Chapter 6 Introduction to the Big M Method

Linear Programming: The In this section, we will present a generalized version of the
simplex
i l method th d that
th t will
ill solve
l both
b th maximization
i i ti andd
Simplex Method minimization problems with any combination of ≤, ≥, =
constraints

Section 4
Maximization and Minimization with
Problem Constraints

Example
Example
(continued)

Maximize To form an equation out of the second inequality we

introduce a second variable s2 and subtract it from the left
P = 2x1 + x2
side so that we can write
subject to
–x1 + x2 – s2 = 2.
x1 + x2 < 10
The variable s2 is called a surplus variable, because it is the
–x1 + x2 > 2 amount (surplus) by which the left side of the inequality
exceeds the right side.
x1, x2 > 0
To form an equation out of the first inequality, we introduce a
slack variable s1, as before, and write
x1 + x2 + s1 = 10.
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 Example Example
(continued) (continued)
We now express the linear programming problem as a system of It can be shown that a basic solution of a system is not feasible if
equations: any of the variables (excluding P) are negative.
negative Thus a surplus
variable is required to satisfy the nonnegative constraint.
x1 + x2 + s 1 = 10
An initial basic solution is found by setting the nonbasic variables
–x1 + x2 – s2 =2
x1 and x2 equal to 0. That is, x1 = 0, x2,= 0,, s1= 10, s2 = -2, P = 0.
–2x1 – x2 +P=0
This solution is not feasible because the surplus variable s2 is
x1, x2, s1, s2 > 0 g
negative.

5 6

Example
Artificial Variables
(continued)

In order to use the simplex method on problems with mixed Returning to our example, we introduce an artificial variable a1 into
constraints, we turn to a device called an artificial variable. the
th equation
ti involving
i l i the
th surplus
l variable
i bl s2:
This variable has no physical meaning in the original problem
and is introduced solely for the purpose of obtaining a basic x1 + x2 – s2 + a1 = 2
feasible solution so that we can apply the simplex method. To prevent an artificial variable from becoming part of an optimal
An artificial variable is a variable introduced into each solution to the original problem, a very large “penalty” is
q
equation that has a surplus
p variable. To ensure that we introduced into the objective function. This penalty is created by
consider only basic feasible solutions, an artificial variable is choosing a positive constant M so large that the artificial variable is
required to satisfy the nonnegative constraint. forced to be 0 in any final optimal solution of the original problem.

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 Example Big M Method:
(continued) Form the Modified Problem
We then add the term –Ma1 to the objective function: ƒ If any problem constraints have negative constants on the right
P = 2x1 + x2 – Ma1 side,
id multiply
lti l both
b th sides
id byb -11 to
t obtain
bt i a constraint
t i t with
ith a
We now have a new problem, called the modified problem: nonnegative constant. Remember to reverse the direction of
Maximize the inequality if the constraint is an inequality.
P = 2x1 + x2 - Ma1 ƒ Introduce a slack variable for each constraint of the form ≤.
subject to ƒ Introduce a surplus variable and an artificial variable in
x1 + x2 + s 1 = 10 each ≥ constraint.
x1 + x2 – s2 + a1 = 2 ƒ Introduce an artificial variable in each = constraint.
x1, x2, s1, s2, a1 > 0 ƒ For each artificial variable a, add –Ma to the objective
function. Use the same constant M for all artificial variables.

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Key Steps for Solving a Problem Example

Using the Big M Method (continued)
The initial system for the modified problem is
Now that we have learned the steps for finding the modified x1 + x2 + s 1 = 10
problem for a linear programming problem, we will turn our
attention to the procedure for actually solving such problems. –x1 + x2 – s2 + a1 = 2
The procedure is called the Big M Method. –2x1 – x2 + Ma1 + P = 0
x1, x2, s1, s2, a1 > 0
We next write the augmented coefficient matrix for this system,
system
which we call the preliminary simplex tableau for the modified
problem.

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 Example Definition:
(continued) Initial Simplex Tableau

For a system tableau to be considered an initial simplex tableau,

x1 x2 s1 s2 a1 P
it must satisfy the following two requirements:
⎡1 1 1 0 0 0 10⎤ 1. The requisite number of basic variables must be selectable.
⎢ ⎥ Each basic variable must correspond to a column in the
⎢ −1 1 0 −1 1 0 2⎥
tableau with exactly one nonzero element. Different basic
⎢ −2 −1 0 0 M 1 0 ⎥⎦
⎣ variables must have the nonzero entries in different rows.
The remaining variables are then selected as non-basic
To start the simplex process we require an initial simplex
variables.
tableau, described on the next slide. The preliminary simplex
tableau should either meet these requirements, or it needs to be 2. The basic solution found by setting the non-basic variables
transformed into one that does. equal to zero is feasible.

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Example Example
(continued) (continued)
x1 x2 s1 s2 a1 P
The preliminary simplex tableau from our example
satisfies
ti fi the
th first
fi t requirement,
i t since
i s1, s2, and
d P can be
b ⎡1 1 1 0 0 0 10⎤
selected as basic variables according to the criterion stated. ⎢ ⎥
⎢ −1 1 0 −1 1 0 2⎥
However, it does not satisfy the second requirement since ⎢ −2 −1 0 0 M 1 0 ⎥⎦
⎣
the basic solution is not feasible (s2 = -2.)
To use the simplex method, we must first use row If you inspect the preliminary tableau, you realize that the
operations to transform the tableau into an equivalent problem is that s2 has a negative coefficient in its column.
matrix that satisfies all initial simplex tableau We need to replace s2 as a basic variable by something
requirements. This transformation is not a pivot else with a positive coefficient. We choose a1.
operation.

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 Example Example
(continued) (continued)

We want to use a1 as a basic variable instead of s2. We pproceed From the last matrix we see that the basic variables are s1, a1,
to eliminate M from the a1 column using row operations: and P because those are the columns that meet the
x1 x2 s1 s2 a1 P requirements for basic variables.
⎡1 1 1 0 0 0 10 ⎤ The basic solution found by setting the nonbasic variables
⎢ ⎥
(-M)R2 + R3 ->R3 ⎢ −1 1 0 −1 1 0 2⎥ x1, x2, and s2 equal to 0 is
⎢ −2 −1 0 0 M 1 0 ⎥⎦ x1 = 0, x2 = 0, s1 = 10, s2 = 0, a1 =2, P = –2M.
⎣

⎡ 1 The basic solution is feasible (P can be negative) and all

1 1 0 0 0 10 ⎤
⎢ ⎥ requirements are met.
⎢ −1 1 0 −1 1 0 2 ⎥
⎢M −2 −M −1 0 M 0 1 −2M⎥
⎣ ⎦

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Example Example
(continued) (continued)

We now continue with the usual simplex process, using pivot If we pivot on the second row, second column, and then on the
operations. When selecting the pivot columns, keep in mind that first
fi t row, first
fi t column,
l we obtain:
bt i
M is unspecified, but we know it is a very large positive number. x1 x2 s1 s2 a1 P
⎡ 1 1 −1 ⎤
x1 ⎢1 0 0 4⎥
⎡ 1 1 1 0 0 0 10 ⎤ ⎢ 2 2 2 ⎥
⎢ ⎥ ⎢0 1 1 −1 1
0 6 ⎥⎥
x2
⎢ −1 1 0 −1 1 0 2 ⎥ ⎢ 2 2 2
⎢ M − 2 −M − 1 0 M 0 1 −2M ⎥ ⎢ ⎥
⎣ ⎦ ⎢0 0 3 1
M−
1
1 14 ⎥
P ⎢⎣ 2 2 2 ⎥⎦
In this example, M – 2 and M are positive, and –M – 1 is Since all the indicators in the last row are nonnegative, we have
negative. The first pivot column is column 2. the optimal solution:
Max P = 14 at x1 = 4, x2 = 6, s1 = 0, s2 = 0, a1 = 0.
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 Big M Method: Big M Method: Summary
Summary (continued)

To summarize: 4.
4 Relate the optimal solution of the modified problem to the
1. Form the preliminary simplex tableau for the modified original problem.
problem. A) if the modified problem has no optimal solution, the
2. Use row operations to eliminate the Ms in the bottom original problem has no optimal solution.
row of the preliminary simplex tableau in the columns
corresponding to the artificial variables. The resulting B) if all artificial variables are 0 in the optimal solution
tableau is the initial simplex tableau. to the modified problem, delete the artificial variables
3. Solve the modified problem by applying the simplex to find an optimal solution to the original problem
method to the initial simplex tableau found in the second C) if any artificial variables are nonzero in the optimal
step. solution, the original problem has no optimal solution.

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