Simplex method: An iterative method for solving LPP

Simplex method
An iterative method for solving LPP
Algebraic Solution of LPPs - Simplex

Method
To develop simplex method, we impose two

requirements on the constraints of the problem:
• All decision variables are nonnegative.
• All constraints (other than the nonnegativity

restrictions) are equations with nonnegative RHS.
Anil Kumar, Mathematics, BITS-Goa 2
BITS Pilani, Goa Campus 1

Changing inequalities into equations
(using SLACK and SURPLUS variables)
SLACK VARIABLE: A slack variable is used to change a “”

inequality to equation.
SURPLUS VARIABLE: A surplus variable to change a “≥”

inequality to equation.
Note:
• The slack and surplus variables are always non-negative.
• If the RHS of the equation is negative then multiply both

sides of the equation by -1.
Dealing with Unrestricted Variables
The simplex method computations require all the variables to

be nonnegative.
In an LPP, if a decision variable xi is unrestricted (in sign) i.e. it

can take positive as well as negative values, then we can write
xi  xi  xi ,
are nonnegative.
 
where x , x .
i i

Convex sets, Extreme Points, and LP
A set of points S is a convex set if the line segment joining any

two pairs of points in S is wholly contained in S.
For any convex set S, a point p in S is an extreme point if each

line segment that lies completely in S and contains the point p,
has p as an endpoint of the line segment.
i.e. p is an extreme point of a convex set S if p ϵ S and there do
not exist distinct x, y ϵ S and 0 < λ < 1 such that p = λx+(1- λ)y.
Extreme points are sometimes called corner points, because if the

set S is a polygon, the extreme points will be the vertices, or
corners, of the polygon.
 The feasible region of a linear programming problem is a

convex set.
Also,
 The feasible region for any LPP has only a finite number
of extreme point.
 Any LPP that has an optimal solution, has an extreme
point that is optimal.

Example:
Convert the following optimization problem into a LPP:
Maximize
z  max{| 2 x1  3 x2 |, | 3 x1  7 x2 |}
Subject to
x1  x 2  2
 x1  x 2  4
x1 , x 2  0
Example…
Note that here the objective function is NOT linear.

Let us put
y  max{| 2 x1  3 x2 |, | 3 x1  7 x2 |}
Hence
y  | 2 x1  3 x2 | and y  | 3 x1  7 x2 |
Which is equivalent to
y  2 x1  3 x2 , y   (2 x1  3 x2 )
y  3 x1  7 x2 , y    3 x1  7 x2 

Example:
Hence the given optimization problem is equivalent to the LPP:
Maximize z  y
Subject to x1  x 2  2
 x1  x 2  4
2x1  3x2  y  0
2x1  3x2  y  0
3x1  7x2  y  0
3x1  7x2  y  0 and x1, x2 , y  0.
How to Solve an LPP of higher dimension ?
• The constraints of an LPP give rise to a geometrical shape - a

polyhedron.
• If we can determine all the corner points of the polyhedron,

then we can calculate the objective function value at these
points and take the best one as our optimal solution.
• The Simplex Method moves from corner to corner until it can

prove that it has found the optimal solution.

Basic variables, Basic feasible Solutions
Consider an LPP (in standard form) with m constraints and n

decision variables. We assume m  n.
We choose n – m variables and set them equal to zero.
Thus we will be left with a system of m equations in m variables.
If this square system has a unique solution, this solution is called

a basic solution.
Further if it is feasible, it is called a Basic Feasible Solution

(BFS).
Note that a system may have a maximum of nCm basic

solutions
The n – m variables set to zero are called nonbasic and the m

variables which we are solving for are known as basic
variables.
Thus, a basic solution is of the form x = (x1, x2, …, xn) where

n – m “components” are zero and the remaining m variables
form the unique solution of the square system (formed by the
m constraint equations).

Any values of x1, x2,… that satisfy all the constraints of the
model is called a feasible solution.
The set of all feasible solutions is known as the feasible

region.
Optimum feasible solution is the one that gives the maximum

value while satisfying all the constraints.
Example:

Example…
Graphical solution of the above LPP

x2
(0,3) E Every Basic Feasible Solution
corresponds to a corner (= vertex) of
the set SF of all feasible solutions.
(0,2) B
C (6/7, 12/7)
Optimal point
SF
x1
O
A D
(0,0) (2,0) (6,0)

Example…
(2, 0, 4, 0)
(6/7,12/7,0,0) C
The Simplex algorithm: Example
Consider the LPP
Maximize z  8 x1  9 x 2
Subject to the constraints 2 x 1  3 x 2  50

2 x 1  6 x 2  80
3 x 1  3 x 2  70
x1 , x 2  0

Example…
Introducing slack variables, the standard LPP is
Maximize z  8 x1  9 x2  0 s1  0 s2  0 s3
subject to the constraints
2 x1  3 x 2  s1  50
2 x1  6 x 2  s2  80 (*)
3 x1  3 x 2  s 3  70
x1 , x 2 , s1 , s 2 , s 3  0
Points to remember
1. The coefficients of the starting basic variables in the

constraint equations form an identity matrix which
gives the starting BFS.
2. Put the objective function and the constraint

equations in a table (usually referred to as a simplex
tableau).
3. Write the objective function also as an equation.

Example…
We see that if we take x1, x2 as nonbasic variables, a BFS

can be got immediately as (0,0,50,80,70).
Remember the first two components refer to x1, x2 and
the last three components refer to s1, s2, s3.
This is possible because in the LHS of the constraint
equations (*) the coefficients of the basic variables s1, s2,
s3 form an Identity matrix (of size 3 × 3).
Example…
Next we put the objective function and the constraint

equations in a table (usually referred to as a Simplex
tableau). For this we write the objective function also
as an equation:
z  8 x1  9 x2  0s1  0s2  0s3  0

Example… Simplex tableau (Starting tableau)
Example… (Some Remarks)
 Z-row is the objective equation row.

 The remaining 3 rows are the basic variable rows.
 Each row corresponds to a basic variable.
 The left most variable denotes the basic variable
corresponding to that row.
 Except for the legends (the topmost row and the leftmost
column), all the other 4 rows are the objective function
row and the constraint equations.

• In the objective function row, the coefficients of the

basic variables are zero.
• This is the second requirement to start the simplex

algorithm.
• Note that in each column, corresponding to a basic

variable, only that basic variable has a non zero
coefficient, namely 1, and all the other basic variables
have zero coefficients.
 The nonbasic variable that will become basic is

referred to as entering variable.
 The basic variable that will become nonbasic is

referred to as leaving variable.

Criterion for entering variable:
(Optimality Condition)
Choose that variable as the “entering” variable which

has
 the most –ve coefficient in the z-row in case it is a
maximization problem
 the most +ve coefficient in the z-row in case it is a

minimization problem).
(Break the ties arbitrarily)
Criterion for leaving variable

(Feasibility Condition)
 Let bi be the RHS of the ith row. Let aij be the
coefficient of the entering variable xj in the ith row.
The following “minimum ratio test” decides the

leaving variable:
where aij is
the coefficient of the entering
 bi 
min  : aij  0  variable xj in
the ith row.
 aij 
(avoid division by zero or a negative value)
(Break the ties arbitrarily.)


• The entering variable column is called the pivot
column.
• The leaving variable row is called the pivot row.
• The coefficient in the intersection of the two is

referred to as the pivot element.
• Apply elementary row operations to modify the

simplex tableau so that the pivot column has 1 at the
pivot element and zero in all other places.
Simplex tableau (Starting tableau)
Enters
Basic z x1 x  s
2 1 s2 s3 Solution
z 1 -8 -9 0 0 0 0
s1 0 2 3 1 0 0 50
s2 0 2 6 0 1 0 80
s3 0 3 3 0 0 1 70
Leaves Pivot element

Performing the elementary Row operations, we
get the new Simplex tableau below
 Enters
Basic z x1 x2 s1 s2 s3 Solution
z 1 -5 0 0 3/2 0 120
s1 0 1 0 1 -1/2 0 10
x2 0 1/3 1 0 1/6 0 40/3
s3 0 2 0 0 -1/2 1 30
Pivot element
Leaves Anil Kumar, Mathematics, BITS-Goa 31

get the new Simplex tableau below
 Enters
z 1 0 0 5 -1 0 170
x1 0 1 0 1 -1/2 0 10
x2 0 0 1 -1/3 1/3 0 10
s3 0 0 0 -2 1/2 1 10
Pivot element
Leaves Anil Kumar, Mathematics, BITS-Goa 32

get the new Simplex tableau below.
This is optimal as all entries in z row are  0.
Optimum value = 190 at x1=20, x2=10/3.
z 1 0 0 5 0 0 190
x1 0 1 0 -1 0 0 20
x2 0 0 1 1 0 0 10/3
s2 0 0 0 -4 1 2 20
Graphical Solution of the problem
(0,40/3) (10,10)
Optimal at Direction of
(20,10/3) increasing z
(0,0) (70/3,0)

Example 2
Consider the LPP

Maximize
z  2 x1  x2  3 x3  5 x4
Subject to the constraints
x1  2 x 2  2 x3  4 x4  40
2 x1  x2  x3  2 x 4  8
4 x1  2 x 2  x3  x4  10
x1 , x2 , x3 , x4  0
Example 2… the standard LPP becomes
Maximize
z  2 x1  x2  3x3  5 x4  0s1  0s2  0 s3
x1  2 x2  2 x3  4 x4  s1  40
2 x1  x2  x3  2 x4  s2  8
4 x1  2 x2  x3  x4  s3  10
x1 , x2 , x3 , x4 , s1 , s2 , s3  0

Basic z x1 x2 x3 x4 s1 s2 s3 Sol.
z 1 -2 -1 3 -5 0 0 0 0
s1 0 1 2 -2 4 1 0 0 40
s2 0 2 -1 1 2 0 1 0 8
s3 0 4 -2 1 -1 0 0 1 10
z 1 3 -7/2 11/2 0 0 5/2 0 20
s1 0 -3 4 -4 0 1 -2 0 24
x4 0 1 -1/2 1/2 1 0 1/2 0 4
s3 0 5 -5/2 3/2 0 0 1/2 1 14
z 1 3/8 0 2 0 7/8 3/4 0 41
x2 0 -3/4 1 -1 0 1/4 -1/2 0 6
x4 0 5/8 0 0 1 1/8 1/4 0 7
s3 0 25/8 0 -1 0 5/8 -3/4 1 29
37
Example 2…
The last tableau is the optimal tableau as all entries in

the objective function row are ≥ 0 and the LPP is a
maximization problem.
Optimal Solution is
x1 = 0, x2 = 6, x3 = 0, x4 = 7
and the optimal z (= Maximum z) = 41

Example 3:
Use simplex method to find the solution for the following

linear programming problem
Max Z  x1  2 x2  x3
s.t.
2 x1  x2  x3  14
4 x1  2 x2  3x3  28
2 x1  5 x2  5 x3  30
x1 , x2 , x3  0
Min
Basic Z x1 x2 x3 s1 s2 s3 Sol
ratio
Z 1 -1 -2 1 0 0 0 0
s1 0 2 1 1 1 0 0 14 14
s2 0 4 2 3 0 1 0 28 14
s3 0 2 5 5 0 0 1 30 6
Z 1 -1/5 0 3 0 0 2/5 12
s1 0 8/5 0 0 1 0 -1/5 8 5
s2 0 16/5 0 1 0 1 -2/5 16 5
x2 0 2/5 1 1 0 0 1/5 6 15
Z 1 0 0 3 1/8 0 3/8 13
x1 0 1 0 0 5/8 0 -1/8 5
s2 0 0 0 1 -2 1 0 0
x2 0 0 1 1 -1/4 0 1/4 4

Example 3…
The last tableau is the optimal tableau as all entries

in the objective function row are ≥ 0 and the LPP is
a maximization problem.
Therefore, the optimal solution is

x1 = 5, x2 = 4, x3 = 0
and the optimal z (= Maximum z) = 13
Artificial Variable Techniques
Big M-method

If in a starting simplex tableau, we don’t have an
identity sub matrix (i.e. an obvious starting BFS),
then we introduce artificial variables to have a
starting BFS.
This is known as artificial variable technique.
There are two methods to find the starting BFS and

solve the problem – the Big M and Two - phase
method.
Artificial Variable Techniques…

 Suppose that ith constraint equation doesn't have a
slack variable. i.e.
there is no ith unit vector column in the LHS of the
constraint equations. (e.g. this happens when the
ith constraint in the original LPP is either ≥ or =) .
 Then an artificial variable Ri is added to form the ith
unit vector column.
 Since the artificial variables are not part of the
original LPP, they are assigned a very high penalty in
the objective function and thus forcing them to equal
zero in the optimum solution.

Artificial Variable Techniques…
Artificial variable objective coefficient

= - M in a maximization problem,
= M in a minimization problem
where M is a very large positive number.
Example-1
Consider the LPP:
Minimize z  2 x1  x2
Subject to the constraints 3 x1  x  9

2
x1  x 2  6
x1 , x 2  0

Example-1…
Putting this in the standard form, the LPP is:
Minimize
z  2 x1  x2
3 x1  x 2  s1  9
x1  x 2  s2  6
x1 , x 2 , s1 , s 2  0
Here s1, s2 are surplus variables.
Note that we do NOT have a 2 ×2 identity submatrix in the LHS.
Example-1…
Introducing the artificial variables, R1, R2, the LPP is modified
as follows:
Minimize
z  2 x1  x2  M R1  M R2
3 x 1  x 2  s1  R1 9
x1  x 2  s2  R2  6
x 1 , x 2 , s1 , s 2 , R 1 , R 2  0
Note that we now have a (2 × 2) identity submatrix in the

coefficient matrix of the constraint equations.

Example-1…
• Solve the above LPP by the Simplex method.
Basic z x1 x2 s1 s2 R1 R2 Sol.
-2+4M -1+2M -M -M 0 0 15M

z 1 -2 -1 0 0 -M -M 0
R1 0 3 1 -1 0 1 0 9
R2 0 1 1 0 -1 0 1 6
z 1 0 -1/3+ -2/3+ -M 2/3- 0 6+3M
2M/3 M/3 4M/3
x1 0 1 1/3 -1/3 0 1/3 0 3
R2 0 0 2/3 1/3 -1 -1/3 1 3
z 1 0 0 -1/2 -1/2 1/2–M 1/2-M 15/2
x1 0 1 0 -1/2 1/2 1/2 -1/2 3/2

x2 0 0 1 1/2 -3/2 -1/2 3/2 9/250

Example-1…
Note that we have got the optimal solution to the
given problem as
3 9
x1  , x2 
2 2
Optimal z = Minimum
15
z
2
It is illuminating to look at the graphical solution also.
(0.9)
SF
(0,6)
3 9
( , )
2 2
(0,0) (3,0) (6,0) 3 9

z minimum at ( , )
Anil Kumar, Mathematics, BITS-Goa 2 252

Example-2
Consider the following LPP:
Maximize z  2 x1  3 x 2  5 x3

x1  x2  x3  7
2 x1  5 x 2  x3  10
x1 , x2 , x3  0
Example-2…
Introducing surplus and artificial variables, s2, R1and R2, the
LPP is modified as follows:
Maximize
z  2 x1  3 x 2  5 x3  MR1  MR 2
x1  x 2  x3  R1  7
2 x1  5 x 2  x 3  s 2  R2  10
x1 , x 2 , x 3 , s 2 , R 1 , R 2  0
Now we solve the above LPP by the Simplex method.

Basic z x1 x2 x3 s2 R1 R2 Sol.
-2-3M -3+4M 5-2M M 0 0 -17M

z 1 -2 -3 5 0 M M 0
R1 0 1 1 1 0 1 0 7
R2 0 2 -5 1 -1 0 1 10
z 1 0 -8 - 6- -1 - 0 1 + 10 -
7M/2 M/2 M/2 3M/2 2M
R1 0 0 7/2 1/2 1/2 1 -1/2 2
x1 0 1 -5/2 1/2 -1/2 0 1/2 5
z 1 0 0 50/7 1/7 16/7 + -1/7 102/7
M +M
x2 0 0 1 1/7 1/7 2/7 -1/7 4/7
x1 0 1 0 6/7 -1/7 5/7 1/7 45/7
55
Example-2…
The optimum (Maximum) value of

z = 102/7
and it occurs at
x1 = 45/7, x2 = 4/7, x3 = 0

Remarks
 If in any iteration, there is a tie for entering variable

between an artificial variable and other variable
(decision, surplus or slack), we must prefer the non-
artificial variable to enter the basis.
 If in any iteration, there is a tie for leaving variable

between an artificial variable and other variable
(decision, surplus or slack), we must prefer the
artificial variable to leave the basis.
Remarks…
• If in the final optimal tableau, an artificial variable is

present in the basis at a non-zero level, this means
our original problem has no feasible solution.

Example 3
Maximize
z  5 x1  6 x 2
Subject to the constraints  2 x1  3 x 2  3
x1  2 x 2  5
6 x1  7 x 2  3
x1 , x 2  0
Example 3…
Introducing slack and artificial variables, s2, s3, and
R1, the LPP is modified as follows:
Maximize z  5 x1  6 x 2  MR1
 2 x1  3 x 2  R 1  3
x1  2 x 2  s2 5
6 x1  7 x 2  s3  3
x1 , x 2 , R 1 , s 2 , s 3  0

Basic z x1 x2 R1 s2 s3 Sol
-5+2M -6-3M 0 0 0 -3M

z 1 -5 -6 M 0 0 0
R1 0 -2 3 1 0 0 3
s2 0 1 2 0 1 0 5
s3 0 6 7 0 0 1 3
z 1 1/7+ 0 0 0 6/7+ 18/7-
32M/7 3M/7 12M/7
R1 0 -32/7 0 1 0 -3/7 12/7
s2 0 -12/7 0 0 1 -2/7 29/7
x2 0 6/7 1 0 0 1/7 3/7
This is the optimal tableau. As R1 is not zero, there is NO feasible solution.61
Example-4
Minimize z  6 x1  4 x 2

3 x1  0 .5 x 2  1 2
2 x1  x2  16
x1 , x 2  0

Example-4…
Introducing the artificial variables, R1, R2, the modified LPP is
as follows:
Minimize
z  6 x1  4 x2  M R1  M R2
3 x1  0 .5 x 2  s1  R1  12
2 x1  x2  s2  R2  16
x 1 , x 2 , s1 , s 2 , R 1 , R 2  0
Note that we now have a (2 × 2) identity submatrix in the

coefficient matrix of the constraint equations.
63
Basic z x1 x2 s1 s2 R1 R2 Sol.
-6+5M -4+1.5M -M -M 0 0 28M

z 1 -6 -4 0 0 -M -M 0
R1 0 3 0.5 -1 0 1 0 12
R2 0 2 1 0 -1 0 1 16
z 1 0 -3+ -2 + -M 2- 0 24+
2M/3 2M/3 5M/3 8M
x1 0 1 1/6 -1/3 0 1/3 0 4
R2 0 0 2/3 2/3 -1 -2/3 1 8
z 1 0 -1 0 -3 –M 3-M 48
x1 0 1 1/2 0 -1/2 0 1/2 8

x2 0 0 1 1 -3/2 -1 3/2 1264

Example-4…
The optimum (minimum) value of

z = 48
and it occurs at
x1 = 8, x2 = 0.
Two-Phase Method

Two-Phase Method
 The Big M method involves manipulation with large numbers

and so is not suited to a computer.
 As the name suggests, the method consists of two phases:
 In phase I, all the artificial variables are eliminated from the

basis. If a feasible solution is obtained in this phase, which
has no artificial variables in the basis in the final tableau,
then we proceed to phase II.
 In Phase II, we use the solution from phase I as the initial
basic feasible solution and use the simplex method to
determine the optimal solution.
Two-Phase Method:
Phase-I:
 Put the problem in standard form and add the necessary

artificial variables to the constraints to secure a starting basic
solution.
 Find a basic solution of the resulting equations that, regardless
of whether the LP is maximization or minimization.
 Always minimizes the sum of the artificial variables.
 If the minimum value of the sum is positive, the LPP

has no feasible solution, which ends the process.
 Otherwise, proceed to Phase II.

Two-Phase Method
Phase-II:
 Use the feasible solution from Phase I as a starting

basic feasible solution for the original problem.
Example-1
Consider the LPP:
Minimize z  2 x1  x2
Subject to the constraints 3 x1  x 2  9

x1  x 2  6
x1 , x 2  0

Example-1…
Phase I:
Minimize r  R1  R2
3 x1  x 2  s1  R1  9
x1  x 2  s2  R2  6
x 1 , x 2 , s1 , s 2 , R 1 , R 2  0
We now solve it by Simplex method.
Basic r x1 x2 s1 s2 R1 R2 Sol.
4 2 -1 -1 0 0 15
r 1 0 0 0 0 -1 -1 0
R1 0 3 1 -1 0 1 0 9
R2 0 1 1 0 -1 0 1 6
r 1 0 2/3 1/3 -1 -4/3 0 3
x1 0 1 1/3 -1/3 0 1/3 0 3
R2 0 0 2/3 1/3 -1 -1/3 1 3
r 1 0 0 0 0 -1 -1 0
x1 0 1 0 -1/2 1/2 1/2 -1/2 3/2
x2 0 0 1 1/2 -3/2 -1/2 3/2 9/272

Example-1
Note that Phase I has ended as min r =0.
Therefore, we solve the original LPP with the starting
BFS:
3 9
x1  , x2 
2 2
Note that the starting Simplex tableau is same as the

last tableau except for the first row which is our z-
Row. Since R1, R2 have served their purpose (of
giving a starting BFS), we suppress their columns.
Basic z x1 x2 s1 s2 Sol.
0 0 -1/2 -1/2 15/2
z 1 -2 -1 0 0 0
x1 0 1 0 -1/2 1/2 3/2
x2 0 0 1 1/2 -3/2 9/2
This is the optimal tableau.

Optimal solution: x1 = 3/2, x2 = 9/2
Optimal value : Min z = 15/2

Example-2
Consider the LPP:

Minimize
z  2 x1  5 x 2  3 x3
x1  2 x 2  x 3  2 0
2 x1  4 x 2  x 3  5 0
x1 , x 2 , x 3  0
Example-2…
Phase I:
Minimize
r  R1  R2
x1  2 x 2  x 3  s1  R 1  20
2 x1  4 x 2  x 3  R2  50
x 1 , x 2 , x 3 , s1 , R 1 , R 2  0
Here s1 is a surplus variable; R1, R2 are artificial
variables.

Basic r x1 x2 x3 s1 R1 R2 Sol
3 2 2 -1 0 0 70
r 1 0 0 0 0 -1 -1 0
R1 0 1 -2 1 -1 1 0 20
R2 0 2 4 1 0 0 1 50
r 1 0 8 -1 2 -3 0 10
x1 0 1 -2 1 -1 1 0 20
R2 0 0 8 -1 2 -2 1 10
Basic r x1 x2 x3 s1 R1 R2 Sol
r 1 0 8 -1 2 -3 0 10
x1 0 1 -2 1 -1 1 0 20
R2 0 0 8 -1 2 -2 1 10
r 1 0 0 0 0 -1 -1 0
x1 0 1 0 3/4 -1/2 1/2 1/4 45/2
x2 0 0 1 -1/8 1/4 -1/4 1/8 5/4

Example-2
This is optimal tableau. Thus Phase I has ended and
we now start Phase II with the starting BFS as the
optimal solution of Phase I.
Phase II:
Minimize
z  2 x1  5 x2  3x3
subject to the same constraints as given in the original

problem.
Basic z x1 x2 x3 s1 R1 R2 Sol
0 0 -17/8 1/4 205/4
z 1 -2 -5 -3 0 0
x1 0 1 0 3/4 -1/2 45/2
x2 0 0 1 -1/8 1/4 5/4
z 1 0 -1 -2 0 50
x1 0 1 2 1/2 0 25
s1 0 0 4 -1/2 1 5
Thus the optimal solution is : x1 = 25, x2 = 0, x3 = 0 and the

optimal z = Min z = 50.

Example-3
Consider the LPP:

Maximize
z  2 x1  2 x2  4 x3
2 x1  x 2  x 3  2
3 x1  4 x 2  2 x 3  8
x1 , x 2 , x 3  0
Remark: Two Phase Method
 The removal of the artificial variables and their

columns at the end of Phase I can take place only
when they are all nonbasic.
 If one or more artificial variables are basic (at zero

level) at the end of Phase I, then the following
additional steps must be undertaken to remove them
prior to the start of Phase II.

Remark: Two Phase Method…
Step 1:
 Select a zero artificial variable to leave the basic solution
and designate its row as the pivot row.
 The entering variable can be any nonbasic (nonartificial)
variable with a nonzero (positive or negative) coefficients
in the pivot row.
 Perform the associated simplex iteration.
Step 2:
 Remove the column of the (just leaving) artificial variable
from the tableau. If all the zero artificial variables have
been removed, go to Phase II. Otherwise go to step 1.
Example-3
Maximize
z  2 x1  2 x2  4 x3
2 x1  x2  x3  2
3 x1  4 x2  2 x3  8
x1 , x2 , x3  0
• Solve this problem by two phase method.

Example-3…
Phase I
Minimize r  R2
Subject to the constraints 2 x1  x2  x3  s1 2

3x1  4 x2  2 x3  s2  R2  8
x1 , x2 , x3 , s1 , s2 , R2  0
Here s1 is a slack variable, s2 is a surplus variable and
R2 artificial variable.
Basic r x1 x2 x3 s1 s2 R2 Sol. Ratio

3 4 2 0 -1 0 8
r 1 0 0 0 0 0 -1 0
S1 0 2 1 1 1 0 0 2 2
R2 0 3 4 2 0 -1 1 8 2
r 1 0 0 0 0 0 -1 0
s1 0 5/4 0 1/2 1 1/4 -1/4 0
x2 0 3/4 1 1/2 0 -1/4 1/4 2
Phase I has ended. Now start Phase II:


Basic z x1 x2 x3 s1 s2 R2 Sol. Ratio
-1/2 0 -3 0 -1/2 4
z 1 -2 -2 -4 0 0 0
s1 0 5/4 0 1/2 1 1/4 0 0

x2 0 3/4 1 1/2 0 -1/4 2 4
z 1 7 0 0 6 1 4
x3 0 5/2 0 1 2 1/2 0
x2 0 -1/2 1 0 -1 -1/2 2
This is the optimal tableau and the optimal solution is:
x1 = 0, x2 = 2, x3 = 0 and Max z = 4
Example-3…
We saw in Phase I, in the starting iteration, there was

a tie for the leaving variable: namely s1 and R2. We
rightly chose R2 to leave the basis. Now we shall see
what happens if s1 was allowed to leave the basis.

Phase I
Basic r x1 x2 x3 s1 s2 R2 Sol. Ratio

3 4 2 0 -1 0 8
r 1 0 0 0 0 0 -1 0
s1 0 2 1 1 1 0 0 2 2
R2 0 3 4 2 0 -1 1 8 2
r 1 -5 0 -2 -4 -1 0 0
x2 0 2 1 1 1 0 0 2
R2 0 -5 0 -2 -4 -1 1 0
 Note that optimality condition are satisfied but still R2 is

sitting as a basic variable at the zero level.
 Phase-1 will continue by choosing R2 as a leaving variable
and any one from x1, x3, s1, s2 as an entering variable.
Basic r x1 x2 x3 s1 s2 R2 sol
r 1 -5 0 -2 -4 -1 0 0
x2 0 2 1 1 0 0 0 2
R2 0 -5 0 -2 -4 -1 1 0
r 1 0 0 0 0 0 -1 0
x2 0 0 1 1/5 -3/5 -2/5 2/5 2
x1 0 1 0 2/5 4/5 1/5 -1/5 0

 Here, optimality condition is satisfied and hence, min r = 0
and Phase-I produces the solution
x1  0, x2  2, x3  0
 Now Phase-II starts
Phase II
Basic z x1 x2 x3 s1 s2 sol
0 0 -14/5 2/5 -2/5 0
z 1 -2 -2 -4 0 0 0
x2 0 0 1 1/5 -3/5 -2/5 2
x1 0 1 0 2/5 4/5 1/5 0
z 1 7 0 0 6 1 4
x2 0 -1/2 1 0 -1 -1/2 2
x3 0 5/2 0 1 2 1/2 0
Optimality condition is satisfied. Hence, the optimal solution is:

x1 = 0, x2 = 2, x3 = 0
and the optimum value z = 4 (as before).

Example 4
Maximize
z  2 x1  4 x2  4 x3  3 x4
x1  x2  x3 4
x1  4 x2  x4  8
x1 , x2 , x3 , x4  0
Example 4…
Normally, when there are equality constraints,

we add artificial variables and use either Big M
method or Two Phase method.
But in this problem we already have a 2×2 identity
submatrix in the coefficient matrix of the constraint
equations.
Hence there is no need to add artificial variables. We can
start the Simplex algorithm with x3, x4 as basic variables.

Basic z x1 x2 x3 x4 Sol
-1 -12 0 0 -8
z 1 -2 -4 -4 3 0
x3 0 1 1 1 0 4
x4 0 1 4 0 1 8
z 1 2 0 0 3 16
x3 0 3/4 0 1 -1/4 2
x2 0 1/4 1 0 1/4 2
This is the optimal tableau and the optimal solution is
x1=0, x2=2, x3=2, x4=0 and Max z = 16
95
Anil Kumar, Mathematics, BITS-Goa
Example 5
Maximize
z  3 x1  5 x2  3 x3
x1  4 x2  x3  7
2 x1  x2  x4  10
x1 , x2 , x3 , x4  0

Example 5…
Introducing surplus variables, the problem is:
Minimize z  3 x1  5 x2  3x3
x1  4 x2  x3  s1  7
2x1  x2  x4  s2  10
x1, x2, x3, x4, s1, s2  0
Example 5…
Since in this problem as we already have a 2×2

identity submatrix below the variables x3, x4 in the
coefficient matrix of the constraint equations, there
is no need to add artificial variables. We can start
the Simplex algorithm with x3, x4 as basic variables.

Basic z x1 x2 x3 x4 s1 s2 Sol.
0 7 0 0 -3 0 21
z 1 -3 -5 -3 0 0 0 0
x3 0 1 4 1 0 -1 0 7
x4 0 2 1 0 1 0 -1 10
z 1 -7/4 0 -7/4 0 -5/4 0 35/4
x2 0 1/4 1 1/4 0 -1/4 0 7/4

x4 0 7/4 0 -1/4 1 1/4 -1 33/4
This is the Optimal tableau and the optimal solution is
x1=0, x2=7/4, x3=0, x4=33/4, Min z = 35/4
Example 6
Maximize z  x1  5 x2  3 x3
x1  2 x2  x3  3
2 x1  x2 4
x1 , x2 , x3  0

Example 6…
There is a unit vector column (coefficients of x3); so

we will not add an artificial variable to the first
constraint equation.
However, to get a starting BFS (= for getting a 2×2
identity submatrix) we have to add an artificial
variable to the second constraint equation and then
we solve it by big M method.
Example 6…
Thus we have to
Maximize
z  x1  5 x2  3 x3  MR2
x1  2 x2  x3 3
2 x1  x2  R2  4
x1 , x2 , x3 , R2  0

Basic z x1 x2 x3 R2 Sol
-1-2M -5+M 0 0 -4M

z 1 -1 -5 -3 M 0
x3 0 1 2 1 0 3
R2 0 2 -1 0 1 4
z 1 0 -11/2 0 ½ +M 2
x3 0 0 5/2 1 -1/2 1
x1 0 1 -1/2 0 1/2 2
Basic z x1 x2 x3 R2 Sol
z 1 0 -11/2 0 ½ +M 2
x3 0 0 5/2 1 -1/2 1
x1 0 1 -1/2 0 1/2 2
z 1 0 0 11/5 -3/5 +M 21/5
x2 0 0 1 2/5 -1/5 2/5
x1 0 1 0 1/5 2/5 11/5

This is the Optimal tableau and the optimal solution:
x1=11/5, x2=2/5, x3=0 and Max z = 21/5

Special Case:
Now we shall look at four special cases that arise

in the application of Simplex method.
 Degeneracy
 Alternative optimum solutions
 Unbounded solutions
 Infeasible solutions
Degeneracy
 A basic solution is called degenerate if the value of at least one
of the basic variables is zero (otherwise non-degenerate).
 In simplex method, a tie for the minimum ratio may occur and
can be broken arbitrarily.
 When this happens, at least one basic variable will be zero in
the next iteration, and the new solution is said to be degenerate.
 Degeneracy can cause the simplex iterations to cycle
indefinitely, thus never terminating the algorithms (i.e. the
solution which we have obtained in one iteration may repeat
after few iterations).
 The condition also reveals that the model has at least one
redundant constraint.

Example: Degenerate Optimal Solution
 Solve the following LPP
max z  3 x1  9 x2
subject to
x1  4 x2  8
x1  2 x2  4
x1 , x2  0
Optimal degenerate solution
Redundant constraint

Basic z x1 x2 s1 s2 sol Ratio
z 1 -3 -9 0 0 0
s1 0 1 4 1 0 8 2
s2 0 1 2 0 1 4 2
z 1 -3/4 0 9/4 0 18
x2 0 1/4 1 1/4 0 2 8
s2 0 1/2 0 -1/2 1 0 0
z 1 0 0 3/2 3/2 18
x2 0 0 1 1/2 -1/2 2
x1 0 1 0 -1 2 0
Optimal solution: x1 = 0, x2 = 2, Max. z = 18
Method to Resolve Degeneracy (Tie)
 Find out the rows for which the minimum non-negative ratio
is the same (tie).
 Find the minimum ration
elements of first column of unit matrix

corresponding elements of key column
 If this minimum is attained for 2nd row (say), then this row
will determine the key element by intersecting with the
key column
 Otherwise, take the minimum ratio with the 2nd column of
the unit matrix and continue till we get unique minimum.

Example
Consider the LPP
Maximize z  3 x1  2 x 2
Subject to the constraints 4 x 1  x2  8
4 x1  3 x 2  1 2
4 x1  x2  8
x1 , x 2  0
 Solve it by Simplex method.
Basic z x1 x2 s1 s2 s3 Sol. Ratio

z 1 -3 -2 0 0 0 0
s1 0 4 -1 1 0 0 8 2
s2 0 4 3 0 1 0 12 3
s3 0 4 1 0 0 1 8 2
z 1 0 -11/4 3/4 0 0 6
x1 0 1 -1/4 1/4 0 0 2 --
s2 0 0 4 -1 1 0 4 1
s3 0 0 2 -1 0 1 0 0
Note that the BFS obtained is degenerate as s3 = 0. (We also
observe that there was a tie for the leaving variable.) 112

Basic z x1 x2 s1 s2 s3 Sol. Ratio
z 1 0 0 -5/8 0 11/8 6
x1 0 1 0 1/8 0 1/8 2 16
s2 0 0 0 1 1 -2 4 4
x2 0 0 1 -1/2 0 1/2 0 --
z 1 0 0 0 5/8 1/8 17/2
x1 0 1 0 0 -1/8 3/8 3/2
s1 0 0 0 1 1 -2 4
x2 0 0 1 0 1/2 -3/2 2
This is the optimal tableau. Note that the optimal BFS obtained
is NOT degenerate. Anil Kumar, Mathematics, BITS-Goa
113
An example where cycling happens
Consider the LPP
Maximize 3 1
z x1  20 x2  x3  6 x4
4 2
1
Subject to the constraints x1  8 x2  x3  9 x4  0
4
1 1
x1  12 x2  x3  3 x4  0
2 2
x3 1
x1 , x2 , x3 , x4  0

Alternative Optimal Solutions
When the objective function is parallel to a non-

redundant binding constraint (i.e. a constraint that is
satisfied as an equation at the optimal solution), then the
objective function will assume the same optimal value at
more than one corner point.
We say the problem has alternative optimal solutions.
In this case there also will be an infinity of (non-basic)
feasible solutions where the objective function has the
same optimum value.
Alternative Optimal Solutions
Criterion for the existence of alternative optimal

solutions from the optimal tableau:
 If in the optimal tableau, the coefficient of a non-
basic variable in the z-row is zero, then there are
alternative optimal solutions.
 Another basic solution can be obtained by making
such non-basic variable enter the basis.
 Thus we shall have alternative optimal solutions as
the following example illustrates.

Example 1:
Consider the LPP
Maximize z  x1  x2
Subject to the constraints x1  x2  6
x1  2 x 2  1 0
x1 , x 2  0
Basic z x1 x2 s1 s2 Sol.
z 1 -1 -1 0 0 0
s1 0 1 1 1 0 6
S2 0 1 2 0 1 10
z 1 0 0 1 0 6 This is the opt.
tableau. Since
x1 0 1 1 1 0 6 coefficient of the
s2 0 0 1 -1 1 4 non-basic variable
x2 is 0, alt. opt.
z 1 0 0 1 0 6 soln. exists.
x1 0 1 0 2 -1 2
x2 0 0 1 -1 1 4
Note that we have got an alternate optimal solution. We understand
this graphically also in the next slide. Anil Kumar, Mathematics, BITS-Goa 118

(0,6) Optimal BFSs
(0,5)
(2,4)
(6,0) (10,0)
Note that the objective function line is parallel to the first
(binding) constraint line.
Unbounded solutions
In some LPPs, the values of some decision variables
can be increased indefinitely without violating any of
the constraints, that is, the solution space is
unbounded in at least one direction.
As a result the objective value may increase
(maximization case) or decrease (minimization case)
indefinitely.
Thus both the feasible solution space and the
objective function are unbounded.

Unbounded solutions
 The solution space is unbounded if in a Simplex
iteration,
all the entries in a column corresponding to a non-
basic variable are negative (or zero) in all the
constraint rows and in the objective function row,
the entry is:
 (a) negative (or zero) in the case of a maximization
problem
 (b) positive (or zero) in the case of a minimization
problem
Example
Consider the LPP
Maximize z  20 x  10 x  x
1 2 3
Subject to the constraints 3 x1  3 x 2  5 x 3  5 0

x1  x3  10
x1  x2  4 x3  2 0
x1 , x 2 , x 3  0
 It is clear that the solution space is unbounded in
the x2 direction.

Infeasible Solution
 LP models with inconsistent constraints have no feasible
solution (i.e. when no points satisfies all the constraints).
 This situation can never occur if all the constraints are of the
type ≤ with nonnegative right-hand sides because the slack
variables provide a feasible solution.
 For other type of constraints, we use artificial variables.
 Although the artificial variables are penalized in the objective
function to force them to zero at the optimum, this can occur
only if the model has a feasible space.
 Otherwise, at least one artificial variable will be positive in
the optimum iteration.
Example
Consider the LPP
Maximize z  3 x1  2 x2
2 x1  x 2  2
3 x1  4 x 2  1 2
x1 , x 2  0
 Solve it by Two Phase method.

Viel mehr als nur Dokumente.

Simplex method: An iterative method for solving LPP

Hochgeladen von

Dokumentinformationen

Beschreibung:

Datum des Uploads

Originaltitel

Copyright

Verfügbare Formate

Dieses Dokument teilen

Dokument teilen oder einbetten

Freigabeoptionen

Stufen Sie dieses Dokument als nützlich ein?

Sind diese Inhalte unangemessen?

Beschreibung:

Copyright:

Verfügbare Formate

Simplex method: An iterative method for solving LPP

Originaltitel:

Hochgeladen von

Beschreibung:

Copyright:

Verfügbare Formate

Verwandte Titel

Simplex method

An iterative method for solving LPP

Algebraic Solution of LPPs - Simplex

To develop simplex method, we impose two

• All decision variables are nonnegative.

• All constraints (other than the nonnegativity

Anil Kumar, Mathematics, BITS-Goa 2

BITS Pilani, Goa Campus 1

SLACK VARIABLE: A slack variable is used to change a “”

SURPLUS VARIABLE: A surplus variable to change a “≥”

• If the RHS of the equation is negative then multiply both

Anil Kumar, Mathematics, BITS-Goa 3

Dealing with Unrestricted Variables

The simplex method computations require all the variables to

In an LPP, if a decision variable xi is unrestricted (in sign) i.e. it

Anil Kumar, Mathematics, BITS-Goa 4

BITS Pilani, Goa Campus 2

A set of points S is a convex set if the line segment joining any

For any convex set S, a point p in S is an extreme point if each

Extreme points are sometimes called corner points, because if the

Anil Kumar, Mathematics, BITS-Goa 5

 The feasible region of a linear programming problem is a

Anil Kumar, Mathematics, BITS-Goa 6

BITS Pilani, Goa Campus 3

Anil Kumar, Mathematics, BITS-Goa 7

Note that here the objective function is NOT linear.

BITS Pilani, Goa Campus 4

Anil Kumar, Mathematics, BITS-Goa 9

How to Solve an LPP of higher dimension ?

• The constraints of an LPP give rise to a geometrical shape - a

• If we can determine all the corner points of the polyhedron,

• The Simplex Method moves from corner to corner until it can

Anil Kumar, Mathematics, BITS-Goa 10

BITS Pilani, Goa Campus 5

Consider an LPP (in standard form) with m constraints and n

We choose n – m variables and set them equal to zero.

Thus we will be left with a system of m equations in m variables.

If this square system has a unique solution, this solution is called

Further if it is feasible, it is called a Basic Feasible Solution

Anil Kumar, Mathematics, BITS-Goa 11

Note that a system may have a maximum of nCm basic

The n – m variables set to zero are called nonbasic and the m

Thus, a basic solution is of the form x = (x1, x2, …, xn) where

Anil Kumar, Mathematics, BITS-Goa 12

BITS Pilani, Goa Campus 6

The set of all feasible solutions is known as the feasible

Optimum feasible solution is the one that gives the maximum

Anil Kumar, Mathematics, BITS-Goa 13

Anil Kumar, Mathematics, BITS-Goa 14

BITS Pilani, Goa Campus 7

Anil Kumar, Mathematics, BITS-Goa 15

Graphical solution of the above LPP

BITS Pilani, Goa Campus 8

Anil Kumar, Mathematics, BITS-Goa 17

The Simplex algorithm: Example

Consider the LPP