau reveals that the value of z can be increased further by increasing the value of x4.3.2). There is only one pivot choice since there is only one positive coefficient of x4 among the last 3 rows. The corresponding pivot step yields -z z x5 x2 x4 1 0 0 0 x1 -1 1 0 -1 x2 0 0 1 0 x3 -2 1 1 1 x4 0 0 0 1 x5 0 1 0 0 x6 -M 0 0 -1 x7 -M -1 0 0 RHS -6 2 3 1 This final tableau indicates that an optimal basic feasible solution has been found.x5) = (0.x3.x4.x2.