IEEN 5335

Principles of Optimization

Lecture 6

Dr. Joon-Yeoul Oh

Dept. of Mechanical & Industrial Engineering

Texas A&M University – Kingsville
 Agenda

 Simplex Algorithm
 Some special cases
 Big M method

 Infeasible

 Unbounded

 Free variable

 Multiple optimal solutions

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Big M method – Windor Glass Co. problem

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 Big M method – equality constraints

 Obtaining an initial BF solution

 Apply the artificial-variable technique by introducing a
nonnegative artificial variable into equality constraints
 For example,

3x1+2x2 = 18  3x3x1 + 2x2 + a5 = 18

 Assign an overwhelming penalty to having “a5 > 0” by
changing the objective function
 For example,

z = 3x1 + 5x2  z = 3x1 + 5x2 – Ma5, where M

represents a HUGE positive number.

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Big M method – Windor Glass Co. problem

 Standard form
Max z – 3x1 – 5x2 + Ma5 = 0
s.t. x1 + x3 = 4
2x2 + x4 = 12
3x1 + 2x2 + a5 = 18
all variables >= 0
 New z row
z – 3x1 – 5x2 + Ma5 = 0
- M(3x1 + 2x2 + a5 = 18)
z – (3M+3)x1 – (2M+5)x2 = -18M
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Big M method – Windor Glass Co. problem

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 Two-phase – infeasible

 Consider the following problem

Min z = x1
s.t. 2x1 - x2 >= 10
x1 + 2x2 <= 4
x1, x2 >= 0

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 Two-phase – infeasible

 Graphical solution

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Two-phase – infeasible

B.V z1 z2 x1 x2 s1 s2 a1 RHS
z1 -1 0 0 0 0 0 1 0
z2 0 -1 1 0 0 0 0 0
a1 0 0 2 -1 -1 0 1 10
s2 0 0 1 2 0 1 0 4

B.V z1 z2 x1 x2 s1 s2 a1 RHS Ratio

z1 -1 0 -2 1 1 0 0 -10
z2 0 -1 1 0 0 0 0 0
a1 0 0 2 -1 -1 0 1 10 10/2
s2 0 0 1 2 0 1 0 4 4/1
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 Two-phase – infeasible

 The coefficients of artificial variables in z1 row are all 0

(phase I is optimal),
 but the RHS for z1 is not 0  infeasible!

B.V z1 z2 x1 x2 s1 s2 a1 RHS
z1 -1 0 0 5 1 2 0 -2
z2 0 -1 0 -2 0 -1 0 -4
a1 0 0 0 -5 -1 -2 1 2
x1 0 0 1 2 0 1 0 4

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 Two-phase – unbounded

 Consider the following problem

Max z = x1
s.t. 2x1 - x2 <= 10
x1 + 2x2 >= 4
x1, x2 >= 0

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 Two-phase – unbounded

 Graphical solution

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Two-phase – unbounded

B.V z1 z2 x1 x2 s1 s2 a1 RHS
z1 -1 0 0 0 0 0 1 0
z2 0 1 -1 0 0 0 0 0
s1 0 0 2 -1 1 0 0 10
a1 0 0 1 2 0 -1 1 4

B.V z1 z2 x1 x2 s1 s2 a1 RHS Ratio

z1 -1 0 -1 -2 0 1 0 -4
z2 0 1 -1 0 0 0 0 0
s1 0 0 2 -1 1 0 0 10
a1 0 0 1 2 0 -1 1 4 4/2
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Two-phase – unbounded

B.V z1 z2 x1 x2 s1 s2 a1 RHS
z1 -1 0 0 0 0 0 1 0
z2 0 1 -1 0 0 0 0 0
s1 0 0 2.5 0 1 -0.5 0.5 12
x2 0 0 0.5 1 0 -0.5 0.5 2

B.V z2 x1 x2 s1 s2 RHS Ratio

z2 1 -1 0 0 0 0
s1 0 2.5 0 1 -0.5 12 4.80
x2 0 0.5 1 0 -0.5 2 4.00
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 Two-phase – unbounded
B.V z2 x1 x2 s1 s2 RHS Ratio
z2 1 0 2 0 -1 4
s1 0 0 -5 1 2 2 2/2
x1 0 1 2 0 -1 4

B.V z2 x1 x2 s1 s2 RHS Ratio

z2 1 0 -0.5 0.5 0 5
s1 0 0 -2.5 0.5 1 1 ?
x1 0 1 -0.5 0.5 0 5 ?
Pivot column (entering var.) is selected, but can’t select pivot row
(leaving var.)  the problem is unbounded!
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 Free variables

 The term refers to variables that have no sign constraint.

 In simplex method, the choice of pivot row guarantees that
correctly executed pivots keep nonnegative values for all of
the basic variables.
 If we really need “free” variables, we need to adjust the
formulation to accommodate the algorithm.

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 Free variables

 How to work with free variables

 Replace each free variable by two nonnegative
variables: x = p – n, where p, n >= 0.
 For x = -5, let’s look at several different ways to
present x = p – n.
 One possible answer would be p = 5 and n = 0

 Now, let’s try x = +5:

Note: p for positive and n for negative

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 Free variables - example

 Consider the following problem

Min z = x2
s.t. x1 + x2 <= 4
x1 + 3x2 >= 3
x1 >= 0 and x2 is free

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 Free variables - example

 Graphical solution

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 Free variables - example

 Adjusting formulation

Min z = p2 – n2
s.t. x1 + p2 – n2 + s1 = 4
x1 + 3p2 – 3n2 - s2 = 3
x1, p2, n2, s1, s2 >= 0

Optimal solution:
(x1, p2, n2) = (9/2, 0, 1/2), so (x1, x2) = (9/2, -1/2)
(s1, s2) = (0, 0)
z = -1/2
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 Multiple optimal solution
 At the final tableau, check Z-row.
 A value in Z-row for basic variable = zero
 A value in Z-row for non-basic variable = not zero
 However, if a problem has multiple optimal solution,
 A value in Z-row for non-basic variable = zero
 It means that the variable can be a basic variable.
 Select the variable for entering variable and make another
iteration.
 You will see different basic variable with same
objective, Z, value.
 See next slide.
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Multiple optimal solution

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