ME F344 Engineering Optimization

BITS Pilani
K KK
Birla
K Birla
GoaGoa
Campus
Campus
Dr. Varinder Singh
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• Simplex Method

• Algebra of Simplex Method

• Examples

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Simplex Method

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In optimization theory, the simplex algorithm, is a popular algorithm

for numerically solving linear programming problems.

The algorithm was created by the American Mathematician

George B. Dantzig in 1947.
The journal “Computing in Science and Engineering”

Listed as one of the top 10 algorithms of the century.

The method uses the concept of a simplex, which is a polytope (such as polygon,
polyhedron etc.,) with finite number of vertices.

A polytope is a geometric object with flat sides, and may exist in any general number of
dimensions n as an n-dimensional polytope or n-polytope
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2-dimensional Polytope
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How to Solve an LPP of higher dimension ?
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 The constraints of a Linear Programming Problem give rise to a polytope

with finite number of vertices.

 If we can determine all the vertices of the polytope, then we can calculate the
value of the objective function at these points and take the best one as our
optimal solution.

 The Simplex Method is an iterative method which moves from one vertex to
another vertex (in the direction of optimum improvement) until the
optimal solution is reached

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Simplex Method 8

An iterative
Initialization
procedure (Find initial BFS)

Is the current Stop

BFS optimal?

Move to a better
adjacent BFS

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Initial Assumptions

• All constraints are of ≤ type

• All right-hand-side values (bj, j=1, …,m) must be non-

negative

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Algebra of the Simplex Method
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Let us consider the following LPP

Maximize Z = 3x1+ 5x2

subject to
x1 ≤4
2x2 ≤ 12
3x1+ 2x2 ≤18

x1, x2 ≥ 0

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Standard form :

Maximize Z = 3x1+ 5x2

subject to x1 +s1 =4
2x2 +s2 = 12
3x1+ 2x2 +s3 = 18

x1,x2, s1, s2, s3 ≥ 0

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Initialization 12

• Find an initial basic feasible solution

“If possible, use the origin as the initial BFS”

• Equivalent to:

Choose original variables to be nonbasic (xi=0, i=1,…n) and let the slack variables be
basic (sj=bj, j=1,…m)

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Optimality Test 13

• Are any adjacent BFS better than the current one?

• Rewrite Z in terms of nonbasic variables and investigate rate of improvement
• Current nonbasic variables: x1 , x2
• Corresponding Z: Z = 3x1 + 5x2

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Direction of Movement
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• Which edge to move on?

• Determine the direction of movement by selecting the entering variable
(variable ‘entering’ the basis)
• Choose the direction of steepest ascent
– x1: Rate of improvement in Z = 3
– x2: Rate of improvement in Z = 5

• Entering basic variable = x2

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The nonbasic variable that will become basic is referred to as

“entering” variable.

The basic variable that will become nonbasic is referred to as

“leaving” variable.

Criterion for “entering” variable

Choose that variable as the “entering” variable which has the most –ve coefficient in
the z-row in case it is a maximization problem (most +ve coefficient in the z-row in
case it is a minimization problem) while writing it as an equation CX=0.

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Criterion for “leaving” variable (Feasibility Condition)
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Let bi be the RHS of the ith row.

Let aij be the coefficient of the entering variable xj in the ith row.

The following “minimum ratio test” decides the leaving variable Choose xk as the leaving
variable where k is given as that row index i for which the ratio


 bi 

 , aij  0  is Minimum
 aij
 


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Simplex Method in Tabular form
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Let us consider the following problem

Maximize Z = 3x1+ 5x2

subject to
x1 ≤4
2x2 ≤ 12
3x1+ 2x2 ≤18
x1, x2 ≥ 0

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Write as system of equations 18

Z - 3x1 - 5x2 =0
x1 +s1 =4
2x2 +s2 = 12
3x1+ 2x2 +s3 = 18

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Basic
Z x1 x2 s1 s2 s3 Solution
variable

s1

s2

s3

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 Z-row is the objective equation row.

 The remaining 3 rows are the basic variable rows.

 Each row corresponds to a basic variable

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Iteration 1 :
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Basic variable Z x1 x2 s1 s2 s3 Solution

Z 1 -3 -5 0 0 0 0

s1 0 1 0 1 0 0 4

s2 0 0 2 0 1 0 12

s3 0 3 2 0 0 1 18

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Choose that variable as the “entering” variable which has the most –ve coefficient in the z-row
in case it is a maximization

x2 enters the basis

Basic Min.
Z x1 x2 s1 s2 s3 Solution
variable Ratio
0/-5=No Ratio
Z 1 -3 -5 0 0 0 0
s1 0 1 0 1 0 0 4 4/0= ---------

12/2 =6
s2 0 0 2 0 1 0 12
18/2 =9
s3 0 3 2 0 0 1 18

Minimum Ratio is corresponding to S2

S2 leaves the basis
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The entering variable column is called the pivot column.

The leaving variable row is called the pivot row.

The coefficient in the intersection of the two is referred to as the pivot element.

Apply elementary row operations to modify the simplex tableau so that the pivot column has 1 at the
pivot element and zero in all other places.

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Iteration 2 :
Min.
Basic Ratio
Z x1 x2 s1 s2 s3 Solution
variable

Z+5x2 Z 1 -3 0 0 5/2 0 30 No Ratio

S1 s1 0 1 0 1 0 0 4 4/1 = 4

S2/2 x2 0 0 1 0 1/2 0 6 -------

S3-2x2 s3 6/3 =2
0 3 0 0 -1 1 6

Stop: If all the entries in the Z-row are ≥ 0 ( or ≤ 0 )

in Max. (or Min.) then stop else repeat the iteration.

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Basic variable Z x1 x2 s1 s2 s3 Solution

Z 1 0 0 0 3/2 1 36

s1 0 0 0 1 1/3 -1/3 2

x2 0 0 1 0 1/2 0 6

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

All the entries in the Z-row are ≥ 0, hence we have reached

the optimal solution.

Optimal Solution: x1 = 2, x2 = 6, Z=36

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 Optimal 26
Solution
(0, 6) (2, 6)

Feasible (4, 3)
Region

(0, 0) (4, 0)

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Example 2: 27

Min Z = x1 -2x2 + x3
subject to
x1 + 2x2 -2x3 ≤4
x1 -x3 ≤ 3
2x1 -x2 +2x3 ≤ 2
x1, x2, x3 ≥ 0

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Standard Form

Min Z = x1 -2x2 + x3
subject to
x1 + 2x2 -2x3 + s1 =4
x1 -x3 + s2 =3
2x1 -x2 +2x3 + s3 = 2
x1, x2, x3 , s1, s2, s3 ≥ 0

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System of equations

Z - x1 + 2x2 - x3 =0
x1 + 2x2 -2x3 + s1 =4
x1 - x3 + s2 =3
2x1 - x2 + 2x3 + s3 = 2

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BV Z x1 x2 x3 S1 S2 S3 Solution Ratio

Z 1 -1 2 -1 0 30 0 0 0 ---

S1 0 1 2 -2 1 0 0 4 4/2=2

S2 0 1 0 -1 0 1 0 3 -----
S3 0 2 -1 2 0 0 1 2 -----
Z 1 -2 0 1 -1 0 0 -4 ---

x2 0 1/2 1 -1 ½ 0 0 2 -----

S2 0 1 0 -1 0 1 0 3 -----
S3 0 5/2 0 1 ½ 0 1 4 4/1=1
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BV Z x1 x2 x3 S1 S2 S3 Solution Ratio

Z 1 -9/2 0 0 -3/2 0 -1 -8 ---

x2 0 3 1 0 1 0 1 6 -----
S2 0 7/2 0 0 ½ 1 1 7 -----
x3 0 5/2 0 1 ½ 0 1 4 -----

The table is Optimal, since all the coefficient in

Z-row are ≤ 0 (Minimization Problem).
Optimal solution : x1= 0, x2 = 6, x3 = 4, Z = -8

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Example 3: 32

Max Z = -x1 +3x2 -3x3

subject to
3x1 -x2 +x3 ≤ 7
-x1 +2x2 ≤6
-4x1 +3x2 +8x3 ≤ 10
x1, x2, x3 ≥ 0

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Points to Remember in Simplex Algorithm

 All the constraints should be ≤ type.

 All variables should be ≥ 0.

 Coefficients of basic variables in z-row should be zero.

 The coefficients matrix corresponding to initial basic variables forms an identity

matrix.

 The entering variable will be the one which has most negative (most positive) z-row
coefficient in case of max. (min.) problem.

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Points to Remember …..

 Leaving variable should follow the minimum ratio test.

 When all the z-row coefficients are ≥ 0 (or ≤ 0) in case of max. (or min.) problem
the optimality is reached and we will stop the simplex iteration.

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(1). Solve the following LPPs using Simplex method:

(i) Max. z  12 x1  15 x2

subject to 4 x1  3 x2  12
2 x1  5 x2  10
x1 , x2  0

(ii) Max. z  2 x1  3 x2
subject to  x1  x2  2
2 x1  x2  2
 x1  x2  2
x1  0, x2 unrestriced
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(iii) Max. z  3 x1  2 x2  5 x3
subject to x1  2 x2  x3  430
3 x1  2 x3   460
x1  4 x2  420
x1 , x2 , x3  0

(iv) Min. z  6 x1  2 x2  6 x3
subject to 2 x1  3 x2  x3  14
4 x1  4 x2  10 x3  46
2 x1  2 x2  4 x3  37
x1  2, x2  1, x3  3

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(2). Solve the following LPPs using Big-M method:

(i) Max. z   x1  3 x2
subject to x1  2 x2  2
3 x1  x2  3
x1  4
x1 , x2  0

(ii) Min. z  9 x1  x2  2 x3
subject to 4 x1  2 x2  x3  5
x1  2 x2  3 x3  4
x1 , x2 , x3  0

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Thank You
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