Linear programming

Chapter IV: The Simplex Method

Fedia Daami Remadi A S M A B E N YA G H L A N E R I A H I

Roua Ben Ammar

Tunis Business School

 Simplex Method

The most frequently used method to

solve LP problems

2
RESOLUTION BY THE SIMPLEX METHOD :
Maximization Problem
Step1: Standard Form
1. Transform linear program by standard form in which all
the constraints are written as equalities

Add a Slack Variable to the LHS of “Less than or equal

constraints ≤
to” constraint to convert it into an equality

Add a Surplus Variable to the LHS of “greater than or

constraints ≥
equal to” constraint to convert it into an equality
RESOLUTION BY THE SIMPLEX METHOD :
Maximization Problem
Step 1: Standard Form
2. In the objective Function

• To guarantee that the Slack and Surplus variables do

not influence the objective function, we associate them
with zero coefficient.
 RESOLUTION BY THE SIMPLEX
METHOD : Maximization Problem
•Standard Form (Example)
 Step 2: Obtain a Basic Solution to the problem

Basic Solution
It has (n-m) variables equal to zero and solves the system of equations for
the remaining m variables

It corresponds to the solution of “doing nothing”

The initial values of slack variables if the constraint is <=

x1=0,x2=0,e1=240,e2=140,
The the initial basic variables VB={e1, e2},
 Step 3: Form the Initial Tableau

Cj 25 15 0 0
VB Q X1 X2 e1 e2 RT
0 e1 240 2 2 1 0
0 e2 140 3 1 0 1
Zj 0 -0 0 0
Cj-Zj 25 15 0 0

Z1=2*0+3*0=0
𝐶𝑗 : coefficient of the variables in the OF C1-Z1=25-0
VB: Basic variables
Q: Basic Solution
RT: Ratio X1=0
Zj: feasible Solution X2=0
E1=240
Cj-Zj: Net Evaluation
E2=140
 Terminology
Consider a system of m linear equations in n variables (n>m)

Basic Solution
It has (n-m) variables equal to zero and solves the system of equations for
the remaining m variables

Basic Feasible Solution(BFS)

If all the variables in basic solution are non negative

Optimal Solution
Any BFS which optimizes(maximizes or minimizes) the objective function

8
 Terminology

Simplex Table Net Evaluation

Table Form A table which is used Row(Cj-Zj )
When a LP is written to keep track of the The row containing
in a tabular form prior calculations made at net profit or loss. The
to setting up the each iteration when numbers in this row
Initial Simplex Table the simplex method are also known as
is employed shadow prices

9
 Step 4: Find (Cj-Zj) having highest positive
value
•The corresponding column: Pivot Column
•In the previous table, the column corresponding to X1 is the pivot column
•X1 will be entering the basis

Cj 25 15 0 0
VB Q X1 X2 e1 e2 RT
0 e1 240 2 2 1 0
0 e2 140 3 1 0 1
Zj 0 0 0 0
Cj-Zj 25 15 0 0

10
Step 5: Ratio-test

•Divide Qj values Column by the corresponding values of Pivot Column

•The row corresponding to the minimum positive value is the Pivot Row 240/2
•The variable of the pivot row leaves the table 140/3
•In the previous table, the row corresponding to the slack variable e2 is the
pivot row
Cj 25 15 0 0
VB Q X1 X2 e1 e2 Rt
0 e1 240 2 2 1 0 120
0 e2 140 3 1 0 1 46,66
6
Zj 0 0 0 M
Cj-Zj 25 15 0 -M

11 EV=X1, LV=e2, PIVOT=3

 Terminology
•Pivot Column: The column having largest positive (or negative) value in the Net Evaluation Row for a maximization(or minimization) problem

•Pivot Row: The row corresponding to the variable that will leave the table in order to make room for another variable

•Pivot Element: The intersection of pivotal row and pivotal column

12
 Step 6: Build the next table X1=140/3
X2=0
E1=440/3
Update !! E2=0

Pivot Row  New value= old value / PIVOT

Other Rows  New value= old value- (row projection*Column projection)/PIVOT

(440/3): (4/3)

EV= X2 , LV=e1 , PIVOT=4/3

 next table

Update !!
Pivot Row  New value= old value / PIVOT
Other Rows  New value= old value- (row projection*Column projection)/PIVOT

All the (Cj-Zj) ≤0!!

 Step 7: Optimality test

If all the (Cj-

Zj) ≤0: an
optimum
solution is
reached

Else, repeat the process

X1=10, as given in Steps 4,5 & 6
X2=110 and • In the example, it is the
Z=1900 case where optimality
is reached:

15
 Checking by the graphical method
A B

100 X1*=10
X2*=110
Z*=1900

Z0 Z1

50

50 100
2x1+2x2=240
3X1+X2=140
 Example 2

Maximize Z = 7X1+5X2

s.t. X1+2X2 ≤ 6

4X1+3X2 ≤ 12

X1; X2 ≥0

17
 X1 + 2X2 +S1 =6

4X1 +3X2 +S2 = 12

The Objective Function would be

Z = 7X1 + 5X2 + 0S1 + 0S2

18
 Step 2: Obtain a Basic Solution to the problem

These are the initial

values of slack
Put the decision variables
variables X1=X2=0
so that S1=6 and
S2=12 It corresponds to
the solution of
“doing nothing”

19
 Step 3: Form the Initial Tableau

Initial Tableau
Cj 7 5 0 0
Min.Ratio
Basic
Basic (XB/Pivotal
C Variable
B X1 X2 S1 S2
Soln(XB) Col.)
(B)
0 S1 6 1 2 1 0 6/1=6
0 S2 12 4 3 0 1 12/4=3
Zj 0 0 0 0
(Net Evaluation)Cj - Zj 7 5 0 0

Step4 : EV= X1,

Step 5: LV=S2, Pivot=4
20
 next table

Update !!
Pivot Row  New value= old value / PIVOT
Other Rows  New value= old value- (row projection*Column projection)/PIVOT

Cj 7 5 0 0
Min.Ratio
Basic
Basic (XB/Pivotal
CB Variable X1 X2 S1 S2
Soln(XB) Col.)
(B)
0 S1 3 0 54 1 - 1/4
7 X1 3 1 3/4 0 1/4
Zj 7 21 4 0 74
21
(Net Evaluation)Cj - Zj 0 - 1/4 0 -74
 Step 7: Optimality test

If all the (Cj-Zj)

≤ 0: an optimum
solution is
reached

Else, repeat the

process as given
X1=3, X2=0 and in Steps 4,5 & 6
Z=21 • In the example, it is
the case where
optimality is
reached:

22
 Special cases

Multiple
Unbounded LP
solutions
The pivot column has Optimal tableau has zero
only negative or zero entries for non-basic
entries solutions in the Cj–Zj row

The ratio test fails and

By pivoting on those rows
hence the relevant
we obtain new solutions
entering variable can
with the same (optimal)
improve the objective
value of Z
function with no stop

23
 Multiple optimal solutions
TAB1 4 3 0 0
CB VB Q X1 X2 S1 S2 Ratio
0 S1 24 3 4 1 0 8
Maxz = 4x1+3x2 0 S2 48 8 6 0 1 6
Subject to Zj 0 0 0 0 0
3x1+4x2 <= 24 Cj-Zj 4 3 0 0
8x1+6x2<=48
TAB2 4 3 0 0
Standard form CB VB Q X1 X2 S1 S2 Ratio
0 S1 6 0 7/4 1 -3/8 24/7
Max Z = 4x1+ 3x2+ 0s1 +0s2
4 X1 6 1 6/8 0 1/6 8
Subject to Zj 24 4 3 0 4/6
3x1+4x2+s1 =24 Cj-Zj 0 0 0 -4/6
8x1+6x2+s2=48

TAB3 4 3 0 0
Optimal solution CB VB Q X1 X2 S1 S2 Ratio
24/7<= X1*<=6 3 X2 24/7 0 1 4/7 -14/3 6
0<=X2*<=24/7 4 X1 24/7 1 0 -3/7 0.14 -
8X1*+6X2*=48 Zj 24 4 3 0 -13.44
Z*=24 Cj-Zj 0 0 0 -13.44
Unbounded LP