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THE CHINESE UNIVERSITY OF HONG KONG

Department of Mathematics
MAT581SS
Prepared by Jeff C.-F. WONG
Exercise 3 - September 21, 2009

Name in English:

Student No.:

Name in Chinese:

The Big M Method

Step 1:
Convert the LPP into maximisation form.
Express it in the standard form by introducing slack and/or surplus variables as the case may be.
Step 2:
Introduce non-negative variables to the left-hand side of all the constraints of ( or =) type.
These variables are called artificial variables.
The purpose of introducing artificial variables is just to obtain an initial basic feasible solution.
In order to get rid of the artificial variables in the final optimum iteration, we assign a very large penalty

M to these artificial variables in the objective function for maximisation objective function.
Step 3:
Solve the modified linear programming problem by simplex method.
While making iterations by this method, one of the following three cases may arise.
(a) If no artificial variable remains in the basis and the optimality condition is satisfied, then the current
solution is an optimal basic feasible solution.
(b) If at least one artificial variable appears in the basis at zero level (with zero value in the XB column)
and the optimality condition is satisfied, then the current solution is an optimal basic feasible (though
degenerated) solution.
(c)
If at least one artificial variable appears in the basis at non-zero level (with positive value in XB
column) and the optimality condition is satisfied, then the original problem has no feasible solution.
The solution satisfies the constraints but does not optimise the objective function since it contains a
very large penalty M and is called pseudo optimal solution.
Step 4:
Application of simplex method is continued until either
an optimum basic feasible solution is obtained
or
there is an indication of the existence of an unbounded solution to the given LPP.

The Two-Phase Simplex Method


The solution can be obtained in two phases.
Phase I It consists of the following steps:
Step 1:
Convert the LPP into maximisation form and ensure that all bi (constant terms) are non-negative,
i.e., bi 0.
If some of them are negative, make them non-negative by multiplying both sides of those inequations/equations by 1.
Step 2: Add artificial variables Ai ( 0) to the LHS of the constraints of (= and ) to complete the identity
matrix In .
Step 3: Express the given LPP in standard form.
Step 4: Obtain an initial basic feasible solution.
Step 5:
Assign a cost 1 to each artificial variable and a cost 0 to all other variables (in place of their original
cost) in the objective function.
The new objective function is
max z = A1 A2 An ,
where Ai s are the artifical variables.
Step 6: Write down the auxiliary LPP in which the new objective function is to be maximised subject to the
given set of constraints.
Step 7: Solve the auxiliary LPP by simplex method until either of the following three possibilities arise:
(i) max z < 0 and at least one artificial variable appears in the optimum basis at a +ve level. In this
case no feasible solution exist, stop the procedure.
(ii) max z = 0 and at least one artificial variable appears in the optimum basis at zero level.
(iii) max z = 0 and no artificial variable appears in the optimum basis.
If case (ii) and (iii) arise proceed to Phase II.
Phase II
Use the optimum basic feasible solution of Phase I as a starting solution for the original LPP.
Assign the actual costs to the variables in the objective function and a cost 0 to every artificial variable in
the basis at zero level.
Delete the artificial variables column from the simplex tableau which is eliminated from the basis in Phase
I.
Apply simplex method to the modified simplex tableau obtained at the end of Phase I till an optimum
basic feasible solution is obtained or till there is an indication of unbounded solution
Remark:
1. In Phase I, the iterations are stopped as soon as the value of the new (artificial) objective function becomes
zero because this is its minimum value. There is no need to continue till the optimality reached if this value
becomes zero earlier than that.
2. Note that the new objective function is always of maximisation type whether the given original problem is
maximisation or minimisation type.
3. Before starting Phase II, remove all artificial variables from Tableau which were non-basic at the end of
Phase I.

(Cf. Lecture Note 1e, c.f., Example 3) Solve the following LPP
Maximise z = 3x1 x2
subject to
x1 x2
x1

10
20

x1 , x2 0

(Cf. Lecture Note 1e, c.f., Example 4) Solve the following LPP
Maximise z = 2x1 + x2
subject to
x1 x2
2x1 x2

10
40

x1 0, x2 0