Chapter 3:
The Simplex Method and Sensitivity
Analysis
Operations Research: An Introduction, 10th Ed.
By Taha, H.A.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Methodology
The simplex method is based on
• Finding a corner point feasible (CPF) solution (extreme point)
• Evaluating the Z function at that point
• Trying to reach from that initial extreme point another CPF
solution (if any) that improves the z-value
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
An Example
Maximize Z 3 x1 5 x 2
subject to x1 £ 4
2 x 2 £ 12
3 x 1 2 x 2 £ 18
x1 0 Adjacent CPF solutions
x2 x2 0
for each CPF
3x1+x2 = 18
8 Adjacent CPF
x1=4 CPF solution
solutions
6 (0,0) (0,6), (4,0)
2x2 =12
4 (0,6) (2,6), (0,0)
Feasible Z=3x1+5x2
region
(2,6) (4,3), (0,6)
2
(4,3) (4,0), (2,6)
(4,0) (0,0), (4,3)
0 2 4 6 8 x1
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Steps Leading to the Simplex Method
Put In
Formulate
problem as LP Standard
Form
Execute Put In
Simplex Tableau
Method Form
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Standard Form
Given the formulation of a Linear Program (LP), we need to
have the following:
• All variables to be non-negative
• All constraints to be written in terms of equations (except ≥ 0)
• The RHS of all equations should be non-negative
6 + 4 ≤ 24
How do we transform ≥ or ≤ into =?
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Standard Form
If a constraint is expressed using ≤, we convert it into an
equality constraint by adding a new variable called a slack
variable
• e.g., 6 +4 ≤ 24 into 6 +4 + = 24
If a constraint is expressed using ≥, we convert it into an
equality constraint by subtracting a new variable called a
surplus variable
• e.g., 2 + +3 ≥ 60 into 2 + +3 − = 60
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Standard Form
If a variable is unrestricted, we can convert that variable
into two nonnegative variables by considering two new
(complementary) variables and
• e.g., if is unrestricted
6 + 4 £ 24 into 6 + 4( − ) + 1 = 24
where , ≥ 0
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Standard Form
An LP is in standard form when:
• All variables are non-negative
• All constraints are equalities
• The RHS of all equations are non-negative
Putting an LP formulation into standard form involves:
• Adding slack variables to “≤“ constraints
• Subtracting surplus variables from “≥” constraints
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Standard Form: Example
• Initial formulation: • Standard form:
min =2 1 −3 2 −4 3 min =2 1 −3 2 −4 3
subject to subject to
1 + 2 + 3 ≤ 30 1 + 2 + 3 + 1 = 30
2 1 + 2 +3 3 ≥ 60 2 1 + 2 +3 3 − 2 = 60
1 − 2 +2 3 = 20 1 − 2 +2 3 = 20
1, 2, 3 ≥0 1, 2, 3, 1, 2 ≥0
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Tableau Form
A set of equations is in tableau form if for each equation:
• Its right hand side (RHS) is non-negative, and
• There is a basic variable
A basic variable for an equation is a variable whose coefficient in the
equation is +1 and whose coefficient in all other equations of the
problem is 0
To generate an initial tableau form:
• An artificial variable must be added to each constraint that does
not have a basic variable
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Tableau Form: Example
Example 3.1-1 (The Reddy Mikks Company):
LP Formulation: Standard Form:
Maximize = 5 +4 Maximize = 5 +4
subject to subject to
6 +4 ≤ 24 6 +4 + = 24
+2 ≤ 6 +2 + = 6
− + ≤ 1 − + + = 1
≤ 2 + = 2
, ≥ 0 , , , , , ≥ 0
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Tableau Form: Example
Example 3.1-1 (The Reddy Mikks Company):
Simple Tableau (starting): Non-basic
Optimality??
Variables
Basic Var.s RHS (Sol.)
1 -5 -4 0 0 0 0 0
0 6 4 1 0 0 0 24
0 1 2 0 1 0 0 6
0 -1 1 0 0 1 0 1
0 0 1 0 0 0 1 2
Basic
Feasibility??
Variables
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex basic solution
A basic solution has the following properties:
• Each variable is either a non-basic variable or a basic variable
• The number of basic variables equals the number of functional
constraints
• The non-basic variables are set equal to zero
• The values of the basic variables are obtained as the
simultaneous solution of the system of equations
• If the basic variables satisfy the non-negativity constraints, the
basic solution is a BF solution
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company): Is this solution
optimal??
Enter
Basic Var.s RHS (Sol.)
1 -5 -4 0 0 0 0 0 Ratio
Leave 0 6 4 1 0 0 0 24 24/6=4 min
0 1 2 0 1 0 0 6 6/1=6
0 -1 1 0 0 1 0 1 1/-1=-1
Ignore
0 0 1 0 0 0 1 2 2/0= ∞
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 -5 -4 0 0 0 0 0
0 6 4 1 0 0 0 24 Pivot row
0 1 2 0 1 0 0 6
0 -1 1 0 0 1 0 1
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 -5 -4 0 0 0 0 0
0 1 2/3 1/6 0 0 0 4 Pivot row
0 1 2 0 1 0 0 6
0 -1 1 0 0 1 0 1
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 -2/3 5/6 0 0 0 20
0 1 2/3 1/6 0 0 0 4 Pivot row
0 1 2 0 1 0 0 6
0 -1 1 0 0 1 0 1
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 -2/3 5/6 0 0 0 20
0 1 2/3 1/6 0 0 0 4 Pivot row
0 0 4/3 -1/6 1 0 0 2
0 -1 1 0 0 1 0 1
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 -2/3 5/6 0 0 0 20
0 1 2/3 1/6 0 0 0 4 Pivot row
0 0 4/3 -1/6 1 0 0 2
0 0 5/3 1/6 0 1 0 5
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company): Is this solution
optimal??
Basic Var.s Enter RHS (Sol.)
1 0 -2/3 5/6 0 0 0 20 Ratio
0 1 2/3 1/6 0 0 0 4 4/(3/2)=6
Leave 0 0 4/3 -1/6 1 0 0 2 2/(4/3)=1.5 min
0 0 5/3 1/6 0 1 0 5 5/(5/3)=3
0 0 1 0 0 0 1 2 2/1=2
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 -2/3 5/6 0 0 0 20
0 1 2/3 1/6 0 0 0 4
0 0 4/3 -1/6 1 0 0 2 Pivot row
0 0 5/3 1/6 0 1 0 5
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 -2/3 5/6 0 0 0 20
0 1 2/3 1/6 0 0 0 4
0 0 1 -1/8 3/4 0 0 3/2 Pivot row
0 0 5/3 1/6 0 1 0 5
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 0 3/4 1/2 0 0 21
0 1 2/3 1/6 0 0 0 4
0 0 1 -1/8 3/4 0 0 3/2 Pivot row
0 0 5/3 1/6 0 1 0 5
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 0 3/4 1/2 0 0 21
0 1 0 1/4 -1/2 0 0 3
0 0 1 -1/8 3/4 0 0 3/2 Pivot row
0 0 5/3 1/6 0 1 0 5
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 0 3/4 1/2 0 0 21
0 1 0 1/4 -1/2 0 0 3
0 0 1 -1/8 3/4 0 0 3/2 Pivot row
0 0 0 3/8 -5/4 1 0 5/2
0 0 1 0 0 0 1 2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company):
Basic Var.s RHS (Sol.)
1 0 0 3/4 1/2 0 0 21
0 1 0 1/4 -1/2 0 0 3
0 0 1 -1/8 3/4 0 0 3/2 Pivot row
0 0 0 3/8 -5/4 1 0 5/2
0 0 0 1/8 -3/4 0 1 1/2
Pivot col.
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Simplex Algorithm: Example
Example 3.1-1 (The Reddy Mikks Company): Is this solution
optimal??
Basic Var.s RHS (Sol.)
1 0 0 3/4 1/2 0 0 21
0 1 0 1/4 -1/2 0 0 3
0 0 1 -1/8 3/4 0 0 3/2
0 0 0 3/8 -5/4 1 0 5/2
0 0 0 1/8 -3/4 0 1 1/2
Optimal solution: =3, = 1.5 , = 21
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Artificial Starting Solutions
If all constraints from the LP formulation require slack
variables (i.e., ≤), then we know that the corresponding
basic solution can be used to start the simplex
What (to do) if they are not all ≤ , for example = or ≥
Try one of the two following methods to find a starting
solution to the simplex:
• The big M-method
• The two-phase method
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Big M-Method
Introduce non-negative variable to the left-hand side of the
constraints of (≥ or =) type
• These variables are called artificial variables
The purpose of introducing these variables is just to obtain
an initial basic feasible solution
However, the addition of these artificial variables causes
violation of the corresponding constraints
Therefore, we would like to get rid of these variables
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Big M-Method: Steps
For = or ≥ constraints, we introduce an artificial variable Ri
Assign a penalty coefficient M to each artificial variable
• We choose M as big as necessary to force the value of Ri at the
optimum to be 0
We penalize the objective function by adding
• –MRi (for a maximization), or
• MRi (for a minimization)
Solve the modified LP by simplex method
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Big M-Method: Example
Example 3.4-1:
LP Formulation: Standard Form: Adding Artificial Variables:
Min = 4 + Min = 4 + Min = 4 + + +
subject to subject to subject to
3 + =3 3 + =3 3 + + =3
4 +3 ≥6 4 +3 − =6 4 +3 − + =6
+2 ≤4 +2 + =4 +2 + =4
, ≥ 0 , , , ≥ 0 , , , , , ≥ 0
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Big M-Method: Example
Example 3.4-1:
Basic Var.s Sol.
-4 -1 0 -100 -100 0 0
3 1 0 1 0 0 3 Not equal?
4 3 -1 0 1 0 6
1 2 0 0 0 1 4
=4 + + + = 4 0 + 0 + 100 3 + 100 6 =
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Big M-Method: Example
Example 3.4-1:
Basic Var.s Sol.
-4 -1 0 -100 -100 0 0
3 1 0 1 0 0 3
4 3 -1 0 1 0 6
1 2 0 0 0 1 4
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Big M-Method: Example
Example 3.4-1:
Enter
Basic Var.s Sol. Ratio
696 399 -100 0 0 0 900
Leave 3 1 0 1 0 0 3 3/3=1 min
4 3 -1 0 1 0 6 6/4=1.5
1 2 0 0 0 1 4 4/1=4
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method
An alternative method to obtain an initial basic feasible
solution
In the first phase, the simplex method is applied to special
constructed LP leading to a final simplex table that contains
a basic feasible solution (BFS) to the original problem
In the second phase, we use the BFS determined by the first
phase to find an optimum BFS by applying the simplex
method
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Steps
PHASE I:
• Write the standard form including artificial variables
• Minimize the sum of the artificial variables (always)
If the minimum value is > 0 the LP has no feasible solution
Otherwise (r*=0, all Ri =0 and Ri nonbasic variables), move to phase-II
PHASE II:
• Use the feasible solution obtained from phase I to start the
simplex
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase I:
Min = +
subject to
3 + + =3
4 +3 − + =6
+2 + =4
, , , , , ≥ 0
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase I:
Basic Var.s Sol.
0 0 0 -1 -1 0 0
3 1 0 1 0 0 3 Not equal?
4 3 -1 0 1 0 6
1 2 0 0 0 1 4
= + =3+6=
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase I:
Basic Var.s Sol.
0 0 0 -1 -1 0 0
3 1 0 1 0 0 3
4 3 -1 0 1 0 6
1 2 0 0 0 1 4
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase I:
Basic Var.s Sol. Ratio
7 4 -1 0 0 0 9
3 1 0 1 0 0 3 3/3=1
4 3 -1 0 1 0 6 6/4=1.5
1 2 0 0 0 1 4 4/1=4
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase I:
Enter
Basic Var.s Sol. Ratio
7 4 -1 0 0 0 9
Leave 3 1 0 1 0 0 3 3/3=1 min
4 3 -1 0 1 0 6 6/4=1.5
1 2 0 0 0 1 4 4/1=4
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase I: Optimal tableau
Basic Var.s Sol.
0 0 0 -1 -1 0 0
1 0 1/5 3/5 -1/5 0 3/5
0 1 -3/5 -4/5 3/5 0 6/5
0 0 1 1 -1 1 1
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase I: Optimal tableau
To be
To be replaced with deleted
original objective function
Basic Var.s Sol.
0 0 0 -1 -1 0 0
1 0 1/5 3/5 -1/5 0 3/5
0 1 -3/5 -4/5 3/5 0 6/5
0 0 1 1 -1 1 1
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase II:
Basic Var.s Sol.
-4 -1 0 0 0
1 0 1/5 0 3/5
Not equal?
0 1 -3/5 0 6/5
0 0 1 1 1
=4 + = 4 3/5 + 6/5 = /
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase II:
Basic Var.s Sol.
-4 -1 0 0 0
1 0 1/5 0 3/5
0 1 -3/5 0 6/5
0 0 1 1 1
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Two-Phase Method: Example
Example 3.4-2 (same problem as in Example 3.4-1):
Phase II:
Enter
Basic Var.s Sol. Ratio
0 0 1/5 0 18/5
1 0 1/5 0 3/5 3
0 1 -3/5 0 6/5 -2
Leave 0 0 1 1 1 1 min
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Special Cases in The Simplex Method
Degeneracy
Alternative Optima
Unbounded Solution
Infeasible Solution
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Special Cases in The Simplex Method
Degeneracy
How to Identify in Tableau:
Tie for Minimum Ratio, Next Iteration will have one basic variable with zero value
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Special Cases in The Simplex Method
Alternative Optima
How to Identify in Tableau:
Non-basic variable with zero coefficient in objective function row
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Special Cases in The Simplex Method
Unbounded solution
How to Identify in Tableau:
Constraint coefficients for a non-basic
variable are non-positive (≤ 0)
(M.R. cannot be computed)
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Special Cases in The Simplex Method
Infeasible Solutions
How to Identify in Tableau:
RHS is negative OR Artificial variable positive in optimal solution
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Graphical Sensitivity Analysis
Sensitivity of the optimum solution to changes in
• The availability of the resources (i.e., right-hand side of the
constraints)
• Units profit or unit cost (i.e., coefficients of the objective
function)
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Graphical Sensitivity Analysis
Example 3.6-1 (Changes in the Right-Hand Side):
Max = 30 + 20
subject to
2 + ≤ 8 (M1)
+3 ≤ 8 (M2)
, ≥0
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Graphical Sensitivity Analysis
Example 3.6-1 (Changes in the Right-Hand Side):
• The unit worth of resource (or dual/shadow price) for M1, is
ℎ ∆
= =
ℎ ∆
• That is, changing the resource by 1 unit will affect the
objective function by the amount
• What is the range of capacity (i.e., feasibility range)?
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Graphical Sensitivity Analysis
Example 3.6-1 (Changes in the Right-Hand Side):
• Feasibility range:
• As can be seen for the graph, the dual price of $14 remains valid
for changes (increase/decrease) in machine 1 capacity that move
its constraint parallel to itself to any point on the line segment
(from point B to point F)
Minimum M1 capacity [at B=(0,2.67)] = 2(0) + 1(2.67) = 2.67 hr
Minimum M1 capacity [at F=(8,0)] = 2(8) + 1(0) = 16 hr
Hence,
2.67 hr ≤ M1 capacity ≤ 16 hr
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Graphical Sensitivity Analysis
Example 3.6-2 (Changes in the Objective Coefficients):
Max = 30 + 20
subject to
2 + ≤8
+3 ≤8
, ≥0
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Graphical Sensitivity Analysis
Example 3.6-2 (Changes in the Objective Coefficients):
• The form of a 2-LP objective function is
= +
• By increasing or deceasing the values of or , we change the
slope of the Z-line
• By keeping the set F. S. unchanged, and varying the values of
and , we may eventually change the value of the optimum
solution: moving ∗ from one corner to another corner point of
F. S.
• Is there any range of variation of the coefficient and that
will keep the optimal solution unchanged?
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
Graphical Sensitivity Analysis
Example 3.6-2 (Changes in the Objective Coefficients):
• Optimality range:
• Finding a range of optimality for or for is equivalent to find
the values of / or / that will keep the initial optimal
solution unchanged
• For the range, we have to look at the following ratios,
≤ ≤ or 0.333 ≤ ≤2
ISE 303 - Term 201 Dr. Yasser Almoghathawi, KFUPM
