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Big M Method

opti big M

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33 views10 pages

Big M Method

opti big M

Uploaded by

f20220818
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Simplex method

An iterative method for solving LPP

Anil Kumar, Department of Mathematics


A-408

Artificial Variable Techniques

Big M-method

Anil Kumar, Mathematics, BITS-Goa 45


Artificial Variable Techniques
If in a starting simplex tableau, we don’t have an identity
submatrix (i.e., an obvious starting BFS), then we
introduce artificial variables to have a starting BFS.

This is known as an artificial variable technique.

There are two methods to find the starting BFS and solve
the problem using
l Big M and
l Two-phase method.

Anil Kumar, Mathematics, BITS-Goa 46

Artificial Variable Techniques…


l Suppose that ith constraint equation doesn't have a slack
variable. i.e.
there is no ith unit vector column in the LHS of the
constraint equations. (e.g. this happens when the ith
constraint in the original LPP is either ≥ or =) .
l Then an artificial variable Ri is added to form the ith unit
vector column.
l Since the artificial variables are not part of the original
LPP, they are assigned a very high penalty in the
objective function and thus forcing them to equal zero in
the optimum solution.

Anil Kumar, Mathematics, BITS-Goa 47


Artificial Variable Techniques…

Artificial variable objective coefficient


= - M in a maximization problem,
= M in a minimization problem
where M is a very large positive number.

Anil Kumar, Mathematics, BITS-Goa 48

Example-1

Consider the LPP:

Minimize z = 2 x1 + x2

Subject to the constraints 3 x1 + x2 ³ 9


x1 + x2 ³ 6
x1 , x2 ³ 0

Anil Kumar, Mathematics, BITS-Goa 49


Example-1…
Putting this in the standard form, the LPP is:
Minimize z = 2 x + x
1 2

Subject to the constraints


3 x1 + x2 - s1 =9
x1 + x2 - s2 = 6
x1 , x2 , s1 , s2 ³ 0
Here s1, s2 are surplus variables.
Note that we do NOT have a 2 ×2 identity submatrix in the LHS.

Anil Kumar, Mathematics, BITS-Goa 50

Example-1…
Introducing the artificial variables, R1, R2, the LPP is modified
as follows:
Minimize
z = 2 x1 + x2 + M R1 + M R2
Subject to the constraints
3 x1 + x2 - s1 + R1 =9
x1 + x2 - s2 + R2 = 6
x1 , x2 , s1 , s2 , R1 , R2 ³ 0

Note that we now have a (2 × 2) identity submatrix in the


coefficient matrix of the constraint equations.
Anil Kumar, Mathematics, BITS-Goa 51
Example-1…

• Solve the above LPP by the Simplex method.

Anil Kumar, Mathematics, BITS-Goa 52

Basic z x1 x2 s1 s2 R1 R2 Sol.

-2+4M -1+2M -M -M 0 0 15M


z 1 -2 -1 0 0 -M -M 0
R1 0 3 1 -1 0 1 0 9
R2 0 1 1 0 -1 0 1 6
z 1 0 -1/3+ -2/3+ -M 2/3- 0 6+3M
2M/3 M/3 4M/3
x1 0 1 1/3 -1/3 0 1/3 0 3
R2 0 0 2/3 1/3 -1 -1/3 1 3
z 1 0 0 -1/2 -1/2 1/2–M 1/2-M 15/2

x1 0 1 0 -1/2 1/2 1/2 -1/2 3/2


x2 0 0 1 1/2 -3/2 -1/2 3/2 9/253
Example-1…

Note that we have got the optimal solution to the


given problem as
3 9
x1 = , x2 =
2 2
Optimal z = Minimum
15
z=
2
It is illuminating to look at the graphical solution also.

Anil Kumar, Mathematics, BITS-Goa 54

(0.9)
PF
(0,6)

3 9
( , )
2 2

(0,0) (3,0) (6,0) 3 9


z minimum at , )
(
Anil Kumar, Mathematics, BITS-Goa
2 2 55
Example-2

Consider the following LPP:

Maximize z = 2 x1 + 3 x2 - 5 x3

Subject to the constraints


x1 + x2 + x3 = 7
2 x1 - 5 x2 + x3 ³ 10
x1 , x2 , x3 ³ 0

Anil Kumar, Mathematics, BITS-Goa 56

Example-2…
Introducing surplus and artificial variables, s2, R1 and R2, the
LPP is modified as follows:
Maximize
z = 2 x1 + 3x2 - 5 x3 - MR1 - MR2
Subject to the constraints
x1 + x2 + x3 + R1 = 7
2 x1 - 5 x2 + x3 - s2 + R2 = 10
x1 , x2 , x3 , s2 , R1 , R2 ³ 0
Now we solve the above LPP by the Simplex method.

Anil Kumar, Mathematics, BITS-Goa 57


Example-2…

The optimum (Maximum) value of


z = 102/7
and it occurs at
x1 = 45/7, x2 = 4/7, x3 = 0

Anil Kumar, Mathematics, BITS-Goa 59

Remarks

l If in any iteration, there is a tie for entering variable


between an artificial variable and other variable
(decision, surplus or slack), we must prefer the non-
artificial variable to enter the basis.

l If in any iteration, there is a tie for leaving variable


between an artificial variable and other variable
(decision, surplus or slack), we must prefer the
artificial variable to leave the basis.

Anil Kumar, Mathematics, BITS-Goa 60


Example 3

Consider the following LPP:

Maximize z = 5 x1 + 6 x2
-2 x1 + 3 x2 = 3
Subject to the constraints x1 + 2 x2 £ 5
6 x1 + 7 x2 £ 3
x1 , x2 ³ 0

Anil Kumar, Mathematics, BITS-Goa 61

Example-4
Consider the following LPP:

Minimize z = 6 x1 + 4 x2

Subject to the constraints


3 x1 + 0.5 x2 ³ 12
2 x1 + x2 ³ 16
x1 , x2 ³ 0

Anil Kumar, Mathematics, BITS-Goa 66


Remark

l The question arises of how much big M should be selected


when the computer code is to be executed.
l M is a positive finite and large, but it should not be too large to
produce an accumulation of round-off errors during simplex
iterations.
l Example: . max & = 0.2*! + 0.5*
s.t. 3*! + 2*" ≥ 6, *! +2*" ≤ 4, *! , *" ≥ 0
l Compute the solution with M=10.
l Compute the solution with M=999999.
l In first case solution is x1=1, x2=1.5, which is a correct solution, whereas in
2nd case solution is x1=4, x2=0.
l Because of this, we avoid big M-method to implement on computer.

Anil Kumar, Mathematics, BITS-Goa 70

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