Khaled Rageh Grade Four OR Ch 5 – class 1

Linear Programming: The Simplex Method

Overview of the Simplex Method

 Steps Leading to the Simplex Method

 Example: Initial Formulation

A Minimization Problem
MIN 2x1 - 3x2 - 4x3
S.T. x1 + x2 + x3 ≤ 30
2x1 + x2 + 3x3 ≥ 60
x1 - x2 + 2x3 = 20
x1, x2, x3 > 0

Standard Form

 An LP is in standard form when:

• All variables are non-negative
• All constraints are equalities

 Putting a LP formulation into standard form involves:

• Adding slack variables to “ < “ constraints
• Subtracting surplus variables from “ > ” constraints.

 Example: Standard Form

Problem in Standard Form

MIN 2x1 - 3x2 - 4x3

S.T. x1 + x2 + x3 + s1 = 30
2x1 + x2 + 3x3 - s2 = 60
x1 - x2 + 2x3 = 20
x 1, x 2, x 3, s 1, s 2 > 0

Tableau Form

 A set of equations is in tableau form if for each equation:

• its right hand side (RHS) is non-negative, and
• there is a basic variable. (A basic variable for an equation is a variable whose coefficient in the equation is
+1 and whose coefficient in all other equations of the problem is 0.), (identity matrix).

 To generate an initial tableau form:

• An artificial variable must be added to each constraint that does not have a basic variable.

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Khaled Rageh Grade Four OR Ch 5 – class 1
 Example: Tableau Form

Problem in Tableau Form

MIN 2x1 - 3x2 - 4x3 + 0s1 - 0s2 + Ma2 + Ma3

S.T. x1 + x2 + x3 + s1 = 30
2x1 + x2 + 3x3 - s2 + a2 = 60
x1 - x2 + 2x3 + a3 = 20
x1, x2, x3, s1, s2, a2, a3 > 0

Simplex Tableau

 The simplex tableau is a convenient means for performing the calculations required by the simplex method.

 Setting Up Initial Simplex Tableau

• Step 1: If the problem is a minimization problem, multiply the objective function by -1.
• Step 2: If the problem formulation contains any constraints with negative right-hand sides, multiply each
constraint by -1.
• Step 3: Add a slack variable to each < constraint.
• Step 4: Subtract a surplus variable and add an artificial variable to each > constraint.
• Step 5 Add an artificial variable to each = constraint.
• Step 6: Set each slack and surplus variable's coefficient in the objective function equal to zero.
• Step 7: Set each artificial variable's coefficient in the objective function equal to -M, where M is a very large
number.
• Step 8: Each slack and artificial variable becomes one of the basic variables in the initial basic feasible solution.

• Step 1: Determine Entering Variable

✓ Identify the variable with the most positive value in the cj - zj row. (The entering column is called the pivot
column.)

• Step 2: Determine Leaving Variable

✓ For each positive number in the entering column, compute the ratio of the right-hand side values divided by
these entering column values.
✓ If there are no positive values in the entering column, STOP; the problem is unbounded.
✓ Otherwise, select the variable with the minimal ratio. (The leaving row is called the pivot row.)

• Step 3: Generate Next Tableau

✓ Divide the pivot row by the pivot element (the entry at the intersection of the pivot row and pivot column)
to get a new row. We denote this new row as (row *).
✓ Replace each non-pivot row i with:

[new row i] = [current row i] - [(aij) x (row *)], where aij is the value in entering column j of row i

• Step 4: Calculate zj Row for New Tableau

✓ For each column j, multiply the objective function coefficients of the basic variables by the corresponding
numbers in column j and sum them.

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• Step 5: Calculate cj - zj Row for New Tableau

✓ For each column j, subtract the zj row from the cj row.

✓ If any of the values in the cj - zj row are positive, GO TO STEP 1.
✓ If there is an artificial variable in the basis with a positive value, the problem is infeasible. STOP.
✓ Otherwise, an optimal solution has been found. The current values of the basic variables are optimal. The
optimal values of the non-basic variables are all zero.
✓ If any non-basic variable's cj - zj value is 0, alternate optimal solutions might exist. STOP.

 Example: Simplex Method

 Solve the following problem by the simplex method:

Max 12x1 + 18x2 + 10x3

S.T. 2x1 + 3x2 + 4x3 ≤ 50
x1 - x2 - x3 ≥ 0
x2 - 1.5x3 ≥ 0
x1, x2, x3 > 0

 Writing the Problem in Tableau Form

We can avoid introducing artificial variables to the second and third constraints by multiplying each by -1
(making them < constraints). Thus, slack variables s1, s2, and s3 are added to the three constraints.

Max 12x1 + 18x2 + 10x3 + 0s1 + 0s2 + 0s3

S.T. 2x1 + 3x2 + 4x3 + s1 = 50
-x1 + x2 + x3 + s2 = 0
- x2 + 1.5x3 + s3 = 0
x1, x2, x3 > 0

 Initial Simplex Tableau

x1 x2 x3 s1 s2 s3
Basic cB 12 18 10 0 0 0
s1 0 2 3 4 1 0 0 50
s2 0 -1 1 1 0 1 0 0 (*row)
s3 0 0 -1 1.5 0 0 1 0
zj 0 0 0 0 0 0 0
cj - zj 12 18 10 0 0 0

 Iteration 1

• Step 1: Determine the Entering Variable

The most positive cj - zj = 18. Thus x2 is the entering variable.

• Step 2: Determine the Leaving Variable

Take the ratio between the right hand side and positive numbers in the x2 column:
50/3 = 16 2/3
0/1 = 0 minimum
s2 is the leaving variable and the 1 is the pivot element.

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• Step 3: Generate New Tableau

Divide the second row by 1, the pivot element. Call the "new" (in this case, unchanged) row the "
row*".
Subtract 3 x (row*) from row 1.
Subtract -1 x (row*) from row 3.
New rows 1, 2, and 3 are shown in the upcoming tableau.

• Step 4: Calculate zj Row for New Tableau

The new zj row values are obtained by multiplying the cB column by each column, element by element
and summing.
For example, z1 = 5(0) + -1(18) + -1(0) = -18.

• Step 5: Calculate cj - zj Row for New Tableau

The new cj-zj row values are obtained by subtracting zj value in a column from the cj value in the same
column.
For example, c1-z1 = 12 - (-18) = 30.

 Iteration 1 (continued) - New Tableau

x1 x2 x3 s1 s2 s3
Basic cB 12 18 10 0 0 0
s1 0 5 0 1 1 -3 0 50 (*row)
s2 18 -1 1 1 0 1 0 0
s3 0 -1 0 2.5 0 1 1 0
zj -18 18 18 0 18 0 0
cj - zj 30 0 -8 0 -18 0

 Iteration 2

• Step 1: Determine the Entering Variable

The most positive cj - zj = 30. x1 is the entering variable.

• Step 2: Determine the Leaving Variable

Take the ratio between the right hand side and positive numbers in the x1 column:
50/5 = 10 minimum

There are no ratios for the second and third rows because their column elements (-1) are negative.
Thus, s1 (corresponding to row 1) is the leaving variable and 5 is the pivot element.

• Step 3: Generate New Tableau

Divide row 1 by 5, the pivot element. (Call this new row 1 the "row* ").
Subtract (-1) x (row* ) from the second row.
Subtract (-1) x (row* ) from the third row.

• Step 4: Calculate zj Row for New Tableau

The new zj row values are obtained by multiplying the cB column by each column, element by element
and summing.
For example, z3 = .2(12) + 1.2(18) + .2(0) = 24.

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• Step 5: Calculate cj - zj Row for New Tableau

The new cj-zj row values are obtained by subtracting zj value in a column from the cj value in the
same column.
For example, c3-z3 = 10 - (24) = -14.

Since there are no positive numbers in the cj - zj row, this tableau is optimal.

The optimal solution is: x1 = 10; x2 = 10; x3 = 0; s1 = 0; s2 = 0 s3 = 10, and the optimal value of the
objective function is 300.

 Iteration 2 (continued) – Final Tableau

x1 x2 x3 s1 s2 s3
Basic cB 12 18 10 0 0 0
s1 0 5 0 1 1 -3 0 50 (*row)
s2 18 -1 1 1 0 1 0 0
s3 0 -1 0 2.5 0 1 1 0
zj -18 18 18 0 18 0 0
cj - zj 30 0 -8 0 -18 0

Special Cases
 Infeasibility
 Unboundedness
 Alternative Optimal Solution
 Degeneracy

 Infeasibility

 Example:

• LP Formulation

MAX 2x1 + 6x2

S.T. 4x1 + 3x2 < 12
2x1 + x2 > 8
x1, x2 > 0

• Final Tableau

x1 x2 s1 s2 a2

Basic cB 2 6 0 0 -M
s1 2 1 3/4 1/4 0 0 3
a2 -M 0 -1/2 -1/2 -1 1 2
zj 2 (1/2)M (1/2)M M -M -2M
+3/2 +1/2 +6
cj - zj 0 -(1/2)M -(1/2)M -M 0
+9/2 +1/2

In the previous slide we see that the tableau is the final tableau because all cj - zj < 0. However, an artificial
variable is still positive, so the problem is infeasible.

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Khaled Rageh Grade Four OR Ch 5 – class 1

 Unboundedness

• A linear program has an unbounded solution if all entries in an entering column are non-positive.

 Example:

• LP Formulation
MAX 2x1 + 6x2
S. T. 4x1 + 3x2 > 12
2x1 + x2 > 8
x1, x2 > 0

• Final Tableau

x1 x2 s1 s2

Basic cB 3 4 0 0
x2 4 3 1 0 -1 8
s1 0 2 0 1 -1 3
zj 12 4 0 -4 32
cj - zj -9 0 0 4

In the previous slide we see that c4 - z4 = 4 (is positive), but its column is all non-positive.
This indicates that the problem is unbounded.

 Alternative Optimal Solution

• A linear program has alternate optimal solutions if the final tableau has a cj - zj value equal to 0 for a non-
basic variable.

 Example:

• Final Tableau

x1 x2 x3 s1 s2 s3 s4

Basic cB 2 4 6 0 0 0 0

s3 0 0 0 2 4 -2 1 0 8

x2 4 0 1 2 2 -1 0 0 6
x1 2 1 0 -1 1 2 0 0 4
s4 0 0 0 1 3 2 0 1 12
zj 2 4 6 10 0 0 0 32

cj - zj 0 0 0 -10 0 0 0

In the previous slide we see that the optimal solution is:

x1 = 4, x2 = 6, x3 = 0, and z = 32

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Note that x3 is non-basic and its c3 - z3 = 0. This 0 indicates that if x3 were increased, the value of the objective
function would not change.

Another optimal solution can be found by choosing x3 as the entering variable and performing one iteration of the
simplex method.

The new tableau on the next slide shows an alternative optimal solution is:

x1 = 7, x2 = 0, x3 = 3, and z = 32

• New Tableau

x1 x2 x3 s1 s2 s3 s4

Basic cB 2 4 6 0 0 0 0

s3 0 0 -1 0 2 -1 1 0 2
x2 6 0 .5 1 1 -.5 0 0 3
x1 2 1 .5 0 2 1.5 0 0 7
s4 0 0 -.5 0 2 2.5 0 1 9
zj 2 4 6 10 0 0 0 32
cj - zj 0 0 0 -10 0 0 0

 Degeneracy

• A degenerate solution to a linear program is one in which at least one of the basic variables equals 0.

• This can occur at formulation or if there is a tie for the minimizing value in the ratio test to determine the

leaving variable.

• When degeneracy occurs, an optimal solution may have been attained even though some cj – zj > 0.

• Thus, the condition that cj – zj < 0 is sufficient for optimality, but not necessary.

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Khaled Rageh Grade Four OR Ch 5 – class 1

 Example : (A Simple Maximization Problem)

Max P = 8X1 + 6X2 (Objective Function)

S.T.
4X1 + 2X2 ≤ 60
Regular Constraints
2X1 + 4X2 ≤ 48

X1, X2 ≥ 0 (Non-negativity Constraint)

Required:
Solve this Linear Programing problem using the Simplex Method.
Sol:
Max P = 8 X1 + 6 X2 + 0 S1 + 0 S2
S.T.
4 X1 + 2 X2 + S1 = 60
2 X1 + 4 X2 + S2 = 48

X1, X2, S1, S2 ≥ 0

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Khaled Rageh Grade Four OR Ch 5 – class 1

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Khaled Rageh Grade Four OR Ch 5 – class 1

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