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Intro Opt Ch4 2 (4.3)

The document provides an introduction to optimization, focusing on the simplex method and its algebraic representation. It reviews optimality tests and the geometric procedures involved in solving linear programming problems, translating them into algebraic forms. The outline includes steps for initialization, determining movement direction, and stopping criteria in iterations of the simplex method.

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4 views14 pages

Intro Opt Ch4 2 (4.3)

The document provides an introduction to optimization, focusing on the simplex method and its algebraic representation. It reviews optimality tests and the geometric procedures involved in solving linear programming problems, translating them into algebraic forms. The outline includes steps for initialization, determining movement direction, and stopping criteria in iterations of the simplex method.

Uploaded by

126enoo
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Introduction to Optimization

(Ch4-2)

March 24, 2022

Jin Young Choi


Department of Industrial Engineering
Ajou University

IE-AJU Jin Young Choi


Today’s Outline

 Brief Review of Lecture Ch4-1

 The algebra of the simplex method

IE-AJU Jin Young Choi


Review of Lecture Ch4-1
 Optimality test
– Consider any LP problem with at least one optimal solution
If a CPF solution has no adjacent CPF solutions that are better,
x2
then it must be an optimal solution x4 = optimal
There is no case such that
• (Z at x1 > Z at x2) and (Z at x1 > Z at x3) x1
x3

• but the optimal solution is x4 in a maximization problem


• It also holds for a minimization problem

– The simplex method only checks CPF solutions to find an


optimal solution  while moving to one of adjacent CPF
solutions
– Solving an LP problem by applying Geometric procedure !!
• Initial CPF solution: the origin
• Check the optimality
• Finding next adjacent CPF solution if the current one is not optimal
• Apply the procedure iteratively until it finds an optimal CPF solution
IE-AJU Jin Young Choi
 Translating a geometric procedure to an algebraic one
– At each CPF solution  all constraints have some amount of
slack and this can be represented as a variable
• All possible cases can be represented by using the augmented form

– Each CPF solution ↔ BFS with basic and nonbasic variables


• Each BFS solution has (# of variables – # of functional constraints)
free variables  nonbasic variables  setting by zeros
• Others are basic variables

– Moving to an adjacent CPF ↔ moving to an adjacent BFS


↔ Switching one variable from nonbasic to basic and vice versa
for one other variable

IE-AJU Jin Young Choi


 Graphical Translation
x3=4
xi = amount of slack for (i-2)th constraint for i=3,4,5

x3=0

(2, 6)
(x1, x2) = (0, 6) x5x1 (2, 0, 0)
(x3, x4, x5) = (4, 0, 6) x4=0

x4x3

(4, 3)
Change of basic variable (0, 6, 0)

x4x2

x5x2
x4=12

(0, 0) (4, 0) x5=0


(4, 12, 18)
x3x1 (0, 12, 6)
IE-AJU Jin Young Choi
The algebra of the simplex method
 Initialization ( Choose the origin)

 Optimality Test ( Check adjacent CPF solutions)

IE-AJU Jin Young Choi


 Determining the direction of movement (Step 1 of an itrn)
( Move along one edge emanating from the current CPF solution)

IE-AJU Jin Young Choi


 Determining where to stop (Step 2 of an iteration)
( Stop at the first new constraint boundary)

IE-AJU Jin Young Choi


 Solving for the new BF solution (Step 3 of an itrn)
( Find the new CPF)

IE-AJU Jin Young Choi


– Elementary algebraic operations

IE-AJU Jin Young Choi


 Optimality test for the new BFS

 Iteration 2
– Step 1: Choose the entering basic variable
– Step 2: Choose the leaving basic variable by the minimum ratio
test
– Step 3: Solve the system of equations

IE-AJU Jin Young Choi


– Iteration 2

IE-AJU Jin Young Choi


 Optimality test for the new BFS

IE-AJU Jin Young Choi


Announcements
 On March 29, 2022
– The simplex method in Tabular form
– Tie breaking in the simplex method
– Reading assignment: Sec.4.4 – 4.5

IE-AJU Jin Young Choi

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