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Lec 26 Simplex Method

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Email: nasirmm@yahoo.com

Basic linear programming (LP) problem consists of two major parts:

The objective function

A set of constraints

expressed as

Maximize Z = c1 x1 + c2 x2 + + cn xn

cj= payoff of each unit of the jth activity that is undertaken

xj= magnitude of the jth activity

Z= total payoff due to the total number of activities

The constraints can be represented generally as

ai1 x1 + ai 2 x2 + + ain xn bi

where

aij= amount of the ith resource that is consumed for each

of the jth activity

bi = amount of the ith resource that is available

unit

must have a positive value. i.e,

xi 0

Problem

Problems that initially have all less than type (LE,<=)

constraints are easiest to deal with in the simplex

method. The procedure will be explained with reference

to the following example:

Minimize: f = 51 2 83

subject to: 2x1 + 5x2 3 1

-2x1 - 122 + 3 9

-3x1 - 82 + 23 4

xi 0, i = 1 , ... , 3.

The starting basic feasible solution is that which involves only

LE type constraints (after making the right-hand side positive, if

necessary).

A different slack variable must be added to each LE constraint

to convert it into equality.

We have as many slack variables as the number of constraint

equations.

If we treat these slack variables as basic variables and the

actual variables as non-basic (set to 0), then the right-hand

side of each constraint represents the basic solution.

Since the right-hand sides must all be positive (a requirement of

the standard LP form), this basic solution is feasible as well.

For the example problem, introducing slack variables x4, x5, and

x6, the constraints are written in the standard LP form as follows.

2x1 + 5x2 - x3 + x4

=1

-3x1 - 8x2 + 2x3 + x6 = 4

Treating the slack variables as basic and the others as non-basic,

the starting basic feasible solution is

Basic:

x4 = 1, x5 = 9, x6 = 4

Non-basic:

x1 = x2 = x3 = 0

f =0

In order to find a new basic feasible solution, one of the

currently nonbasic variables must be made basic.

The best candidate for this purpose is the variable that

causes the largest decrease in the objective function.

The nonbasic variable that has the largest negative

coefficient in the objective function is the best choice.

This makes sense because the nonbasic variables are set

to zero and so the current value of the objective function

is not influenced by them.

But if one of them is made basic, it will have a positive

value and therefore if its coefficient is a large negative

number, it has the greatest potential of causing a large

reduction in the objective function.

Basic:

x4 = 1, x5 = 9, x6 = 4 ;

Nonbasic:

x1 = x2 = x3 = 0 ;

f = 0:

5x1 3x2 8x3 = 0.

The largest negative coefficient in the f equation is that of x3.

Thus, our next basic feasible solution should use x3 as one of

its basic variables.

Since the number of basic variables is fixed by the number of

constraint equations, one of the currently basic variables must be

removed in order to make room for a new basic variable.

The decision to remove a variable from the basic set is based on

the need to keep the solution feasible.

A little algebra shows that we should remove the basic variable

that corresponds to the smallest ratio of the right-hand side of

constraints and the coefficients of the new variable that is being

brought into the basic set.

Furthermore, if the coefficient is negative, then there is no danger

that the associated basic variable will become negative; thus,

during this process, we need to look at ratios of right-hand sides

and positive constraint coefficients.

To understand the reasoning behind this rule, let's continue

with the example problem. The constraints and the

corresponding basic variables are as follows:

Constraint 1: x4 basic: 2x1 + 5x2 x3 + x4 = 1

Constraint 2: x5 basic: -2x1 12x2 + 33 + x5 = 9

Constraint 3: x6 basic: -3x1 8x2 + 2x3 + x6 = 4

The variable x3 is to be brought into the basic set which means

that it will have a value greater than or equal to zero in the

next basic feasible solution.

For constraint 1, the coefficient of x3 is negative and therefore,

the solution from this constraint will remain positive as a result

of making x3 basic.

In constraints 2 and 3, the coefficients of x3 is positive and

therefore, these constraints could result in negative values of

variables.

From the constraint 2, we see that the new basic variable x3

must have a value less than or equal to 9/3 = 3; otherwise, this

constraint will give a negative solution.

Similarly, the third constraint shows that x3 must have a value

less than or equal to 4/2 = 2. The constraint 3 is more critical

and therefore, we should make 3 a basic variable for this

constraint and hence remove x6 from the basic set.

Now we are in a position to compute the next basic

feasible solution.

We need to solve the system of constraint equations

for the new set of basic variables.

Also, the objective function must be expressed in

terms of new non-basic variables in order to continue

with the subsequent steps of the simplex method.

For the example problem, the constraints are currently

written as follows:

Constraint 1: x4 basic: 2x1 + 5x2 x3 + x4 = 1

Constraint 2: x5 basic: -2x1 12x2 + 33 + x5 = 9

Constraint 3: x6 basic: -3x1 8x2 + 2x3 + x6 = 4

The new basic variable set is (x4, x5, x3). We can achieve this

by eliminating x3 from the first and the second constraints.

We divide the third constraint by 2 first to make the coefficient

of x3 equal to 1.

Constraint 3: x3 basic: -(3/2)x1 - 42 + x3 + (1/2)x6 = 2

This constraint is known as the pivot row for computing the

new basic feasible solution, and is used to eliminate x3 from

the other constraints and the objective function.

Variable x3 can be eliminated from constraint 1 by adding the

pivot row to the first constraint.

Constraint 1: x4 basic: (1/2)x1 + 2 + x4 + (1/2)x6 = 3

(-3) times the pivot row to it.

Constraint 2: x5 basic: (5/2)x1 + x5 (3/2)x6 = 3

The objective function is: f = 5x1 - 3x2 - 8x3

The variable is eliminated by adding eight times the pivot

row to it.

-7x1 35x2 + 4x6 = f + 16

We now have a new basic feasible solution, as follows:

Basic:

x3 = 2, x4 = 3, x5 = 3

Nonbasic:

xi = x2 = x5 = 0

f = -16

Considering the objective function value, this solution is better

than our starting solution.

The series of steps are repeated until all coefficients in the

objective function become positive.

When this happens, then bringing any of the current non-basic

variables into the basic set will increase the objective function

value.

This indicates that we have reached the lowest value possible

and the current basic feasible solution represents the optimum

solution.

The next step for the example problem is as follows:

Constraint 1: x4 basic:

(1/2)x1 + x2 + x4 + (1/2)x6 = 3

Constraint 2: x5 basic:

(5/2)x1 + x5 (3/2)x6 = 3

Constraint 3: x3 basic:

-(3/2)x1 - 4x2 + x3 + (1/2)x6 = 2

Objective: -7x1 - 35x2 + 4x6 = f + 16

Constraint 1: x4 basic:

(1/2)x1 + x2 + x4 + (1/2)x6 = 3

Constraint 2: x5 basic:

(5/2)x1 + x5 (3/2)x6 = 3

Constraint 3: x3 basic:

-(3/2)x1 - 4x2 + x3 + (1/2)x6 = 2

Objective: -7x1 - 35x2 + 4x6 = f + 16

In the objective row, the variable x2 has the largest negative

coefficient.

Thus, the next variable to be made basic is x2.

In the constraint expressions, positive coefficient of x2 shows

up only in the first constraint, which has x4 as the basic

variable.

Thus, x4 should be removed from the basic set.

The coefficient of x2 in the first row is already 1; thus, there is

nothing that needs to be done to this equation.

For eliminating x2 from the remaining equation, now we must

use the first equation as the pivot row (PR) as follows.

Constraint 1: x2 basic: (1/2)x1 + x2 + x3 + (1/2)x6 = 3 (PR)

Constraint 2: x5 basic: (5/2)x1 + x5 (3/2)x6 = 3 (no change)

Constraint 3: x5 basic: (1/2)x1 + 3 + 4x4 + (5/2)6 = 14 (Added 4 x PR)

Objective:

(21/2)x1 + 35x4 + (43/2)x6 = f + 121 (Added 35 x PR)

are positive. This means that bringing any of the current nonbasic variables into the basic set will increase the objective

function.

Thus, we have reached the lowest value possible and hence, the

above basic feasible solution represents the optimum solution.

Optimum solution:

Basic:

Nonbasic:

x2 = 3, x3 = 14, x5 = 3

x1 = x4 = x6 = 0

f + 121 = 0 giving f* = -121

basic solutions for this example was Binomial [6, 3] = 20.

However, the simplex method found the optimum in only

three steps.

Simplex Tableau

A tabular form is convenient to organize the calculations involved in

the simplex method.

The tableau is essentially the augmented matrix used in the GaussJordan form for computing the solution of equations.

Thus, the rows represent coefficients of the constraint equations.

The objective function is written in the last row.

The first column indicates the basic variable associated with the

constraint in that row. Recall that this variable should appear

only in one constraint with a coefficient of 1.

The last column represents the right-hand sides of the equations.

The other columns represent coefficients of variables, usually

arranged in ascending order with the actual variables first, followed

by the slack variables.

The exact form of the simplex tableau is illustrated through the

following examples.

Minimize:

f = 51 32 83

subject to:

2x1 + 5x2 3 1

-2x1 - 122 + 33 9

-3x1 - 82 + 23 4

xi 0, i = 1 , ... , 3.

standard LP form as follows:

2x1 + 5x2 - x3 + x4 = 1

-2x1 - 12x2 + 3x3 + x5 = 9

-3x1 - 8x2 + 2x3 + x6 = 4

2x1 + 5x2 - x3 + x4 = 1

-2x1 - 12x2 + 3x3 + x5 = 9

-3x1 - 8x2 + 2x3 + x6 = 4

5x1 - 3x2 - 8x3 = f

The starting tableau is as follows:

Basic

x4

x5

x6

Obj.

x1

2

-2

-3

5

x2

5

-12

-8

-4

x3

-1

3

2

-8

x4

1

0

0

0

x5

0

1

0

0

x6

0

0

1

0

RHS

1

9

4

f

From the tableau, we can read the basic feasible solution

simply by setting the basis to the rhs (since the nonbasic

variables are all set to 0).

Basic:

x4 = 1, x5 = 9, x6 = 4 ;

Noribasic: x1 = x2 = x3 = 0.

f = 0.

We now proceed to the first iteration of the simplex method.

To bring a new variable into the basic set, we look at the

largest negative number in the objective function row.

From the simplex tableau, we can readily identify that the

coefficient corresponding to x3 is most negative (-8). Thus, x3

should be made basic.

The variable that must be removed from the basic set

corresponds to the smallest ratio of the entries in the

constraint right-hand sides and the positive entries in the

column corresponding to the new variable to be made basic.

From the simplex tableau, we see that in the column

corresponding to x3, there are two constraint rows that have

positive coefficients. Ratios of the right-hand side and these

entries are as follows:

Ratios: {9/3 = 3, 4/2 = 2}

The minimum ratio corresponds to the third constraint

for which x6 is the current basic variable. Thus, we

should make x6 non-basic.

Next tableau will be of the following form:

Basic

x1

x2

x3

x4

x5

x6

RHS

x4

x5

x3

Obj.

-----

-----

0

0

1

0

1

0

0

0

0

1

0

0

-----

-----

That is, we need to eliminate variable from the first, second, and the

objective function row.

Since each row represents an equation, this can be done by adding or

subtracting appropriate multiples of rows together.

However, we must be careful in how we perform these steps because we

need to preserve X4 and X5 as basic variables for the first and the

second constraints. That is, the form of columns x4 and X5 must be

maintained during these row operations.

systematic procedure to actually bring the tableau into

the desired form is to first divide row 3 (because it

involves the new basic variable) by its diagonal element

(the coefficient corresponding to the new basic variable).

Thus, dividing row 3 by 2, we have the following

situation:

Basic

x1

x2

x3

x4

x5

x6

RHS

x4

-1

x5

-2

-12

x6

-3

-8

Obj.

-4

-8

Basic

x1

x2

x3

x4

x5

x6

RHS

x4

--

--

--

--

x5

--

--

--

--

x3

-3/2

-4

1/2

Obj.

--

--

--

--

We call this modified row as pivot row (PR) and use it to eliminate X3 from

the other rows. The computations are as follows:

Basic

x1

x2

x3

x4

x5

x6

RHS

x4

-1

x5

-2

-12

x6

-3

-8

Obj.

-4

-8

Basic

x1

x2

x3

x4

x5

x6

RHS

RHS

x4

1/2

1/2

PR + Row1

x5

5/2

-3/2

-3*PR + Row2

x3

-3/2

-4

1/2

PR

Obj.

-7

-35

This completes one step of the Simplex method and we have second

basic feasible solution:

Basic: 3 = 2, 4 = 3 , x5 = 3 ;

Nonbasic: x1 = x2 = x6 = 0;

f = -16

Basic

x1

x2

x3

x4

x5

x6

RHS

x4

1/2

1/2

x5

5/2

-3/2

x3

-3/2

-4

1/2

Obj.

-7

-35

16+f

The same series of steps can now be repeated for

additional tableaus.

For the third tableau, we should make x2 be basic (the

largest negative coefficient in the obj. row = -35).

In the column corresponding to x2, only the first row has

a positive coefficient and thus, we have no choice but to

make x4 (the current

basic variable for the first row) as nonbasic.

Basic

x1

x2

x3

x4

x5

x6

RHS

x4

1/2

1/2

x5

5/2

-3/2

x3

-3/2

-4

1/2

Obj.

-7

-35

16+f

Basic

x1

x2

x3

x4

x5

x6

RHS

x4

1/2

1/2

x5

5/2

-3/2

x3

-3/2

-4

1/2

Obj.

-7

-35

16+f

Basic

x1

x2

x3

x4

x5

x6

RHS

x2

--

--

--

--

x5

--

--

--

--

x3

--

--

--

--

Obj.

--

--

--

--

Basic

x1

x2

x3

x4

x5

x6

RHS

x4

1/2

1/2

x5

5/2

-3/2

x3

-3/2

-4

1/2

Obj.

-7

-35

16+f

The first row already has a 1 in the x2 column; therefore, we don't need to do

anything and use it as our new pivot row to eliminate 2 from the other rows.

Basic

x1

x2

x3

x4

x5

x6

RHS

x2

1/2

1/2

PR

x5

5/2

-3/2

Row2

x3

1/2

5/2

4*PR + Row3

Obj.

21/2

35

43/2 121+f

35*PR +

Obj.row

This completes the second iteration of the simplex method, and we have a

third basic feasible solution:

Basic

x1

x2

x3

x4

x5

x6

RHS

x2

1/2

1/2

x5

5/2

-3/2

x3

1/2

5/2

Obj.

21/2

35

43/2

121+f

Basic:

x2 = 3, x3 = 14, x5 = 3

Nonbasic:

x1 = x4= x6 = 0

and f = -121

Since all coefficients in the Obj. row are positive, we cannot reduce the

objective function any further and thus have reached the minimum.

The optimum solution is

x1 = 0, x2 = 3, x3 = 14, x4 = 0, x5 = 3, x6 = 0 and f = -121

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