Chapter 5 Linear Programming: The Simplex Method
An Overview of the Simplex Method Standard Form Tableau Form Setting Up the Initial Simplex Tableau Improving the Solution Calculating the Next Tableau Solving a Minimization Problem Special Cases
Slide 1
Overview of the Simplex Method
Steps Leading to the Simplex Method
Put In Standard Form Put In Tableau Form Execute Simplex Method
Formulate Problem as LP
Slide 2
Example: Initial Formulation
A Minimization Problem
MIN 2x1 - 3x2 - 4x3 s. t. x1 + x2 + x3 < 30 2x1 + x2 + 3x3 > 60 x1 - x2 + 2x3 = 20
x1, x2, x3 > 0
Slide 3
Standard Form
An LP is in standard form when: All variables are non-negative All constraints are equalities Putting an LP formulation into standard form involves: Adding slack variables to < constraints Subtracting surplus variables from > constraints.
Slide 4
Example: Standard Form
Problem in Standard Form
MIN 2x1 - 3x2 - 4x3
s. t.
x1 + x2 + x3 + s1
2x1 + x2 + 3x3 x1 - x2 + 2x3
= 30
- s2 = 60 = 20
x1, x2, x3, s1, s2 > 0
Slide 5
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.
Slide 6
Example: Tableau Form
Problem in Tableau Form
MIN 2x1 - 3x2 - 4x3 + 0s1 - 0s2 + Ma2 + Ma3
s. t.
x1 + x2 + x3 + s1
2x1 + x2 + 3x3 x1 - x2 + 2x3 x1, x2, x3, s1, s2, a2, a3 > 0 - s2 + a2
= 30
= 60 + a3 = 20
Slide 7
Simplex Tableau
The simplex tableau is a convenient means for performing the calculations required by the simplex method.
Slide 8
Setting Up Initial Simplex Tableau
Step 1: If the problem is a minimization problem, multiply the objective function by -1. Step 2: If the problem formulation contains any constraints with negative right-hand sides, multiply each constraint by -1. Step 3: Add a slack variable to each < constraint.
Step 4: Subtract a surplus variable and add an artificial variable to each > constraint.
Slide 9
Setting Up Initial Simplex Tableau
Step 5: Add an artificial variable to each = constraint. Step 6: Set each slack and surplus variable's coefficient in the objective function equal to zero. Step 7: Set each artificial variable's coefficient in the objective function equal to -M, where M is a very large number. Step 8: Each slack and artificial variable becomes one of the basic variables in the initial basic feasible solution.
Slide 10
Simplex Method
Step 1: Determine Entering Variable Identify the variable with the most positive value in the cj - zj row. (The entering column is called the pivot column.) Step 2: Determine Leaving Variable For each positive number in the entering column, compute the ratio of the right-hand side values divided by these entering column values. If there are no positive values in the entering column, STOP; the problem is unbounded. Otherwise, select the variable with the minimal ratio. (The leaving row is called the pivot row.)
Slide 11
Simplex Method
Step 3: Generate Next Tableau Divide the pivot row by the pivot element (the entry at the intersection of the pivot row and pivot column) to get a new row. We denote this new row as (row *). Replace each non-pivot row i with: [new row i] = [current row i] - [(aij) x (row *)], where aij is the value in entering column j of row i
Slide 12
Simplex Method
Step 4: Calculate zj Row for New Tableau For each column j, multiply the objective function coefficients of the basic variables by the corresponding numbers in column j and sum them.
Slide 13
Simplex Method
Step 5: Calculate cj - zj Row for New Tableau For each column j, subtract the zj row from the cj row. If none of the values in the cj - zj row are positive, GO TO STEP 1. If there is an artificial variable in the basis with a positive value, the problem is infeasible. STOP. Otherwise, an optimal solution has been found. The current values of the basic variables are optimal. The optimal values of the non-basic variables are all zero. If any non-basic variable's cj - zj value is 0, alternate optimal solutions might exist. STOP.
Slide 14
Example: Simplex Method
Solve the following problem by the simplex method:
Max 12x1 + 18x2 + 10x3
s.t.
2x1 + 3x2 + 4x3 < 50 x1 - x2 x3 > 0 x2 - 1.5x3 > 0 x1, x2, x3 > 0
Slide 15
Example: Simplex Method
Writing the Problem in Tableau Form We can avoid introducing artificial variables to the second and third constraints by multiplying each by -1 (making them < constraints). Thus, slack variables s1, s2, and s3 are added to the three constraints.
Max s.t. 12x1 + 18x2 + 10x3 + 0s1 + 0s2 + 0s3 2x1 + 3x2 + 4x3 + s1 = 50 - x1 + x2 + x3 + s2 = 0 x2 + 1.5x3 + s3 = 0 x1, x2, x3, s1, s2, s3 > 0
Slide 16
Example: Simplex Method
Initial Simplex Tableau x1 x2 x3 s1 s2 s3
Basis cB 12 18 10 0 0 0
s1 s2 s3 0 0 0 2 3 4 1 0 0 -1 1 1 0 1 0 0 -1 1.5 0 0 1 0 0 0 12 18 10 0 0 0 0 0 0 50 0 (* row) 0 0
zj cj - zj
Slide 17
Example: Simplex Method
Iteration 1 Step 1: Determine the Entering Variable The most positive cj - zj = 18. Thus x2 is the entering variable. Step 2: Determine the Leaving Variable Take the ratio between the right hand side and positive numbers in the x2 column: 50/3 = 16 2/3 0/1 = 0 minimum s2 is the leaving variable and the 1 is the pivot element.
Slide 18
Example: Simplex Method
Iteration 1 (continued) Step 3: Generate New Tableau Divide the second row by 1, the pivot element. Call the "new" (in this case, unchanged) row the "* row". Subtract 3 x (* row) from row 1. Subtract -1 x (* row) from row 3. New rows 1, 2, and 3 are shown in the upcoming tableau.
Slide 19
Example: Simplex Method
Iteration 1 (continued) Step 4: Calculate zj Row for New Tableau The new zj row values are obtained by multiplying the cB column by each column, element by element and summing. For example, z1 = 5(0) + -1(18) + -1(0) = -18.
Slide 20
Example: Simplex Method
Iteration 1 (continued) Step 5: Calculate cj - zj Row for New Tableau The new cj-zj row values are obtained by subtracting zj value in a column from the cj value in the same column. For example, c1-z1 = 12 - (-18) = 30.
Slide 21
Example: Simplex Method
Iteration 1 (continued) - New Tableau x1 x2 x3 s1 s2 s3 0 0 0 50 (* row) 0 0 0
Basis cB 12 18 10 s1 0 x2 18 s3 0 zj cj - zj
5 0 1 1 -3 0 -1 1 1 0 1 0 -1 0 2.5 0 1 1 -18 18 18 0 18 0 30 0 -8 0 -18 0
Slide 22
Example: Simplex Method
Iteration 2 Step 1: Determine the Entering Variable The most positive cj - zj = 30. x1 is the entering variable. Step 2: Determine the Leaving Variable Take the ratio between the right hand side and positive numbers in the x1 column: 10/5 = 2 minimum There are no ratios for the second and third rows because their column elements (-1) are negative. Thus, s1 (corresponding to row 1) is the leaving variable and 5 is the pivot element.
Slide 23
Example: Simplex Method
Iteration 2 (continued) Step 3: Generate New Tableau Divide row 1 by 5, the pivot element. (Call this new row 1 the "* row"). Subtract (-1) x (* row) from the second row. Subtract (-1) x (* row) from the third row. Step 4: Calculate zj Row for New Tableau The new zj row values are obtained by multiplying the cB column by each column, element by element and summing. For example, z3 = .2(12) + 1.2(18) + .2(0) = 24.
Slide 24
Example: Simplex Method
Iteration 2 (continued) Step 5: Calculate cj - zj Row for New Tableau The new cj-zj row values are obtained by subtracting zj value in a column from the cj value in the same column. For example, c3-z3 = 10 - (24) = -14.
Since there are no positive numbers in the cj - zj row, this tableau is optimal. The optimal solution is: x1 = 10; x2 = 10; x3 = 0; s1 = 0; s2 = 0 s3 = 10, and the optimal value of the objective function is 300.
Slide 25
Example: Simplex Method
Iteration 2 (continued) Final Tableau x1 x2 x3 s1 s2 s3 0 0 0 10 (* row) 10 10 300
Basis cB 12 18 10 x1 x2 s3 12 18 0 1 0 0
0 .2 .2 -.6 0 1 1.2 .2 .4 0 0 2.7 .2 .4 1 0 0 0 0
zj cj - zj
12 18 24 6 0 0 -14 -6
Slide 26
Special Cases
Infeasibility Unboundedness Alternative Optimal Solution Degeneracy
Slide 27
Infeasibility
Infeasibility is detected in the simplex method when an artificial variable remains positive in the final tableau.
Slide 28
Example: Infeasibility
LP Formulation
MAX 2x1 + 6x2
s. t.
4x1 + 3x2 < 12
2x1 + x2 > 8 x1, x2 > 0
Slide 29
Example: Infeasibility
Final Tableau
x1 Basis x1 a2 CB 2 -M 2 1 0 x2 6 3/4 -1/2 s1 0 1/4 -1/2 s2 0 0 -1 a2 -M 0 1 3 2
zj
cj - zj
2 (1/2)M (1/2)M M +3/2 +1/2
0 -(1/2)M -(1/2)M -M +9/2 -1/2
-M -2M +6
0
Slide 30
Example: Infeasibility
In the previous slide we see that the tableau is the final tableau because all cj - zj < 0. However, an artificial variable is still positive, so the problem is infeasible.
Slide 31
Unboundedness
A linear program has an unbounded solution if all entries in an entering column are non-positive.
Slide 32
Example: Unboundedness
LP Formulation
MAX 2x1 + 6x2
s. t.
4x1 + 3x2 > 12
2x1 + x2 > x1, x2 > 0 8
Slide 33
Example: Unboundedness
Final Tableau
x1 x2 s1 s2
Basis
x2 s1
cB
4 0
3
3 2
4
1 0
0
0 1
0
-1 -1 8 3
zj
cj - zj
12
-9
4
0
0
0
-4
4
32
Slide 34
Example: Unboundedness
In the previous slide we see that c4 - z4 = 4 (is positive), but its column is all non-positive. This indicates that the problem is unbounded.
Slide 35
