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Chapter 3 (Part3) - 992
Chapter 3 (Part3) - 992
Mathematical Programming Ι
Chapter 3
The Simplex Method
(Part III)
1
(1) Entering:
If zk - ck 0, xk may enter the basis.
(2) Leaving:
br b
If Min i : yik 0 , xBr may leave the basis.
yrk 1
i m
yik
2
Termination of the Algorithm
Z Z 0 - ( z j - c j ) x j
jR
x2
2
Example 3.6
3
5
Min - 3 x1 + x2
3
0
s.t. x1 2 x2 x3 4
1
4
- x1 + x2 x4 = 1
0
Unique
C optimum
x1
x1 , x2 , x3 , x4 0
0
0
4
x2
2
Example 3.6 (cont)
3
5
3
Min - 2 x1 - 4x2
0
1
x1
0
4
0
0
k
s.t. 1
j 1
j
j 0, i 0
Optimal objective
Example 3.7 x2
value is unbounded
along this way
Increase x1
Min - x1 - 3 x2 (unblocked)
0
s.t. x1 - 2 x2 4
3
- x1 x2 3
x2 0
0
x1 ,
0
4
x1
0
C = (-1,-3)
Figure 3.10
8
Procedure of the Simplex Method
Initialization (choose an initial BFS with the basis B)
Loop
(1) Solve the system with X B B -1b b, X N 0 & Z CB X B
M in C X Min Z
s .t. A X b s.t. Z - CB X B - CN X N 0
X 0 BX B NX N b
X B , X N 0
X
X B
X N BX B NX N b
C
CB ,CN X B B -1 NX N B -1b
A
B, N CB X B CB B -1 NX N CB B -1b
X B
Z 0 CB B -1 N - C N X N CB B -1b
11
X B
Z 0 CB B -1 N - CN X N CB B -1b
X B B -1 NX N B -1b
Initial Tableau
Z XB XN RHS
Z 1 0 CBB-1N - CN CBB-1b
XB 0 I B -1 N B -1 b
12
AX b AX IS b S : slack variables
S b - AX
Z CX Z - CX 0
S 0
Z - CX - 0
( b - AX ) 0 (1)
B -1 AX B -1 IS B -1b
B -1 AX B -1 S B -1b ( Row 2)
C B B -1 AX C B B -1 S C B B -1b (2)
Z X S RHS
Z 1 CBB-1A - C C B B -1 CB B-1b
XB 0 B -1A B -1 B -1 b 13
Min CX Min Z
s.t. AX b s.t. Z (CB B-1 A - C) X CB B-1S CB B-1b
X 0 B-1 AX B-1S B-1b
Z X S RHS
Z 1 CBB-1A - C C B B -1 CBB-1b
XB 0 B-1A B -1 B -1 b
14
Example 3.9
Min x1 x2 - 4 x3 0 x4 0 x5 0 x6
s.t. x1 x2 2 x3 x4 9
x1 x2 x3 x5 2
- x1 x2 x3 x6 4
x1 , x2 , x3 , x4 , x5 , x6 0
15
16
Interpretation of Entries in the
Simplex Tableau
X B B -1b - B -1 NX N
B -1b (- y j ) x j ( y j B -1 a j )
j R
1. X N v.s. Z :
the rate of change of Z is a function of NB variable x j
Z
c j - z j
x j
17
3. X N v.s. X B :
the rate of change of X B is a function of x j
XB
- y j
xj
18
Interpretation of Entries in the
Simplex Tableau (cont)
4. b v.s. X B :
the rate of change of X B is a function of b
X Bi
is the ith row of B -1
b
X B X B is the j th column of B -1
B -1 (matrix) b j
b
X Bi
is the (i , j ) entry o f B -1
b j
19
Example 3.10
z x1 x2 x3 x4 x5 x6 RHS
z 1 3 -5 0 0 0 -4 -16
x4 0 3 -1 0 1 0 -2 1
x5 0 0 2 0 0 1 1 6
x3 0 -1 1 1 0 0 1 4
20
Example 3.10 (cont)
21