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operation research textbook

- Block 2 MS 51 Unit 3
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- Assignment 2: Linear Programming
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- Metode Simplex
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1. LINEAR PROGRAMMING

2. INTEGER PROGRAMMING

3. GAMES

Books:

3 Intro to OR F.Hillier & J. Lieberman;

33 OR H. Taha;

333 Intro to Mathematical Prog F.Hillier & J. Lieberman;

3@ Intro to OR J.Eckert & M. Kupferschmid

LP (2003) 2

LP is an optimal decision making tool in which the objective is a linear function and the constraints on the

decision problem are linear equalities and inequalities. It is a very popular decision support tool: in a survey of

Fortune 500 firms, 85% of the responding firms said that they had used LP.

Example 1:

Manufacturer Produces:

X and Y

2lb of X; 1lb of Y

1lb of X ; 3lb of Y

11lb/week

18lb/week

1000

1000

Manufacturer wishes to maximize weekly value of sales of A & C. Market research indicates no more

than 4 tons of acid can be sold each week. How much A & C to produce to solve this problem.

The answer is a pair of numbers:

x" weekly production of A, x# weekly p.of C

There are many pairs of numbers x" , x# : 0,0, 1,1, 3,5.... Not all pairs x" , x# are possible

weekly productions ex. x" 27, x# 2 are not possible 27, 2 is not a feasible set of production figures.

The constraints on x" , x# are such that x" , x# represent a possible set of production figures:

The amount each product

is produced is non-negative:

x" 0 x # 0

required to produce x" tons of A

& x# tons of C is 2x" x# .

As X is limited to 11lb/week:

2x" x# 11

combined with the supply restriction:

x" 3x# 18

x" 4

constraints are a possible set of production figures: see FIGURE 1

THE FEASIBLE REGION is the intersection of the shaded regions & is given by see FIGURE 2 . The

feasible region OPQRS represents all pairs x" , x# that satisfy the constraints. The corners (vertices)

O,P,Q,R,S have a special significance [ O=(0,0), P=(0,6), Q=(3,5), R=(4,3), S=(4,0)].

LP (2003) 3

Associated with each feasible x" , x# ) is a sales value of 1000 x" x# . Since we wish to maximize this

amount, our problem is:

Maximize :

x" x#

oq objective function

Subject to

2x"

x#

11

oq constraint

x"

3x#

18

oq constraint

x"

x" , x# 0

oq constraint

oq constraint

This is called a LINEAR PROGRAM (LP): A problem of optimizing (maximizing or minimizing) a linear

function subject to linear constraints. Linear: no powers, exponentials or product terms.

PROPERTY *: Observe that the set O, P, Q, R, S contains an optimal solution to our L.P. evaluate

the objective function x" x# at these points: 0,6,8,7,4 Q 3,5, x" 3, x# 5 is the optimal

solution. see FIGURE 3

Note: The feasible region i.e. area described by the polygon OPQRS lies entirely within that half of

the plane for which x" x# 8. Since 5 3 8 no feasible point has a higher objective value than that of

Q.

Property * holds if we replace x" x# by any linear function c" x" c# x# . e.g. to minimize 3x"

x# over points in the polyhedron OPQRS we take the smallest point of 0, 6, 4, 9, 12 and find that P : x" 0,

x# 6 is an optimal solution.

The SIMPLEX ALGORITHM, to be described later, is an efficient method for finding an optimal

vertex without necessarily examining all of them.

Property * does not imply that points other than vertices cannot be optimal. e.g. if we want to

maximize 2x" x# then any point on the segment QR is optimal.

2. STANDARD LP FORM

Any LP can be transformed into STANDARD FORM

minimise

x0 = c1

subject to

x1 + c2

a11 x1 + a12

x2 + ... + cn

xn

x2 + ... + a1n

x n = b1

and

x1 0 x2 0 ...

x n = b2

x n = bm

xn

We assume that bi 0 (each equation may be multiplied by -1 to achieve this).

Compact Notation

minimise

x0 = cT x

subject to A x = b

and

x 0.

a11

a

A = 21

am1

a12

a22

am2

...

...

...

a1n

a2n

amn

b1

b

b= 2

bm

x1

x

x= 2

xn

c1

c

c= 2

cn

LP (2003) 4

cT = cc1 , ..., cn d

min

subject to

x 0 = c1

x2 + ... + cn

xn

x2 + ... + a1n

xn

b1

xn

xn

b2

bm

x1 0 x2 0 ...

xn

x1 + c2

x2 + ... + cn

xn

x2 + ... + a1n

x n + y1

a11 x1 + a12

and

min

subject to

x1 + c2

x 0 = c1

a11 x1 + a12

and

x1 0 x2 0 ...

xn

xn

xn

m (m + n) matrix:

cAId

+ y2

+ ym

b1

b2

bm

0, y1 0, y2 0, ..., ym 0.

cAId

x

... = b

y

If the inequalities of Example 2 were reversed so that the typical inequality becomes

ai1 x1 + ai2

x2 + ... + ain

xn

bi

ai1 x1 + ai2

x2 + ... + ain

xn - yi = bi ; yi 0.

surplus variable

By suitably multiplying by (-1) and adjoining slack and surplus variables, any set of linear inequalities can be

converted to standard form if the unknown variables are restricted to be nonnegative.

max

4 x 1 - 3 x 2 + 2 x3

subject to 3 x1 + 2 x2 - x3 = 4

x1 + x2 + 2 x3 5

-x1 + 2 x2 - x3 2

x1 , x2 , x3 0

min

-4 x1 + 3 x2 - 2 x3

subject to 3 x1 + 2 x2 - x3

=4

x1 + x2 + 2 x3 + x4

=5

-x1 + 2 x2 - x3

- x5 = 2

x1 , x2 , x3 , x4 , x5 0

Suppose x1 0 is not present: x1 may take (+) or (-) values. Substitute x1 with x1 = v1 - u1 ; v1 , u1

0. The problem has now (n+1) variables: v1 , u1 , x2 , ..., xn .

Example 5: Free variables (II)

LP (2003) 5

min

subject to

x 1 + 3 x 2 + 4 x3

x 1 + 2 x 2 + x3 = 5

2x1 + 3 x2 + x3 = 6

x2 , x3 0

As x1 is free, solve for it using the first constraint: x1 = 5 - 2 x2 - x3 . Substitute this in the objective

function and the constraint,

min x2 + 3 x3 x2 + x3 = 4, x2 , x3 0

3. EXAMPLES OF LP PROBLEMS

Example 6: The diet problem

To determine the most economical diet that satisfies the basic nutritional requirements for good health.

n different foods: i th sells at price ci /unit

m basic nutritional ingredients:healthy diet daily intake for individual at least bj units of jth ingredient

each unit of food i contains aji units of j th ingredient

xi : number of units of food i in the diet.

minimise total cost

x0 = c1

subject to

x1 + c2

x2 + ... + cn

xn

quantities

x1 0 x2 0 ...

xn

xn

b1

bm

xn

Quantities a1 , a2 , ..., am of a product are to be shipped from each of m locations and are demanded in

amounts b1 , b2 , ..., bn at each of n destinations.

cij : unit cost of transporting product from origin i to destination j

xij : the amounts to be shipped from i to j (i=1, ..., m; j=1, ..., n)

Determine xij to satisfy shipping requirements and minimise total cost of transportation.

minimise

! cij xij

i,j

n

j=1

m

i=1

(For consistency we must also have ! ai = ! bj ).

m

i=1

j=1

4. BASIC SOLUTIONS

To compute a basic solution, consider the system of equalities

A x = b;

x n ;

b m ;

A mn

LP (2003) 6

Select from the n columns of A a set of m linearly independent columns (exists if rank (A) = m). For

simplicity, assume that we select the first m columns of A and denote the m m matrix determined by these

columns by B mm . B is nonsingular and we may uniquely solve

B xB = b; xB m

x = x0B i.e. the first m components

set

Definition: Given A x = b, let B be any nonsingular m m matrix made up of the columns of A. If all

n-m components of x, not associated with the columns of B, are set to zero, the solution to the resulting set of

equations is said to be a basic solution (BS) to A x = b, w.r.t. the basis B. The components of x associated with

columns of B are basic variables (BV).

B is a basis since it consists of m l.i. columns that can be regarded as a basis for m . There may not

exist a basic solution to A x = b. To ensure existence we have to assume:

Full rank assumption: The m n matrix A has m n and the m rows of A are linearly independent.

Linear dependency among the rows of A either contradictory constraints (there is no solution to A

x = b : e.g. x1 + x2 = 1, x1 + x2 = 2) or to a redundancy that can be eliminated (e.g. x1 + x2 = 1, 2 x1 + 2 x2 = 2).

Under the full rank assumption, A x = b will always have at least one basic solution.

Basic variables in a basic solution are not necessarily nonzero:

Definition: If one or more BV in a BS has zero value, then the solution is a degenerate BS.

There is an ambiguity in degenerate BS since the zero-valued basic and nonbasic variables can be

interchanged.

Definition: x satisfying A x = b and x 0 is said to be feasible. A feasible solution that is also basic is

a basic feasible solution (BFS). If this solution is degenerate, it is called a degenerate BFS.

Example 8:

After adding slack variables to the problem of Example 1, we obtain the following equations which

`happen' to form an initial basic representation:

x!

x"

2 x"

x"

x"

x#

x#

3x#

x$

x%

x&

(x0 = cT x)

0

11

18

4

(1)

in basic representation the variables (i.e. the elements of vector x) are divided into basic variables and non-basic

variables. In the system of equations given by (1) above

the basic variables are x! , x$ , x% , x& and the non basic var's are x" , x# .

as a linear expression in the non-basic variables

The basic solution of this representation is obtained by setting xj 0 for each non-basic variable and then

solving the equations for the remaining BV's:

Set x" x# 0 x! 0, x$ 11, x4 18, x& 4

BS: x! , x" , x# , x$ , x% , x& 0, 0, 0, 11, 18, 4 = BFS

Looking for a better solution than this, we search for a non-basic variable xj such that increasing xj (from 0)

improves x! .

x! x1 x#

LP (2003) 7

can increase either x" or x# increasing both is too complicated). Consider the solutions obtained by

increasing x" to - and leaving x# 0. In order to satisfy (1) and stay feasible we must ensure that

x!

x$

11 2 - 0 - 11/2

x%

18

- 0 - 18

x&

- 0 - 4

(2)

We want the best (largest) - satisfying (2). As - takes values between 0-4, the solution defined by (2) has x"

- x# 0 which corresponds to a point 0S in Figure 2 . The solution given by - 4

x! , x" , x# , x$ , x% , x& 4, 4, 0, 3, 14, 0

(point S in fig. 2

This is also a BFS to (1). BV: x! , x" , x$ , x% and NBV: x# , x& . Note: in a basic solution, the non-basic

variables are zero. We need the basic representation, i.e. need to transform (1) so that x! , x" , x$ , x% are expressed

in terms of x# , x& . We do this by pivoting (to be discussed later) to get

x!

x#

x#

3 x#

x$

x%

x"

A solution to (3) is a solution to (1) and conversely.

x&

2x&

x&

x&

4

3

14

4

(3)

From x! 4 x# x& we see that to increase x! , we should increase x# (& keep x& 0.

Set x# -, x& 0. To satisfy (3) and stay feasible the other variables must satisfy

x!

x$

x%

x"

4

3

14

4

3-

0

0

0

3

14/3

The best value for - 3. As - [0, 3], the solution has x" 4, x# - which corresponds to a point on

SR in Figure 2 . The solution given by - 3 is:

x! , x" , x# , x$ , x% , x& 7, 4, 3, 0, 5, 0

(point R in fig. 2

This is also a BFS to (1). the BV: x! , x" , x# , x% ; NBV: x$ , x& . The basic representation:

x!

x$

x$

3x$

x#

x"

x%

x&

2 x&

5 x&

x&

7

3

5

4

(4)

A solution to (4) is a solution to (1) and conversely. From x! 7 x$ x& , to increase x! we should

increase x& . Set x& - x$ 0 to satisfy (4) and stay feasible, the other variables must satisfy

x!

x#

2-

0 -

x%

5-

0 -

x"

0 -

LP (2003) 8

- 1

As - takes values from 0 to 1, the solution defined by (12) has x" 4 -, x# 3 2- corresponding to a

point on RQ in fig. 2. The solution given by - 1:

x! , x" , x# , x$ , x% , x& 8, 3, 5, 0, 0, 1

(point Q in fig. 2

x!

x#

x"

#

&

x$

"

&

x$

$

&

$

&

"

&

x%

#

&

x%

x$

"

&

x%

x$

"

&

x%

x&

(5)

1

3

A solution of (5) is a solution of (1), and conversely. Thus, any solution to (1) satisfies

x! 8

#

&

x$

"

&

x%

Any feasible solution has x$ , x% 0 and hence by (5) x! 8. 8, 3, 5, 0, 0, 1 has x! 8 and so this

solution is maximal.

SUMMARY

1. Among the FS to min { x0 = cT x | A x = b, x 0 } there is an important finite subset: BFS.

2. Each BFS is associated with a basic representation: A set of equations equivalent to

min { x0 = cT x | A x = b, x 0 }

that expresses each BV in terms of the NBV's.

3. By looking at a basic representation we can see if increasing any NBV will improve the objective. If there

is one, we can increase it until a new, better, BFS is reached (usual case). If there does not exist such a NBV,

we have the optimal solution.

BASIC FEASIBLE SOLUTIONS

Let Sn 1 ,...., n , I Sn have m elements. Set of basic variables: xi i I x! . Let aj

denote the column of A corresponding to xj , j Sn . Associated with I is an m m matrix B BI where the

columns of B are made up from ai i I.

Example 9:

If

Then

2

3

1

4

3

2

3

4

1

3

2

2

1

0

0

0

1

0

I 1, 5, 2

I 6, 3, 4

2

3

1

1

0

0

0

1

0

3

2

2

3

4

1

4

3

2

The remaining columns aj for j I form matrix N and so (after shuffling the columns of A) we may

assume

A B N

LP (2003) 9

cB (ci i I ;

Example 10:

cN cj j I ;

xB xi i I ;

xN xj j I

n 6; I 5, 3, 2

cB c& , c$ , c# ;

cN c" , c% , c'

Given this partition,

T

min x! = cTB xB + cN

xN B xB N xN b; xB , xN 0

(6,a)

T

x! cTB xB cN

xN 0

(6,b)

B xB N x N b

(6,c)

xB B" N xN B" b

7,a

T

x! = cTB B" b cN

cBT B" N xN

(7,b)

Note that 7 expresses the BV's (x! , xB ) in terms of the NBV's xN . The vector

T

cBT B" N

rT = cN

(8)

is the relative (or reduced) cost vector (for NBV's). It is the components of r that determine which vector can be

brought into the basis.

Example 11:

6

3

4

2

c ;

-3

4

0

0

2

A

3

2

I 4, 3 B

2

7,a)

&

#

x" 7x#

1

4

3

2

x! 5x" 9x#

3

3

2

0

3

; det B 2 0

2

x%

$

# x&

x" 5x# x$

7,b

2

2

0

0 ;

1

1

0

B1

2x' x(

$

# x)

2x' x( x)

6x&

4

b ;

2

2x( x)

$

#

1

1

It is necessary only to consider BFS's when seeking an optimal solution to an LP because the optimal

value is always achieved at such a solution.

LP (2003) 10

achieves the minimum value of the objective function subject to those constraints is said to be an optimal feasible

solution. If this solution is basic then it is an optimal BFS.

Theorem 1: Fundamental theorem of LP

Given an LP in standard form where A is an m n matrix of rank m:

(i)

if there is a feasible solution, then there is a BFS (see Figure 4 ).

(ii)

if there is an optimal solution, then there is an optimal BFS (see Figure 5 ).

Theorem 1 reduces the task of solving an LP to that of searching over BFS's. Since for a

problem having n variables and m constraints, there are at most

mn =

n!

m! (n - m)!

basic solutions (corresponding to the number of ways of selecting m on n columns), there are only a finite

number of possibilities. Thus Theorem 1 yields an obvious but terribly inefficient way of computing the optimum

through a finite search technique.

Example 12: m for small problem

n

m 30 , n 100. as 100

30

100!

30! 70!

2.9 x 10#& .

This would take approximately two years assuming we could check 10' sets of I / second.

The set of basic variables: {xi | i I } {xo } where I Sn and has m elements.

The set of non-basic variables: xj I and j 0.

The BS corresponding to I is given by:

i xj = 0 for j I and j 0 xN 0 (in (7,a))

(ii) xB B1 b B1 N xN = B1 b

This is a feasible solution iff B1 b 0 in which case it is a BFS.

Example 13: A, b, c given as in Example 11, I 4, 3. BS: x! , x" , ... , x) 6,0,0,2,

1,0,0,0,0 is not feasible.

Exercise: Find some BFS for this example.

Note The number of distinct BFS's to 1 is mn the number of sets I Sn with I m .

This number is finite. This number is usually mn because for a given I, i BI may be singular, ii

the basic solution may not be nonnegative. Also it is possible that two (or more) distinct I1 , I# can lead to the

same BFS:

Example 14:

x" x# 2x$ 1

2x" x# x$ 2 I1 1, 2 , I# 1, 3

Example 15: To demonstrate that we cannot simply state an LP has an optimal BFS"

Infeasible FR g:

Unbounded:

max x! x"

x" x# 2; x" , x# 0

x" x# 1; x" , x# 0

We can make x" arbitrarily large. i.e. there is no maximum value to x! and so no optimal solution.

Note: The problem min x! above has a solution x" 0 , x# 1 and so unbounded refers to the

objective value and not to the `size' of FR which is unbounded

5.THE SIMPLEX ALGORITHM

LP (2003) 11

Convention: Indexing the rows of a BV: A row is indexed by the basic variable in that row.

The simplex algorithm is based on the fact that if a BFS x is not optimal, then there is some

neighbouring basic solution y with a better objective value. If we examine the sequence of BFS's found when

solving Example 8 we see that the sequence of index sets I (and x0 ) of basic variables was

0, 3, 4, 5

0, 3, 4, 1

0, 2, 4, 1

I"

I#

I$

0, 2, 5, 1

I%

Notice that for t 1, 2, 3 ..., It1 is obtained from It by removing one element and replacing it by a new

element i.e. It1 \ It It \ It1 1.

If I, Iw are such that BI, BIw are non-singular, then I, I are said to be neighbours if I \ I I\

I 1.

Pivots

At each stage of the simplex algorithm we have a basic representation and its BFS. We then use the

reduced costs to see if there is some neighbouring representation that has a better solution. Should such a

neighbour exist, we construct this representation by pivoting.

Consider the system A x = b (A mn , m n)

a11 x1 + a12 x2 + ... + a1n

x n = b1

x n = bm

(9)

If the equations (9) are linearly independent, we may replace a given equation by a nonzero multiple of itself plus

any linear combination of the other equations. This leads to the well known Gaussian reduction schemes,

whereby multiples of equations are systematically subtracted from one another to yield a canonical form. If the

first m columns of A are linearly independent, the system (9) can, by a sequence of such multiplications and

subtractions, be converted to the following canonical form:

x1

x2

y10

y20

ym0

(10)

Example 16:

x1

+ 3 x2 +

x3 = 1

eq. 1 - 3 eq. 2

x2 + 3 x3 = 3

x1

8 x3 =- 8

x2 + 3 x3 = 3

According to this canonical representation:

Basic variables: x1 = y10 , x2 = y20 , ..., xm = ym0

Non-Basic variables: xm+1 = 0, xm+2 = 0, ..., xn = 0.

We relax our definition and consider a system to be in canonical form if, among n variables, there are m

basic ones with the property that each appears in only one equation, its coefficient in that equation is unity, and

no two of these m variables occur in any one equation. This is equivalent to saying that a system is in canonical

LP (2003) 12

form if by some reordering of the equations and variables, it takes the form (10). (10) is also represented by its

corresponding coefficients or tableau:

1

0

0

1

...

...

...

0

0

y1,m+1

y2,m+1

ym,m+1

y1,m+2

y2,m+2

ym,m+2

...

...

...

y1,n

y2,n

ym,n

y10

y20

ym0

The question solved by pivoting is this: given a system in canonical form, suppose a non-basic variable

is to be made basic and a basic variable is to be made nonbasic. What is the new canonical form corresponding to

the new set of basic variables? The procedure is quite simple. Suppose in (10) we wish to replace the basic

variable xp , 1 p m, by the nonbasic variable xq . This can be done iff ypq 0 in (10). It is accomplished

by dividing the row p by ypq to get unit coefficient for xq in the p th equation, then subtracting suitable

multiples of row p from each of the other rows in order to get zero coefficient for xq in all other equations. This

transforms the q th column of the tableau so that it is zero except its p th entry, which is 1 and does not affect the

columns of the other basic variables. Denoting the coefficients of the new canonical form by yij :

yij = yij

ypj

ypq

yiq ,

i p

and

ypj =

ypj

ypq

j = 0, ..., n

(11)

(11) are the pivot equations in LP. ypq is the pivot element.

Example 17:

x1

x2

+

x4 +

x5 x6

+ 2 x4 3 x5 + x6

x4 + 2 x5 x6

x3

Find the basic solution with basic variables x4 , x5 , x6 .

= 5

= 3

= 1

x1

x2

x3

x4

x5

x6

______________________________________________________________

1

0

0

1

1

-1

5

0

1

0

2

-3

1

3

0

0

1

-1

2

-1

-1

______________________________________________________________

1

0

0

1

1

-1

5

-2

1

0

0

-5

3

-7(replacing x2 by x5 as BV)

1

0

1

0

3

-2

4

______________________________________________________________

3/5

1/5

0

1

0

-2/5

18/5

2/5

-1/5

0

0

1

-3/5

7/5

-1/5

3/5

1

0

0

-1/5

-1/5

______________________________________________________________

1

-1

-2

1

0

0

4 (New basic solution:

1

-2

-3

0

1

0

2 x4 =4, x5 =2, x6 =1)

1

-3

-5

0

0

1

1

LP (2003) 13

Example 18:

Using the Example 11, I 4,3

x! 5x" 9x#

&

# x"

x"

6x&

7x#

x%

$

# x&

5x# x$

2x( x) 0

$

# x)

2x'

x(

2x'

x( x) 2

x!

5x" 9x#

&

% x"

$

# x"

(

# x#

2x# x$

6x&

"

# x%

x%

2x( x)

$

% x&

x'

$

# x&

"

# x(

$

% x)

"

# x)

"

#

The simplex algorithm starts with a BFS and a basic representation and proceeds by a sequence of

pivots to find a BFS which is also optimal. For most problems, finding an initial BFS is not easy and this is

discussed later. However, for those problems in which the constraints are

! aij xj bi ;

n

i 1 ,..., m ;

xj 0 ;

j1

j 1 ,..., n

and where bi 0 , i 1, ... , m it is straightforward. On adding slack variables, xn+1 , ..., xnm , we find that

x! ! cj xj 0 ;

n

j1

xni ! aij xj bi ;

n

i 1 ,..., m

j=1

is itself a basic representation with I n 1, ..., n m and xj 0 j=1, ..., n (non basic), xn i bi , i=1,

..., m (Basic) is feasible as long as bi 0.

We can now develop the simplex algorithm. Assume that we have some basic representation 7, a - (7,

b). Notice that, because of equivalence the original problem ( i.e. minimise x0 = cT x, subject to A x = b ; x

0 ) and (7, a) - (7, b) have the same set of solutions.

The goal of the simplex algorithm is to produce a basic representation whose basic solution is optimal.

This is done by satisfying the conditions 90 Theorem #

Theorem # 9:>37+6>C

If r = cN NT BT cB 0 (see (7, b)), then the associated basic feasible solution minimizes x! .

Proof

For the given basic solution assumed feasible

T

cBT B-1 N )xN = cBT B1 b

x0 = cTB B1 b + (cN

x0 = cTB B-1 b + rT xN

r xN = rm+1 xm+1 + rm+2 xm+2 + ... + rn xn 0

T

LP (2003) 14

Suppose now that our basic representation does not satisfy the conditions of Theorem 2. In the simplex

algorithm we try to choose a pivot so that new basic representation is (a) feasible and (b) x0 x0

(unfortunately, because of degeneracy, we can only guarantee x0 x0 - more on this later.

The motivation for the pivot choice is given in two ways. We assume that one of the elements

of r is negative. At this stage we need to introduce an alternative representation using

x0 + " T x = "0 (= cBT B1 b)

or

x0 + !"i xi = "0

n

i=1

basic variables are x1 , x2 , ..., xm , then "1 = "2 = ... = "m = 0 and corresponding to the non-basic variables

xm+1 , ..., xn we have "m+1 = rm+1 , "m+2 = rm+2 , ..., "n = rn .

Thus, assume that for some k Sn I we have "k 0. We can first look at the current BFS

and examine how increasing xk will lead to a better solution.

Example 19:

x!

x"

x#

x$

3 x% x& x' 6

now "4 0. We consider increasing x% while keeping x& x' 0. The values of the basic variables will

become

x!

x"

x#

x$

26 6x%

7 2x%

5 3x%

6 3x%

Must ensure x" , x# , x$ 0

The larger x% , the smaller x! will become. We must, however, ensure that x" , x# , x$ remain non-negative. We

can see that x# actually increases and remains non-negative. However, if x% 7/2, x"

will become negative. Thus, the best feasible solution is

x% min

(

#

'

$

or

Of key importance is the fact that this latter solution is also a basic solution. It is that associated with the new basic representation obtained by a pivot on the circled 3.

Returning to the general case with "k 0, if we put xk - 0 and xj = 0, j I k, then the

value of basic variable xi must satisfy

xi yi0 yik - for i I {0}

in order that 7, a, b still hold.

Now we have assumed that "k 0 and so x! decreases monotonically as - increases. We thus

increase xk as much as possible while ensuring that all variables except x! remain nonnegative in value. The

LP (2003) 15

variables which are non-basic (currently) other than xk remain at zero. So we have only to consider variables

which are currently basic.

Rules

(12)

a - 0 here, i 0

yi0 yik - yi0 0,

xi 0 no matter how large - becomes.

(Example: x2 = 5 + 3 x4 0 , a x4 = - 0.)

If yik 0 then yi0 yik - 0 - yi0 /yik

to ensure that all variables remain non-negative we need only to ensure

- yi0 /yik a i I such that yik 0.

Theorem 3

If for some basic feasible representation "k 0 and yik 0 for i I then the problem is unbounded

below i.e. there is no minimum value for x! .

Proof

From 12 we see that we can make - above arbitrarily large and still have a feasible solution. The

objective value for this solution is x! "! "k - _.

If b i I such that yik 0 then the best solution is obtained by making - as large as possible i.e.

- min yi0 /yik yik 0, i I (the ratio test).

If ) denotes this value of -, then the solution obtained is

i xk ) ; ii xi yi0 yik ), a i I {0}; iii xj 0, a j I k

(13)

Suppose that ) yj0 /yjk . Then we see from the pivot formulae 11 that the solution given in (13 is the basic

solution obtained after pivoting on j,k.

The pivot choice j,k above has the following characteristics:

"k 0

(14, a)

(14, b)

This choice of pivot can also be justified from the pivot formulae. Assume now that our current BFS is nondegenerate (i.e. yi0 0, i I). We seek a pivot that produces a new BFS which is

FEASIBLE and " ! "!

Theorem 4

Assuming non-degeneracy, 15 holds iff 14 hold.

Proof

For feasibility we must have

i yj0 yj0 /yjk 0

yj0 0 from BFS; thus (i) is true iff yjk 0

ii yi0 yi0 yik yj0 /yjk 0

and ii holds trivially if yik 0 as then

(15)

LP (2003) 16

yi0 yi0 0.

For yik 0, ii holds iff

yi0 yik yj0 /yjk 0

To obtain

(this is an application of the pivot equation to the equation x0 + " T x "0 ; specifically, we are evaluating the

new value of "0 ) we must have

"k yj0 /yjk 0.

Since yj0 , yjk 0, this is possible if and only if 14, a holds.

We have so far only considered minimization problems. A maximization problem can be dealt

with by noting that

max x! min x!

or by looking for positive reduced costs rather than negative reduced costs in the simplex method.

In general there will be more than one non-basic variable with "k 0. One reasonable policy used to

choose k is

"k

max

j

"j .

i.e. choose the variable which produces the greatest decrease in x! per unit increase in the variable.

The Simplex Algorithm (for minimization problems)

Step 0: Find an initial basic feasible solution and construct its basic representation.

Step 1: If "k 0 for k I stop, the current basis is optimal. Else

Step 2: If b k such that "k 0 and yik 0 for i I, stop. There is no finite minimum. Else

Step3: Choose xk such that "k 0 entry criterion xk enters basis

Step 4: Let yj0 /yjk

i I

The procedures Step 1 - 5 define what is called a Simplex iteration.

Iterations can be effectively carried out using a Simplex tableau Extended

LP (2003) 17

Basic

Non-Basic

Basic

Variables

x1

...

xi

...

xj

...

xn

R.H.S.

x!

"j

"n

"!

xi

yij

yin

yi0

Example 20:

Minimise x! 4x" 2x# x$

Subject to

x" x# + x$ 4

x" x# 2x# 3

3x" 2x# x$ 12

x" , x# , x$ 0

x" x# x$ x%

x" x# 2x$

3x" 2x# x$

4

x&

3

x'

12

We thus have an initial (all slack) basic feasible solution with basic variables x% , x& , x' .

LP (2003) 18

Basic Variables

x1

x2

x3

x4

x5

x6

RHS

___________________________________________________________________

x!

x%

x&

4

"

x'

3

2

1

1

12

___________________________________________________________________

x!

x%

$*

x"

x'

4

1

12

"

"

3

1

___________________________________________________________________

x!

%

$

x$

#

$*

x"

"

"

$

"

$

x'

(

$

&

$

"

$

"$

#

$

"

$

(

3

%$

$

"

$

""

$

#

$

#

$

___________________________________________________________________

x!

x#

x"

x'

$

#

"

#

"

#

"

#

"

#

1

1

&

#

15

"

#

"

#

"

#

(

#

"

#

"

#

Theorem 5

If all basic solutions are non-degenerate then the simplex algorithm described above must terminate

after a finite number of steps with an optimal solution or with proof that no finite optimum exists.

Proof

Since no basis is degenerate, yj0 0 at each step and hence " ! "! at each step (remember

Theorem 4) i.e. the sequence of objective values obtained by the algorithm is a strictly monotonically decreasing

(" 0 " 0 "0 ). Therefore, no basic solution can be repeated.

Since there are a finite number of basic solutions the process cannot continue indefinitely and so must

terminate at step 1 or step 2 after a finite number of iterations.

Theorem 6

In the absence of degeneracy a necessary condition for a basis to be minimal is that "j 0.

LP (2003) 19

Proof

(Same as Theorem 2). If "k 0 for some k, then either there is no finite minimum or by pivoting on

yjk defined in step 4, we can strictly reduce the value of the objective function.

6. DEGENERACY

We have discussed the simplex algorithm under assumptions of non-degeneracy. We can say that a

basic solution is degenerate if it has more than n-m zero valued components.

Lemma

A basic solution x to the LP problem is associated with more than one index set iff it is degenerate

(under a 'mild' assumption).

Proof

Suppose first that x can be obtained from I" and I# where I1 I# . Then xj 0 for j Sn I"

Sn I# Sn I" I# . As I" I# , I" I# m and so x is degenerate. Note, for example, this

means yi0 0 for i I" I# using the representation defined by I" .

Suppose now that x is a degenerate basic solution. Let I be an index set which produces x and suppose

for some j I, yj0 0 .

`Mild' assumption: for each j Sn there is a solution to LP with xj 0.

Under this assumption, b k I such that yjk 0 otherwise the equation xj 0 is part of the representation.

If we pivot on j,k the new basic solution is identical to the current one - substitute yj0 0 into 11 with j

0. Thus x can be produced from index set I and I k j.

We have seen that if pivot j,k satisfies yj0 0 then the new basic solution obtained is identical to the

old one. In particular, " ! "! and the proof of the Theorem finite termination breaks down.

Let us call a pivot j,k degenerate if yj0 0 and non-degenerate otherwise. An instance of simplex

algorithm can now be decomposed into:

sequence of non-degenerate

pivot

degenerate

pivots

sequence of non-degenerate

pivot

degenerate

pivots

.....

Note that some or all of these sequences of degenerate pivots may be empty.

Geometrically speaking, the current BFS remains unchanged throughout a sequence of degenerate

pivots and then a non-degenerate pivot 'moves us' to a neighbouring BFS.

We know that the number of non-degenerate pivots is mn . However, suppose that I" , I# , ... Ik ,...

denotes a sequence of basic index sets produced during some sequence of degenerate pivots. Suppose that Ik

Ik j for j 3 j cannot be 1 or 2 then, assuming a given index set determines a unique pivot we will have

Ik Ikj Ik 2j ....

Ik1 Ikj1 Ik2j1 ...

Ik2 Ikj2 Ik2j2 ...

and so the algorithm will cycle and never terminate.

LP (2003) 20

Example 21:

min

x!

$

%

x% 20 x&

subject to

x"

"

%

x% 8 x& x' 9 x(

"

#

x% 12 x&

x#

"

#

x' 6x(

"

# x'

3 x(

0

0

x'

1

x$

We have the following sequence of tableaus choosing "k max "j and choose first j that minimizes

the ratio yi0 /yik for yik 0.

BV

x"

x#

x$

x%

x&

x'

x(

RHS

___________________________________________________________________

x!

$

%

"*

%

"

#

20

"

#

x"

1

0

0

8 1

9

0

x#

0

1

0

12 "#

3

0

x$

0

0

1

0

0

1

0

1

___________________________________________________________________

(

x!

3

0

0

0

4

33

0

#

x%

4

0

0

1 32 4

36

0

$

x#

2

1

0

0

4*

15

0

#

x$

0

0

1

0

0

1

0

1

___________________________________________________________________

x!

0

0

0

2 18

0

1 1

x%

12

8

0

1

0

8* 84

0

"

"

$

"&

x&

0

0

1

0

#

%

)

%

x$

0

0

1

0

0

1

0

1

__________________________________________________________________

x!

x'

2 3

$

1

#

0

0

"

%

"

)

$

'%

"

)

0

0

0

3

1 #"

#

0

0

*

"

$

x&

")

0

1

0

0

"'

"'

$

#"

x$

1

1

0

0

1

#

#

___________________________________________________________________

"

x!

1 1

0

16

0

0

0

#

*

x'

2 6

0 &#

56

1

0

0

"

#

"

"'

x(

$

0 %

0

1

0

$

$

&

x$

2

6

1

56

0

0

1

#

___________________________________________________________________

x!

x"

0

2

1 3

0

0

*

(

%

&

%

"

'

44

20

"

#

"

#

"

'

0

0

$

%

"

%

"*

#

"

20

#

8 1

6

9

0

0

12 "#

0

0

1

3

0

0

1

0

0

"

x(

0

0

4

1

0

$

x$

0

0

1

0

0

1

0

1

___________________________________________________________________

x!

x"

0

1

0

0

0

0

x#

x$

0

0

1

0

0

1

LP (2003) 21

We can avoid the possibility of cycling by tightening pivot choice rule. There are several possibilities.

We give one of the simplest, prove its validity and then discuss whether in practice any such rule is necessary!

Bland's Rule

i Pivot column choice: k min j 0 "j 0

ii Pivot row choice: Let 3 min yi0 /yik | yik 0 , j min i yi0 /yik 3 and yik 0

Theorem 7 Degeneracy

With Bland's rule the simplex algorithm cannot cycle and hence is finite.

Degeneracy in Practice

Until recently, cycling only occurred in contrived examples (as the one given above). It has therefore

been the practice to ignore it in commercial codes.

More recent experience with larger and larger problems indicates that cycling is now considered a rare

possibility. Rigorous methods such as Bland's rule are not satisfactory in practice as they increase in practice the

number of (or work per) iterations in the vast majority of problems which would not cycle anyway.

It has also been suggested that it is perfectly satisfactory to replace yi0 0 by yi0 % 0 %

10# or 10$ ) and then continue.

7. SHADOW PRICES SP

Shadow prices are important accounting prices in decision making and in sensitivity analysis.

Suppose that we have solved problem

min x0 cT x A x = b , x 0

and found an optimal basis matrix B

xB B" b 0 The basis is feasible

r = cN NT BT cB 0 , All reduced costs are non-negative)

(16, a)

(16, b)

The shadow prices C for this problem are defined by C BT cB or CT = cBT B" If there is more than one

optimal basis there may be more than one set of SP.

These 'prices' give information about the objective value if we alter the RHS of the constraints.

Let p m denote a general RHS and define the perturbation function v p: m by

v p min cT x A x p ; x 0

(17)

_ using _ for unbounded problems and _ for infeasible problems.

Theorem 8

If B" p 0 then v p v b CT p b

Proof

If B" p 0 then B is an optimal basis for (17 as 16, b is not affected by changing b to p.

Thus,

vp cTB B" p

v b CT p b

This is a local result i.e. p must not differ =?,=>+8>3+66C from b =9 B" p 0 3= 7+38>+38/. . We

also have the following global result.

Theorem 9

LP (2003) 22

v p v b CT p b;

a p m

Proof

vp x 0; A x p cT x CT A x p

min

min cT x CT A x p

x0

min cT CT A x CT p

x0

CT p

As

T

c cT CT Adx c ccBT cN

d cBT B1 c B N d d

xB

xN

x

x

T

ccTB cN

d B cBT c I B1 N d B

xN

xN

T

cTB xB cBT xB + ccN

cBT B1 Nd xN

rT xN (r 0, xN 0)

0

CT p CT b CT (p b) = cBT B1 b CT (p b) v b CT p b.

Suppose b" , ... , bm represent demands for certain products and c" , ... , cn are the costs of certain

activities which produce these products. Suppose there is an increase in demand of 0 for product t i.e. bt : bt

0 and suppose that a small firm offers to produce the extra demand at price .t . Should one accept or decide to

produce more oneself?

Note: p b 0 et , where et 1 t

0

Accept the offer total production cost = v b .t 0

= v b Ct 0

v b Ct 0,

if B" b 0 et 0

in general

Thus, if .t Ct one should definitely accept the offer. If .t Ct and if B" b 0 et 0 one should

definitely reject the offer. In this case Ct is the maximum price one should pay.

LP (2003) 23

Maximization Problems

For maximization problems, Theorem 8 is unchanged and the inequality is reversed in the statement of

Theorem 9.

Evaluation of Shadow Prices

In certain circumstances the shadow prices for a particular row can be read off from the final tableau.

Suppose that row t was initially a constraint and a slack variable xs was added. The objective row coefficient

"s for this variable in the final tableau is given by

"s

cs CT as 0 CT et

Ct

Therefore Ct can be read off. If xs is the slack variable for a constraint then we get "s Ct .

Example 22:

Consider Example 20 reading off the final top row coefficients we get

3

1

0

Note that in this case C 0 which makes sense. If the R.H. sides increase to 4 0" , 3 0# , 12 0$ then the

minimum obtainable objective function value will decrease to 15 C" 0" C# 0# C$ 0$ 15 3

0" 0# for `small' positive 0" , 0# , 0$ .

8. INITIAL BASIC FEASIBLE SOLUTION : The two-phase SIMPLEX

If no BFS is known for the problem one can create one by adding artificial variables. Previously, in

Section 4, we constructed a feasible all slack basis. Alternatively, one may know a BFS because a similar

problem has been solved previously. We consider below, the situation when neither is possible.

Suppose the constraints are

x"

2x"

x"

xi

2x# 3x$ 6

x# x$ 4

2x# x$ 3

0, i = 1, ..., 3.

After adding slack variables x%, x& we add artificials 0" , 0# to give

x" 2x# 3x$ x% 0"

2x" x# x$

6

4

0#

x" 2x# x$

x&

xi 0, i = 1, ..., 5 ; 01 , 02 0.

In general, we first add slack variables to obtain equations and then ensure that RHS's bi are nonnegative by multiplying through by 1 where necessary.

The aim next is to construct an enlarged system of equalities which is itself a basic representation.

Some rows will contain slack variables. Other rows will contain an artificial and some other rows will contain

both artificial and slack variables. This produces a basic representation whose BFS consists of artificials and

slacks (in rows which do not have an artificial).

In general one needs an artificial variable for each equality constraint and one for each inequality bi

where bi 0. The basic solution constructed will be feasible as we have ensured non-negative RHS's

After adding slacks and artificials, we have the augmented system:

x! cT x 0,

Ax Im 0 b

(18)

LP (2003) 24

feasible infeasible

0T .....0.. 0p ... T

Clearly, a solution x* , 0* to (18) gives a solution to min x0 = cT x A x = b, x 0 iff 0* 0.

We note that by construction a BFS to (18) is known. The problem of finding a BFS to min { x0 = cT x |

A x = b, x 0 } has now been replaced by that of finding a BFS to 18 with 0 0. To

do this we solve the linear programming problem

min ' 0" 0# ... 0a

S.T. x! cT x 0,

Ax Im 0 b,

(19)

x, 0 0

If a feasible solution to min { x0 = cT x | A x = b, x 0 } exists then the minimum value of ' is zero with 0"

... 0a 0. We can apply the simplex method directly to 19 since by construction we have an

initial BFS to the problem. If having solved (19) we find 0 0 then current values of x! , x" , ... xn will

constitute a BFS to min x0 = cT x A x = b, x 0 .

Infeasiblity ' can be expressed in terms of the initial non-basic variables in the following way.

Suppose that the row containing artificial 0i is

0i

adding the infeasible rows we obtain

n

D aij xj bi

j=1

' ! D xj aij ! bi

i P

i P

(20)

where P is the set of indices of infeasible rows i.e. those with an artificial variable. (20) expresses ' in terms of

the non-basic xj . The coefficients of xj being given by the sum of the coefficients of xj in the infeasible rows.

(Note that the basic xi (the slack variables for the equations that do not need an artificial) do not exist in the rows

in which an artificial occurs. This is why (20) expresses ' in terms of the non-basic xj .)

Example 23:

max x! 3x" x# x$

S.T.

x" x# x$ 10

2x" x#

x" 2x# x$

6;

xi 0, i = 1, ..., 3.

x! 3x" x# x$

x" x# x$

2x" x#

0

10

0"

x%

x" 2x# x$

0#

x& 6

xi 0, i = 1, ..., 5 ; 01 , 02 0.

Note that artificial columns are ignored after the corresponding variables is made non-basic.

0"

0#

Basic Variables

x"

x#

x$

x%

x&

RHS

___________________________________________________________________

LP (2003) 25

'

3

1 1

12

3 1

x!

1

0

0"

1

1

1

1

10

0#

2 1

1

1

2

x&

1 2

1

1

6

___________________________________________________________________

"

'

1 "#

1

9

#

"

"

x!

2#

1 1#

3

"

0"

1 "#

1

1

9

#

"

"

x"

1 #

#

1

"

x&

1 "#

1

1

5

#

___________________________________________________________________

'

0

)

#

x!

18

$

$

#

"

x#

1

6

$

$

"

"

x"

1

4

$

$

x&

2

1

1

14

___________________________________________________________________

#

)#

x!

4

$

$

%"

x#

1

"$

$

"

#'

x"

1

1

$

$

x%

2

1

1

14

Description of the Two-Phase Method

Phase 1

Step 1:

Step 1:

Step 2:

Step 3:

Step 4:

Modify the constraints so that the RHS of each constraint is non-negative. This requires that each

constraint with negative RHS be multiplied through by ( 1).

Identify each constraint that is now (after Step 1) an equality or constraint. In Step 3 we shall

add an artificial variable to such constraints.

Convert each inequality constraint to standard form. If i is a constraint, add a slack variable. If

constraint i is a constraint, subtract an excess variable.

If (after Step 1) constraint i is a or an equality constraint, add an artificial variable 0i to

constraint i.

Find the minimum value of ' using the simplex algorithm. Each excess and artificial variable is

restricted to be 0.

Phase 1 ends when ' has been minimized. This phase will result in the following three cases

which are dealt with in Phase 2.

Phase 2

Case 1:

Case 2:

The optimal value ' * 0 and no artificial variables are in the optimal Phase 1 basis. (The final

phase 1 basis contains no basic artificial variables at zero value.) Drop all columns in the

optimal Phase 1 tableau that correspond to the artificial variables. We now combine the original

objective function with the constraints from Phase 1 tableau. The final basis of Phase 1 is the initial

basis of the Phase 2 LP. The optimal solution to the Phase 2 LP is the optimal solution to the

original LP problem.

Case 3

The optimal value ' * 0 and at least one artificial variable (at zero value) is in the optimal Phase

1 basis. (When this occurs, it indicates that the original LP had at least one redundant constraint.)

Again, continue by optimizing x! but have to ensure that no artificial variables becomes non-zero

again. We note first that we will not make an artificial variable non-zero by allowing it to enter the

LP (2003) 26

basis once it becomes non-basic. The problem occurs when xk is to enter the basis and yjk 0

where yjk is the coefficient in column k for some row j with an artificial 0 in it. But as yj! 0

(the coefficient of the RHS of row j), necessarily we can pivot on yjk (an unusual pivot). The basic

solution does not change but the artificial is pivoted out of the basis. One thus applies the normal

simplex criteria for choice of pivot except that the above case yjk 0 causes a non-standard"

pivot selection.

We can see now how we have sidestepped the earlier assumption that the rows the A matrix were

linearly independent - we have ensured this by adding artificial variables.

If the rows of the original A matrix are in fact linearly dependent then even when a feasible solution is

found there will be artificial basic variables at zero value, of course.

We briefly discuss why ' * 0 the original LP has no feasible solution and ' * 0 the

original LP has at least one feasible solution.

Suppose the original LP is infeasible. Then, the only way to obtain a feasible solution to the Phase 1 LP

is to let at least one artificial variable to be positive ' * 0 Case 1.

If the original LP has a feasible solution, this feasible solution (with all 0i 0) is feasible in the Phase 1

LP and leads to ' * 0 if the original LP has a feasible solution, the optimal Phase 1 solution will have ' * =

0.

Example 24: (Case 2)

min x0 =

2 x 1 + 3 x2

"

#

x1 +

"

4

x2 4

x1 + 3 x2

20

x1 +

10

x2

x1 , x2 0

Steps 1 3 transform the constraints into

"

#

x1 +

x1 +

x1 +

"

4

x2 +

3 x2

x2

s1

e2

03

4

20

10

03

4

20

10

02

min ' = 02 03

subject to:

"

#

x1 +

x1 +

x1 +

"

4

x2 +

3 x2

x2

s1

e2

02

Initial BFS for Phase 1: s1 4, 02 20, 03 10. 02 and 03 must be eliminated from the objective

function ' before solving Phase 1:

Row 0

+ Row 2

+ Row 3

= New Row 0

'

'

x1 + 3

x1 +

+ 2 x1 4

x2

x2

x2

e2

e2

02 0 3

02

03

0

20

10

30

Combining new row 0 with the Phase 1 constraints yields the initial Phase 1 tableau. Since Phase 1 is always a

minimisation problem (even if the original LP is a maximisation problem) we enter x2 into the basis. The ratio

test indicates that x2 will enter the basis in row 2. Then 02 will exit from the basis.

LP (2003) 27

In the second tableau, since 2/3 1/3, x1 enters the basis. The ratio test indicates that 03 should leave

the basis. Since 02 and 03 will be nonbasic in the next tableau, we know that the third tableau is optimal Phase 1.

BV

x1

x2

s1

e2

02

03

RHS

___________________________________________________________________

ratio

'

2

4

-1

30

s1

1/2

1/4

1

4

02

1

3

-1

1

20

03

1

1

1

10

___________________________________________________________________

16

20/3

10

'

2/3

1/3

-4/3

10/3

s1

5/12

1

1/12

-1/12

7/3

x2

1/3

1

-1/3

1/3

20/3

03

2/3

1/3

-1/3

1

10/3

___________________________________________________________________

28/5

20

5

'

s1

x2

x1

-1

1/8

1/2

-1/2

-1/8

-1/2

1/2

1

1

-1

5/8

-1/2

3/2

0

1/4

5

5

' * = 0 Phase 1 concluded. BFS: s1 1/4, x2 5, x1 = 5. No artificial variables in the basis: this is an

example for case 2. We now drop the columns of the artificial variables 02 , 03 (we no longer need them) and

reintroduce the original objective function:

min x0 = 2x1 + 3x2

or x0 2x1 3x2 0.

Since x1 and x2 are in the optimal Phase 1 basis, they must be eliminated from Phase 2, row zero (i.e.

the objective function x0 ). This is normally done implicitly, or automatically, as Phase 1 progresses, as in

Example 23. The purpose of this explicit illustration is to highlight the underlying mechanics of the process.

Phase 2 Row 0:

+ 3 (Row 2):

+ 2 (Row 3):

New Phase 2 Row 0:

x0 2 x1

x0

2x1

3 x2

3 x2

3

#

"

#

e2

e2

e2

0

15

10

25

min

s1

x2

x1

x0

"

#

"

8

"

#

"

#

e2

e2

e2

e2

25

"

4

5

5

This is optimal. In this problem, Phase 2 requires no further pivots. If Phase 2 row 0 does not indicate an optimal

tableau, simply continue with the simplex algorithm until an optimal row 0 (i.e. objective function) is obtained.

LP (2003) 28

min x0 =

2 x1

"

# x1

x1

x1

After Steps 1 - 4,

min ' = 02

subject to:

"

"

# x1 +

4

x1 + 3

x1 +

+ 3 x2

+ "4 x2 4

+ 3 x2 36

+ x2 10

x1 , x2 0

03

x2 +

x2

x2

s1

e2

02

03

4

36

10

Initial BFS for Phase 1: s1 4, 02 36, 03 10. Again, 02 and 03 must be eliminated from the

objective function ' before solving Phase 1:

Row 0

+ Row 2

+ Row 3

= New Row 0

'

'

x1 + 3

x1 +

+ 2 x1 4

x2

x2

x2

e2

e2

02 0 3

02

03

0

36

10

46

Since 4 2, x2 enters the basis and replaces 03 . In the second tableau, no variable in Row 0 has a positive

coefficient: optimal Phase 1 tableau with ' * 6 0 no feasible solution to this problem.

BV

x1

x2

s1

e2

RHS

02

03

___________________________________________________________________

'

2

4

-1

46

s1

1/2

1/4

1

4

02

1

3

-1

1

36

03

1

1

1

10

___________________________________________________________________

'

s1

03

x2

-2

1/4

-2

1

-1

1

-1

-4

-1/4

-3

1

ratio

16

12

10

6

3/2

6

10

9. EXTENSIONS OF LP

Some optimization problems can be converted to an LP, a sequence of LP's or be solved by modifying

the simplex algorithm.

EXTENSION 1: Min-Max with LP

Let c" , ... , cp n and let 9 x

The min-max problem

max

ct T x

t 1,...,p

min 9 x A x b; x 0

(21)

min x! x! ct T x 0, t 1,..., p; A x b; x 0

(22)

Theorem 10

If x*! , x* solve 22 then x* solves 21 and x*! 9 x* .

LP (2003) 29

Proof

If x is a feasible solution 21) then 9 x, x is a feasible solution to 22 (since x satisfies Ax b,

x 0 and 9 x ct T x 0, t 1,..., p.)

Thus, x*! 9 x which, in particular, implies that x*! 9 x* . But as x!* ct T x for t 1, ... ,

p in (22), we have x*! 9 x* and hence x!* 9 x* .

It then follows that x*! 9 x* and 9 x x*! 9 x* for any feasible solution 21.

Let c" , ... . cp be as in 1 and let

< x

min

ct T x .

t 1, ..., p

min < x A x b; x 0

(23)

min ct T x A x b ; x 0

(24,t)

t=1, ..., p. Let xt , t 1, ... , p , denote an optimum solution to 24,t and let zt ct T xt .

Theorem 11

*

If zt

min

zt then xt is an optimal solution to 23 and zt < xt .

t 1,..., p

*

Proof

If x is a feasible solution to 23 then for some q

< x

cq T x

zq

*

zt

Now for t t* we have

ct T x t

zt

*

zt

*

ct T xt

*

minimise ! | (c(i) )T x b |

p

i=1

A typical function (c(i) )T x b may be split into negative and positive parts by writing

The relationship

leads to the formulation

(c(i) )T x b xi+ x

i ;

x+i , x

0.

i

| (c(i) )T x b | xi+ x

i

LP (2003) 30

min

x, x+ , x

(i) T

+

+

0

! ( x+i x

i ) (c ) x b xi xi , i = 1, ..., p ; xi , xi

p

i-1

for x n , x+ , x p .

Example 26

min | x1 2 x2 x3 | 2 x1 + 3 x2 + 4 x3 60; 7 x1 + 5 x2 + 3 x3 105; x1 , x2 , x3 0

The LP formulation (written as a max problem)

max

x1

2 x1

7 x1

( x+1 x

1 )

( x+1 x

1 )

2 x2

x3

3 x2

4 x3

5 x2

3 x3

x1 , x2 , x3 , x+1 , x

1 0

0

6

105

EXTENSION 4: Fractional LP

min

"! "" x" ... "n xn

A x b; x 0

(25)

P x k x L .

We first make the transformation

xj

yj

y!

for j 1, ... , n

min

"! y! "" y" "# y# ... "n yn

bi y! ! aij yj 0, i 1 , ..., m

n

j=1

y! 0, y" , ... , yn 0

(26)

Note next that if y! , y" , ... , yn is feasible for (26) then - y! , y" , ... , yn is also feasible for any - 0 and

further has the same objective value as - 1. We can thus restrict our attention to y! , y" , ... , yn satisfying

"! y! ... "n yn 1 or 1

Because given an optimal solution to 26 which does not satisfy one of these equations we can positively scale it

to one that does. Thus, 26 can be solved by solving the two problems.

bi y! !aij yj 0, i = 1, ... , m

n

j=i

y! , ... yn 0

(27)

Where in one problem $ 1 and the other $ 1. We then choose the better of the two solutions, y*! , y*" , ...

, y*n and the y"* /y!* , ... , y*n /y!* is optimal for 25. This will only be valid if we know that y*! 0. Suppose

that to the contrary y*! 0. Then setting

y"

,

0

y*

n

*

we have

A 0 0, 0 0 and 0 0,

LP (2003) 31

as "" 0" ... "n 0n 1 or 1. It follows that if x P then x - 0 P for any - 0. This

contradicts the fact that P is bounded why?.

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