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Chapter 5 Big-M and Two-Phase Method
Chapter 5 Big-M and Two-Phase Method
Big -
M d Two -
phase Method .
0 In simplex Method .
we need an initial BFS to start
computation .
0
If the LP is in feasible canonical form .
initial BFS
0 If not .
how can we solve this LP ?
,z#
2,2225M€
=
,
:
St .
22 , t Ha -
Kz =
4 2 I -
I 4
µ, + zz, =g
-
l -
I O O
Ni .
K2 , Zz Z O .
( No initial BFS ! )
-
- -
-
.
form
we will solve LP not is feasible canonical
by
Big - M method and Two -
phase method .
Big-Mmethod
Consider a LP in standard form :
Max 2- = EE
(* ) sit . AZ =3 c 835 )
I 35
Max Z
'
= EZ -
E ,
M Kai
(** )
St .
AZ + Im Tea =I
(
auxiliary problem )
I , Tea 35 .
PNPOE.tt?istifeas..bcehc*sL=sfE)isfeasibleht**
PI ( Exercise )
Mika , '
decreases Z
'
dramatically !
: .
opt
sod
of ( ** ) tends to
give Kai =o ,
i -_ i. 2.3 .
- -
i. m .
MYIY.hn?isauop+soen*oEc**snasanoptsoefEot#
-
Pf ( Exercises
E.G Max 2- kit sea
=
.
St .
22 , -12k -
Kz =
4
(* ) =6
x, +222
Ni .
K2 , Nz 70 .
Set an
auxiliary problem :
Max 2- =D , -122 -
M ka
-
Mus
St .
22 , -12k -
Kz -12k,
=
4
(** )
K, -1222 Tks =6
Ni .
K2 . Zz 70 . 24 ,
25 30 .
( 24 .
25 are
artificial variables )
::::m#
TL .
N, Nz Nz 24 25 this ratio
-
2cg 2* I -
l l O 4 2
as .
-
I -
3M -
I -
3M M O O -
10M
o%*yz%÷
It .
kiKzK3K4K5r# ratio
K, I Yz -
Yz Yz O 2 4
z, g,
O -
1+3121 -
o,yz§g#
N , as Us
.
K
, I 0 -43 43
a,
%
'
Ys
-
O o
03€
Tt K ,
22 23 rhs
-
K, I 2 o 6
z,
O l O 6
Sol a-
*
( 6 O 85 with z*= 6
opt
=
, , .
Question :
in
implemented computer ?
E.G . Min Ni
ER, E CE
(* ,
St -22 as =
is a positive constant )
-
.
.
Ki 30 ,
i = 1.2 .
3 .
Et 221-23 Kat Ns
H, = - -
=
It E
q
Min N, t M Na
(* * ) S t -
. ER, -22 -
23+24 = E .
Ki 30 ,
i = 1.2 .
3 . 4
initial BFS I =L 0, O ,
O ,
EST with Z = ME .
ME > 1 .
e > In .
determined
M can not be
arbitrarily .
Two-phasemethodphase.tn : search for a BFS for Cst )
{ phase I :
computer an
opt Sol for c* ,
Max 2- = Est
(* ) sit . AZ =I c 835 )
I 35
¥1 :
Min Z
'
= IIIa =
Em sea ,
,
(* * ,
St .
AZ t Im Tea Fb
I, Ia 35 .
The smallest of
'
Note :
possible value Z = 0 .
Goal :
'
use Sinxex method to move the initial BFS of Atx )
PM.IS?7Iteasibu#**za.hasfmanPdtEf!o7Et
Question :
If c** ) has an
opt Sol with Jra to . What does it mean ?
By the end
of phase I .
if
'
initial BFS to H) to phase It
{ if
z = o ,
we
get an ,
move .
feasible Sol
'
Z to , ht ) has no ,
stop .
In I
phase ,
St .
22 , t Na -
Kz =
4
Ki +222 =6
Ni ,
H2 , Zz Z O .
phase I :
Min Z
'
=
Kat K5
(* * ) St .
22 , t Na -
Kz + Ka =
4
K, +222 +25=6
Ki .
K2 . Zz Z O . 24 . 25 30 .
Min Z
'
=
Kat K5 Max -
24 -
25
For optimal
o Max problem ,
rj 30 ,
tj .
÷¥: i :÷÷÷:÷: .
\ if rjco ,
Taj . ZT
if I
rjco , pick Nk with Ricco as entering variable .
:;:::÷÷.:÷:÷÷o::÷÷ia
o
phase1.MN Z' =
Kat K5
(* * ) St .
22 , -12k -
Zz try =
4
K, +222 +25=6
Ni .
K2 . Zz 70 . 24 . 25 30 .
,zo#
It Ki 22 23 Kg 25 this ratio
.
2 't l l O
24 l 4 2
-
y, g
O O O -
I -
I 0
x
3 3 -
I O O lo
0312442€
TI 2,222325M€ ratio
2e , I Yz -
Yz O 2 4
no %
o 3/2 42 O 4
0143/8/30
-3L K, Ks Nz rhs
N, 10734T
Sez
O O O
05
'
( 43 ,
% ,
03T is a BFS to the original problem without
variables !
artificial
phaseI.TL
o1Y3¥
N,KK3r#
24 I 0 % %
a
x
-
I -
I O O ← *, Max altar .
O O
-
43 '
93
:s
T2 N Nz 23 rhs
-
K, I 2 O 6
opt Sol .
I't =
C 6 ,
O, 85 with
't
z = 6 .
Lecture 5: The Simplex Method II 5-7
Example 5.1.3.
21 Consider the following LP.
Since x1 is free, it can be eliminated by solving for x1 in terms of the other variables
from the first equation and substituting everywhere else. This can be done nicely using our
pivot operation on the following simplex tableau:
x1 x2 x3 x4 x5 b
1⇤ 1 2 1 2 7
1 2 3 1 1 6
1 1 1 2 1 4
2 4 7 1 5 0
Initial tableau
We select any non-zero element in the first column as our pivot element - this will
eliminate x1 from all other rows:
x1 x2 x3 x4 x5 b
1⇤ 1 2 1 2 7 (⇤)
0 1 1 0 1 1
0 0 1 1 1 3
0 2 3 1 1 14
Equivalent Problem
Saving the first row (⇤) for future reference only, we carry on only the sub-tableau with
the first row and the first column deleted. There is no obvious basic feasible solution, so we
use the two-phase method: After making b 0, we introduce artificial variables y1 0 and
y2 0 to give the artificial problem:
x2 x3 x4 x5 y1 y2 b
1 1 0 1 1 0 1
1
0 1 1 1 0 1 3 cB =
1
0 0 0 0 1 1 0
Initial Tableau for Phase I
Lecture 5: The Simplex Method II 5-8
The cost coefficients of the artificial variables are +1 because we are dealing with a
minimization problem. Transforming (by adding the first two rows to the last row) the last
row to give a tableau in canonical form, we get
x2 x3 x4 x5 y1 y2 b
y1 1 1 0 1⇤ 1 0 1
y2 0 1 1 1 0 1 3
z 1 0 1 2 0 0 4
First tableau for Phase I
which is in canonical form. Recall that this is a minimization problem, entering variable
is chosen with positive entry (rather than negative) in the x0 -row. We carry out the pivot
operations with the indicated pivot elements:
x2 x3 x4 x5 y1 y2 b
x5 1 1 0 1 1 0 1
y2 1⇤ 2 1 0 1 1 2
z 1 2 1 0 2 0 2
Second tableau for Phase I
x2 x3 x4 x5 y1 y2 b
x5 0 1 1 1 0 1 3
x2 1 2 1 0 1 1 2
z 0 0 0 0 1 1 0
Final tableau for Phase I
At the end of Phase I, we go back to the equivalent reduced problem (i.e. discarding
the artificial variables y1 , y2 ):
x2 x3 x4 x5 b
x5 0 1 1 1 3
1
x2 1 2 1 0 2 cB =
2
z 2 3 1 1 14
Initial Tableau for Phase II
x2 x3 x4 x5 b
x5 0 1 1 1 3
1
x2 1 2⇤ 1 0 2 cB =
2
z 0 2 2 0 21
Initial Tableau for Phase II
x2 x3 x4 x5 b
1 1
x5 2 0 2 1 2
1 1
x3 2 1 2 0 1
z 1 0 1 0 19
Final Tableau for Phase II
x1 = 7 + 2(1) + 2(2) = 1.