CA3122 Chap 3

3.
The Simplex Method

 The simplex method is a linear Programming (LP)
technique to determine the corner point (or extreme
point) of the solution space algebraically
- by solving a set of linear algebraic equations.
 Major steps in the simplex method:

a) Form a standard LP model
b) Determine the basic solutions of the simultaneous
linear equations
c) Find the optimal solution
Prof. C.W. Lim CA3122 Engineering Analysis Part 2: Operations Research 1
3.1 Definitions
A standard LP form includes m simultaneous linear equations in n
variables (m<n). Divide the n variables into (1) (n-m) variables to
which zero values are assigned; and (2) the remaining m variables
whose values are to be solved from the m simultaneous
 A feasible solution is one which satisfies all the constraint
equations.
 A basic matrix is a m x m non-singular matrix made up of any
m constraint equations.
 A basic solution is a unique vector determined by choosing a
basic matrix, setting the (n-m) remaining variables to zero and
solving for the m variables.
 Basic variables are the m variables yielding a basic solution.
 A basic feasible solution is a basic solution in which all
variables have non-negative values.
 An optimal solution is a basic solution which minimizes or
maximizes the objective function.
3.2 Standard LP Form
 All constraints are equations with nonnegative right-
hand side. If the rhs is -ve, multiply both sides by -1
and change  to  or vice versa.
Example:
x1  2 x2  3
x1  2 x2  s1  3
where the slack s1 0.
Example:
3 x1  x2  5
3 x1  x2  5
3 x1  x2  S1  5
where the surplus S1 0.
How to Form a Standard LP - (Cont.)
 All the variables are non-negative.

Express an unrestricted variable in terms of
two nonnegative variables, such as
x j  x j  x j
x j , x j  0
Example 1: 5 = 5 - 0 and -5 = 0 - 5
Example 2:
x1  2 x2  3 x1  x1  2 x2  3
x1 , unrestricted
x1 , x1 , x2  0
x2  0

3.2 Stand. LP Form (Cont.)
 Example: expressing LP model in standard form.
Maximize z  2 x1  3 x2  5 x3
Subject to x1  x2  x3  5
 6 x1  7 x2  9 x3  4
x1  x2  4 x3  10
x1 , x2  0
x3 unrestricted
Standard LP: Maximize z  2 x1  3 x2  5 x3  5 x3

Subject to  x1  x2  x3  x3  s1  5
 6 x1  7 x2  9 x3  9 x3  s2  4
x1  x2  4 x3  4 x3  10
x1 , x2 , x3 , x3 , s1 , s2  0
How to Form a Standard LP – (Cont.)
Example
Primal LP model: Its standard LP model:
Minimize z  3 x1  2 x 2 Minimize z  3 x1  2 x 2
Subject to 3 x1  x 2  3 Subject to 3 x1  x2  s3 3
4 x1  3 x 2  6 4 x1  3 x2  s4 6
x1  x 2  3 x1  x2  s5  3
x1 , x 2  0 x1 , x2 , s3 , s4 , s5  0
s3 , s4 : surplus variables; s5 : slack variable.

How to Form a Standard LP - (Cont.)
 The objective functions are of the maximization or

the minimization type. The maximization of a function
f(x1,x2,…,xn) is equivalent to the minimization of -
f(x1,x2,…,xn), in the sense that both problems yields
the same optimal values of x1,x2,…,and xn.
Example:
Minimize z  3 x1  2 x2  Maximize z  3 x1  2 x2
Subject to 3 x1  x2  s3  3 Subject to 3 x1  x2  s3  3
4 x1  3 x2  s4  6 4 x1  3 x2  s4  6
x1  x2  s5  3 x1  x2  s5  3
x1 , x2 , s3 , s4 , s5  0 x1 , x2 , s3 , s4 , s5  0
3.3 Basic Solutions

 The maximum number of possible basic solutions for
m equations in n variables is
n n!
 
 m  m!(n  m)!
 Example: Consider the following set of two equations

in five unknowns (m=2,n=5).
x1  x2  4 x3  2 x4  3 x5  8
4 x1  2 x2  2 x3  x4  6 x5  4
The maximum number of possible basic solutions is
5!/(3!2!)=10. It will be shown that some of these
combinations may not produce a basic solution at all.
By definition, a basic solution can include only 2
(=m) variables and 3 zero nonbasic variables (=n-m).

3.3 Basic Solutions (Cont.)
Case 1. Basic feasible solution x1  x2  4 x3  2 x4  3 x5  8
Zero (nonbasic) variables: (x2,x4,x5) 4 x1  2 x2  2 x3  x4  6 x5  4
Equations: x1  4 x3  8
4 x1  2 x3  4
Solution: Unique with x1 = 0 and x3 = 2.
Status: Feasible basic solution because x1, x3  0.
Case 2. Basic infeasible solution

Nonbasic variables: (x3,x4,x5)
Equations: x1  x2  8
4 x1  2 x2  4
Solution: Unique with x1 = -6 and x2 = 14.
Status: Infeasible basic solution because x1 < 0.

Case 3. Infinite solutions x1  x2  4 x3  2 x4  3 x5  8
Nonbasic variables: (x1,x2,x5) 4 x1  2 x2  2 x3  x4  6 x5  4
Equations: 4 x3  2 x4  8
2 x3  x4  4
Solution: No unique solution because the equations are dependent.
Status: Infinite solutions
Case 4. Nonexisting solution

Nonbasic variables: (x1,x3,x4)
Equations: x2  3 x5  8
2 x2  6 x5  4
Solution: No solution exists because the equations are inconsistent.
Status: Nonexisting solution.

Basic Solutions
 In Example on Page 5, we choose x2 and x3 to be zero-valued
variables while x1, s1 and s2 are variables to be determined from
z  2 x1  3 x2  5 x3
Maximize  x1  x2  x3  s1  5  x1  0  0  s1  5
Subject to 6 x1  7 x2  9 x3  s2  4  6 x1  0  0  s2  4
x1  x2  4 x3  10 x1  0  0  10
  1 1 0  x1   5   x1  10 
 6 0 1  s    4     
 s1   15 
  1    s  64
 1 0 0 s2  10  2  
basic matrix
basic variables basic feasible solution
nonbasic variables: x2, x3

 In a standard LP form, an unrestricted variable xj must be
substituted as
x j  x j  x j , x j , x j  0
It is impossible for xj+ and xj- to be basic variables

simultaneously because they are dependent. The constraint
coefficients of xj+ are the negatives of those of xj-. In any
basic solution at least one of them must be nonbasic at zero
level.

3.4 Simplex Method
The steps of the simplex method are
 Step 1: Determine a starting basic feasible solution.
 Step 2: Select an entering variable using the optimality

condition. Stop if there is no entering variable.
 Step 3: Select a leaving variable using the feasibility

condition.
 Step 4: Determine the new basic solution by using the

appropriate Gauss-Jordan procedure. Go to Step 2.
3.4 Simplex Method (Cont.)

 Optimality condition (for the selection of entering variables):
The entering variable in a maximization (minimization)

problem is the nonbasic variable having the most negative
(most positive) coefficient in the z - row. The optimum is
reached at the iteration where all the z - row coefficients of
the nonbasic variables are nonnegative (nonpositive).
 Feasibility condition (for the selection of leaving variables):
For both the maximization and the minimization problems, the

leaving variable is the basic variable associated with the
smallest nonnegative ratio between the elements in solution
column and the pivot column.

Example: Reddy Mikks model
Maximize z  5 x1  4 x2
Subject to 6 x1  4 x2  24
x1  2 x2  6
 x1  x2  1
x2  2
Standard LP model:
Maximize z  5 x1  4 x2  0 s1  0 s2  0 s3  0 s4
Subject to 6 x1  4 x2  s1  24
x1  2 x2  s2 6
 x1  x2  s3 1
x2  s4  2
x1 , x2 , s1 , s2 , s3 , s4  0

First Iteration
 Step 1: Starting basic feasible solution is (s1, s2, s3, s4).
Basic z x1 x2 s1 s2 s3 s4 Solution
z 1 -5 -4 0 0 0 0 0 z -row
s1 0 6 4 1 0 0 0 24 s 1-row
s2 0 1 2 0 1 0 0 6 s 2-row
s3 0 -1 1 0 0 1 0 1 s 3-row
s4 0 0 1 0 0 0 1 2 s 4-row
 Step 2: Entering variable is x1.

Basic x1 Solution Ratio (or Intercept)
s1 6 24 24/6=4 (minimum)
s2 1 6 6/1=6
s3 -1 1 1/(-1)= -1 (ignore)
s4 0 2 2/0=infinity (ignore)
 Step 3: Leaving variable is s1.

 Step 4: Gauss-Jordan procedure.
z 1 -5 -4 0 0 0 0 0
s1 0 6 4 1 0 0 0 24 pivot row
s2 0 1 2 0 1 0 0 6
s3 0 -1 1 0 0 1 0 1
s4 0 0 1 0 0 0 1 2
pivot column
pivot column pivot element pivot row
pivot row: the row associated with the leaving variable

pivot column: the column associated with entering variable
pivot element: the intersection of the pivot row and pivot column

 Step 4: Gauss-Jordan procedure (Elementary Row Operations)
(a) pivot row: New pivot row = current pivot row/pivot element
z
x1 0 1 4/6=2/3 1/6 0 0 0 24/6=4 new pivo t ro w
s2
s3
s4
Note that s1 has been replaced by x1

(b) All other rows, including z:

New row = (current row) - (its pivot column element) × (new pivo row)
z 1 -5 -4 0 0 0 0 0 z -row
x1 0 1 4/6=2/3 1/6 0 0 0 24/6=4 new pivot
s2 0 1 2 0 1 0 0 6 s 2-row
s3 0 -1 1 0 0 1 0 1 s 3-row
s4 0 0 1 0 0 0 1 2 s 4-row
z 1 0 -2/3 5/6 0 0 0 20
x1 0 1 2/3 1/6 0 0 0 4
s2 0 0 4/3 -1/6 1 0 0 2
s3 0 0 5/3 1/6 0 1 0 5
s4 0 0 1 0 0 0 1 2

Second Iteration
 Step 2: Entering variable is x2.
Basic x2 Solution Ratio
x1 2/3 4 6
s2 4/3 2 3/2
s3 5/3 5 3
s4 1 2 2
 Step 3: Leaving variable is s2.

z 1 0 -2/3 5/6 0 0 0 20
x1 0 1 2/3 1/6 0 0 0 4
x2 0 0 4/3 -1/6 1 0 0 2
s3 0 0 5/3 1/6 0 1 0 5
s4 0 0 1 0 0 0 1 2

pivot row: New pivot row = current pivot row/pivot element. All other rows,
including z: New row = (current row) - (its pivot column element) × (new pivot row).
z 1 0 -2/3 5/6 0 0 0 20
x1 0 1 2/3 1/6 0 0 0 4
x2 0 0 1 -1/8 3/4 0 0 3/2
s3 0 0 5/3 1/6 0 1 0 5
s4 0 0 1 0 0 0 1 2

z 1 0 0 3/4 1/2 0 0 21
x1 0 1 0 1/4 -1/2 0 0 3
x2 0 0 1 -1/8 3/4 0 0 3/2
s3 0 0 0 3/8 -5/4 1 0 5/2
s4 0 0 0 1/8 -3/4 0 1 1/2
Second iteration is completed.


 Since none of the z-row coefficient associated with the
nonbasic variables s1 and s2 is -ve, the last tableau is optimal.
Decision variable Optimum value
x1 3
x2 3/2
z 21
 Status of the resources

Resources Slack value Status
Raw material M 1 s 1=0 scarce
Raw material M 2 s 2=0 scarce
Demand limit 2 s 3=5/2 abundant
Demand limit 1 s 4=1/2 abundant

Example:
Consider the following set of constraints
x1  2 x2  2 x3  4 x4  40
2 x1  x2  x3  2 x4  8
4 x1  2 x2  x3  x4  10
x1 , x2 , x3 , x4  0
.
For each of the following objective functions, solve the problem.
(a) Maximize z  2 x1  x2  3 x3  5 x4
(b) Minimize z  5 x1  4 x2  6 x3  8 x4
Solution:
Standard LP:
Maximize z  2 x1  x2  3x3  5 x4
Subject to x1  2 x2  2 x3  4 x4  x5  40
.
2 x1  x2  x3  2 x4  x6  8
4 x1  2 x2  x3  x4  x7  10
x1 , x2 , x3 , x4 , sx5 , sx6 , sx7  0

pivot row: New pivot row = current pivot row/pivot element.
Solution:
(a) All other rows, including z: New row = (current row) - (its
pivot column element) × (new pivot row).
x1  x3  x5  x6  0; x2  6, x4  7, x7  29; z  41.

TOYCO assembles three types of toys: trains, trucks and cars using three
Example: operations. The available times for the three operations are 10, 15 and 20
minutes, respectively, and the profits per toy train, truck and car are $2,
$1 and $5, respectively. The required ratio of the assembly times to
produce a train is 2:3:4 (operation 1: operation 2: operation 3). A truck
and a car require the ratio of 1:2:3 and 1:0:2, respectively. Establish the
LP model to find out the optimum mix of the daily assemble of train, truck
and car that maximizes the daily profit.
Solution:
Maximize z  2 x1  x2  5 x3
2 1 1
x1  x2  x3  10 4 x1  3 x2  6 x3  180
9 6 3
subject to 3 2 0
x1  x2  x3  15
 x1  x2  45
9 6 3 8 x1  9 x2  12 x3  360
4 3 2
x1  x2  x3  20
9 6 3

3.5 Artificial Stating Solution
 Why use Artificial Starting Solution?
The slacks offers a convenient starting basic feasible solution for a

LP model with all of its constraints being of (≤) type. But for LP
models involving (=) and (≥) constraints, how can we find a
starting basic solution?
Artificial starting solution methods:

(a) M-method; (b) two-phase method
Artificial variables are variables that assume the role of slacks at the
first iteration, only to be disposed of at a later iteration.
3.5 Artificial Stating Solution

3.5.1 The M-Method
 Assign an artificial variable Ri as part of the starting basic
solution. Also assign a penalty to the objective function to
force Ri to zero level at a later iteration of the simplex
algorithm.
Given M is a sufficient large positive value, the variable Ri is

penalized in the objective function using -M Ri in the case of
maximization and +M Ri in the case of minimization. Because
of this penalty, the nature of the optimization process will
logically attempt to drive Ri to zero level during the course of
the simplex iteration.

3.5 Artificial Stating Solution (Cont.)
 Example: Minimize z  4 x1  x2
subject to 3 x  x  3
1 2
4 x1  3 x2  6
x1  2 x2  4
x1 , x2  0
The standard LP model is

Minimize z  4 x1  x2
subject to
3 x1  x2 3
4 x1  3 x2  x3 6
x1  2 x2  x4  4
x1 , x2 , x3 , x4  0

The modified LP model is
Minimize z  4 x1  x2  MR1  MR2
subject to
3 x1  x2  R1 3
4 x1  3 x2  x3  R2 6
x1  2 x2  x4  4
x1 , x2 , x3 , x4 , R1 , R2  0
Basic x1 x2 x3 R1 R2 x4 Solution
z -4 -1 0 -M -M 0 0
R1 3 1 0 1 0 0 3
R2 4 3 -1 0 1 0 6
x4 1 2 0 0 0 1 4
The z-row is inconsistent because the starting basic solution

R1=3, R2=6, and x4=4 yields z=3M+6M=9M rather than 0 as
shown in the rhs of the z-row.
From the 1st and 2nd constraints,
R1  3  3 x1  x2
R2  6  4 x1  3 x2  x3
Substituting R1 and R2 into the objective function yields

z  4 x1  x2  M (3  3 x1  x2 )  M (6  4 x1  3x2  x3 )
 (4  7 M ) x1  (1  4 M ) x2  Mx3  9 M
z  (4  7 M ) x1  (1  4 M ) x2  Mx3  9 M

The modified tableau is
z -4+7M -1+4M -M 0 0 0 9M
R1 3 1 0 1 0 0 3
R2 4 3 -1 0 1 0 6
x4 1 2 0 0 0 1 4
The simplex algorithm

Step 2: Choose the most +ve coefficient in the z-row in
minimization. The entering variable is x1.
Step 3: The ratios of the feasibility condition yield R1 as the

leaving variable.

pivot row: New pivot row = current pivot row/pivot element. All other rows,
including z: New row = (current row) - (its pivot column element) × (new pivot row).
Step 4: Gauss-Jordan procedure
Iteration 1
z 0 (1+5M)/3 -M (4-7M)/3 0 0 4+2M
x1 1 1/3 0 1/3 0 0 1
R2 0 5/3 -1 -4/3 1 0 2
x4 0 5/3 0 -1/3 0 1 3
Go to step 2 and re-iterate the problem in accordance with the

simplex method. For the next step, x2 is the entering variable
and R2 is the leaving variable. Complete the problem to obtain
x1 = 2/5, x2 = 9/5, x3 = 1, and z = 17/5.

Iteration 1
z 0 (1+5M)/3 -M (4-7M)/3 0 0 4+2M
x1 1 1/3 0 1/3 0 0 1
R2 0 5/3 -1 -4/3 1 0 2
x4 0 5/3 0 -1/3 0 1 3
Iteration 2
z 0 0 1/5 8/5-M -1/5-M 0 18/5
x1 1 0 1/5 3/5 -1/5 0 3/5
x2 0 1 -3/5 -4/5 3/5 0 6/5
x4 0 0 1 1 -1 1 1
Iteration 3
z 0 0 0 7/5-M -M -1/5 17/5
x1 1 0 0 2/5 0 -1/5 2/5
x2 0 1 0 -1/5 0 3/5 9/5
x3 0 0 1 1 -1 1 1
x1 = 2/5, x2 = 9/5, x3 = 1, and z = 17/5.

Two points to remember regarding the M-method:
 The use of the penalty M may not force the artificial variable
to zero level in the final simplex iteration. If the LP problem
does not have a feasible solution space (I.e., the constraints
are not consistent), then the final simplex iteration will
include at least one artificial variable at a positive level. This
is an indication that the problem has no feasible solution.
 Theoretically, the application of the M-method requires

M. However, from the standpoint of using the computer
M must be finite and sufficiently large. Specifically, M must be
large enough to act as a penalty, but it should not be too
large to impair the accuracy of the simplex computation. The
machine roundoff error that could result from manipulating a
mixture of large and small numbers should be considered.

3.5.2 The Two-Phase Method
 Phase I. Put the problem in the standard LP form, and add
the necessary artificial variables to the constraints exactly as
the M-method to secure a starting basic solution. Next, find a
basic solution of the resulting equation that minimizes the
sum of the artificial variables. If the minimum value of the
sum is +ve, the LP problem has no feasible solution, which
ends the solution process (recall that a +ve artificial variable
signifies that the corresponding original constraints is not
satisfied). Orthewise, we move to Phase II.
 Phase II. Use the feasible solution obtained in Phase I as a

starting basic feasible solution for the original problem.

Example: Use the previous example.
Phase I. Minimize r  R1  R2
subject to 3 x1  x2  R1 3
4 x1  3 x2  x3  R2 6
x1  2 x2  x4  4
x1 , x2 , x3 , x4 , R1 , R2  0
The associated tableau is

r 0 0 0 -1 -1 0 0
R1 3 1 0 1 0 0 3
R2 4 3 -1 0 1 0 6
x4 1 2 0 0 0 1 4

As in the M-method, R1 and R2 are substituted out in the r-row
and the new r-row
r  7 x1  4 x2  x3  0 R1  0 R2  0 x4  9
the associated tableau becomes
r 7 4 -1 0 0 0 9
R1 3 1 0 1 0 0 3
R2 4 3 -1 0 1 0 6
x4 1 2 0 0 0 1 4
r 0 5/3 -1 -7/3 0 0 2
x1 1 1/3 0 1/3 0 0 1
R2 0 5/3 -1 -4/3 1 0 2
x4 0 5/3 0 -1/3 0 1 3

Phase I: Optimum tableau

r 0 0 0 -1 -1 0 0
x1 1 0 1/5 3/5 -1/5 0 3/5
x2 0 1 -3/5 -4/5 3/5 0 6/5
x4 0 0 1 1 -1 1 1
Because minimum r = 0, Phase I produces the basic feasible

solution x1=3/5, x2=6/5 and x4=1.

Phase II. The original problem is
Minimize z  4 x1  x2
subject to 1 3
x1  x3 
5 5
3 6
x2  x3 
5 5
x3  x4  1
x1 , x2 , x3 , x4  0
Essentially, Phase I is a procedure that transforms the original
constraint equations in a manner that provides a starting basic
feasible solution for the problem. The tableau of Phase II is
Basic x1 x2 x3 x4 Solution
z -4 -1 0 0 0
x1 1 0 1/5 0 3/5
x2 0 1 -3/5 0 6/5
x4 0 0 1 1 1

Because the basic variables x1 and x2 have nonzero coefficients
in the z-row, they must be substituted out and the tableau of
Phase II is
z 0 0 1/5 0 18/5
x1 1 0 1/5 0 3/5
x2 0 1 -3/5 0 6/5
x4 0 0 1 1 1
To minimize the objection function, x3 must enter the solution
and x4 leave the solution.
z 0 0 0 -1/5 17/5
x1 1 0 0 -1/5 2/5
x2 0 1 0 3/5 9/5
x3 0 0 1 1 1
x1 = 2/5, x2 = 9/5, x3 = 1, and z = 17/5.
3.6 Special Cases

Some special cases that arise in the application of the simplex method.
 Infeasibility. If any of the artificial variables with cost M or 0
appears in the final simplex iteration, then the solution is not
feasible.
 Degeneracy. The LP model has at least one redundant constraint.
 Alternative Optima. When the objective function is parallel to a
binding constraint (i.e., a constraint that is satisfied as an equation
by the optimal solution), the objective function will assume the
same optimal value at more than one solution point. There is an
infinity of solutions.
 Unbounded Solution. The values of the variables may be
increased indefinitely without violating any of the constraints, then
the solution space is unbounded in at least one direction. The
objective value may increase (maximization) or decrease
(minimization) indefinitely.

CA3122 Chap 3

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CA3122 Chap 3

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3.

The Simplex Method

 Major steps in the simplex method:

Prof. C.W. Lim CA3122 Engineering Analysis Part 2: Operations Research 1

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How to Form a Standard LP - (Cont.)

 All the variables are non-negative.

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Standard LP: Maximize z  2 x1  3 x2  5 x3  5 x3

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How to Form a Standard LP – (Cont.)

Primal LP model: Its standard LP model:

s3 , s4 : surplus variables; s5 : slack variable.

 The objective functions are of the maximization or

3.3 Basic Solutions

 Example: Consider the following set of two equations

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Case 2. Basic infeasible solution

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3.3 Basic Solutions (Cont.)

Case 4. Nonexisting solution

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3.3 Basic Solutions (Cont.)

It is impossible for xj+ and xj- to be basic variables

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 Step 1: Determine a starting basic feasible solution.

 Step 2: Select an entering variable using the optimality

 Step 3: Select a leaving variable using the feasibility

 Step 4: Determine the new basic solution by using the

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3.4 Simplex Method (Cont.)

The entering variable in a maximization (minimization)

 Feasibility condition (for the selection of leaving variables):

For both the maximization and the minimization problems, the

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3.4 Simplex Method (Cont.)

 Step 2: Entering variable is x1.

 Step 3: Leaving variable is s1.

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pivot column pivot element pivot row

pivot row: the row associated with the leaving variable

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3.4 Simplex Method (Cont.)

Note that s1 has been replaced by x1

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(b) All other rows, including z:

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3.4 Simplex Method (Cont.)

 Step 3: Leaving variable is s2.

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 Step 4: Gauss-Jordan procedure (Elementary Row Operations)

Second iteration is completed.

3.4 Simplex Method (Cont.)

 Status of the resources

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For each of the following objective functions, solve the problem.

3.4 Simplex Method (Cont.)

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3.4 Simplex Method (Cont.)

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The slacks offers a convenient starting basic feasible solution for a

Artificial starting solution methods:

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3.5 Artificial Stating Solution