The Simplex Method

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Author: Valeriu Anisiu

email: anisiu@math.ubbcluj.ro
address: Faculty of Mathematics and Computer Science
"Babes-Bolyai" University
Kogalniceanu 1 Street
3400 Cluj-Napoca, Romania

The file SIMPLEX.MTH contains functions that perform the minimization and
maximization of linear functions, under linear constraints:

min {c1*x1+...+cn*xn + c0: x1>=0,...,xn>=0, f1(x)<=g1(x),...,fm(x)<=gm(x)}

max {c1*x1+...+cn*xn + c0: x1>=0,...,xn>=0, f1(x)<=g1(x),...,fm(x)<=gm(x)}

where f1,...,fm,g1,...,gm are linear (in fact affine).

The two main functions contained in the file are:

MINIMIZE(C(x),[u1(x),...,um(x)])
--> [minC,x=xmin,v]

MAXIMIZE(C(x),[u1(x),...,um(x)])
--> [maxC,x=xmax,v]

If minC=inf, or maxC=-inf, then the constraints cannot be satisfied (i.e. the

domain defined by the constraints is void). minC is -inf if the function C(x) is
unbounded from below and maxC is +inf if the function C(x) is unbounded from above
on the (nonvoid) domain defined by the constraints.

u1,...,um are linear equalities or inequalities; the inequalities are considered

nonstrict, but both functions also accept < instead of <= and > instead of >=. If
uk is an algebraic expression, the equality uk=0 is considered.
C(x) is the objective function (also linear in the variables x).

Note: the variables x1,...,xn are supposed to be nonnegative. The functions

MINIMIZE and MAXIMIZE can be also used when xk is not restricted to be >=0:
- if a lower bound ak is known for xk (i.e. xk>ak) then replace xk with yk+ak.
The new variable yk is now nonnegative.
- if such a lower bound is not known, then simply replace xk with the difference
of two new nonnegative variables (xk=yk-zk).

One can inspect the simplex tables (preceded by the row and column of the pivot),
which are contained in the variable simplextable, generated after each call to
MINIMIZE or MAXIMIZE. The generation of these tables is omitted if simplextables is
set to hold a nonvector value (for example simplextable:= ). Use the assignment
simplextables:=[]
if you are interested in such intermediate results, because by default
simplextables is not assigned and the tables are not generated.

The auxiliary function SIMPLEXCALL(A,l,g,e,b,c) can be used to invoke directly the

minimization; MINIMIZE and MAXIMIZE call this function and are much more
convenient. Here A is the n x (l+g+e) matrix of the coefficients, l,g,e are the
number of constraints of the type '<=', '>=', and '=' respectively. b is the
vector containing the right hand side (nonnegative!) of the
equalities/inequalities. c is the vector containing the coefficients of the linear
function to be minimized; if it has n+1 components, the last one is subtractive.

For example, to minimize x+y+10 under the constraints x+y+z>1, x-2y=1,y-2z<5, x-

2y+z>7, we can use the call

MINIMIZE(x+y+10,[x+y+z>1, x-2y=1, y-2z<5, x-2y+z>7])

or,

SIMPLEXCALL([0,1,-2;1,1,1;1,-2,1;1,-2,0],1,2,1,[5,1,7,1],[1,1,0,-10])
(note the order of the constraints!)

In the first case one obtains [11, x=1 AND y=0 AND z=6, [17, 6, 0, 0]], and in the
second one the result is [11, [1, 0, 6], [17, 6, 0, 0]], meaning that the minimum
is 11 and it is obtained for x=1, y=0, z=6; the rest of the values (17,6,0,0)
correspond to the so called "artificial variables" which are associated to each
constraint.

The algorithm used is the simplex method (2 phases), elaborated by G. Dantzig in

1947 and presented in most books on linear programming.

When working in approximate mode, the variable eps_ (which is by default 0) can be
set to a (small) positive value; in this case all the entries in the simplex tables
which are in absolute value less or equal to eps_ are set to 0.
eps_ should be modified only with great care!

For other examples, please load and run the demo file SIMPLEX.DMO.