ECE 307 – Techniques for Engineering

Decisions
Introduction to the Simplex Algorithm

George Gross
Department of Electrical and Computer Engineering
University of Illinois at Urbana-Champaign

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 1
 SOLUTION OF SYSTEMS OF LINEAR
EQUATIONS
‰ We examine the solution of

Ax = b

using Gauss─Jordan elimination

‰ We first use a simple example and then

generalize to cases of general interest

‰ Consider the system of two equations in five

unknowns:
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 2
 SOLUTION OF SYSTEMS OF LINEAR
EQUATIONS
⎧ x1 − 2 x 2 + x 3 − 4 x 4 + 2 x 5 = 2 (i )
⎪
S1 ⎨
⎪
⎩ x1 − x 2 − x 3 − 3 x 4 − x 5 = 4 ( ii )

‰ For this simple example, the number of

unknowns exceeds the number of equations and

so the system has multiple solutions; this is the

principal reason that the LP solution is nontrivial

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 3
 SOLUTION OF SYSTEMS OF LINEAR
EQUATIONS
‰ The Gauss ― Jordan elimination uses elementary
row operations:
 multiplication of any equation by a nonzero
constant
 addition to any equation of a constant
multiple of any other equation
‰ We transform S 1 into the set S 2 by multiplying
equation (i) by ─1 and adding it to equation (ii)
⎧⎪ x 1 − 2 x 2 + x 3 − 4 x 4 + 2 x 5 = 2
S2 ⎨
⎪⎩ x2 − 2 x3 + x4 − 3 x5 = 2
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 4
 DEFINITIONS
‰ A basic variable is a variable x i that appears with
the coefficient 1 in an equation and with the
coefficient 0 in all the other equations
‰ The variables x j that are not basic are called
nonbasic variables
‰ In the system S 2 , x 1 appears as a basic variable;
x 2 , x 3 , x 4 and x 5 are nonbasic variables
‰ Basic variables may be generated through the
use of elementary row operations
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 5
 DEFINITIONS

‰ A pivot operation is the sequence of elementary row

operations that reduces a system of linear
equations into the form in which a specified
variable becomes a basic variable
‰ A canonical system is a set of linear equations
obtained through pivot operations with the property
that the system has the same number of basic
variables as the number of equations in the set
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 6
 CANONICAL SYSTEM FORM
‰ We transform the system S 2 into the canonical
form of system S 3 :
⎧ x1 − 3x 3 − 2x 4 − 4x 5 = 6
⎪
S3 ⎨
⎪ x2 − 2x3 + x4 − 3x5 = 2
⎩
‰ The basic solution is obtained from a canonical
system with all the nonbasic variables set to 0

‰ For the example, we set x 3 = x 4 = x 5 = 0 and so

x 1 = 6 and x 2 = 2
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 7
 BASIC FEASIBLE SOLUTION
‰ A basic feasible solution is a basic solution in which

the values of all the basic variables are

nonnegative

‰ In the example of system S 2 , we may choose any

two variables to be basic

‰ In general for a system of m equations in n

⎛n⎞
unknowns there are ⎜ ⎟ possible combinations
⎝m⎠
of basic variables
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 8
 BASIC FEASIBLE SOLUTION

‰ As n increases the number of combinations

becomes large even though it is finite

‰ For the example, we have

⎛ 5⎞ 5!
⎜ ⎟ = = 10
⎝ 2⎠ 3! 2!

combinations of possible choices

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 9
 THE SIMPLEX SOLUTION METHOD

‰ We next use a simple example to construct the

simplex solution method

‰ The simplex method is a systematic and efficient way

of examining a subset of the basic feasible sol-

utions of the LP to hone in on an optimal solution

‰ We apply the notions introduced in the definitions

we introduced above
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 10
SIMPLEX METHODOLOGY EXAMPLE

max Z = 5 x 1 + 2 x 2 + 3 x 3 − x 4 + x 5

s .t .

⎧ x 1 + 2x 2 + 2x 3 + x 4 = 8 (*)
canonical ⎪
⎪
⎨
⎪
form
⎪⎩ 3x 1 + 4x 2 + x3 + x5 = 7 (**)

xi ≥ 0 i = 1, … , 5

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 11
 THE SIMPLEX SOLUTION METHOD

‰ The canonical form of the example allows the

determination of a basic feasible solution
x1 = x 2 = x 3 = 0 x4 = 8, x5 = 7

‰ The corresponding value of the objective is

Z = − 8 + 7 = −1
‰ The next step is to improve the basic feasible
solution by finding an adjacent basic feasible
solution
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 12
 ADJACENT FEASIBLE SOLUTION

‰ An adjacent feasible solution is one which differs

from the current basic feasible solution in exactly

one basic variable

‰ Note, we characterize a basic feasible solution by the

following traits

basic variable ≥ 0
nonbasic variable = 0
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 13
 ADJACENT FEASIBLE SOLUTION
‰ The search for an adjacent basic feasible solution

uses the idea of making a nonbasic variable into a

basic variable by increasing its value from 0 to the

largest positive value without violating any

constraints

‰ To make the search efficient, we choose the

nonbasic variable that can improve the value of Z

by the largest amount

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 14
 ADJACENT FEASIBLE SOLUTION

‰ In the example, consider the nonbasic variable

x 1 , we leave x 2 = x 3 = 0 and examine the

possibility of making x 1 into a basic variable

‰ The variable x 1 enters in both constraints

x1 + x4 = 8

3x 1 + x5 = 7
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 15
 ADJACENT FEASIBLE SOLUTION
‰ The largest value x 1 can assume without making
either x 4 or x 5 negative is
⎧ 7⎫ 7
min ⎨8, ⎬ =
⎩ 3⎭ 3
‰ We have the new basic variable with the value
7
x1 = ,
3
and the other basic variable is

17
x4 =
3
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 16
 ADJACENT FEASIBLE SOLUTION

and the three nonbasic variables are set to 0:

x 2 = x 3 = 0 and x 5 = 0

‰ Note that we have an improvement in Z since its

value becomes
7 17 18
Z = 5 i − = = 6 > −1
3 3 3
‰ We next need to put the system of equations into
canonical form:
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 17
 SIMPLEX METHODOLOGY EXAMPLE

max Z = 5 x 1 + 2 x 2 + 3 x 3 − x 4 + x 5

s .t .
non - ⎧
⎪ x 1 + 2x 2 + 2x 3 + x 4 = 8 (*)
canonical ⎪
⎨
form ⎪
for x1 ⎪⎩ 3x 1 + 4x 2 + x 3 + x5 = 7 (**)

xi ≥ 0 i = 1, … , 5
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 18
ADJACENT FEASIBLE SOLUTION

1
 multiply equation (**) by − and add to
3
equation (*)

2x + 5x + 1 17
x4 − x 5 =
3 2
3 3
3 3

 multiply equation (**) by

1
3
1 4 1 7
x1+ x 2 + x 3 + x5 =
3 3 3 3
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 19
 THE SIMPLEX SOLUTION METHOD

‰ We continue this process until the condition of

optimality is satisfied:
 in a maximization problem, a basic feasible
solution is optimal if and only if the relative
profits of each nonbasic variable is ≤ 0
 in a minimization problem, a basic feasible
solution is optimal if and only if the relative
costs of each nonbasic variable is ≥ 0
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 20
 THE SIMPLEX SOLUTION METHOD

‰ The relative profits (costs) are given by the

change in Z corresponding to a unit change in a

nonbasic variable

‰ We use this fact to select the next nonbasic variable

to enter the basis

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 21
 SIMPLEX ALGORITHM FOR
MAXIMIZATION
Step 1: start with an initial basic feasible

solution with all constraint equations in

canonical form

Step 2: check for optimality condition: if the

relative profits are < 0 for each nonbasic

variable, then the basic feasible solution is

optimal and stop; else, go to Step 3

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 22
 SIMPLEX ALGORITHM FOR
MAXIMIZATION
Step 3: select a nonbasic variable to become the new
basic variable; check the limits on the
nonbasic variable – the limiting constraint
determines the basic variable that is being
replaced by the selected nonbasic variable
Step 4: determine the canonical form for the new
set of basic variables through elementary
row operations; compute the basic feasible
solution, Z and return to Step 2
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 23
 THE SIMPLEX TABLEAU

‰ We use an efficient way to represent visually the

steps in the simplex method through a sequence

of so-called tableaus

‰ We illustrate the tableau for the simple example

for the initial basic feasible solution

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 24
 THE SIMPLEX TABLEAU

coefficients of the coefficient of x j in Z

basic variables in Z

cj 5 2 3 –1 1
cB constraint
basic constants
variables x1 x2 x3 x4 x5

–1 x4 1 2 2 1 8

1 x5 3 4 1 1 7
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 25
 THE SIMPLEX TABLEAU
‰ The optimality check requires the evaluation of
⎛ T column corresponding ⎞
cj = cj− ⎜⎜ c B i
to x in canonical form ⎟⎟
⎝ j ⎠
‰ For each nonbasic variable xj , for our example, we
have
⎡1 ⎤
c1 = 5 − ⎡⎣−1, 1⎤⎦ i ⎢ ⎥ = 3
⎣ 3⎦
⎡ 2⎤
c 2 = 2 − ⎡⎣−1, 1⎤⎦ i ⎢ ⎥ = 0
⎣4⎦
⎡ 2⎤
c 3 = 3 − ⎡⎣−1, 1⎤⎦ i ⎢ ⎥ = 4
⎣1 ⎦
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 26
 THE SIMPLEX TABLEAU

‰ We interpret as the change in Z corresponding to

a unit increase in x j

cB cj 5 2 3 -1 1 constraint
basic
variables x1 x2 x3 x4 x5 constants
-1 x4 1 2 2 1 8
x5
1 3 4 1 1 7

cT 3 0 4 0 0 Z = –1

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 27
 SIMPLEX TABLEAU

‰ Note that the optimality test indicates that

c1 = 3 > 0 and c3 = 4> 0

and so the initial basic feasible solution is not optimal

‰ Since c 3 > c1 , we pick x 3 as the nonbasic variable

to become a basic variable

‰ We examine the limiting solution for x 3 in the two

constraint equations:
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 28
 THE SIMPLEX TABLEAU

equation limiting basic upper limit on

variable x3
1 x4 (8/2) = 4

2 x5 (7/1) = 7

and so the limiting value is

min { 4, 7 } = 4

‰ We replace the basic variable x 4 by x 3

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 29
 SIMPLEX METHODOLOGY EXAMPLE

max Z = 5 x 1 + 2 x 2 + 3 x 3 − x 4 + x 5

s .t .

canonical ⎧
⎪ x1 + 2x2 + 2x3 + x4 = 8 (*)
form ⎪
⎨
for ⎪
x 4 and x 5 ⎪⎩ 3 x 1 + 4x2 + x3 + x5 = 7 (**)

xi ≥0 i = 1, … , 5
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 30
 THE SIMPLEX TABLEAU
‰ For the new basic feasible solution, we put the
equations into canonical form

€ multiplying (*) by 1 to produce (*†)

2
€ subtract (*†) from (**) to produce (**†)
1 + x + x + 1 = 4 (* †)
x1 2 3 x4
2 2
5 1
x1 + 3x 2 − x 4 + x 5 = 3 (* * †)
2 2
‰ The adjacent basic feasible solution is
x1 = x 2 = x 4 = 0 x 3 = 4, x 5 = 3
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 31
 THE SIMPLEX TABLEAU

cj 5 2 3 –1 1 constraint
cB basic constants
variables x1 x2 x3 x4 x5

3 x3 1/2 1 1 1/2 4

1 x5 5/2 3 –1/2 1 3

cT 1 –4 0 –2 0 Z = 15
x 3 = 4, x 5 = 3
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 32
 THE SIMPLEX TABLEAU

‰ Since c 1 > 0 , the basic feasible solution is non-

optimal

‰ We examine how to bring x1 into the basis

limiting basic upper limit on

equation
variable x1
(*†) x3 4/(1/2) = 8
(**†) x5 3/(5/2) = 6/5
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 33
 THE SIMPLEX TABLEAU
‰ The variable x1 enters the basis with the value
⎧ 6⎫ 6
min ⎨ 8, ⎬ =
⎩ 5⎭ 5

and x5 is replaced as a basic variable by x 1

‰ We need to put the equations
1 1
x1 + x2 + x3 + x4 = 4 (*†)
2 2
5 1
x1 + 3x 2 − x4 + x5 = 3 (**†)
2 2
into canonical form for the basic variables x 3 and x 1
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 34
 THE SIMPLEX TABLEAU

‰ The following elementary row operations are used

 multiply (**†) by – 1/5 and add to (*)

2 3 1 17
x2 + x3 + x4 − x5 =
5 5 5 5

 multiply (**†) by 2/5

6 1 2 6
x1 + x2 − x4 + x5 =
5 5 5 5
and construct the corresponding tableau
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 35
 THE SIMPLEX TABLEAU

cj 5 2 3 –1 1 constraint
cB
basic constants
x1 x2 x3 x4 x5
variables
3 x3 2/5 1 3/5 – 1/5 17/5

5 x1 1 6/5 – 1/5 2/5 6/5

cT 0 – 26/5 0 – 9/5 – 2/5 Z = 81/5

16.2 > 15
cj ≤ 0 implies optimality
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 36
 SIMPLEX TABLEAU EXAMPLE

max Z = 3 x 1 + 2x 2

s .t .
−x1 + 2x2 ≤ 4

3 x1 + 2x2 ≤ 14

x1 − x2 ≤ 3

x1 ≥ 0 x 2 ≥ 0
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 37
 SIMPLEX TABLEAU EXAMPLE
‰ We put this problem into standard form:
max Z = 3 x 1 + 2 x 2
canonical form
s .t .
⎫
−x1 + 2 x 2 + x 3 = 4 ⎪
⎪⎪
3 x1 + 2 x 2 + x4 = 14 ⎬
⎪
x1 − x 2 + x5 = 3 ⎪
⎪⎭

x 1, … , x 5 ≥ 0
‰ x 3 , x 4 , x 5 are fictitious variables
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 38
 SIMPLEX TABLEAU EXAMPLE

cj 3 2 0 0 0 constraint
cB basic
variables x1 x2 x3 x4 x5 constants

0 x3 –1 2 1 4

0 x4 3 2 1 14

0 x5 1 –1 1 3

cT 3 2 0 0 0 Z = 0

c j = c j − ( c BT • column corresponding to x j )
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 39
 SIMPLEX TABLEAU EXAMPLE
‰ The data in c T indicates that the highest relative
profits correspond to x 1 so want to make x 1 a
basic variable
‰ To bring x 1 into the basis requires to evaluate
⎧ 14 ⎫
min ⎨∞ , , 3⎬ = 3
⎩ 3 ⎭
and so x 1 replaces x 5 with the value 3
‰ We evaluate the basic variable at the adjacent
basic feasible solution and convert into canonical
form; the new tableau becomes
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 40
 SIMPLEX TABLEAU EXAMPLE

cj 3 2 0 0 0 constraint
cB basic
variables x1 x2 x3 x4 x5 constants

0 x3 1 1 1 7

0 x4 5 1 –3 5

3 x1 1 –1 1 3

cT 0 5 0 0 –3 Z = 9

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 41
 SIMPLEX TABLEAU EXAMPLE

‰ We reproduce here the calculation of the c T

components

c j = c j −( c T
B i column corresponding to x j )
for each nonbasic variable x j

‰ Note that c i = 0 for each basic variable x i by

definition
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 42
 SIMPLEX TABLEAU EXAMPLE
‰ The calculations give
c 1 = 0 by definition since x 1 is in the basis
⎡ 1 ⎤
⎢ ⎥ indicates possible
c2 = 2 − ⎡⎣0 0 3⎤⎦ ⎢ 5 ⎥ = 5
⎢ ⎥ improvement
⎣− 1 ⎦
c 3 = 0 by definition since x 3 is in the basis
c 4 = 0 by definition since x 4 is in the basis
⎡ 1 ⎤
⎢ ⎥
c 5 = 0 − ⎡⎣0 0 3⎤⎦ ⎢ − 3 ⎥ = − 3
⎢ ⎥
⎣ 1 ⎦
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 43
 SIMPLEX TABLEAU EXAMPLE

‰ Clearly, the only choice is to get x 2 into the basis

and so we need to establish the limiting condition
from the three equations by evaluating
min {7 , 1, ∞} = 1
and so x 2 replaces x 4 , which becomes a
nonbasic variable
‰ We need to rewrite the equations into canonical
form for x 3 and x 2 and construct the new tableau
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 44
 SIMPLEX TABLEAU EXAMPLE

cj 3 2 0 0 0 constraint
cB basic
x1 x2 x3 x4 x5 constants
variables
0 x3 1 –1/5 8/5 6

2 x2 1 1/5 –3/5 1

3 x1 1 1/5 2/5 4
cT 0 0 0 –1 Z = 14

c j≤ 0∀ j ⇒ optimum
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 45
 SIMPLEX TABLEAU EXAMPLE

‰ An optimum is at the solution of

1 8
x3 − + = 6⎫

for x 1, x 2 and x 3
x4 x5

canonical form
5 5
x2 + 1
x4 − 2
x5
⎪
= 1⎬
5 5
x1 + 1
x4 + 2
x5
⎪
= 4⎭
5 5
given by
x4 = x5 = 0
x3 = 6
x2 = 1
x1 = 4
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 46
 LINEAR PROGRAMMING EXAMPLE

‰ Consider the following LP

m ax Z = 3 x1 + 2x2

s .t .

− x1 + 2x2 ≤ 4
3 x1 + 2 x 2 ≤ 14
x1 − x2 ≤ 3

x1 ≥ 0 x2 ≥ 0
‰ The graphical representation corresponds to
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 47
 LINEAR PROGRAMMING EXAMPLE
x2 = 4
2 x2
+
-x
D
3

3
=
3x 1

2
- x
+
E
3x 1

2x 2
2

1
-x
3x 1

=1
tableau 3
2x 2

4
+
2x 2

1 =
Z C
=

=9
Z

tableau 1
=3

B x1
A 1 2 3 tableau 2
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 48
 LINEAR PROGRAMMING EXAMPLE

‰ The tableau approach leads to C which is an

optimal solution with
x 1 = 4, x 2 = 1, x 3 = 6, x 4 = 0, x 5 = 0
‰ Note that any point along CD has Z = 14 and as
such D is another optimal solution corresponding
to an adjacent basic feasible solution
‰ We may obtain D from C by bringing into the
basis the nonbasic variable x 5 in Tableau 3; note
that c 5 = 0
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 49
 LINEAR PROGRAMMING EXAMPLE

‰ We may choose x 5 as a basic variable without

effecting Z since the relative profits are 0 ; we

compute the limiting value of x 5

‰ The limit is imposed by x 3 which, consequently,

leaves the basis

‰ The corresponding tableau is:

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 50
LINEAR PROGRAMMING EXAMPLE

cj 3 2 0 0 0 constraint
cB basic
variables x1 x2 x3 x4 x5 constants

0 x3 5/8 –1/8 1 15/4

2 x2 1 3/8 1/8 13/4

3 x 1 1 –1/4 1/4 5/2

cT 0 0 0 –1 0 Z = 14

cj ≤ 0 ∀ j
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 51
 LINEAR PROGRAMMING EXAMPLE

‰ The adjacent feasible solution is given by

5 13 15
x1 = , x2 = , x3 = x4 = 0, x5=
2 4 4

‰ Note that at this basic feasible solution,

cj ≤ 0 ∀ j

and so this is also an optimal solution

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 52
ALTERNATE OPTIMAL SOLUTION

In general, an alternate optimal solutions is

indicated whenever there exists a nonbasic

variable x j with c j = 0 in an optimal tableau;

such a situation corresponds to a non unique

optimum for the LP

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 53
 MINIMIZATION LP

‰ Consider a minimization problem

n
min Z = ∑ ci xi
i =1

s .t .
Ax = b
x ≥ 0
‰ In the simplex scheme, replace the optimality
check by the following : if each coefficient c j is ≥ 0
stop; else, select the nonbasic variable with the
most negative value in c to become the new basic
variable
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 54
 MINIMIZATION LP

‰ Every minimization LP may be solved as a

maximization LP because of equivalence

min Z = cT x max Z ′ = (− c T ) x
s.t . s.t .
Ax = b Ax = b
x ≥ 0 x ≥ 0
with the solutions of Z and Z ′ related by

min{ Z } = − max { Z ′}
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 55
 COMPLICATIONS IN THE SIMPLEX
METHODOLOGY
‰ Two variables x j and x k are tied in the selection
of the nonbasic variables to replace a current basic
variable when c j = c k ; the choice of the new
nonbasic variable to enter the basis is arbitrary
‰ Two or more constraints may give rise to the
same minimum ratio value in selecting the basic
variable to be replaced
‰ We consider the example of the following tableau
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 56
 COMPLICATIONS IN THE SIMPLEX
METHODOLOGY
cj 0 0 0 2 0 3/2 constraint
c B basic
x1 x2 x3 x4 x5 x6 constants
variables
0 x1 1 1 –1 0 2

0 x2 1 2 0 1 4

0 x3 1 1 1 1 3

cT 0 0 0 2 0 3/2 Z = 0

candidate for basic variable

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 57
COMPLICATIONS IN THE SIMPLEX
METHODOLOGY
in selecting the nonbasic variable x 4 to enter the
basis, we observe that the first two constraints
give the same minimum ratio: this means that
when x 4 is first increased to 2 , both the basic
variables x 1 and x 2 will reduce to zero even
though only one of them can be made a nonbasic
variable
we arbitrarily decide to remove x 1 from the
basis to get the new basic feasible solution:
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 58
 COMPLICATIONS IN THE SIMPLEX
METHODOLOGY

cj 0 0 0 2 0 3/2 constraint
c B basic
x1 x2 x3 x4 x5 x6 constants
variables
2 x4 1 1 –1 2

0 x2 –2 1 2 1 0

0 x3 –1 1 1 1 1

cT –2 0 0 0 0 3/2 Z =4

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 59
COMPLICATIONS IN THE SIMPLEX
METHODOLOGY

 in the new basic feasible solution

x 1 = 0, x 2 = 0, x 3 = 1, x 4 = 2, x 5 = 0, and x 6 = 0 ,

we treat x 2 as a basic variable whose value is 0,

the same as if it were a nonbasic variable

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 60
 DEGENERACY

‰ A degenerate basic feasible solution is one where one

or more basic variables is 0
‰ Degeneracy may lead to a number of complica-
tions in the simplex approach: an important
implication is a minimum ratio of 0 , so that no
new nonbasic variable maybe included in the basis
and therefore the basis remains unchanged
‰ We consider the following example tableau
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 61
 COMPLICATIONS IN THE SIMPLEX
METHODOLOGY

cj 0 0 0 2 0 3/2 constraint
c B basic
x1 x2 x3 x4 x5 x6 constants
variables
2 x4 1/2 1 1/2 2

0 x5 –1 1/2 1 1/2 0

0 x3 1 –1 1 0 1

cT 0 –1 0 0 0 1/2 Z =4

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 62
 DEGENERACY
the logical choice being the nonbasic variable x 6 to
enter the basis; this leads to finding the limiting
constraint from two equations
1
x6 = 2 − x4
2
1
x6 = 0 − x5
2
and no constraint in the third equation; thus

x 6 = min {4, 0 , ∞ }
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 63
 DEGENERACY

‰ Degeneracy may result in the construction of new

tableaus without improvement in the objective
function value, thereby reducing the efficiency of
the computations: theoretically, an infinite loop,
the so-called cycling, is possible
‰ Whenever ties occur in the minimum ratio rule, an
arbitrary decision is made regarding which basic
variable is replaced, ignoring the theoretical
consequences of degeneracy and cycling
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 64
 MINIMUM RATIO RULE
COMPLICATIONS
‰ The minimum ratio rule may not be able to deter-
mine the basic variable to be replaced: this is the
case when all equations lead to ∞ as the limit
‰ Consider the example and corresponding tableau

max Z = 2 x1 + 3 x 2
s.t .
x1 − x2 + x3 = 2
−3 x1 + x2 + x4 = 4
x i ≥ 0, i = 1, ... ,4
ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 65
 MINIMUM RATIO RULE
COMPLICATIONS
cj 2 3 0 0 constraint
cB basic
variables x1 x2 x3 x4 constants

0 x3 1 –1 1 2

0 x4 –3 1 1 4
cT 2 3 0 0 Z = 0

‰ The nonbasic variable x 2 enters the basis to

replacing x 4 and the new tableau is

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 66
 MINIMUM RATIO RULE
COMPLICATIONS
cj 2 3 0 0 constraint
cB basic
variables x1 x2 x3 x4 constants
0 x3 –2 1 1 6

3 x2 –3 1 1 4

cT 11 0 0 –3 Z = 12

‰ We select x 1 to enter the basis but we are unable

to get limiting constraints from the two equations

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 67
 MINIMUM RATIO RULE
COMPLICATIONS
1
− 2 x1 + x 3 = 6 x1 = x3 − 3
2
1 4
− 3 x1 + x 2 = 4 x1 = x2 −
3 3
‰ In fact, as x 1 increases so do x 2 and x 3 and Z

and therefore, the solution is unbounded

‰ The failure of the minimum ratio rule to result in a

bound at any simplex tableau implies that the

problem has an unbounded solution

ECE 307 © 2005 – 2009 George Gross, University of Illinois at Urbana-Champaign, All Rights Reserved. 68