Optimization Methods: Linear Programming- Preliminaries Module – 3 Lecture Notes – 1 Preliminaries Introduction

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Linear Programming (LP) is the most useful optimization technique used for the solution of engineering problems. The term ‘linear’ implies that the objective function and constraints are ‘linear’ functions of ‘nonnegative’ decision variables. Thus, the conditions of LP problems (LPP) are 1. Objective function must be a linear function of decision variables 2. Constraints should be linear function of decision variables 3. All the decision variables must be nonnegative For example,

Maximize subject to

Z = 6x + 5 y 2x − 3y ≤ 5 x + 3 y ≤ 11 4 x + y ≤ 15 x, y ≥ 0

π Objective Function π 1st Constraint π 2nd Constraint π 3rd Constraint π Nonnegativity Condition

is an example of LP problem. However, example shown above is in “general” form.
Standard form of LPP

Standard form of LPP must have following three characteristics: 1. Objective function should be of maximization type 2. All the constraints should of equality type 3. All the decision variables should be nonnegative The procedure to transform a general form of a LPP to its standard form is discussed below. Let us consider the following example.
Minimize subject to Z = −3x1 − 5x2 2x1 − 3x2 ≤ 15 x1 + x2 ≤ 3 4x1 + x2 ≥ 2 x1 ≥ 0 x2 unrestricted

D Nagesh Kumar, IISc, Bangalore

M3L1

However. the standard form of above LPP is as follows: Maximize subject to ′ ′ Z ′ = −Z = 3x1 + 5(x2 − x2′ ) ′ ′ 2x1 − 3(x2 − x2′ ) + x3 = 15 ′ ′ x1 + (x2 − x2′ ) + x4 = 3 ′ ′ 4x1 + (x2 − x2′ ) − x5 = 2 ′ ′ x1 . x2′ . Again.Optimization Methods: Linear Programming. note that a new nonnegative variable x5 is subtracted form the LHS to make both sides equal. x 2 = x 2 − x 2′ .. Thus. solution for x 2 can be obtained as. x5 ≥ 0 ′ ′ ′ ′ After obtaining solution for x 2 and x 2′ . D Nagesh Kumar. Decision variable x2 can expressed by introducing two extra nonnegative variables as ′ ′ x2 = x2 − x2′ ′ ′ ′ ′ Thus. x3 . Similarly. IISc. x 2 can be zero also if x 2 = x 2′ . i. Decision variable x 2 is unrestricted. Bangalore M3L1 .Preliminaries The above LPP is violating the following criteria of standard form: 1. x4 . a standard form for this LPP can be obtained by transforming it as follows: Objective function can be rewritten as Maximize Z ′ = − Z = 3 x1 + 5x2 The first constraint can be rewritten as: 2x1 − 3x2 + x3 = 15. Constraints are of inequality type 2 3. thus violating the non-negativity criterion. it can take negative values also. The variable x5 is known as surplus variable. x 2 can be negative if x 2 < x 2′ and positive if x 2 > x 2′ depending on the values of ′ ′ ′ ′ x 2 and x 2′ . x2 . The third constraint can be rewritten as: 4x1 + x2 − x5 = 2 . a new nonnegative variable x3 is added to the left-hand-side (LHS) to make both sides equal. the second constraint can be rewritten as: x1 + x 2 + x 4 = 3 .e. Objective function is of minimization type 2. Note that. The variables x3 and x4 are known as slack variables.

Canonical form of LPP will be discussed next. Any equation Er can be replaced by kEr.Optimization Methods: Linear Programming. each having only one variable with nonzero coefficient. The following operations are known as elementary operations. D Nagesh Kumar. the most popular method of solving LPP. IISc. Let us consider the following set of equations. solution of the transformed set of equations will be the solution of the original set of equations too. 1. canonical form of a set of linear equations will be discussed first. 2. where Es is another equation of the system and k is as defined above. Later. In this class. Note that the transformed set of equations through elementary operations is equivalent to the original set of equations. Bangalore M3L1 . This can be achieved by some elementary operations. Understanding the canonical form of LPP is necessary for studying simplex method. Thus. Canonical form of a set of linear equations Let us consider a set of three equations with three variables for ease of discussion. where k is a nonzero constant.Preliminaries 3 Canonical form of LPP Canonical form of standard LPP is a set of equations consisting of the ‘objective function’ and all the ‘equality constraints’ (standard form of LPP) expressed in canonical form. the method will be generalized. Any equation Er can be replaced by Er + kEs. 3x + 2 y + z = 10 x − 2 y + 3z = 6 2x + y − z = 1 (A0) (B0) (C0) The system of equations can be transformed in such a way that a new set of three different equations are obtained. Simplex method will be discussed in some other class.

from all equations except one. Transformed set of equations. at each pivotal operation. IISc. considering C2 as pivotal equation.Preliminaries 4 Now. considering B1 as pivotal equation. Bangalore M3L1 . x + 0+ 0 =1 (A3 = A2 – C3) (B3 = B2 + C3) (C3 = − 1 C2) 2 0+ y+0 = 2 0+0+z =3 Thus we end up with another set of equations which is equivalent to the original set having one variable in each equation. For D Nagesh Kumar. the pivotal equation is transformed first and using the transformed pivotal equation. It may be noted that. Equation A0 in the previous set is known as pivotal equation. x+ 2 1 10 y+ z= 3 3 3 (A1 = 1 A0 ) 3 0− 0− 8 8 8 y+ z = 3 3 3 1 5 17 y− z =− 3 3 3 (B1 = B0 – A1) (C1 = C0 – 2 A1) Note that variable x is eliminated from equations B0 and C0 to obtain B1 and C1 respectively. Thus we did three pivotal operations to obtain the canonical form of the set of equations having three variables each.Optimization Methods: Linear Programming. Operation at each step to eliminate one variable at a time. (A3. is known as pivotal operation. thus obtained are said to be in canonical form. It is obvious that the number of pivotal operations is the same as the number of variables in the set of equations. x+0+ z = 4 0 + y − z = −1 (A2 = A1 - 2 B2) 3 3 (B2 = − B1) 8 (C2 = C1 + 1 B2) 3 0 + 0 − 2 z = −6 Finally. B3 and C3). let us transform the above set of equation (A0. B0 and C0) through elementary operations (shown inside bracket in the right side). y is eliminated from A1 and C1 as follows. other equations in the system are transformed. Following similar procedure. z is eliminated form A2 and B2 as follows.

considering B1 as pivotal equation. IISc. General procedure for one pivotal operation consists of following two steps. To generalize the procedure explained above. j + 1. A1. The elementary operations involved in pivotal operations. B2 and C2. A2 and C2 are then obtained using B2. The procedure explained above is used in simplex algorithm which will be discussed later. Let us designate it as ( E ′j ) . Λ . let us consider the following system of n equations with n variables. Λ j − 1. E ′j = 2. Bangalore M3L1 . Divide j th equation by a ji .Optimization Methods: Linear Programming. Ej a ji 1. E k − a ki E ′j D Nagesh Kumar. variable xi (i = 1Λ n ) is eliminated from all equations except j th equation for which a ji is nonzero. Subtract a ki times of equation ( E ′j ) from k th equation (k = 1. Transformation can be obtained by some other elementary operations also but will end up in the same canonical form.. a11 x1 + a12 x 2 + Λ Λ Λ + a1n x n = b1 a 21 x1 + a 22 x 2 + Λ Λ Λ + a 2 n x n = b2 Μ Μ a n1 x1 + a n 2 x 2 + Λ Λ Λ + a nn x n = bn ( E1 ) (E2 ) Μ Μ (En ) Canonical form of above system of equations can be obtained by performing n pivotal operations through elementary operations.Preliminaries 5 example. In general. B2 is obtained first. n ) .e. i. as explained above.. will help the reader to follow the analogy while understanding the simplex algorithm. i.e. 2. B1 and C1 to A2. while transforming.

IISc. Let us consider the following general set of equations.Optimization Methods: Linear Programming. It is possible to transform the set of equations to an equivalent canonical form from which at least one solution can be easily deduced. Bangalore M3L1 . such as: xi = bi′′ which is the solution of the original set of equations too as the canonical form is obtained through elementary operations.Preliminaries 6 Above steps are repeated for all the variables in the system of equations to obtain the canonical form. a11 x1 + a12 x 2 + Λ Λ Λ + a1n x n = b1 a 21 x1 + a 22 x 2 + Λ Λ Λ + a 2 n x n = b2 Μ Μ a m1 x1 + a m 2 x 2 + Λ Λ Λ + a mn x n = bm ( E1 ) ( E2 ) Μ Μ ( Em ) D Nagesh Kumar. Now let us consider more general case for which the system of equations has m equations with n variables ( n ≥ m ). Finally the canonical form will be as follows: 1x1 + 0 x 2 + Λ Λ Λ + 0 x n = b1′′ ′ 0 x1 + 1x 2 + Λ Λ Λ + 0 x n = b2′ Μ Μ ′ 0 x1 + 0 x 2 + Λ Λ Λ + 1x n = bn′ ( E1c ) c (E2 ) Μ Μ c (En ) It is obvious that solution of the system of equations can be easily obtained from canonical form.

x m +1 . Λ . are also known as basic variables. x 2 . This is the reason which motivates for an efficient algorithm for solution of the LPP. are known as nonbasic variables. Λ x m . such basic solution is also known as basic feasible solution. x n .m +1 x m +1 + Λ Λ Λ + a1′n x n = b1′′ ′ ′ ′ 0 x1 + 1x 2 + Λ Λ Λ + 0 x m + a 2′.Preliminaries 7 By performing n pivotal operations (described earlier) for any m variables (say. In general this linear set will have m equations with n variables ( n ≥ m ). If the basic solution satisfies all the constraints as well as non-negativity criterion for all the variables.m +1 x m +1 + Λ Λ Λ + a mn x n = bm ( E1c ) c ( E2 ) Μ Μ c ( Em ) Variables. of above set of equations are known as nonpivotal variables or independent variables. Nonpivotal variables. This solution is known as basic solution. Bangalore M3L1 . Thus. which will be discussed after graphical method. x n . One solution that can be obtained from the above set of equations is xi = bi′′ for i = 1Λ m and xi = 0 for i = (m + 1)Λ n . Objective function and all constraints for such standard form of LPP constitute a linear set of equations. x1 . Pivotal variables. D Nagesh Kumar. The set of canonical form obtained from this set of equations is known as canonical form of LPP. a huge number to be inspected one by one to find out the optimal solution. x m +1 .m +1 x m +1 + Λ Λ Λ + a 2′n x n = b2′ Μ Μ ′′ ′′ ′′ 0 x1 + 0 x 2 + Λ Λ Λ + 1x m + a m . if there are 10 equations with 15 variables there exist 15 c10 = 3003 solutions. there can be n c m numbers of different canonical forms and corresponding basic feasible solutions. Simplex method is one such popular method. Λ x m . IISc. x1 .Optimization Methods: Linear Programming. x 2 . It is obvious that. the system of equations reduced to canonical form will be as follows: ′ ′ 1x1 + 0 x 2 + Λ Λ Λ + 0 x m + a1′. Λ . Canonical form of a set of LPP Similar procedure can be followed in the case of a standard form of LPP. called pivotal variables).

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