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Program

Frédéric Giroire

FG Simplex 1/20

Motivation

improving the value of the solution.

FG Simplex 2/20

The simplex

Subject to :

2x1 + 3x2 − x3 ≤ 5

4x1 + x2 − 2x3 ≤ 11

3x1 + 4x2 − 2x3 ≤ 8

x1 , x2 , x3 ≥ 0.

FG Simplex 3/20

The simplex

2x1 + 3x2 + x3 ≤ 5

that is

x4 = 5 − 2x1 − 3x2 − x3 .

x4 ≥ 0.

FG Simplex 4/20

The simplex

4x1 + x2 − 2x3 ≤ 11

3x1 + 4x2 − 2x3 ≤ 8

We define x5 and x6 :

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

x5 ≥ 0, x6 ≥ 0.

FG Simplex 5/20

The simplex

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5x1 + 4x2 + 3x3 .

Maximize z subject to x1 , x2 , x3 , x4 , x5 , x6 ≥ 0.

problems are equivalent.

FG Simplex 6/20

The simplex

In our example, x1 = 0, x2 = 0, x3 = 0 is feasible.

We compute the value of x4 , x5 , x6 .

x4 = 5 − 2x1 − 3x2 − x3 = 5

Similarly, x5 = 11 and x6 = 8.

We get an initial solution

x1 = 0, x2 = 0, x3 = 0, x4 = 5, x5 = 11, x6 = 8

of value z = 0

FG Simplex 7/20

The simplex

Dictionary:

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5x1 + 4x2 + 3x3 .

Non-basic variable: x1 , x2 , x3 , variables on the right.

A dictionary is feasible if a feasible solution is obtained by setting all

non-basic variables to 0.

FG Simplex 8/20

The simplex

Dictionary:

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5x1 + 4x2 + 3x3 .

Non-basic variable: x1 , x2 , x3 , variables on the right.

A dictionary is feasible if a feasible solution is obtained by setting all

non-basic variables to 0.

FG Simplex 8/20

The simplex

improvements.

Rule: we increase the value of the variable of largest positive

coefficient in z.

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5 x1 + 4x2 + 3x3 .

Here, we try to increase x1 .

FG Simplex 9/20

The simplex

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5x1 + 4x2 + 3x3 .

We have x4 ≥ 0 .

5

It implies 5 − 2x1 ≥ 0, that is x1 ≤ .

2

FG Simplex 10/20

The simplex

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5x1 + 4x2 + 3x3 .

We have x4 ≥ 0 .

It implies 5 − 2x1 ≥ 0, that is x1 ≤ 5/2 .

Similarly,

x5 ≥ 0 gives x1 ≤ 11/4.

x6 ≥ 0 gives x1 ≤ 8/3.

FG Simplex 11/20

The simplex

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5x1 + 4x2 + 3x3 .

We have x4 ≥ 0 .

It implies 5 − 2x1 ≥ 0, that is x1 ≤ 5/2 Strongest constraint

Similarly,

x5 ≥ 0 gives x1 ≤ 11/4.

x6 ≥ 0 gives x1 ≤ 8/3.

FG Simplex 12/20

The simplex

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5x1 + 4x2 + 3x3 .

We have x4 ≥ 0 .

It implies 5 − 2x1 ≥ 0, that is x1 ≤ 5/2 Strongest constraint

with better value z = 5 · 5/2 = 25/2.

We still have x2 = x3 = 0 and now x5 = 11 − 4 · 5/2 = 1,

x6 = 8 − 3 · 5/2 = 1/2

FG Simplex 13/20

The simplex

x4 = 5 − 2x1 − 3x2 − x3

x5 = 11 − 4x1 − x2 − 2x3

x6 = 8 − 3x1 − 4x2 − 2x3

z = 5x1 + 4x2 + 3x3 .

x1 enters the bases and x4 leaves it:

FG Simplex 14/20

The simplex

x5 = 11 − 4(5/2 − 3/2x2 − 1/2x3 − 1/2x4 ) − x2 − 2x3

x6 = 8 − 3(5/2 − 3/2x2 − 1/2x3 − 1/2x4 ) − 4x2 − 2x3

z = 5(5/2 − 3/2x2 − 1/2x3 − 1/2x4 ) + 4x2 + 3x3 .

FG Simplex 15/20

The simplex

5

x1 = 2

− 32 x2 − 1

2

x3 − 12 x4

x5 = 1 + 5 x2 + 2 x4

1

x6 = 2

+ 12 x2 − 1

2

x3 + 32 x4

25

z = 2

− 72 x2 + 1

2

x3 − 52 x4 .

FG Simplex 16/20

The simplex

3 1 1

x1 = 5/ 2 − 2

x2 − 2

x3 − 2

x4

x5 = 1 + 5 x2 + 2 x4

1 1 3

x6 = 1/ 2 + 2

x2 − 2

x3 + 2

x4

z = 25/2 − 7/2 x2 + 1/2 x3 − 5/2 x4 .

Non basic variables: x2 = x3 = x4 = 0.

Basic variables: x1 = 5/2, x5 = 1, x6 = 1/2.

Value of the solution: z = 25/2.

FG Simplex 17/20

The simplex

5

x1 = 2

− 32 x2 − 1

2

x3 − 12 x4

x5 = 1 + 5 x2 + 2 x4

1

x6 = 2

+ 12 x2 − 1

2

x3 + 32 x4

25

z = 2

− 72 x2 + 1

2

x3 − 52 x4 .

- x3 enters the basis (variable with largest positive coefficient).

- 3d equation is the strictest constaint x3 ≤ 1.

- x6 leaves the basis.

FG Simplex 18/20

The simplex

x3 = 1 + x2 + 3x4 − 2x6

x1 = 2 − 2x2 − 2x4 + x6

x5 = 1 + 5x2 + 2x4

z = 13 − 3x2 − x4 − x6 .

x1 = 2, x2 = 0, x3 = 1, x4 = 0, x5 = 1, x6 = 0

of value z = 13.

All coefficients in z are negative and x2 ≥ 0, x4 ≥ 0, x6 ≥ 0, so z ≤ 13.

FG Simplex 19/20

The simplex

x3 = 1 + x2 + 3x4 − 2x6

x1 = 2 − 2x2 − 2x4 + x6

x5 = 1 + 5x2 + 2x4

z = 13 − 3x2 − x4 − x6 .

x1 = 2, x2 = 0, x3 = 1, x4 = 0, x5 = 1, x6 = 0

of value z = 13.

All coefficients in z are negative and x2 ≥ 0, x4 ≥ 0, x6 ≥ 0, so z ≤ 13.

FG Simplex 19/20

Take Aways

improving the value of the solution.

• Complexity:

• In theory, NP-complete (can explore a number of solutions

exponentiel in the number of variables and constraints).

• In practice, almost linear in the number of constraints.

FG Simplex 20/20

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