Chapter 4 Simplex Method

Enumeration Method :

X1 : convert a general LP Dito standard form .

Stg : Find all BS .

and eliminate those which are not feasible .

¥3 : Find those that are optimal among all BFS .

Remark :
Computation can be expensive ( ( Tn ) B. S )

Goal :
Develop systematic way to
study the BFS to optimize LPP .

C Simplex Method ) .
 Adjacent BFS '
. Two BFS of a LP in standard form are said to be

Adjani if they have all but one basic variables in common .

EG

12K
it as E 4 2K , tha t 23 = 4

|
.

N, t 222 Ef ki t 222 +24 = 6

K 2230
. . Ki ,
Nz , Jez , 24 30

Ii
T
( 4 6)

{
= O . O .
.

T
Iii: = (O . 3 ,
I ,
O >

I =
( 43.93 .
o . 05

Goal :
Simplex Method find opt Sol

by moving from one BFS to an adjacent

BFS which increases obj fun value in

each
step .
 Simplex Method for LP in feasible canonical form

Max 2- = E'I E. g . Max 2- = 32 , t 422

St .
AZ EI ( 835 ) St . 2e , t 222 E5

£ 38 K, -
sea E 4

K . .
22 30
R2
^
The LP can be converted to :

MAX Z = 32 , t 4k

sit

:*::* :.÷ : :
.
'

K . .
K2 ,
K3, Na 70

Find initial BFS ( let all slack variables be B. v )

Step 1 : an .

initial tableau

I
:

K, Kz Kz 24 Z to

in
.

E Je
'
-

3 -4 O O l O F Z -
= o

initial I = ( O, O, 5 . 4)
T
with Z = 0 .

Remark : ( properties of the tableau )

4) Row lls
captures eg't Cl ) i Row 12 )
captures eqt 12 )

( NW O )
(2) Last the
obj fun
tow
captures
(3) B. v in with coefficient
exactly row 1
.

appears one .

(4) The Col associated to the B. v . are all 0

except for the t1 in

the row labeled by the B - V .

of B. v be obtained from the Col

(5) Values . can
rightmost .

(5) Col 2- can be deleted .

In general ,
the tableau looks like :

:/ :/
H,Hz---HnKht,NhtL__.2en+mZ#
Nutt Ali AIL - - -
Ain t O - - -

O O b,

Katz 021 922 . . .

Azn O l - - i
O O .bz

: : : : : i :

NntmAmiAmz---Amn00---/0b#
-
C,
-

Cz - - . -
Ch O O - -
-
O 1 O
\

or . more
compactly

Is|A2.#
- -

#
Z Ks
- →

-T - T
-

C O 1 O
 Step check
2 :
optimality

I 1
recall : Z =
32 , -1422

I:t: :÷÷÷÷÷
sea

In general . 2- = -2 dj Kj t E o .

Kj
N . B. V .
B. V .

Where dj =
negatives of the entries in row o .

If some
dj are positive . Z can be T by T the value
of N -
B. v .

Kj from
O .

Hence ,

t.ie?ni:ethe..:::an.n::.::.negameen.
 Step 3 : choose one entering variable
N . B. V .

T
In general

kBrµµ3r
,

Kk
choose N B. whose coefficient
-

a .
u .
see
÷

in row O is negative
.
.

÷
In our
example .

( eutennguaiaba.I.fi?.a7g!o:o./5g)
choose a. as the
Step 4 : choose departing I leaving variable

After choosing x , as new B. u .

.
we need to choose either as

or 24 to become nonbasic
to

-1-1010/43
1121005
Z
.

K , K2 2.3 24
-

NOW Nz 5 ki 222
Kay
/
= - -

24=4 -
se , -
sea .

-4 O O l O

keep NEO Kz 5 K,

{
= -

me 4- a .

we choose the largest 2e , such that 2330 . Ka 30 .

Then ,
se , = min { % ,
% Y =
4 .

When N, =
4 , Ks = I 24=0 .
.
-

. 24 becomes nonbasic .

(
departing variable )

N . B. V .

In general ,
T

I
once Nk is chosen as
entering "
:

r '

Br
variable ,
we choose upon as the

he
departing variable
if
Br
% ,
is smallest
positive .
 Remark .

If UK is chosen as the entering variable .

7Bi/9ikE÷/p
HK RBI
-

Vk O

ith row Yik Kk t HB ;

pi
: =

KB; =
pi Yi KKK
-

{
if yik
-

- O , ignore it .

② it Yik > O
'
Bi -

Yik Nk 30 Kk
-

-
min /yF÷ I of
yie >

=
BI
Yrk
③ if Yik co .
ignore it .

when Kk = BYyrk ,
KBR =
Br -

brk .
( Rhyne ) =
O .

( departing variable )

.:÷:÷%÷÷i::÷:itm +
a

you :¥÷n÷÷÷÷i÷¥I
.
"
 Form
Step 5 :
a new BFS
b
( a new tableau )

to

-140,0€
:/
Initial tableau :
K, Ks Ks 24 Z

'2i
-

I
(* )
←

3 -4 O O l 0

In the new BFS :

① B. V .
i
. 23 .
K , .
i N . B. V. : K2 ,
Ka .

② K, -_ 4 ,
Ks = I . 22=24--0 2- = 32 , -1422=12 .

To preserve the properties of the tableau ,

we want .

to

←4
K, Kz Kz 24 Z

c** >

O O l 12

Note : we can convert CH ) into C** ) by Gaussian elimination .

be (
pivot operation ! ,

←
§#ZI
,,o,o#
,

-
I

3
2

-4
I

O
O

O
O

l
5

Remark .

to

#
K, Ks Ks 24 Z
① Col 2- can be deleted .

② Move from 10.05 tan

K#
adjacent BFS with ZT .

My ,

Bts EEC " "* ⇐ "

a,
K
,
 Step 6 : Continue the process until opt Sol is reached

.÷÷÷÷÷t
Since vs = -7 co ,
Jez is not
optimal . let 2e , be entering variable .

's
/
32Gt Nz
{
= I 23 = I 3N 2 DO K E

{
-

Kz toe , k at sea 223 -4

=
4 ignores
-

, = so c

when 22=43 ,
23=0 ,
K, = 13/3
(
departing variable )

or
equivalently by ,
min ratio test :

min f Bily I -

, z
yiz >o 's = I 43 .
-
I =
Ys .
=
Bfg ,,

KB , =
Nz is the departing variable .

Do pivot operation at Yu =3 .
we have a new tableau :

b-

0143-4343%2,1104343/13130
-13 : K, ka Ks Ka

O 73 43 43/3
Now all coefficients in row o are
positive Hence , we can not T Z .

I# C ' 43 ,
43 ,
O ,
05 with 2- = 43/3 .

opt
Sol .

R2
^
The simplex Method . I LP in feasible canonical form )

Construct initial tableau and get initial BFS

Steph .
an an .

NIs|A2#
- -

-T - T
c o o j
-

" -

"

check optimality
steps .

j Yoo

if
{ if
all 30 the current BFS is optimal ; stop
rj ,
.

I
rj
so ,
go to
step 3 .

Steps choose the entering variable .

let N B
- - V . Kk with rkco enter the basis .

choose the
departing variable using Min
step "
-
ratio test .

Byy ..
= mm
{ Bibi I .
six > o ) .

KBR is the
departing variable .

yrk and establish tableau

Stg .
pivot at a new .

K j

:¥
Yrj

:Il:÷÷÷
r

Return to 2
step .
Lecture 4: The Simplex Method 4-8

Example 4.1.1. Consider the LP problem:

Max z = 3x1 + x2 + 3x3

Subject to 2x1 + x2 + x3  2
x1 + 2x2 + 3x3  5
2x1 + 2x2 + x3  6
x 1 , x2 , x 3 0

By adding slack variables x4 , x5 and x6 , we have the following initial tableau.

Tableau 1:

x1 x2 x3 x4 x5 x6 b Ratio
2
x4 2 1⇤ 1 1 0 0 2 1 = 2⇤
5
x5 1 2 3 0 1 0 5 2 = 2.5
6
x6 2 2 1 0 0 1 6 2 =3
z 3 1 3 0 0 0 0

Initial tableau, current BFS is x = [0, 0, 0, 2, 5, 6]T and z = 0.

We choose x2 as the entering variable to illustrate that any nonbasic variable with neg-
ative coefficient can be chosen as entering variable. The smallest ratio is given by x4 row.
Thus x4 is the leaving variable.

Tableau 2:

x1 x2 x3 x4 x5 x6 b Ratio
2
x2 2 1 1 1 0 0 2 1 =2
1
x5 3 0 1⇤ 2 1 0 1 1 = 1⇤
x6 2 0 1 2 0 1 2
z 1 0 2 1 0 0 2

Current BFS is x = [0, 2, 0, 0, 1, 2]T and z = 2.

Lecture 4: The Simplex Method 4-9

Tableau 3:

x1 x2 x3 x4 x5 x6 b Ratio
1
x2 5⇤ 1 0 3 1 0 1 5
x3 3 0 1 2 1 0 1
x6 5 0 0 4 1 1 3
z 7 0 0 3 2 0 4

Current BFS is x = [0, 1, 1, 0, 0, 3]T and z = 4.

Tableau 4:

x1 x2 x3 x4 x5 x6 b
1 3 1 1
x1 1 5 0 5 5 0 5
3 1 2 8
x3 0 5 1 5 5 0 5
x6 0 1 0 1 0 1 4
7 6 3 27
z 0 5 0 5 5 0 5

Optimal tableau, optimal BFS is x = [1/5, 0, 8/5, 0, 0, 4]T and z ⇤ = 27/5.

We note that the extreme point sequence that the simplex method passes through are
{x4 , x5 , x6 } ! {x2 , x5 , x6 } ! {x2 , x3 , x6 } ! {x1 , x3 , x6 }.
Question ?
:
Optimality condition : all
rj > o

A.tgebraofs.MN .

A LP in standard form :

Max 2- = E' I
sit AI -_ I 1538 )
at )
.

I 38

A- = ( B N ) I =
( III )
AZ -

- I BIB t N Jew =3

Z = E' I Z -

IIIB -
Eisen =
o

BN#
-

KB2wt#

- T -T

CB 0
-
-
car

During the computation ,

the tableau has the
property that cols

under Irs form an

identity matrix . and ri -0 t B. v .
Hi . .

Im*#
→ -

KB NN Khs
#

Iis
- T
O * Yoo
\
During the computation ,
the tableau has the
property that cols

under Irs form an

identity matrix . and ri -0 t B. v .
Hi . .

- -

① ③

for ① : BIB + NEW = I

B- BI,
'
t B- N
'

Jew =
B-
'
I
Im Est B- N
'
Jew = B-
'

ImB-'N|p
→ -

NB Kw Khs
#

Ks 5
- T
O * Yoo
\

Also , Jeb = B- ' I -

B
-
'
N Tew H)

for ② : Z -
EEE ,
- IT In = o

Z -
Est ( B- I'
-
B- N
'
Ind -
Eisen =o

z + C EI B- N '
-
CIT ) Ew = IT B- I '

general tableau :

- -

KB NN Nhs

"
¥⇐..¥ h÷Ei "
tow

row
' -

O
m

Yoo
general form :

- -

:÷:. E÷i
KB NN Nhs

¥⇐.:i÷t:÷ or

since for Jeb .

Im = B- B
'

.
(Im B- N
'
) =
B- ( B
'
N) =
B- A
'
.

TBT B-
'

E' =
'
B -
Est ( O II B- N '
-
Ent )

Est B- B E5 ET
"

=L '
-

.
Is B- N
'
-

= £5 B- '
CB N ) -

C Est INT .
s

E5 B- E
' '
'
=
A -

K rhs

B-in-E.IQ
Est B- A E '
-
'

① let
D= ( Bijan ) =
B-
'
I Est B- I '
= Est p .

of Tj Tej
'
② each Col B- A
'
: = B-

③ each entry in low O :

rj
= Est B- Tej ' -

g-
=
CITYJ -

g- =
Zj
-

Cj .

there
Zj = IoTB- AJ '
=
E5yj
if Kj is basic,

rj = IT B-
'

AJ -

g-
=
Tsing -

g-
=
G-
-

Cj
-

- o .
F.G. I

,,,o
.
K . 22 Us 24 ths

23 I 2 I O S

z,

-3 -4 O O O

=/ ! ? ?) b-
=/ ! ) E-
'
A- ( 3. 4. o .
cost .

For Ti : B ,
=
Iz .
B- A
'
= A B-
'
5=5 .

CTB -
'
A - E' = GTA -
E - co ,
o > A -
E' = -
ET
CFB I - '
= Trib =
co , o > (I) =
o .

,→#
TI : N , 22 23 ka ths

23 O 3 I -
l l

z,

O -7 O 3 12

'

( i)
'

i) (
-

! )
'

(
-

Betas .at ,
-

Be
-

=
-_
o o o

to ill : : :O ) lo ? : ;)
-

B-' a- -
-

. .

I
( ill ? )
'

II )
-

B-' -

- -

( 7 ? I)
" -

EBTB -
'
A - E' =
co , 3 ) , o
-

CB .
4 .
o ,
o )

=
( 3 ,
-3 ,
O ,
3) -
( 3,4 ,
O ,
O) =
( O, -7 ,
O , 3 )

CFB I
(L )
'
(
-

= O, 3 > = 12 .
 recall :
optimality condition for Max problem .

if opt Sol
{
all
rj 30 , .

if I
rj co . Not optimal .

proposition I :

thenthecuorentBTrsn.isaukqeopt.gs
For Max if for all N B.
a
problem rj =
Ej Cj 70 v
-
.
.
,

PI ①
.
t feasible Sol I .
let D= I -
I .

Then AT = Ac E - I > = J

(B
( Ffg ) BWI -1 NWT =3
ie .
N ) =

Wiz = -
B
-
'
N WI where wT= In -
Jew =
In 35
ET
( WI; ) Eius Tiwa
'
=
cos Ii's = +

= -
CFB -
'
N WIT E' win = -
C Ist B- w '
-

CF ) WI EO .

E'I = Eiwta > = E' hit E' I ⇐ E'I .

I is an
opt Sol .

② Assume I is also an
opt Sol . then E' I = Eta .

E' T -

-
o To =3 In =
Jew =3 .

Also TB = -

B- ' NWT =3 IB =
IB
2E = I

opt Sol Je is
unique .

#
Proposition 2 .

÷::a::::%:t÷÷¥i::÷÷:
PI .
( similar as pf of proposition 1 ) ( Exercise ! )

The simplex Method .

( Max problem )

Construct initial tableau and get initial BFS

Steph .
an an .

check optimality
Steps .

if
{ if
all 30 the current BFS is optimal ; stop
rj ,
.

I
rj
so ,
go to
step 3 .

Steps choose the entering variable .

let N B - - V . Kk with rkco enter the basis .

choose the
departing variable using Min
step "
-
ratio test .

Byy ..
= mm
{ Bits ) .
six > o ) .

KBR is the
departing variable .

yrk and establish tableau

Stg .
pivot at a new .

K j

:¥
Yrj

:l:÷÷÷
r

is :
Return to 2
step .
Question :

In Simplex method ,
we need an initial BFS to Start computation .

If the LP is not in feasible canonical form . how should we

get an initial BFS ?

E.G .
Max Z =
Hit Nz initial tableau :

Z/
Sit .
2N , -1 Nz -

Nz =4 K , Nz Hs rhs

" '
+ Z" =b

Ni 22 30
I 2 O 6
. . 23 .

I -
I O O

( No initial BFS )

It can be solved by M -
method and Two -

phase method .