5.2 Lecture - 1g

Lecture 1g:
The Revised Simplex Method

Jeff Chak-Fu WONG
Department of Mathematics
Chinese University of Hong Kong
jwong@math.cuhk.edu.hk
MAT581SS
Mathematics for Logistics
Produced by Jeff Chak-Fu WONG
ABLE OF
TABLE OF C ONTENTS
1. Introduction
2. Revised Simplex Method For Standard Form I
3. Revised Simplex Method For Standard Form II
C ONTENTS
Let us consider the LPP in the standard form, i.e.
max
z
=
C
X
subject to
with
AX = b
and
(1)
X 0,
1. b 0;
2. rankA = m(< n),
where X Rn , C Rn , b Rm and A = [aij ] is an (m n) matrix.
ABLE OF
C ONTENTS
ABLE OF
Write
A=
and accordingly partition the vector X as
XB
.
X=
XR
Then the system
AX = b
can be written as
h
i XB
= b,
B R
XR
BXB + RXR = b,
XB = B 1 b B 1 RXR ,
(2)
where the inverse of B, B 1 , exists.

C ONTENTS
ABLE OF
And
z=
CB
CR
XB
XR
= CB XB + CR XR
(3)
Substituting (3) into (2), we have

z = CB XB + CR XR
= CB B
RXR + CR XR

1
1
= CB B b CB B R CR XR
C ONTENTS
bB
(4)
ABLE OF
For the sake of simplicity, we have

XB = B 1 b B 1 RXR
=B
=B
bB
n
X
am+1
am+2
an1
an
xm+1
x
m+2
i
..
xn1
xn
nm,1
B 1 aj xj
j=m+1
and
C ONTENTS
ABLE OF
z = CB B
CB B
am+1
am+2
an
cm+1
cm+2
cn
xm+1
xm+2
i
xn1
xn
= CB B
n
X
j=m+1
C ONTENTS
CB B
aj cj xj
ABLE OF
z = CB B 1 b
max
subject to
Pn
j=m+1

CB B 1 aj cj xj
XB = B 1 b B 1 RXR = B 1 b
and
XB , XR 0,
Pn
1
B
aj xj
j=m+1
(5)
1. The condition of optimality

The values of CB B
variable xj
aj cj lead to the choice of a basic
Therefore
j = CB B 1 aj cj
= CB yj cj
= zj cj ,
C ONTENTS
j {m + 1, m + 2, , n}
ABLE OF
Put
=
we have
m+1
m+2
iT
= CB B 1 R CR .
Concerning the maximization LPP, we have
= CB B 1 R CR 0
2. The choice of a basic variable
If

j = min CB B
i
aj cj ,
j {m + 1, m + 2, , n}
then the non-basic variable xj will become a basic variable.
C ONTENTS
ABLE OF
3. The choice of a non-basic variable

When obtaining the basic variable, we have
XB = B 1 b
n
X
B 1 aj xj = B 1 b B 1 aj xj .
j=m+1
Recall that B 1 b = XB Rm and B 1 aj = yj Rm

The so-called minimum ratio criteria is:
)

B b i 1
= min
B aj i > 0
1
i
(B aj )i

(XB )i
= min
(yk )i > 0
i
(yj )i

1
B b r
X Br
=
=
.
(B 1 aj )r
yrj
(
C ONTENTS
10
ABLE OF
Put the non-basic variable as

1
xBr =
B b r
xBr
=
.
1
(B aj )r
yrj
xB1
xB
2
..
XB =
xBr
..
xBm
C ONTENTS
11
A U SEFUL O BSERVATION
12
Theorems 7 and 11 (see Lecture Note 1e) could have also been
proved in an alternate way.
This is because the current basis matrix
h
B = b1 b2 br1 br br+1
and the next basis matrix
h
= b1 b2 br1
B
differs only by one column.
aj
br+1
bm1
bm1
bm
bm
Since in the current tableau the inverse of the current basis

matrix, namely B 1 , is known, we could possibly use this to get
1 .
B
13
If this updation of the inverse of the basis matrix could be done in

a simple and efficient manner
then we could possibly implement the simplex method in a
different manner where rather than having yj columns in the
tableau, we have B 1 in the tableau.
This will
not only reduce the size of the tableau to be handelled
but also allow LPPs of bigger size to be solved
because the data (C, b and A) could be stored separately.
Such an implementation of the simplex method is available in
the literature and is called the revised simplex method.
14
We shall discuss the revised simplex method in the following section

1 will be utilized.
where a relationship between B 1 and (B)
15
1
R ELATIONSHIP BETWEEN B 1 AND (B)
1
16
Let
B=
b1
b2
yj = B 1 aj ;
h
= b1 b2
B
1
br1
br1
br
aj
br+1
br+1
bm1
bm1
bm
bm
17
Let
F =
e1
e2
er1
yj
er+1
em1
em
be an m m matrix, where
1
0
0
y1j
0
1
0
y2j
0
0
0
y3j
.
.
.
.
.
.
.
e1 = . , e2 = . , , em = . , and yj = ..
0
0
0
yrj
.
.
.
.
..
..
..
..
0
0
1
ymj
1
m1
18
Then
BF
=
=
=
=
B
h
h
e1
e2
er1
yj
b1
b2
br1
Byj
b1
b2
br1
aj
er+1
br+1
br+1
B.
em1
bm1
bm1
em
bm
i
bm
Hence
1 = (BF )1 = F 1 B 1 = EB 1 .
(B)
(6)
But the matrix E (= F 1 ) can be computed very easily provided

yrj 6= 0.
1
19
y1j
0
..
.
1
..
.
..
.
y2j
..
.
..
.
0
..
.
0
..
.
1
..
.
..
.
0
..
.
..
.
0
..
.
0
..
.
0
..
.
..
.
yrj
..
.
..
.
0
..
.
0
..
.
0
..
.
..
.
1
..
.
..
.
0
..
.
ymj
y1j
yrj
y2j
yrj
0
..
.
1
..
.
..
.
0
..
.
..
.
0
..
.
0
..
.
1
..
.
..
.
0
..
.
0
..
.
..
.
1
..
.
..
.
0
..
.
0
..
.
0
..
.
..
.
1
yrj
ymj
rj
1
..
.
..
.
y
..
.
0
..
.
..
.
0
..
.
20
E.g.,
1 3 0
0 2 0
0 6 1
1 3 0
0 1 0
0 6 1
0
0
1
0
0
1
0
0
0
1
0
1 0
(1/2) R2
0 1
R1 3 R2
0 0
1/2 0
0 1
R3 6 R2
0 1 3/2 0
0 0
1/2 0
1 0 6/2 1
y1j
y1j /y2j
3
3/2
y2j = 2
1/y2j = 1/2
y3j
6
y3j /y2j
6/2
1
21
It can be verified that

h
E = e1 e2
where
er1
er+1
y1j
yrj
y2j
yrj
..
.
yr1j
yrj
1
yrj
yr+1j
yrj
..
.
ymj
yrj
em1
em
So E is almost an identity matrix except that the rth column is the

vector .
1
22
1 is known, we can compute all entries in the tableau

Once (B)
easily.
For example
B
X
1 b
(B)
EB 1 b = E(B 1 b) = EXB
h
e1 e2 er1 er+1 em1
y1j
1 0 yrj 0
x
B1
y2j
xB2
0 1 yrj 0
.
. . .
.
.
.
..
..
. . .. ..
.. ..
1
xB
0 0
0
r
yrj
. .
..
.. ..
. . ..
..
. .
.
. . .
.
y
xBm
0 0 ymj 1
1
em
XB ,
rj
23
which, as before gives

x
Bi
xB
i
=
xBr ,
yrj
xBr yij
yrj
(i 6= r)
(i = r).
B so far is only a basic solution because we have only

Of course X
enforced the condition yrj 6= 0.
1
24
B a b.f.s and that too an improved one, we have to

To make X
again put conditions on r and j as in Theorem 7 which will give the
usual rules for
a column to enter;
a column to leave.
1
25
Let us illustrate the working of the revised simplex method.
Example 1 Solve the following LPP by the revised simplex method

max
z = 2x1 + x2
subject to
1
3x1 + 4x2 6
6x1 + x2 3
x1 , x2 0.
(7)
26
Solution Introducing the slack variables x3 and x4 will give a (2 2)

identity matrix to start with. So we rewrite the problem as
max
z = 2x1 + x2 + 0x3 + 0x4
subject to
3x1
4x2
6x1
x2
1
x3
+
x4
x1 , x2 , x3 , x4 0
27
F IRST I TERATION
1. Consider
XB =
x3
B=
CB =
x4
2. Let
F IRST I TERATION
= CB B
0 1
i
0 .
1
= B 1
28
Calculate
F IRST I TERATION
z1 c1 = CB B 1 a1 c1
= a1 c1
=
3
6
c1
= 0 2 = 2 < 0
z2 c2 = CB B 1 a2 c2
= a2 c2
=
4
1
c2
= 0 1 = 1 < 0
29
Therefore, x1 becomes a basic variable since

min {zj cj } = z1 c1 .
i
3. Take
y1 = B
Consider
a1 =
= min
i
6 3
,
3 6
3
6
3
6
3
1
=
6
2
Therefore, x4 becomes a non-basic variable.
F IRST I TERATION
30
S ECOND I TERATION
1. Consider
XB =
x3
x1
Thus,
S ECOND I TERATION
I2
=
B
CB =
1 =
B
1
B
I2
1/2
1/6
.
31
y1 = B
where
S ECOND I TERATION
a1 =
I2
e1
y1
I2
1/2
1/6
1/y12
1 =
(B)
y11 /y12
I2
3/6
1/6
1
I2
1/2
1/6
e1
1/2
1/6
32
S ECOND I TERATION
y1
e2
1/2
1/6
x4
x4
33
2. Let
1
= CB B
1/2
1/6
1/3
Calculate
S ECOND I TERATION
1 a2 c2
z2 c2 = CB B
= a2 c2
4
1
2
1= <0
3
3
1/3
c2
34
1 a4 c4
z4 c4 = CB (B)
= a4 c4
=
1
1
0= >0
3
3
1/3
0
1
c4
Therefore, x2 becomes a basic variable since

min {zj cj } = z2 c2 .
i
3. Take
S ECOND I TERATION
1 a2 =
y2 = B
1 b =
XB = B
1/2
1/6
1/2
1/6
4
1
6
3
7/2
1/6
9/2
1/2
35
Consider
= min
i
9/2 1/2
,
7/2 1/6
9
7
Therefore, x3 becomes a non-basic variable.
S ECOND I TERATION
36
T HIRD I TERATION
1. Consider
XB =
HIRD I TERATION
x2
B=
x1
1
h
i
CB = 1 2 .
,
3
6
37
1 a2 =
y2 = (B)
7/2
1/6
I2
where
I2
2/7
1/21
y22 /y21
1 =
(B)
e2
y2
1/y21
HIRD I TERATION
I2
1/(7/2)
(1/6)/(7/2)
1/2
1/6
I2
2/7
1/21
e2
2/7
1/7
1/21
4/21
38
y2
1/2
7/2
1/6
1/6
1/2
7/2
1/6
1/6
2
7
R1
HIRD I TERATION
1
(B)
e1
2/7
1/7
1/6
1/6
2/7
1/7
1/21
4/21
R2
1
6
R1
39
x3
2. Let
1 =
= CB (B)
2/7
1/7
1/21
4/21
4/21
5/21
Calculate
1 a3 c3
z3 c3 = CB (B)
= a3 c3
HIRD I TERATION
4
4
0=
>0
21
21
4/21
5/21
1
0
c3
40

1 a4 c4
z4 c4 = CB (B)
= a4 c4
=
5
5
0=
>0
21
21
4/21
5/21
0
1
c4
3.
XB =
and
x2
x1
1 b =
= (B)
2/7
1/7
1/21
4/21
6
3
9/7
2/7
z = 2(2/7) + (9/7) = 13/7

Therefore, the optimal value z of the given LPP is 13/7 and the
optimal solution is (x1 = 9/7, x2 = 2/7).
HIRD I TERATION
41
T HE R EVISED S IMPLEX M ETHOD I N A TABLEAU F ORM
HE
R EVISED S IMPLEX M ETHOD I N A TABLEAU F ORM
42
NTRODUCTION
I NTRODUCTION
43
In the last section, while deriving the updation formula

1 = EB 1 ,
(B)
we noted that we can implement the simplex method
somewhat differently where we store the elements of current
B 1 (and not the yj columns) in the tableau.
Such an implementation of the simplex method is called the
revised simplex method in the tableau form.
Theoretically, the revised simplex method and the simplex
method are exactly same It is only the tableau which is different here and is of much smaller
size because B 1 is a matrix of order (m m) only.
NTRODUCTION
44
The main advantage of the revised simplex method is that here

we handle a tableau of much smaller size.
Also this is useful in solving large scale LPPs (where n is very
large) because
here the data (C, b, and A) is stored separately and
therefore does not change during the implementation.
In contrast, for the simplex method, the initial data is stored in
the tableau which itself changes during the implementation
because we store the updated yj columns in the tableau.
Here we may note that the simplex method requires all yj
columns to be evaluated first so that (zj cj ) can be computed.
NTRODUCTION
45
But in the revised simplex method, as current B 1 is known, we

first compute all (zj cj ) (and this will not require knowledge of
yj ) and
then compute only that yj which is needed, i.e. the one which
corresponds to the negative most value of (zj cj ).
Since the updation formula
1 = EB 1
(B)
is simple and efficient, the revised simplex method
implementation is certainly attractive.
NTRODUCTION
46
The revised simplex method has another advantage over the

simplex method.
In most of economic applications we need to know the shadow
prices (dual variables), which (as we shall see in the sequel) are
available in the revised simplex tableau itself and no additional
computational effort is needed to get them.
Also certain efficient decomposition, schemes for solving
structured (but large) LPPs do employ the revised simplex
method for their implementation.
NTRODUCTION
47
Here we discuss the implementation of the revised simplex

method for the case when artificial variables are not required
and m slack variables themselves give the (m m) identity basis
matrix to start with. This case we term as standard form I.
The case of standard form II, where some artificial variables are
required is illustrated by an example only.
NTRODUCTION
48
R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I
49
In this form, the m slack variables themselves give the (m m)

identity basis matrix to start with.
Hence the given LPP has the following form
max
z = c1 x1 + c2 x2 + + cn xn
subject to
a11 x1 + a12 x2 + + a1n xn b1
a21 x1 + a22 x2 + + a2n xn b2
(8)
..
.
am1 x1 + am2 x2 + + amn xn bm
and
x1 0, , xn 0,
where bi 0 (i = 1, , m).
50
Now, in contrast to the simplex method, in the revised simplex

method we make the objective function also as a part of the
constraints so that problem (8) can be written as
max
z
(9)
subject to
z (c1 x1 + c2 x2 + + cn xn ) 0xn+1 0xn+2 + + 0xn+m = 0

a11 x1 + a12 x2 + + a1n xn + xn+1 = b1
a21 x1 + a22 x2 + + a2n xn + 0xn+1 + xn+2 = b2
..
.
am1 x1 + am2 x2 + + amn xn + 0xn+1 + + xn+m = bm
x1 , , xn+m 0.
Here z represents the objective function and therefore can have
any sign. Our aim is to find a solution of (9) where z is as large as
possible.
51
Now the m constraints of (9) constitute a system of (m + 1) linear

equations in (n + m + 1) unknowns and this is expressed as
c1
c2
cn
a11
a12
a1n
0
..
.
a21
..
.
a22
..
.
..
.
a2n
..
.
0
..
.
1
..
.
..
.
0
..
.
am1
am2
amn
z
x1
x2
..
.
xn+m
0

b
1

b
= 2

..
.

bm
(10)
i.e.
CT
m+1,n+m+1
z
x
n+m+1,1
0
b
(11)
m+1,1
52
where
T
C =
and
CT
c1
a11
a
21
A=
..
.
am1
c2
a12
z
x
cn
a1n
0
b
iT
0
a22
..
.
..
.
a2n
..
.
0
..
.
1
..
.
..
.
0
..
.
am2
amn
53
Let us define
aj,R
and
cj
a
1j
= a2j
..
.
amj
cj
(j = 1, , n + m)
=
aj
b
1
bR = b2
..
.
bm
0
,
=
where the subscript/superscript R refers to the revised simplex

method.
54
BR =
c1
c2
cm
a11
a12
a1m
0
..
.
a21
..
.
a22
..
.
..
.
a2m
..
.
am1
am2
amm
Now in (10), z has to be a basic variable always because it

represents the objective function which we wish to maximize and
therefore the first column of the basic matrix BR for (10) is always an
identity column.
CT
m+1,n+m+1
z
x
n+m+1,1
0
b
m+1,1
55
BR =
c1
c2
cm
a11
a12
a1m
0
..
.
a21
..
.
a22
..
.
..
.
a2m
..
.
am1
am2
amm
Now in (10), z has to be a basic variable always because it

represents the objective function which we wish to maximize and
therefore the first column of the basic matrix BR for (10) is always an
identity column.
CT
m+1,n+m+1
z
x
n+m+1,1
0
b
m+1,1
56
BR =
1
0
c1
c2
a11
a12
cm
a1m
0
..
.
a21
..
.
a22
..
.
..
.
a2m
..
.
am1
am2
amm
= e1
a1,R
a2,R
am,R
m+1,m+1
The remaining m columns of BR (we note that BR is an

(m + 1) (m + 1) basis matrix for the system (10)) have to come from
columns aj,R depending upon which m columns of A currently
constitute the basis matrix B for the system AX = b.
"
m+1,n+m+1
"
z
x
=
n+m+1,1
"
0
b
m+1,1
57
Hence BR has the following form
1 cB1 cB2
BR =
..
.
cBm
i.e.
BR =
CTB
CT
(12)
m+1,n+m+1
z
x
n+m+1,1
0
b
m+1,1
58
Now using the partition method of finding inverse, we get
T
1
1 CB B
1
,
BR =
0
B 1
(13)
where
1
(m + 1) columns of BR
are denoted as e1 , 1 , 2 , , m ;
e1 being the identity column, i.e. e1 = .

.
..
Thus
1
BR
e1
59
Now in analogy with the simplex method we compute

yj,R
=
=
1
BR
aj,R
T
1
1 CB B
cj
0
B 1
aj
cj + CTB B 1 aj
(since yj = B 1 aj )
B 1 aj
cj + CTB yj
(since zj = CTB yj )
yj
(z cj )
j
.
yj
(14)
60
yj,R
(zj cj )
yj
By equation (14) we observe that
the first component of yj,R gives the value of (zj cj ) and

remaining m components give the usual yj column which is
computed in the simplex method.
The main point to be noted here is that the value of (zj cj ) is
computed in a way which does not need yj , where as in the
simplex method we first compute yj and then use them to
compute (zj cj ).
61
yj,R
(zj cj )
yj
By equation (14) we observe that
the first component of yj,R gives the value of (zj cj ) and

remaining m components give the usual yj column which is
computed in the simplex method.
The main point to be noted here is that the value of (zj cj ) is
computed in a way which does not need yj , where as in the
simplex method we first compute yj and then use them to
compute (zj cj ).
62
In practice to compute (zj cj ), equation (14) tells us that we have

1
to take the first row of the matrix BR
and then take its dot product
with the vector aj,R , i.e.
1
(zj cj ) = (First row of BR
) (column aj,R ).
(15)
Also
XR
B
i.e.
1 R
BR
b
1
0
CTB B 1
B
0
b
z(XB )
XB
(16)
the first component of the vector XR

B gives the current value of
the objective function, and
the remaining m components of XR
B give the current b.f.s XB .
63
In practice to compute (zj cj ), equation (14) tells us that we have

1
to take the first row of the matrix BR
and then take its dot product
with the vector aj,R , i.e.
1
) (column aj,R ).
(17)
Also
XR
B
i.e.
1 R
BR
b
1
0
CTB B 1
B
0
b
z(XB )
XB
(18)
the first component of the vector XR

B gives the current value of
the objective function, and
the remaining m components of XR
B give the current b.f.s XB .
64
As for the standard form - I, initially B = In inverse of the initial basis

matrix for the revised simplex method is
1 0 0 0
0 1 0 0
0 0 1 0
1
BR =
.
..
.. ..
..
. .
. .
0 0 0 1
Also the initial revised simplex tableau looks like
65
Variable in the basis
XR
B
e1
(z)
(xn+1 )
(xn+2 )
(xn+m )
xn+1
b1
xn+2
.
.
.
0
.
.
.
1
.
.
.
b2
.
.
.
xn+1
bm
..
The data aj,R (j = 1, , n) and bR is stored separately and

access to a particular column is made as and when it is
needed.
Now we compute (zj cj ) for non-basic column aj,R as per
equation (17), i.e.,
1
) (column aj,R ),
and find the negative most value of (zj cj ), say (zk ck ).
66
XR
B
e1
(z)
(xn+1 )
(xn+2 )
(xn+m )
xn+1
b1
xn+2
.
.
.
0
.
.
.
1
.
.
.
b2
.
.
.
xn+1
bm
So we next compute yk only by computing the full vector yk,R ,

no other yj,R is computed as no other yj is needed.
Once yk is known, we find a variable to leave the basis as per
the usual minimum ratio criteria.
1
Now we need to update the current basis inverse (BR
) to the
R )1 .
new basis inverse, namely (B
67
For this we use the relationship

1
R )1 = EBR
(B
as derived in the last section, where

h
E = e1 e2 er1
er+1
em
and
=
y1k
yrk
y2k
yrk
yr1k
yrk
1
yrk
yr+1k
yrk
ymk
yrk
iT
R )1 is known the new revised simplex tableau is known

Once (B
and then we continue till
all (zj cj ) 0 or
there is an indication of unbounded solution.
68
We now illustrate the working of the revised simplex method in a

tableau form.
Example 2 Solve the following LPP by the revised simplex method

max
z = 2x1 + x2
subject to
3x1 + 4x2 6
6x1 + x2 3
x1 , x2 0.
(19)
69
Solution
Problem (19) is clearly in the standard form - I because the slack
variables x3 and x4 will give a (2 2) identity matrix to start with.
So we rewrite the problem as
Max
subject to
z 2x1 x2 0x3 0x4 = 0
3x1 + 4x2 + x3 = 6
6x1 + x2 + x4 = 3
x1 , x2 , x3 , x4 0.
(20)
70
Now as explained, the initial revised simplex tableau for problem

(20) is
XR
B
y1,R
-2
e1
(z)
(x3 )
(x4 )
x3
x4
71
F IRST ITERATION
Step 1
Given the initial simplex tableau,

we first compute (zj cj ) for non-basic columns and if all of
these are nonnegative then the current solution XR
B is optimal,
otherwise we find the negative most (zj cj ) to identify (zk ck ).
F IRST ITERATION
72
0
1
BR
3
6
1
0
i
h
4
= e1 a1,R a2,R .
1

T
1
CB B
1 012
=
.
B 1
0 B 1
For our example
F IRST ITERATION
(z1 c1 )
1
(first row of BR
) a1,R
2
h
i
1 0 0 3
= 2
73
0
1
BR
3
6
(z2 c2 )
1
0
i
h
4
= e1 a1,R a2,R .
1

T
1
CB B
1 012
=
.
1
1
B
0 B
1
(first row of BR
) a2,R
1
h
i
1 0 0 4
= 1,
1
giving the negative most value as 2 for k = 1. Thus the variable x1

becomes a basic variable.
F IRST ITERATION
74
2
3
6
h
4
= e1
1
a1,R
a2,R
Step 2
Once negative most value (zk ck ) is identified, we compute the
vector yk,R only, by using the relation
1
yk,R = BR
ak,R .
For our example k = 1 and so we compute y1,R only to get
1
y1,R = BR
a1,R
=
0
0
0
1
0
3
=
6
3
,
6
which we augment with the current tableau as shown.
F IRST ITERATION
75
F IRST ITERATION
XR
B
y1,R
-2
e1
(z)
(x3 )
(x4 )
x3
x4
76
Step 3
Next we find a variable to leave the basis by employing the
usual minimum ratio criteria.
In this context we note that z will never be considered to leave
the basis as it represents the objective function which we wish
to maximize.
In our example we evaluate
min
6 3
,
3 6
3
6
|{z}
x4
which corresponds to the variable x4 and therefore the variable x4

leaves the basis.
F IRST ITERATION
77
F IRST ITERATION
XR
B
y1,R
-2
e1
(z)
(x3 )
(x4 )
x3
x4
78
F IRST ITERATION
XR
B
y1,R
-2
e1
(z)
(x3 )
(x4 )
x3
x4
79
Step 4
1
Now we update the current inverse BR
to get the new inverse
R )1 which is given by EB 1 .
(B
R
In our example, as
x1 is becoming a basic variable and
x4 is becoming non-basic,
we have
E=
Thus
F IRST ITERATION
e1
e2
i
1
E=
0
0
1/3
, where = 1/2
.
1/6
0
1
0
1/3
1/2
.
1/6
80
and
F IRST ITERATION
0
0
1
0
1/3
1/2
1/6
y11 /y13
(2/6)
1/3
= y12 /y13 = 3/6 = 1/2
1/y13
1/6
1/6
81
and
1
1
(BR ) = EBR =
0
0
1/3
1/2
0
1/6
0
1
0
0
1
0
0
= 0
1
0
1/3
1/2
.
1/6
1
0
Also
R
1 R
XB = (BR ) b =
0
0
0
1
0
1/3
1/2 6 = 9/2
.
1/6
3
1/2
1
and
We shall follow the convention that current basis inverse in BR
R )1 irrespective of what is the number of
the next basis inverse in (B
current iteration.
F IRST ITERATION
82
R
We shall always write XR
B (XB ) no matter at what iteration we are
F IRST ITERATION
XR
B
y2,R
1/3
-2/3
-1/2
9/2
7/2
1/6
1/2
1/6
e1
(z)
(x3 )
(x1 )
x3
x1
83
Also we shall always write XR

B no matter at what iteration we are
F IRST ITERATION
XR
B
y2,R
1/3
-2/3
-1/2
9/2
7/2
1/6
1/2
1/6
e1
(z)
(x3 )
(x1 )
x3
x1
84
S ECOND ITERATION
Step 1 We have
(z4 c4 ) =
(z2 c2 ) =
0
i
1/3 0
= 1/3,
1
i
1/3
therefore x2 becomes a basic variable.
S ECOND ITERATION
4
= 2/3 < 0,
1
85
Step 2 We find
y2,R
= BR a2,R =
0
0
Step 3 As
min
0
1
0
1/3
1/2
1/6
9/2 1/2
,
7/2 1/6
= min
4
=
1
9
,3
7
2/3
7/2
.
1/6
occurs for the variable x3 it becomes a non-basic variable.
S ECOND ITERATION
86
S ECOND ITERATION
XR
B
y2,R
1/3
-2/3
-1/2
9/2
7/2
1/6
1/2
1/6
e1
(z)
(x3 )
(x1 )
x3
x1
87
S ECOND ITERATION
XR
B
y2,R
1/3
-2/3
-1/2
9/2
7/2
1/6
1/2
1/6
e1
(z)
(x3 )
(x1 )
x3
x1
88
Step 4 Now
E=
where
y21 /y22
1/y22
y23 /y22
e1
==
1
1
(BR ) = EBR =
0
0
=
0
0
S ECOND ITERATION
e3
(2/3)
7/2
1
7/2
(1/6)
7/2
4/21
2/7
1/21
4/21
2/7
1/21
0
0
1
0
5/21
1/7
4/21
4/21
2/7
1/21
0
1
0
1/3
1/2
1/6
89
R
1 R
XB = (BR ) b =
0
0
4/21
2/7
1/21
5/21
13/7
1/7 6
=
3
4/21
9/7
.
2/7
Therefore the next revised simplex tableau is
S ECOND ITERATION
XR
B
e1
(z)
(x2 )
(x1 )
4/21
5/21
13/7
x2
2/7
-1/7
9/7
x1
-1/21
4/21
2/7
90
T HIRD ITERATION
Step 1 We have
(z3 c3 ) =
4/21
and
(z4 c4 ) =
4/21
0
i
5/21 1
= 4/21
0
0
i
5/21 0
= 5/21.
1
As both of these are non-negative, the current solution is optimal.

Therefore, the optimal value z of the given LPP is 13/7 and the
optimal solution is (x1 = 9/7, x2 = 2/7).
HIRD ITERATION
91
T HE R EVISED S IMPLEX M ETHOD F OR T HE S TANDARD F ORM -II
HE
R EVISED S IMPLEX M ETHOD F OR T HE S TANDARD F ORM -II
92
We next consider the standard form-II, where the artificial

variables are required.
There could be many versions for the implementation of the
revised simplex method for this case but the easiest and most
natural seems to be to use the Big M method and solve the
same by the revised simplex method.
HE
93
Example 3 Consider the following LPP

max
z = 4x1 + 3x2
subject to
x1 + x2 8
2x1 + x2 10
x1 , x2 0.
(21)
Solution
Let problem (21) be solved by the Big M method but rather than
employing the simplex method we wish to employ the revised
HE
94
simplex method. We have

max
z = 4x1 + 3x2 + 0x3 + 0x4 M A1
subject to
x1 + x2 + x3 = 8
2x1 + x2 x4 + A1 = 10
x1 , x2 , x3 , x4 , A1 0
(22)
which in the revised simplex format is expressed as

max
subject to
z 4x1 3x2 0x3 0x4 + M A1 = 0
x1 + x2 + x3 = 8
2x1 + x2 x4 + A1 = 10
z is unrestricted, x1 , x2 , x3 , x4 , A1 0.
HE
(23)
95
Here
CTB
CTB B 1
M
h
i
M
Therefore the initial revised simplex tableau for problem (23) is

XR
B
y1,R
10M
4 2M
10
e1
(z)
(x3 )
(A1 )
x3
A1
HE
96
because
XR
B
HE
1 R
BR
b
=
0
0
0
1
0
0 8
=
1
10
10M
8
10
97
F IRST ITERATION
Step 1 We have
(z1 c1 ) =
(z2 c2 ) =
(z4 c4 ) =
i 4
M
1 = 4 2M
2
i 3
M
1 = 3 M
1
i 0
M
0 = M.
1
So the negative most value of (zj cj ), i.e. (zk ck ) = 4 2M , i.e. k = 1

and x1 becomes a basic variable.
F IRST ITERATION
98
Step 2 Next we compute y1,R , i.e.
y1,R
=
0
0
0
1
0
1
=
2
4 2M
1
2
and append the same to the initial tableau as shown here.
F IRST ITERATION
99
Step 3
The minimum ratio criteria gives, namely

8 10
10
min
,
=
=5
1 2
2
is attained for the variable A1 so A1 leaves the basis as it becomes a
non-basic variable.
F IRST ITERATION
100
Step 4
Now
E=
where
F IRST ITERATION
e1
e2
y11 /y13
= y12 /y13
=
1/y13
R )1 = EB 1
(B
R
=
0
0
=
0
0
0
1
0
0
1
0
2+M
(42M )
2
1/2
1/2
1/2
0
1/2
0
1/2
1/2
0
1
0
101
R
X
B
R )1 b1 = 0
= (B
0
1
0
0
20
1/2 8 = 3
.
1/2
10
5
F IRST ITERATION
XR
B
y4,R
20
-2
-1/2
1/2
1/2
-1/2
e1
(z)
(x3 )
(x1 )
x3
x1
102
S ECOND ITERATION
Step 1
We have
(z2 c2 ) =
(z4 c4 ) =
h
h
i
2
i
2
1
=0
2
0
= 2.
1
Therefore x4 becomes a basic variable.
S ECOND ITERATION
103
Step 2
We evaluate y4,R
=
0
0
0
1
0
0
2
1/2 0 = 1/2
1/2
1
1/2
Step 3
The minimum ratio occurs for the variable x3 so x3 becomes a
nonbasic variable.
S ECOND ITERATION
2
(x1 )
XR
B
y4,R
(z)
1
(x3 )
20
-2
x3
x1
-1/2
1/2
1/2
-1/2
e1
104
Step 4
Now
E=
where
R )1
(B
=
0
0
S ECOND ITERATION
4
2
1
y41 /y42
1/y42
y43 /y42
0
0
0
1
0
e1

=

0
1
0
e3
(2)
1/2
2
(1/2)
2
= 2 ,

1/2
= 0
1/2
0
4
2
1
105
XB =
0
0
4
2
1
32
1 8 = 6
0
10
8
S ECOND ITERATION
XR
B
e1
(z)
(x4 )
(x1 )
32
x4
-1
x1
106
T HIRD ITERATION
Step 1
We have
(z2 c2 ) =
(z3 c3 ) =
(z4 c4 ) =
HIRD ITERATION
4
i
0 1
=0
0
3
i
0 1
=1
1
M
i
1 0
= M 1.
1
107
As all (zj cj ) 0, the current solution namely, (x1 = 8, x2 = 0) is

optimal and the optimal value z = 32.
HIRD ITERATION
108

5.2 Lecture - 1g

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5.2 Lecture - 1g

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Lecture 1g:

The Revised Simplex Method

Let us consider the LPP in the standard form, i.e.

and accordingly partition the vector X as

where the inverse of B, B 1 , exists.

Substituting (3) into (2), we have

For the sake of simplicity, we have

1. The condition of optimality

aj cj lead to the choice of a basic

then the non-basic variable xj will become a basic variable.

3. The choice of a non-basic variable

Recall that B 1 b = XB Rm and B 1 aj = yj Rm

Put the non-basic variable as

differs only by one column.

Since in the current tableau the inverse of the current basis

If this updation of the inverse of the basis matrix could be done in

We shall discuss the revised simplex method in the following section

But the matrix E (= F 1 ) can be computed very easily provided

It can be verified that

So E is almost an identity matrix except that the rth column is the

1 is known, we can compute all entries in the tableau

which, as before gives

B so far is only a basic solution because we have only

B a b.f.s and that too an improved one, we have to

Let us illustrate the working of the revised simplex method.

Example 1 Solve the following LPP by the revised simplex method

Solution Introducing the slack variables x3 and x4 will give a (2 2)

z = 2x1 + x2 + 0x3 + 0x4

Therefore, x1 becomes a basic variable since

Therefore, x4 becomes a non-basic variable.

Therefore, x2 becomes a basic variable since

Therefore, x3 becomes a non-basic variable.

z = 2(2/7) + (9/7) = 13/7

T HE R EVISED S IMPLEX M ETHOD I N A TABLEAU F ORM

R EVISED S IMPLEX M ETHOD I N A TABLEAU F ORM

In the last section, while deriving the updation formula

The main advantage of the revised simplex method is that here

But in the revised simplex method, as current B 1 is known, we

The revised simplex method has another advantage over the

Here we discuss the implementation of the revised simplex

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

In this form, the m slack variables themselves give the (m m)

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

Now, in contrast to the simplex method, in the revised simplex

z (c1 x1 + c2 x2 + + cn xn ) 0xn+1 0xn+2 + + 0xn+m = 0

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

Now the m constraints of (9) constitute a system of (m + 1) linear

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

where the subscript/superscript R refers to the revised simplex

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

Now in (10), z has to be a basic variable always because it

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

Now in (10), z has to be a basic variable always because it

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

The remaining m columns of BR (we note that BR is an

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

Hence BR has the following form

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I

Now using the partition method of finding inverse, we get

e1 being the identity column, i.e. e1 = .

R EVISED S IMPLEX M ETHOD F OR S TANDARD F ORM I