M C S D 11 3 3 O p e r a t i o n s R e s e a r c h & O p t i m i z a t i o n

CHAPTER 5:
DUALITY AND POST-OPTIMAL
ANALYSIS

[email protected](S1)

UTM JOHOR BAHRU

Introduction

• Chapter 2 presents the (primal) simplex algorithm that starts

feasible and continues until the optimum is reached.

• The dual simplex method starts with a better than optimal and
infeasible basic solution. The optimality and feasibility conditions are
designed to preserve the optimality of the basic solutions as the
solution move toward feasibility.

2
Dual Feasibility and Optimality Condition
Dual feasibility condition:
§ The leaving variable, xr , is the basic variable having the most
negative value.

Dual optimality condition:

§ Given that 𝑥𝑟 is the leaving variable, let 𝑐! be the reduced cost of
non-basic variable 𝑥! and 𝛼"! the constraint coefficient in the 𝑥" -row
and 𝑥! -column of the tableau.
§ The entering variable is the non-basic variable with 𝛼"! <0 that
#!
corresponds to min{$ , 𝛼"! < 0}
"#

3
Requirement

1) The objective function must satisfy the optimality condition of the regular simplex method:

§ Minimum Z is attained when all the Z row coefficient are non positive.

2) All the constraints must be of the type (≤)

§ Inequalities of the type (≥) are converted to (≤) by multiplying both sides of the
inequality by -1.

§ If the LP includes (=) constraints, the equation can be replaced by two inequalities.
For example, 𝑥! + 𝑥" = 1 is equivalent to 𝑥! + 𝑥" ≤ 1 and 𝑥! + 𝑥" ≥ 1 (−𝑥! − 𝑥" ≤ −1)

4
Example 1
Minimize, 𝑍 = 3𝑥1 + 2𝑥2 + 𝑥3
Subject to:

The first two inequalities are multiplied by -1 to convert them to (≤)

constraints.
−3𝑥1 − 𝑥2 − 𝑥3 ≤ − 3
3𝑥1 − 3𝑥2 − 𝑥3 ≤ − 6

5
Example 1 (cont’d)
• The tableau is optimal because all the reduced costs in the Z-row are ≤ 0
• It is also infeasible because at least one of the basic variables is negative.

Leaving variable

• According to the dual feasibility condition, 𝑥! is the leaving variable(basic variable having the
most negative value).

6
Example 1 (cont’d)
• Entering variable

The ratios show that x2 is the entering variable(min ratio).

7
Example 1 (cont’d)

New 𝑥& row = ( 3, -3, -1, 0, 1,0,-6) ÷ -3 = (-1, 1, 1/3, 0, -1/3, 0,2)

8
Example 1 (cont’d) New Tableau-Iteration 2

• New z row = Current z row -(-2) *New 𝑥" row

• New 𝑥# row =Current 𝑥" row -(-1)* New 𝑥# row
• New 𝑥$ row =Current 𝑥$ row -(1)* New 𝑥# row

9
Example 1 (cont’d) New Tableau-Iteration 3

Preceding tableau shows that x4 leaves

and x3 enters.

• New 𝑥' row = ( -4, 0, -2/3, 1, -1/3,0,-1) ÷ -2/3 = (6, 0, 1, -3/2,1/2, 0, 0,3/2)

10
Example 1 (cont’d)

• New z row =Current z row -(-1/3) * New 𝑥% row

• New 𝑥# row =Current 𝑥" row -(1/3) * New 𝑥% row
• New 𝑥$ row =Current 𝑥$ row -(2/3) * New 𝑥% row

The process ends with the

optimal feasible solution given
as x1 = 0, x2 = 3/2 , x2 = 3/ 2, and z
= 9/ 2 .

11
Post Optimal Analysis

§ We dealt with the sensitivity analysis of the optimum solution by

determining the ranges for the different LP parameters that would keep
the optimum basic variables unchanged.

§ In this section, we deal with making changes in the parameters of the

model and finding the new optimum solution.

§ Post-optimal analysis determines the new solution in an efficient way.

12
Post Optimal Analysis

The following table lists the cases that can arise in post-optimal analysis and the actions
needed to obtain the new solution (assuming one exists):

13
Changes Affective Feasibility

§ The feasibility of the current optimum solution is affected only if the

right-hand side of the constraints is changed, or a new constraint is
added to the model. In both cases, infeasibility occurs when one or
more of the current basic variables become negative.

§ Changes in the right-hand side: This change requires recomputing the

right-hand side of the tableau using formula:

14
Example 2: TOYCO Model

Letting 𝑥1, 𝑥2, and 𝑥3 represent the daily number of units assembled of trains,
trucks, and cars, respectively. The associated LP model is given as:

Maximize 𝑍 = 3𝑥1 + 2𝑥2 + 5𝑥3

Subject to:

𝑥1 + 2𝑥2 + 𝑥3 <= 430

3𝑥1 + 2𝑥3 <= 460

𝑥1 + 4 𝑥2 <= 420

15
Example 2 (cont.)
• The associated optimum tableau for the primal simplex is given as:

16
Example 2 (cont.) Situation 1
Suppose that TOYCO is increasing the daily capacity of operations 1, 2, and 3 to 600, 640, and 590
minutes, respectively. How would this change affect the total revenue?

row x column, then total

1/2(600) + -1/4 (640) + 0(590) = 140

17
Example 2 (cont.)

• The current basic variables, 𝑥2, 𝑥3, and 𝑥6, remain feasible (³0) at the new
values 140, 320, and 30 units, respectively.

• The associated optimum revenue is

Z = 3 * (0) + 2 * (140) + 5 * (320) = $1870.

18
Example 2 (cont.) Situation 2

Although the new solution is appealing from the standpoint of increased revenue, TOYCO
recognizes that its implementation may take time. Another proposal shifts the slack
capacity of operation 3 (𝑥6 = 20 minutes) to the capacity of Operation 1. How would this
change impact the optimum solution?

Solution:
𝑥' + 2𝑥# + 𝑥% ≤ 430
3𝑥' + 2𝑥% ≤ 460
𝑥' + 4𝑥# ≤ 420

The capacity mix of the three operations changes to 450, 460, and 400 minutes, respectively.

19
Example 2 (cont.)
New optimal solutions:

New right –hand side = 450, 460, 400

The resulting solution is infeasible because x6 = -40, which requires applying the dual
simplex method to recover feasibility.
20
Example 2 (cont.)

• Modify the right-hand side of the tableau as shown by the shaded column.
• Associated value of z = 3 * (0) + 2 * (110) + 5 *(230) = $1370.

• Solve using dual simplex method.

21
Example 2 (cont.)
• 𝑥6 leaves and 𝑥4 enters, which yields the following optimal feasible tableau

• The optimum solution (in terms of 𝑥1, 𝑥2, and 𝑥3) remains the same as in the original model. This
means that the proposed shift in capacity allocation is not advantageous because it simply shifts
the slack capacity from operation 3 to a slack capacity in operation 1.

22
Exercise #1

1) In the TOYCO model (Example 2), would it be more advantageous to assign the 20-minute

excess capacity of operation 3 to operation 2 instead of operation 1?

2) Suppose that TOYCO wants to change the capacities of the three operations to 460, 500 and

400 minutes, respectively. Use post-optimal analysis to determine the optimum solution

23
Exercise #2
Reddy Mikks model:

Given its optimal tableau as follows:

If the daily availabilities of raw materials M1 and M2 are increased to 35 and 10 tons,
respectively, use post-optimal analysis to determine the new optimal solution.

24