6s-1 Linear Programming

Simplex Method
 Simplex: a linear-programming algorithm that can solve
problems having more than two decision variables.
 The simplex technique involves generating a series of
solutions in tabular form, called tableaus. By inspecting
the bottom row of each tableau, one can immediately tell
if it represents the optimal solution. Each tableau
corresponds to a corner point of the feasible solution
space. The first tableau corresponds to the origin.
Subsequent tableaus are developed by shifting to an
adjacent corner point in the direction that yields the
highest (smallest) rate of profit (cost). This process
continues as long as a positive (negative) rate of profit
(cost) exists.
6s-2 Linear Programming

Simplex Algorithm
The key solution concepts
 Solution Concept 1: the simplex method focuses
on CPF solutions.
 Solution concept 2: 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:
6s-3 Linear Programming

Simplex algorithm
Initialization: setup to start iterations, including
finding an initial CPF solution

Optimality test: is the current CPF solution

optimal?

if no if yes stop

Iteration: Perform an iteration to find a

better CFP solution
6s-4 Linear Programming

Simplex algorithm
 Solution concept 3: whenever possible, the initialization
of the simplex method chooses the origin point (all
decision variables equal zero) to be the initial CPF
solution.

 Solution concept 4: given a CPF solution, it is much

quicker computationally to gather information about its
adjacent CPF solutions than about other CPF solutions.
Therefore, each time the simplex method performs an
iteration to move from the current CPF solution to a
better one, it always chooses a CPF solution that is
adjacent to the current one.
6s-5 Linear Programming

Simplex algorithm
 Solution concept 5: After the current CPF solution
is identified, the simplex method examines each of
the edges of the feasible region that emanate from
this CPF solution. Each of these edges leads to an
adjacent CPF solution at the other end, but the
simplex method doesn’t even take the time to solve
for the adjacent CPF solution. Instead it simply
identifies the rate of improvement in Z that would
be obtained by moving along the edge. And then
chooses to move along the one with largest
positive rate of improvement.
6s-6 Linear Programming

Simplex algorithm
 Solution concept 6: A positive rate of
improvement in Z implies that the adjacent
CPF solution is better than the current one,
whereas a negative rate of improvement in Z
implies that the adjacent CPF solution is
worse. Therefore, the optimality test consists
simply of checking whether any of the edges
give a positive rate of improvement in Z. if
none do, then the current CPF solution is
optimal.
6s-7 Linear Programming

The simplex method in tabular form

 Steps:
1. Initialization:
a. transform all the constraints to equality by
introducing slack, surplus, and artificial variables as
follows:

Constraint type Variable to be added

≥ + slack (s)

≤ - Surplus (s) + artificial (A)

= + Artificial (A)
6s-8 Linear Programming

Simplex method in tabular form

b. Construct the initial simplex tableau

Basic X1 … Xn S1 …... Sn A1 …. An RHS

variable
S b1
Coefficient of the constraints

A bm
Z Objective function coefficient Z
In different signs value
6s-9 Linear Programming

Simplex method in tabular form

2. Test for optimality:
Case 1: Maximization problem
the current BF solution is optimal if every
coefficient in the objective function row is
nonnegative
Case 2: Minimization problem
the current BF solution is optimal if every
coefficient in the objective function row is
nonpositive
6s-10 Linear Programming

Simplex method in tabular form

3. Iteration
Step 1: determine the entering basic variable by
selecting the variable (automatically a nonbasic
variable) with the most negative value (in case of
maximization) or with the most positive (in case
of minimization) in the last row (Z-row). Put a
box around the column below this variable, and
call it the “pivot column”
6s-11 Linear Programming

Simplex method in tabular form

 Step 2: Determine the leaving basic variable by applying
the minimum ratio test as following:
1. Pick out each coefficient in the pivot column that is
strictly positive (>0)
2. Divide each of these coefficients into the right hand side
entry for the same row
3. Identify the row that has the smallest of these ratios
4. The basic variable for that row is the leaving variable, so
replace that variable by the entering variable in the basic
variable column of the next simplex tableau. Put a box
around this row and call it the “pivot row”
6s-12 Linear Programming

Simplex method in tabular form

 Step 3: Solve for the new BF solution by using
elementary row operations (multiply or divide a row by a
nonzero constant; add or subtract a multiple of one row
to another row) to construct a new simplex tableau, and
then return to the optimality test. The specific elementary
row operations are:
1. Divide the pivot row by the “pivot number” (the number
in the intersection of the pivot row and pivot column)
2. For each other row that has a negative coefficient in the
pivot column, add to this row the product of the absolute
value of this coefficient and the new pivot row.
3. For each other row that has a positive coefficient in the
pivot column, subtract from this row the product of the
absolute value of this coefficient and the new pivot row.
6s-13 Linear Programming

Simplex method
 Example (All constraints are )
Solve the following problem using the simplex method
 Maximize

Z = 3X1+ 5X2
Subject to
X1  4
2 X2  12
3X1 +2X2  18
X1 , X2  0
6s-14 Linear Programming

Simplex method
 Solution
 Initialization
1. Standard form
Maximize Z,
Subject to Sometimes it is called
the augmented form of
Z - 3X1- 5X2 =0
the problem because
the original form has
X1 + S1 = 4 been augmented by
some supplementary
2 X2 + S2 = 12 variables needed to
3X1 +2X2 + S3 = 18 apply the simplex
method
X1 , X2, S1, S2, S3  0
6s-15 Linear Programming

Definitions
 A basic solution is an augmented corner point solution.
 A basic solution has the following properties:
1. Each variable is designated as either a nonbasic variable or a
basic variable.
2. The number of basic variables equals the number of functional
constraints. Therefore, the number of nonbasic variables equals
the total number of variables minus the number of functional
constraints.
3. The nonbasic variables are set equal to zero.
4. The values of the basic variables are obtained as simultaneous
solution of the system of equations (functional constraints in
augmented form). The set of basic variables are called “basis”
5. If the basic variables satisfy the nonnegativity constraints, the
basic solution is a Basic Feasible (BF) solution.
6s-16 Linear Programming

Initial tableau
Entering
2. Initial tableau variable

RHS Min
Cj 3 5 0 0 0 ratio

B. Cb X1 X2 S1 S2 S3
V
S1 0 1 0 1 0 0 4 4/0

S2 0 2 0 1 0 12 12/2
0

S3 3 2 0 0 1 18 18/2
0

Z -3 -5 0 0 0 0
Leaving Pivot row
Pivot column
variable Pivot
Z=∑CbXi-Cj
number
6s-17 Linear Programming

Simplex tableau
Notes:
 The basic feasible solution at the initial tableau
is (0, 0, 4, 12, 18) where:
X1 = 0, X2 = 0, S1 = 4, S2 = 12, S3 = 18, and Z = 0
Where S1, S2, and S3 are basic variables
X1 and X2 are nonbasic variables
 The solution at the initial tableau is associated to
the origin point at which all the decision
variables are zero.
6s-18 Linear Programming

Optimality test
 By investigating the last row of the initial tableau,
we find that there are some negative numbers.
Therefore, the current solution is not optimal
6s-19 Linear Programming

Iteration
 Step 1: Determine the entering variable by
selecting the variable with the most negative in the
last row.
 From the initial tableau, in the last row (Z row),
the coefficient of X1 is -3 and the coefficient of X2
is -5; therefore, the most negative is -5.
consequently, X2 is the entering variable.
 X2 is surrounded by a box and it is called the pivot
column
6s-20 Linear Programming

Iteration
 Step 2: Determining the leaving variable by using the
minimum ratio test as following:

Basic Entering RHS Ratio

variable variable X2
(1) (2) (2)(1)
S1 0 4 None
S2 2 12 6
Leaving Smallest ratio
S3 2 18 9
6s-21 Linear Programming

Iteration
 Step 3: solving for the new BF solution by using the
eliminatory row operations as following:
1. New pivot row = old pivot row  pivot number
Basic X1 X2 S1 S2 S3 RHS
variable
S1
X2 0 1 0 1/2 0 6
S3
Z
Note that X2 becomes in the basic
variables list instead of S2
6s-22 Linear Programming

iteration
2. For the other row apply this rule:
New row = old row – the coefficient of this row in the pivot column (new pivot row).
For S1

1 0 1 0 0 4
-
0 (0 1 0 1/2 0 6)
1 0 1 0 0 4
For S3

3 2 0 0 1 18
-
2 (0 1 0 1/2 0 6)
3 0 0 -1 1 6
for Z
-3 -5 0 0 0 0 Substitute this
-
-5(0 1 0 1/2 0 6) values in the
-3 0 0 5/2 0 30 table
6s-23 Linear Programming

Iteration
This solution is not optimal, since there is a negative numbers in the last row

B. Cj 3 5 0 0 0 RHS
V Cb X1 X2 S1 S2 S3

S1 0 1 0 1 0 0 4
X2 5 0 1 0 1/2 0 6
S3 0 3 0 0 -1 1 6
Z -3 0 0 5/2 0 30
The smallest ratio
The most negative
is 6/3 =2; therefore,
value; therefore, X1
S3 is the leaving
is the entering
variable
variable
6s-24 Linear Programming

Iteration
 Apply the same rules we will obtain this solution:
B. Cj 3 5 0 0 0 RHS
V Cb
X1 X2 S1 S2 S3
S1 0 0 0 1 1/3 -1/3 2
X2 5 0 1 0 1/2 0 6
X1 3 1 0 0 -1/3 1/3 2
Z 0 0 0 3/2 1
This solution is optimal; since there is no negative solution in
36
the last row: basic variables are X1 = 2, X2 = 6 and S1 = 2; the
nonbasic variables are S2 = S3 = 0
Z = 36
6s-25 Linear Programming

Special cases of linear programming

 Infeasible solution
 Multiple solution (infinitely many solution)

 Unbounded solution

 Degenerated solution
6s-26 Linear Programming

Notes on the Simplex tableau

6s-27 Linear Programming
Simplex method incase of Artificial variables
“Big M method”
 Solve the following linear programming problem
by using the simplex method:
 Min Z =2 X1 + 3 X2

S.t.
½ X1 + ¼ X 2 ≤ 4
X1 + 3X2  20
X1 + X2 = 10
X1, X2  0
6s-28 Linear Programming

Big M method
 Solution
Step 1: standard form
Min Z,
s.t.
Z – 2 X1 – 3 X2 - M A1 -M A2 =0
½ X 1 + ¼ X 2 + S1 =4
X1 + 3X2 - S 2 + A1 = 20
X1 + X 2 + A2 = 10
X1, X2 ,S1, S2, A1, A2  0
Where: M is a very large number
6s-29 Linear Programming

Big M method
6s-30 Linear Programming

Big M method
 Step 2: Initial tableau

B.V Cj 2 3 0 0 M M RHS
Cb X1 X2 S1 S2 A1 A2

S1 0 ½ ¼ 1 0 0 0 4
A1 M 1 3 0 -1 1 0 20
A2 M 1 1 0 0 0 1 10
Z 2M-2 4M-3 0 -M 0 0 0
Note that one of the simplex rules is violated, which is the basic variables A 1,
and A2 have a non zero value in the z row; therefore, this violation must be
corrected before proceeding in the simplex algorithm as follows. (4M-3 will
enter, most positive)
6s-31 Linear Programming

Big M method
 To correct this violation before starting the simplex
algorithm, the elementary row operations are used
as follows:
New (Z row) = old (z row) ± M (A1 row) ± M (A2 row)
In our case, it will be positive since M is negative in the Z
row, as following:
Old (Z row): -2 -3 0 0 -M -M 0
M (A1 row): M 3M 0 -M M o 20M
M (A2 row): M M 0 0 0 M 10M
New (Z row):2M-2 4M-3 0 -M 0 0 30M
It becomes zero
6s-32 Linear Programming

Big M method
 The initial tableau will be:
B.v Cb X1 X2 S1 S2 A1 A2 RHS
2 3 0 0 M M

S1 0 1/2 1/4 1 0 0 0 4
A1 M 1 3 0 -1 1 0 20
A2 M 1 1 0 0 0 1 10
Z 2M-2 4M-3 0 -M 0 0 30M

• Since there is a positive value in the last row, this solution is not optimal
• The entering variable is X2 (it has the most positive value in the last row)
• The leaving variable is A1 (it has the smallest ratio)
6s-33 Linear Programming

Big M method
 First iteration
Bv Cb X1 X2 S1 S2 A1 A2 RHS
Cj
2 3 0 0 M M

S1 5/12 0 1 1/12 -1/12 0 7/3

0

X2 1/3 1 0 -1/3 1/3 0 20/3

3

A2 2/3 0 0 1/3 -1/3 1 10/3

M

Z 2/3M-1 0 0 1/3M-1 1-4/3M 0 20+10/3M

• Since there is a positive value in the last row, this solution is not optimal
• The entering variable is X1 (it has the most positive value in the last row)
• The leaving variable is A2 (it has the smallest ratio)
6s-34 Linear Programming

Big M method
 Second iteration
Bv Cj 2 3 0 0 M M RHS
Cb X1 X2 S1 S2 A1 A2

S1 0 0 1 -1/8 1/8 -5/8 1/4

0

X2 0 1 0 -1/2 1/2 -1/2 5

3

X1 1 0 0 1/2 -1/2 3/2 5

2

Z 0 0 0 -1/2 ½-M 3/2-M 25

This solution is optimal, since there is no positive value in the last row. The
optimal solution is: (here,we are looking for positive Z value.)
X1 = 5, X2 = 5, S1 = ¼
A1 = A2 = 0 and Z = 25
6s-35 Linear Programming

Note for the Big M method

 In the final tableau, if one or more artificial
variables (A1, A2, …) still basic and has a nonzero
value, then the problem has an infeasible solution.
 All other notes are still valid in the Big M method.
6s-36 Linear Programming

Special cases
 In the final tableau, if one or more artificial variables
(A1, A2, …) still basic and has a nonzero value, then
the problem has an infeasible solution
 If there is a zero (zj-cj) under one or more nonbasic
variables in the last tableau (optimal solution
tableau), then there is a multiple optimal solution.
 When determining the leaving variable of any
tableau, if there is no positive ratio (all the entries in
the pivot column are negative and zeroes), then the
solution is unbounded.