OR 6205

Deterministic Operations Research

Module 3: Introduction to Simplex

Manish Ranjit, Ph.D.

Northeastern University
 Objectives
• Classify a solution of a LP as basic versus non-basic
and feasible versus infeasible.
• Derive the basic solution associated with a corner
point solution
• Describe the three steps of a simplex iteration and
demonstrate them graphically with corner points
• Apply the simplex algorithm in a tabular form to
solve a small LP, manually and interactively in the
computer using the lOR tutorial

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 Objectives Contd.
• Identify, in an optimal simplex tableau, the
values of all variables, the shadow prices and
the reduced costs and describe their meaning
• Identify the binding (active) constraints of a
solution of a LP
• Identify any redundant constraints of a LP
with two variables graphically

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Read Chapter 4.1-4.4 and 4.7-4.8
Lesson 1: Introduction to Simplex
 Overview
• George Dantzig’s development of the simplex method made it
possible to systematically solve incredibly complex problems.
• The simplex method, combined with powerful computer
applications that perform the calculations contained in the
simplex method, have made the use of LP applicable in many
different fields.
• The correct use of the simplex method gives you the ability to
construct and answer complex questions consisting of
hundreds or thousands of dimensions, and makes you an
invaluable member of a project team.

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 Augmented Solution
a. It is a solution to the system of equations
constructed by adding slacks to the original
inequality constraints to convert them to
equalities (augmented form)

b. In addition to the original variables, an

augmented solution includes the slacks

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Example

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Augmented Corner Point Solution
a. It is an augmented solution in which n
variables have zero values

b. It is also called the basic solution

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 Basic Feasible (BF) and
Basic Infeasible (BI) Solutions
a. Every basic solution has n non-basic variables (set to
zero) and m basic variables
Note that in the prototype example, m = 3 and n = 2
b. Example of a BF solution: (x1, x2, x3, x4, x5) = (0, 6, 4,
0, 6)
c. Example of a BI solution: (x1, x2, x3, x4, x5) = (6, 0, -2,
12, 0)
d. If a slack variable is negative, the associated
constraint is violated.
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 Is a Pt. Feasible and Interior?
• Consider point (2, 4) in the fig. and
its associated augmented solution
of (x1, x2, x3, x4, x5) = (2, 4, 2, 4, 4).
All variables in this augmented
solution have strictly positive
values.
• Strictly positive values in an
augmented solution imply that the
point is feasible and in the interior
of the feasible region. Why?
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 Why?
• A negative value means that the associated
constraint is violated.
• A zero value means that the point is at a
boundary of the feasible region.
• Since none of the above holds, the point
should be at the interior of the feasible region.

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 Corner Point Feasible
and BF Solutions
a. A BF solution is associated with a corner point
feasible (CPF) solution. Why?
Consider the above BF solution of the prototype
example: (x1, x2, x3, x4, x5) = (0, 6, 4, 0, 6).
Each "0" value in the solution means that the point
is on a constraint line, i.e., x1 = 0 and 2x2 = 12,
since x4 = 0. Equivalently, the point is a CPF
solution at the intersection of x1 = 0 and 2x2 = 12.
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 Corner Point Feasible
and BF Solutions Cont.
b. A BF solution is the algebraic equivalent (augmented
solution) of the geometric CPF solution. How?
Consider one of the CPF solutions of the prototype
example problem, by looking at its feasible region,
e.g. (x1, x2) = (4, 3). The associated BF solution is
found by substituting x1 and x2 in the augmented
form and solving the system of three equations in
the three unknowns, x3, x4 and x5. The result is (x1, x2,
x3, x4, x5) = (4, 3, 0, 6, 0).
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 Question
Consider the remaining four other corner points
of the feasible region. Find the associated BF
solutions.

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 Simplex Method - Key Concepts
1. Since the optimal solution of a LP is a CPF solution
of the feasible region, the simplex method focuses
only on those solutions or their BF solutions.
2. Simplex is an iterative algorithm, i.e. there are
certain steps that are repeated again and again
until a condition is met.
3. An iteration finds an adjacent CPF solution and the
associated BF solution that is better than the
previous one.

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 Simplex Method - Key Concepts
4. When there is no adjacent CPF solution that
improves the current solution, simplex
terminates with the optimal solution.
5. When the LP is in a standard form, the origin is
feasible. For example, when you set x1 = 0, x2 = 0
in the constraints of the prototype example, the
LHS become zero while the RHS are non-
negative. The associated BF solution of (x1, x2, x3,
x4, x5) = (0, 0, 4, 12, 18) is feasible as well.

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 Simplex Method - Key Concepts
6. Simplex starts its iterations with an initial BF
solution associated with the origin (x1 = 0, x2 =
0), i.e. with the BF solution of (x1, x2, x3, x4, x5)
= (0, 0, 4, 12, 18).
7. Simplex works with the augmented LP form
making the objective function its first (0)
equation.

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Simplex in Tabular Form

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Simplex in Tabular Form
with IOR Tutorial

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Post Optimality Analysis
 Shadow Price
• The shadow price of resource i, yi*, measures the
marginal value of resource i, i.e. the rate of increase
of z for slightly increasing resource amount b i;
equivalently, it is the maximum price we can afford to
pay for resource i, yi*= ∆z/∆bi
• The shadow price is found as yi*= coefficient of the ith
slack variable in row (0) of the optimal simplex
tableau. For example, the coefficient of the 2 nd slack
variable (x4) in the (0) row of the optimal tableau of
the prototype example is 3/2. Therefore, y 2* = 3/2.
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 Shadow Price Cont.

• What is the shadow price of resource 3?

• In a 2-variable problem, shadow prices can be

found graphically.

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Shadow Prices Cont.
 Reduced Cost
• The coefficient of an original variable (xj) in row (0) of
the optimal simplex tableau is called reduced cost of xj.
If xj is a basic variable, its reduced cost is automatically
0. The reduced cost of a non-basic variable is ≥ 0, and
has two valid interpretations:
– The amount of penalty you would have to pay to introduce
one unit of xj into the solution
– The amount that the objective function coefficient (cj) would
have to improve before xj becomes profitable, i.e., basic
variable.

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 Find Reduced Cost
• Modify the prototype example by reversing
the sign of x1 in the objective function (new
objective function: maximize Z = -3x1 + 5x2)
and leave all the other coefficients
unchanged.
• Now solve the problem by simplex and find
the reduced cost of x1.

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 Binding or Active Constraints
• A constraint is binding or active at the optimal
solution if it is satisfied as equality at the
optimal point. For example, constraint 2 is
binding at the optimal solution because 2x2 =
12 for x1 = 2, x2 = 6.
• Identify another constraint that is binding at
the optimal solution of the prototype example.

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 Binding or Active Constraints Cont.
• For constraints that are binding at the
optimum solution (scarce resources), shadow
prices are normally nonzero.
• For constraints which are not binding
(resources in surplus) shadow prices are
always zero.

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Sensitive Parameter of a LP model
• It is a parameter, which if changed even slightly,
results in a change of the optimal solution.
• For example, the RHS of the 1st constraint, if changed
slightly from its current value of 4, has no effect on
the optimal solution, which still remains (2, 6). In
contrast, the RHS of constraint 2 (current value 12)
is sensitive. Why?
• Because the 2nd constraint line moves upwards as its
RHS increases, moving the optimal point with it.

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Sensitivity
Analysis
 Redundant Constraint
• Redundant constraint is a constraint, which if
deleted, will not change the feasible region.
• Example: If the RHS of the third constraint was
30 instead of 18, it would have been a
redundant constraint.
• Which values of the third RHS will make the
third constraint redundant?

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 Module 3 Homework
1. Answer the following textbook (10 th Edition) problems:
•4.1-4. Complete all parts of the problem, & answer this additional
question:
(d) Determine the values of investment amount (alternative
values for $6,000 in problem 3.2-3) that will render the investment
constraint redundant.
•4.2-1
•4.4-3. Complete parts a, b, e, f and g., & answer this additional question:
(h) Using the optimal solution and the optimal tableau, identify
the binding (active) constraints at the optimal solution, the values of the
shadow prices of the two RHS, and the reduced costs of the two original
variables x1 and x2.

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 Module 3 Homework Cont.
2. Case study: Read the article, “Improving Efficiency in a Forest Pest
Control Spray Program” uploaded in Blackboard and answer the following
questions in no more than two pages.
a. What is the problem addressed in this paper?
b. What is the objective, the decision variables, and the types of
constraints in the model. Briefly describe.
c. If you were to use a modeling language, which would have been the
sets and the associated attributes (model parameters and variables)?
d. Using as guide the "Operations Research Modeling Approach" of
Chapter 2 of the textbook, describe in a few sentences the phases or
steps of the modeling approach performed in this particular OR project.
Elaborate on the validation of the model and its use in conducting "what
if' analyses.

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 Module 3 Homework Cont.
e. Were there any other modeling approaches considered for this
project before the linear programming approach was adopted?
f. To estimate the model parameters, data were collected or
derived. Which data were collected by the project investigators,
which were derived and which were supplied by which sources?
g. If the # of aircraft teams were 5, the # of spray blocks was 500
and the # of airfields were 10, what would have been the size of
the model (# of variables and # of constraints). Assume that
aircraft teams can be stationed at all airfields, can spray all types
of insecticides and their operating range is large enough to reach
any block from any airport.

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Module 3 Homework

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 Module 4 Reading:
Chapter 4.5, 4.6 (The Two-Phase
method is not included)