21-01-2025

Solving LPP: Logic of Simplex

Method & Computer based
solutions
Sessions 6 - 8

The Simplex Method

 A general procedure for solving linear programming problems.

 Developed by George Dantzig in 1947
 The Simplex method is an algebraic procedure. However, its underlying
concepts are geometric

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The essence of the Simplex Method

 Let us consider the following

optimization problem:
 Maximize Z = 3𝑥1 + 5𝑥2
 Subject to:
 𝑥1 ≤ 4
 2𝑥2 ≤ 12
 3𝑥1 + 2 𝑥2 ≤ 18
 𝑥1 , 𝑥2 ≥ 0

Source: Hillier et al. (2022: 108)

The essence of the Simplex Method

 Each constraint boundary is a line that forms the boundary of what is

permitted by the corresponding constraint.
 The points of intersection are the corner-point solutions of the problem.
 Each corner point solution lies at the intersection of two constraint
boundaries.
 The five points which lie on the corners of the feasible region—(0,0), (0,6),
(2,6), (4,3), and (4,0)—are the corner-point feasible solutions (CPF solutions)
 The other three—(0,9), (4,6), and (6,0)—are called corner-point infeasible
solutions.
 Certain pairs of the CPF solutions share a constraint boundary, and other
pairs do not

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The essence of the Simplex Method

 In the given example, with two decision variables, two CPF solutions are
adjacent if they share one constraint boundary.
 (0,0) and (0,6) are adjacent because they share the 𝑥1 = 0 constraint boundary.
 The feasible region has 5 edges, consisting of five line segments forming the
boundary of this region
 Each CPF solution has two adjacent CPF solutions (each lying at the other
end of one of the two edges)

CPF Solution Its Adjacent CPF Solution

(0,0) (0,6) and (4,0)
(0,6) (2,6) and (0,0)
(2,6) (4,3) and (0,6)
(4,3) (4,0) and (2,6)
(4,0) (0,0) and (4,3)

Optimality test

 Consider any linear programming problem that possesses at least one

optimal solution. If a CPF solution has no adjacent CPF solutions that are
better (as measured by Z), then it must be an optimal solution.
 In the given example, (2,6) must be optimal simply because its Z = 36 is
larger than Z = 30 for (0,6) and Z = 27 for (4,3).

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How Simplex finds the optimal solution

 Initialization: Choose (0,0) as the initial CPF solution to examine

 Optimality Test: Conclude that (0,0) is not an optimal solution (Adjacent CPF
solutions are better)
 Iteration 1: Move to a better adjacent CPF solution, (0,6), by performing the
following steps
 Step 1: Considering the two edges of the feasible region that emanate from (0,0),
choose to move along the edge that leads up the 𝑥2 axis. (With an objective function
of Z = 3𝑥1+ 5𝑥2 , moving up the 𝑥2 axis increases Z at a faster rate than moving along
the 𝑥1 axis)
 Step 2: Stop at the first new constraint boundary: 2𝑥1 = 12. Moving further would lead
to leaving the feasible region.
 Step 3: Solve for the intersection of the new set of constraint boundaries: (0,6). The
equation for these constraint boundaries, 𝑥1= 0 and 2𝑥1 = 12, immediately yields a
solution
 Optimality test: Conclude that (0,6) is not an optimal solution (An adjacent CPF
solution is better)

How Simplex finds the optimal solution

 Iteration 2: Move to a better adjacent CPF solution, (2,6), by performing the

following steps:
 Step 1: Considering the two edges of the feasible region that emanate from (0,6),
choose to move along the edge that leads to the right. (Moving along this edge
increases Z, whereas backtracking to move back down the 𝑥2 axis decreases Z.)
 Step 2: Stop at the first new constraint boundary encountered when moving in
that direction: 3𝑥1 + 2 𝑥2 = 18. Moving further leaves the feasible region.
 Step 3: Solve for the interaction of the new set of constraint boundaries: (2,6).
 Optimality test: Conclude that (2,6) is an optimal solution, so stop. (None of
the adjacent CPF solutions are better).

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Setting up the Simplex Method

 The Simplex Method is an iterative algorithm (a systematic solution

procedure that keeps repeating a fixed series of steps, called an iteration,
until a desired result has been obtained) with the following structure.

 The algebraic procedure is based on solving systems of equations.

The Simplex Method

 The development of the simplex method computations is facilitated by imposing two

requirements on the LP model:
1. All the constraints are equations with nonnegative right-hand side.
2. All the variables are nonnegative
 To convert a (≤)-inequality to an equation, a nonnegative slack variable is added to the
left-hand side of the constraint.
 For example, the constraint 𝑥1 ≤ 4 can be written is 𝑥1 + 𝑠1 = 4, where 𝑠1 ≥ 0.
 Conversion from ≥ is achieved by subtracting a nonnegative surplus variable from the left-
hand side of the inequality.
 For example, the constraint 𝑥1 + 𝑥2 ≥ 800 can be written is 𝑥1 + 𝑥2 - 𝑆1 = 800, where 𝑆1 ≥ 0.
 In the algebraic solution space (defined by m x n equations, m < n), basic solutions
correspond to the corner points in the graphical solution space. They are determined by
setting n - m variables equal to zero and solving the m equations for the remaining m
variables, provided the resulting solution is unique.

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The Simplex Method

 The first step in setting up the Simplex method is to convert the functional
inequality constraints into equivalent equality constraints.
 Non-negativity constraints are left as inequalities because they are treated
separately.
 Upon introduction of slack variables for the other functional constraints, the
original linear programming model can now be replaced by the equivalent
model (called augmented form of the model)
 The term “augmented form” indicates that the original form has been
augmented by some supplementary variables needed to apply the simplex
method.

Original and Augmented forms

Original form Augmented form of the model

 Maximize Z = 3𝑥1 + 5𝑥2  Maximize Z = 3𝑥1 + 5𝑥2 + 0𝑠1 + 0𝑠2 + 0𝑠3
 Subject to:  Subject to:
 𝑥1 ≤ 4  𝑥1 + 𝑠1 = 4
 2𝑥2 ≤ 12  2𝑥2 + 𝑠2 =12
 3𝑥1 + 2 𝑥2 ≤ 18  3𝑥1 + 2 𝑥2 + 𝑠3 = 18
 𝑥1 , 𝑥2 ≥ 0 and
 𝑥1 , 𝑥2 ≥ 0 and 𝑠𝑗 ≥ 0, for j = 1, 2, 3

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Solution to the optimization problem

 A basic solution is an augmented corner-point solution.

 A basic feasible (BF) solution is an augmented CPF solution.
 Thus, the CPF solution (0, 6) in the example is equivalent to the BF solution (0, 6, 4, 0, 6)
for the problem in augmented form.
 A basic solution has the following properties:
 Each variable is designated as either a basic variable or non-basic variable
 The number of basic variables equals the number of functional constraints (or
equations). Therefore, the number of non-basic variables equals the total number of
variables minus the number of functional constraints.
 The non-basic variables are set equal to zero.
 The values of the basic variables are obtained as the simultaneous solution of the
system of equations. The set of basic variables is often referred to as the basis.
 If the basic variables satisfy the non-negativity constraints, the basic solution is a basic
feasible solution.