2 The Simplex Method

Thus far we have used a geometric approach to solve certain LP problems. We

have observed, in Chapter 1, that this procedure is limited to problems of two
or three variables. The simplex algorithm is essentially algebraic in nature and
is more efficient than its geometric counterpart.

2.1 The Idea of the Simplex Method

The graphical method represented in Chapter 1 demonstrates that the optimum
LP is always associated with a corner point of the solution space. What the
simplex method does is to translate the geometric definition of the extreme
point into an algebraic definition.
As an initial step, the simplex method requires that each of of the constraints
be put in a special standard form in which all the constraints are expressed as
equations. This conversion results in a set of equations in which the number
of variables exceeds the number of equations, which means that the equations
yields an infinite number of solution points.
The extreme points of this space can be identified algebraically by setting
certain number of variables to zero and then solving for the remaining variables
(called the basic solutions), provided that the condition results in a unique
solution.
Corner Points ⇐⇒ Basic Solutions
What is the simplex method does is to identify a starting basic solution and the
move systematically to other basic solutions that have the potential to improve
the value of the objective function. Eventually, the basic solution corresponding
to the optimum will be identified and the computational process will end.

30
2.2 Converting an LP to Standard Form
We have seen that an LP can have both equality and inequality constraints.
It also can have variables that are required to be nonnegative as well as those
allowed to be unrestricted in sign (urs). The development of the simplex method
computations is facilitated by imposing two requirements on the LP model:

1. All the constraints are equations with nonnegative right-hand side.

2. All the variables are nonnegative.

An LP in this form is said to be in standard form. To convert an LP into

standard form, we do the following steps.

1. If the right-hand of a constraint is negative, multiply both sides of the

constraint by −1. This multiplication will convert a ≤ sign to ≥ and vise
versa.

2. To convert a ≤ inequality to an equation, a nonnegative slack variable

(unused amount) is added to the left-hand side of the constraint. For
example, the constraint 3x1 + 2x2 ≤ 12 is converted into an equation as

3x1 + 2x2 + s = 12 ; s ≥ 0.

3. Conversion from ≥ to = is achieved by subtracting a nonnegative surplus

(excess amount) variable from the left-hand side of the inequality. For
example, the surplus variable e converts the constraint 5x1 + 3x2 ≥ 4 to
the equation
5x1 + 3x2 − e = 4 ; e ≥ 0.

4. An unrestricted variable xi can be presented in terms of two nonnegative

variables by using the substitution

xi = yi1 − yi2 ; yi1 , yi2 ≥ 0

The substitution must be effected throughout all the constraints and the
objective function. In the optimal LP solution only one of the two variables
yi1 and yi2 can assume a positive value, but never both. Thus, when
yi1 > 0, yi2 = 0 and vice versa. For example, if xi = 4 then yi1 = 4 and
yi2 = 0, and if xi = −4 then yi1 = 0 and yi2 = 4.

Example 2.1. Write the following LP problem in standard form.

min w = 2x1 + 3x2
s.t. x1 + x2 = 10
−2x1 + 3x2 ≤ −5
7x1 − 4x2 ≤ 6
x1 urs, x2 ≥ 0

31
Solution: The following changes must be effected.

1. Multiply both sides of the second constraint by −1 to get 2x1 − 3x2 ≥

5, then subtract excess variable e2 ≥ 0 from the left-hand side of the
constraint.

2. Add a slack variable s3 ≥ 0 to the left-hand side of the third constraint.

3. Substitute x1 = y11 − y12 , where y11 , y12 ≥ 0, in the objective function

and all the other constraints.

Thus we get the standard form as

min w = 2y11 − 2y12 + 3x2
s.t. y11 − y12 + x2 = 10
2y11 − 2y12 − 3x2 − e2 = 5
7y11 − 7y12 − 4x2 + s3 = 6
y11 , y12 , x2 , e2 , s3 ≥ 0
Exercise 2.1.

1. Convert the following LP to the standard form.

max z = 2x1 + 3x2 + 5x3

s.t. x1 + x2 − x3 ≥ −5
−6x1 + 7x2 − 9x3 ≤ 4
x1 + x2 + 4x3 = 10
x1 , x2 ≥ 0, x3 urs

2. Consider the inequality

22x1 − 4x2 ≥ −7

Show that multiplying both sides of the inequality by −1 and then con-
verting the resulting inequality into an equation is the same as converting
it first to an equation and then multiplying both sides by −1.

3. The substitution x = y1 − y2 is used in an LP to replace unrestricted x

by the two nonnegative variables y1 and y2 . If x assumes the respective
values −6, 10, and 0, determine the associated optimal values of y1 and
y2 in each case.

2.3 Basic Feasible Solutions

Suppose we have converted an LP with m constraints into standard form. As-
suming that the standard form contains n variables (labeled for convenience
x1 , x2 , · · · , xn ), where n ≥ m, the standard form for such an LP is

32
 max (or min) z = c1 x1 + c2 x2 + · · · + cn xn
s.t. a11 x1 + a12 x2 + · · · + a1n xn = b1
a21 x1 + a22 x2 + · · · + a2n xn = b2
..
.
am1 x1 + am2 x2 + · · · + amn xn = bm
x1 , x2 , · · · , xn ≥ 0
If we define
     
a11 a12 ··· a1n x1 b1
 a21 a22 ··· a2n   x2   b2 
A= . ..  , x =  .  and b =  . 
     
.. ..
 .. . . .  .
 .   .. 
am1 am2 · · · amn xn bm

the constraints for the LP may be written as the system of equations Ax = b.

Definition 2.1. A basic solution to Ax = b is obtained by

setting n−m variables (the nonbasic variables, or NBV) equal
to 0 and solving for the values of the remaining m variables
(the basic variables, or BV), provided the resulting solution is
unique.

n n!
Note 7. The maximum number of corner points is Cm = .
m! (n − m)!
Of course, the different choices of nonbasic variables will lead to different
basic solutions. To illustrate, we find all the basic solutions to the following
system of two equations (m = 2) in three variables (n = 3):

x1 + x2 = 3
− x2 + x3 = −1

We begin by choosing a set of n − m = 3 − 2 = 1 nonbasic variable, and note

that there are C23 = 3 choices of this nonbasic variable.
ˆ If NBV= {x3 }, then BV= {x1 , x2 }. We obtain the values of the basic
variables by setting x3 = 0 and solving

x1 + x2 = 3
− x2 = −1

We find that x1 = 2, x2 = 1. Thus, (x1 , x2 , x3 ) = (2, 1, 0) is a basic

solution to the system.

ˆ If NBV= {x2 }, then BV= {x1 , x3 }. We obtain the values of the basic
variables by setting x2 = 0 and we find that x1 = 3, x3 = −1. Thus,
(x1 , x2 , x3 ) = (3, 0, −1) is a basic solution to the system.

33
 ˆ If NBV= {x1 }, then BV= {x2 , x3 }. We obtain the values of the basic
variables by setting x1 = 0 and solving

x2 = 3
− x2 + x3 = −1

We find that x2 = 3, x3 = 2. Thus, (x1 , x2 , x3 ) = (0, 3, 2) is a basic

solution to the system.

The following table provides all the basic and nonbasic solutions of the above
linear system.

NBVs BVs Basic Solution

x1 x2 , x3 3, 2
x2 x1 , x3 3, −1
x3 x1 , x2 2, 1

Note 8. Some sets of m variables do not yield a basic solution. For example,
consider the following linear system:

x1 + 2x2 + x3 = 1
2x1 + 4x2 + x3 = 3

If we choose NBV= {x3 } and BV= {x1 , x2 }, the corresponding basic solution
would be obtained by solving

x1 + 2x2 = 1
2x1 + 4x2 = 3

Because this system has no solution, there is no basic solution corresponding to

BV= {x1 , x2 }.

Definition 2.2. Any basic solution to the constraints Ax = b

of an LP in which all variables are nonnegative is a basic
feasible solution (or bfs).

For example, for an LP with the constraints given by

x1 + x2 = 3
− x2 + x3 = −1

the basic solutions x1 = 2, x2 = 1, x3 = 0, and x1 = 0, x2 = 3, x3 = 2 are

basic feasible solutions, but the basic solution x1 = 3, x2 = 0, x3 = −1 fails to
be a feasible solution (because x3 < 0).

34
 Theorem 2.1. A point in the feasible region of an LP is an
extreme point if and only if it is a basic feasible solution to
the LP.

Example 2.2. Consider the following LP with two variables.

max z = 2x1 + 3x2
s.t. 2x1 + x2 ≤ 4
x1 + 2x2 ≤ 5
x1 , x2 ≥ 0
Solution: By adding slack variables s1 and s2 , respectively, we obtain the LP
in standard form:
max z = 2x1 + 3x2
s.t. 2x1 + x2 + s1 = 4
x1 + 2x2 + s2 = 5
x1 , x2 , s1 , s2 ≥ 0
Figure 23 provides the graphical solution space for the problem. Algebraically,

Figure 23

the solution space of the LP is represented by the following m = 2 equations

and n = 4 variables:
2x1 + x2 + s1 =4
x1 + 2x2 + s2 = 5
The basic solutions are determined by setting n − m = 2 variables equal to zero
and solving for the remaining m = 2 variables. For example, if we set x1 = 0
and x2 = 0, the equations provide the unique basic solution

s1 = 4 and s2 = 5.

35
This solution corresponds to point A in Figure 23. Another point can be de-
termined by setting s1 = 0 and s2 = 0 and then solving the resulting two
equations
2x1 + x2 = 4
x1 + 2x2 = 5
The associated basic solution is x1 = 1, x2 = 2, or point C in Figure 23. In the
present example, the maximum number of corner points is C24 = 6. Looking at
Figure 23, we can spot the four corner points A, B, C, and D. So, where are
the remaining two? In fact, points E and F also are corner points. But, they
are infeasible, and, hence, are not candidates for the optimum. The following
table provides all the basic and nonbasic solutions of the current example.
Basic Corner
NBVs BVs Solution Point Feasible? z−Value
x1 , x2 s1 , s2 4, 5 A 3 0
x1 , s1 x2 , s2 4, −3 F 7
x1 , s2 x2 , s1 2.5, 1.5 B 3 7.5
x2 , s1 x1 , s2 2, 3 D 3 4
x2 , s2 x1 , s1 5, −6 E 7
s1 , s2 x1 , x2 1, 2 C 3 8 Optimum
Exercise 2.2.

1. Consider the following LP:

max z = 2x1 + 3x2

s.t. x1 + 3x2 ≤ 12
3x1 + 2x2 ≤ 12
x1 , x2 ≥ 0

(a) Express the problem in equation form.

(b) Determine all the basic solutions of the problem, and classify them
as feasible and infeasible.
(c) Use direct substitution in the objective function to determine the
optimum basic feasible solution.
(d) Verify graphically that the solution obtained in (c) is the optimum LP
solution, hence, conclude that the optimum solution can be deter-
mined algebraically by considering the basic feasible solutions only.
(e) Show how the infeasible basic solutions are represented on the graph-
ical solution space.

2. Determine the optimum solution for each of the following LPs by enumer-
ating all the basic solutions.

36
 (a) max z = 2x1 − 4x2 + 5x3 − 6x4
s.t. x1 + 5x2 − 2x3 + 8x4 ≤ 2
−x1 + 2x2 + 3x3 + 4x4 ≤ 1
x1 , x2 , x3 , x4 ≥ 0
(b) min w = x1 + 2x2 − 3x3 − 2x4
s.t. x1 + 2x2 − 3x3 + x4 = 4
x1 + 2x2 + x3 + 2x4 = 4
x1 , x2 , x3 , x4 ≥ 0
3. Show algebraically that all the basic solutions of the following LP are
infeasible.

max z = x1 + x2
s.t. x1 + 2x2 ≤ 3
2x1 + x2 ≥ 8
x1 , x2 ≥ 0

4. Consider the following LP:

max z = x1 + 3x2
s.t. x1 + x2 ≤ 2
−2x1 + x2 ≤ 4
x1 urs, x2 ≥ 0

(a) Determine all the basic feasible solutions of the problem.

(b) Use direct substitution in the objective function to determine the
best basic solution.
(c) Solve the problem graphically, and verify that the solution obtained
in (b) is the optimum.

2.4 The Simplex Algorithm

Rather than enumerating all the basic solutions (corner points) of the LP prob-
lem, as we did in example (2.2), the simplex method investigates only a “se-
lect few” of these solutions. This section describes the iterative nature of the
method, and provides the computational details of the simplex algorithm.
Before describing the simplex algorithm in general terms, we need to define
the concept of an adjacent basic feasible solution.

Definition 2.3. For any LP with m constraints, two basic

feasible solutions are said to be adjacent if their sets of basic
variables have m − 1 basic variables in common.

37
For example, in Figure 23, two basic feasible solutions will be adjacent if they
have 2 − 1 = 1 basic variable in common. Thus, the bfs corresponding to
point B in Figure 23 is adjacent to the bfs corresponding to point C but is not
adjacent to bfs D. Intuitively, two basic feasible solutions are adjacent if they
both lie on the same edge of the boundary of the feasible region.

2.4.1 Iterative Nature of the Simplex Method

Figure 23 provides the solution space of the LP of example (2.2). For the sake
of standardizing the algorithm, the simplex method always starts at the origin
where all the decision variables, xi are zero. In Figure 23, point A is the origin
(x1 = x2 = 0) and the associated objective value, z, is zero. The logical
question now is whether an increase in the values of nonbasic x1 and x2 above
their current zero values can improve (increase) the value of z. We can answer
this question by investigating the objective function:
max z = 2x1 + 3x2
An increase in x1 or x2 (or both) above their current zero values will improve
the value of z. The design of the simplex method does not allow simultaneous
increases in variables. Instead, it targets the variables one at a time. The
variable slated for increase is the one with the largest rate of improvement in
z. In the present example, the rate of improvement in the value of z is 2 for x1
and 3 for x2 . We thus elect to increase x2 (the variable with the largest rate of
improvement among all nonbasic variables). Figure 23 shows that the value of
x2 must be increased until corner point B is reached (recall that stopping short
of corner point B is not an option because a candidate for the optimum must
be a corner point). At point B, the simplex method, as will be explained later,
will then increase the value of x1 to reach the improved corner point C, which
is the optimum.
The path of the simplex algorithm always connects adjacent corner points.
In the present example the path to the optimum is A → B → C. Each corner
point along the path is associated with an iteration. It is important to note that
the simplex method always moves alongside the edges of the solution space,
which means that the method does not cut across the solution space. For
example, the simplex algorithm cannot go from A to C directly since they are
not adjacent.

2.4.2 Computational Details of the Simplex Algorithm

We now describe how the simplex algorithm can be used to solve LPs in which
the goal is to maximize the objective function. The solution of minimization
problems is discussed in Section 2.5. The simplex algorithm proceeds as follows:
Step 1: Convert the LP to standard form. Then, write the objective function
z = c1 x1 + c2 x2 + · · · + cn xn

38
 in the form
z − c1 x1 − c2 x2 − · · · − cn xn = 0.
We call this format the row 0 version of the objective function (row 0 for
short).

Step 2: Obtain a bfs (if possible) from the standard form. This is easy if all
the constraints are ≤ with nonnegative right-hand sides. Then the slack
variable si may be used as the basic variable for row i. If no bfs is readily
apparent, then use the technique discussed in Section 2.6 to find a bfs.

Step 3: Determine whether the current bfs is optimal. If all nonbasic variables
have nonnegative coefficients in row 0, then the current bfs is optimal. If
any variables in row 0 have negative coefficients, then choose the variable
with the most negative coefficient in row 0 to enter the basis. We call
this variable the entering variable.

Step 4: If the current bfs is not optimal, then determine which nonbasic variable
should become a basic variable and which basic variable should become a
nonbasic variable to find a new bfs with a better objective function value.
When entering a variable into the basis, compute the ratio
Right-hand side of constraint
Coefficient of entering variable in constraint
for every constraint in which the entering variable has a positive coeffi-
cient. The constraint with the smallest ratio is called the winner of the
ratio test. The smallest ratio is the largest value of the entering variable
that will keep all the current basic variables nonnegative.

Step 5: Use elementary row operations (EROs) to find the new bfs with the
better objective function value by making the entering variable a basic
variable (has coefficient 1 in pivot row, and 0 in other rows) in the con-
straint that wins the ratio test. Go back to step 3.

2.4.3 Representing the Simplex Tableau

The tabular form of the simplex method records only the essential information:

ˆ the coefficients of the variables,

ˆ the constants on the right-hand sides of the equations,

ˆ the basic variable appearing in each equation.

This saves writing the symbols for the variables in each of the equations, but
what is even more important is the fact that it permits highlighting the numbers

39
involved in arithmetic calculations and recording the computations compactly.
For example, the form

z − 2x1 − 3x2 =0
2x1 + x2 + s1 =4
x1 + 2x2 + s2 = 5

would be written in abbreviated form as shown in the following table.

Basic x1 x2 s1 s2 RHS
z −2 −3 0 0 0
s1 2 1 1 0 4
s2 1 2 0 1 5
The layout of the simplex tableau automatically provides the solution at the
starting iteration. The solution starts at the origin (x1 , x2 ) = (0, 0), thus
defining (x1 , x2 ) as the nonbasic variables and (s1 , s2 ) as the basic variables.
The associated objective z and the basic variables (s1 , s2 ) are listed in the
leftmost Basic-column. Their values, z = 0, s1 = 4, s2 = 5 appearing in
the rightmost Solution-column, are given directly by the right-hand sides of the
model’s equations (a convenient consequence of starting at the origin). The
result can be seen by setting the nonbasic variables (x1 , x2 ) equal to zero in all
the equations, and also by noting the special identity-matrix arrangement of the
constraint coefficients of the basic variables (all diagonal elements are 1, and
all off-diagonal elements are 0).
Example 2.3. Solve the following LP problem using the simplex method.
max z = 2x1 + 3x2
s.t. 2x1 + x2 ≤ 4
x1 + 2x2 ≤ 5
x1 , x2 ≥ 0
Solution: By adding slack variables s1 and s2 , respectively, we obtain the LP
in standard form:
max z − 2x1 − 3x2 = 0
s.t. 2x1 + x2 + s1 = 4
x1 + 2x2 + s2 = 5
x1 , x2 , s1 , s2 ≥ 0
The initial tableau and all following tableaus until the optimal solution is reached
are shown below.
↓
Iteration [0] Basic x1 x2 s1 s2 RHS
z −2 −3 0 0 0
s1 2 1 1 0 4 Ratio= 4/1 = 4
← s2 1 2 0 1 5 Ratio= 5/2 = 2.5

40
 ↓
Iteration [1] Basic x1 x2 s1 s2 RHS
z −1/2 0 0 3/2 15/2
← s1 3/2 0 1 −1/2 3/2 Ratio= 3/2 ÷ 3/2 = 1
x2 1/2 1 0 1/2 5/2 Ratio= 5/2 ÷ 1/2 = 5

Iteration [2] Basic x1 x2 s1 s2 RHS Optimal Tableau

z 0 0 1/3 4/3 8 z=8
x1 1 0 2/3 −1/3 1 x1 = 1, x2 = 2
x2 0 1 −1/3 2/3 2 s1 = 0, s2 = 0

Example 2.4. Solve the following LP problem using the simplex method.
max z = 4x1 + 4x2
s.t. 6x1 + 4x2 ≤ 24
x1 + 2x2 ≤ 6
−x1 + x2 ≤ 1
x2 ≤ 2
x1 , x2 ≥ 0
Solution: By adding slack variables s1 , s2 , s3 and s4 , respectively, we obtain
the LP in standard form:
max z − 4x1 − 4x2 = 0
s.t. 6x1 + 4x2 + s1 = 24
x1 + 2x2 + s2 = 6
−x1 + x2 + s3 = 1
x2 + s 4 = 2
x1 , x2 , s1 , s2 , s3 , s4 ≥ 0
The initial tableau and all following tableaus until the optimal solution is reached
are shown below. Note that we can choose to enter either x1 or x2 into the
basis. We arbitrarily choose to enter x1 into basis.

↓
Iteration [0] Basic x1 x2 s1 s2 s3 s4 RHS
z −4 −4 0 0 0 0 0
← s1 6 4 1 0 0 0 24 Ratio= 24/6 = 4
s2 1 2 0 1 0 0 6 Ratio= 6/1 = 6
s3 −1 1 0 0 1 0 1 7
s4 0 1 0 0 0 1 2 7

41
 ↓
Iteration [1] Basic x1 x2 s1 s2 s3 s4 RHS
z 0 −4/3 2/3 0 0 0 16
x1 1 2/3 1/6 0 0 0 4 Ratio= 4 ÷ 2/3 = 6
← s2 0 4/3 −1/6 1 0 0 2 Ratio= 2 ÷ 4/3 = 3/2
s3 0 5/3 1/6 0 1 0 5 Ratio= 5 ÷ 5/3 = 3
s4 0 1 0 0 0 1 2 Ratio= 2/1 = 2

Iteration [2] Basic x1 x2 s1 s2 s3 s4 RHS Optimal Tableau

z 0 0 1/2 1 0 0 18 z = 18
x1 1 0 1/4 −1/2 0 0 3 x1 = 3, x2 = 3/2
x2 0 1 −1/8 3/4 0 0 3/2 s1 = 0, s2 = 0
s3 0 0 3/8 −5/4 1 0 3/2 s3 = 3/2, s4 = 1/2
s4 0 0 1/8 −3/4 0 1 1/2

Example 2.5. Solve the following LP problem using the simplex method.
max z = x1 + 3x2
s.t. x1 + x2 ≤ 2
−x1 + x2 ≤ 4
x1 ≥ 0, x2 urs
Solution: By assuming x2 = y1 − y2 and then adding slack variables s1 and
s2 , respectively, we obtain the LP in standard form:
max z − x1 − 3y1 + 3y2 = 0
s.t. x1 + y1 − y2 + s1 = 2
−x1 + y1 − y2 + s2 = 4
x1 , y1 , y2 , s1 , s2 ≥ 0
The initial tableau and all following tableaus until the optimal solution is reached
are shown below.
↓
Iteration [0] Basic x1 y1 y2 s1 s2 RHS
z −1 −3 3 0 0 0
← s1 1 1 −1 1 0 2 Ratio= 2/1 = 2
s2 −1 1 −1 0 1 4 Ratio= 4/1 = 4

Iteration [1] Basic x1 y1 y2 s1 s2 RHS Optimal Tableau

z 2 0 0 3 0 6 z=6
y1 1 1 −1 1 0 2 x1 = 0, x2 = 3
s2 −2 0 0 −1 1 2 s1 = 0, s2 = 2
Note that from the optimal tableau we have y1 = 3 and y2 = 0, so that
x2 = y1 − y2 = 3 − 0 = 3.

42
Exercise 2.3.
1. Use the simplex algorithm to solve the following problems.

(a) max z = 2x1 + 3x2 (c) max z = x1 − x2

s.t. x1 + 2x2 ≤ 6 s.t. 4x1 + x2 ≤ 100
2x1 + x2 ≤ 8 x1 + x2 ≤ 80
x1 , x2 ≥ 0 x1 ≤ 40
x1 , x2 ≥ 0
(b) max z = 2x1 − x2 + x3 (d) max z = x1 + x2 + x3
s.t. 3x1 + x2 + x3 ≤ 60 s.t. x1 + 2x2 + 2x3 ≤ 20
x1 − x2 + 2x3 ≤ 10 2x1 + x2 + 2x3 ≤ 20
x1 + x2 − x3 ≤ 20 2x1 + 2x2 + x3 ≤ 20
x1 , x2 , x3 ≥ 0 x1 , x2 , x3 ≥ 0

2. Solve the following problem by inspection, and justify the method of so-
lution in terms of the basic solutions of the simplex method.

max z = 5x1 − 6x2 + 3x3 − 5x4 + 12x5

s.t. x1 + 3x2 + 5x3 + 6x4 + 3x5 ≤ 30
x1 , x2 , x3 , x4 , x5 ≥ 0

2.5 Solving Minimization Problem

There are two different ways that the simplex algorithm can be used to solve
minimization problems.

Method (1) Multiply the objective function for the min problem by −1 and
solve the problem as a maximization problem with objective function
(−w). The optimal solution to the max problem will give you the op-
timal solution to the min problem where
   
optimal objective function optimal objective function
=−
value for min problem value for max problem
Example 2.6. Solve the following LP problem using the simplex method.

min w = 2x1 − 3x2

s.t. x1 + x2 ≤ 4
x1 − x2 ≤ 6
x1 , x2 ≥ 0

Solution: The optimal solution to the LP is the point (x1 , x2 ) in the

feasible region for the LP that makes w = 2x1 − 3x2 the smallest. Equiv-
alently, we may say that the optimal solution to the LP is the point in
the feasible region that makes z = −w = −2x1 + 3x2 the largest. This
means that we can find the optimal solution to the LP by solving:

43
 max z = −2x1 + 3x2
s.t. x1 + x2 ≤ 4
x1 − x2 ≤ 6
x1 , x2 ≥ 0

By adding slack variables s1 and s2 , respectively, we obtain the LP in

standard form:

max z + 2x1 − 3x2 = 0

s.t. x1 + x2 + s1 = 4
x1 − x2 + s2 = 6
x1 , x2 , s1 , s2 ≥ 0

The initial tableau and all following tableaus until the optimal solution is
reached are shown below.

↓
Iteration [0] Basic x1 x2 s1 s2 RHS
z 2 −3 0 0 0
← s1 1 1 1 0 4 Ratio= 4/1 = 4
s2 1 −1 0 1 6 7
Iteration [1] Basic x1 x2 s1 s2 RHS Optimal Tableau
z 5 0 3 0 12 w = −z = −12
x2 1 1 1 0 4 x1 = 0, x2 = 4
s2 2 0 1 1 10 s1 = 0, s2 = 10

Method (2) A simple modification of the simplex algorithm can be used to

solve min problems directly. Modify Step 3 of the simplex as follows:
If all nonbasic variables in row 0 have nonpositive coefficients, then the
current bfs is optimal. If any nonbasic variable in row 0 has a positive
coefficient, choose the variable with the “most positive” coefficient in row
0 to enter the basis. This modification of the simplex algorithm works
because increasing a nonbasic variable with a positive coefficient in row 0
will decrease w. If we use this method to solve the LP in example (2.6),
then after adding slack variables s1 and s2 , respectively, we obtain the LP
in standard form:

min w − 2x1 + 3x2 = 0

s.t. x1 + x2 + s 1 = 4
x1 − x2 + s 2 = 6
x1 , x2 , s1 , s2 ≥ 0

The initial tableau and all following tableaus until the optimal solution is
reached are shown below. Note that, because x2 has the most positive
coefficient in row 0, we enter x2 into the basis.

44
 ↓
Iteration [0] Basic x1 x2 s1 s2 RHS
w −2 3 0 0 0
← s1 1 1 1 0 4 Ratio= 4/1 = 4
s2 1 −1 0 1 6 7
Iteration [1] Basic x1 x2 s1 s2 RHS Optimal Tableau
w −5 0 −3 0 −12 w = −12
x2 1 1 1 0 4 x1 = 0, x2 = 4
s2 2 0 1 1 10 s1 = 0, s2 = 10

Exercise 2.4. Use the simplex algorithm to solve the following problems.

1. min w = 4x1 − x2 4. min w = −3x1 + 8x2

s.t. 2x1 + x2 ≤ 8 s.t. 4x1 + 2x2 ≤ 12
x2 ≤ 5 2x1 + 3x2 ≤ 6
x1 − x2 ≤ 4 x1 , x2 ≥ 0
x1 , x2 ≥ 0
5. min w = 5x1 + 4x2 + 6x3 − 8x4
2. min w = x1 − x2 s.t. x1 + 2x2 + 2x3 + 4x4 ≤ 40
s.t. x1 − x2 ≤ 1 2x1 − 2x2 + x3 + 2x4 ≤ 8
x1 + x2 ≤ 2 4x1 − 2x2 + x3 − x4 ≤ 10
x1 , x2 ≥ 0 x1 , x2 , x3 , x4 ≥ 0
3. min w = 2x1 − 5x2
s.t. 3x1 + 8x2 ≤ 12
2x1 + 3x2 ≤ 6
x1 , x2 ≥ 0

2.6 Artificial Starting Solution and the Big M −Method

Recall that the simplex algorithm requires a starting bfs. In all the problems we
have solved so far, we found a starting bfs by using the slack variables as our
basic variables. If an LP has any (≥) or (=) constraints, a starting bfs may not
be readily apparent. When a bfs is not readily apparent, the Big M −method
may be used to solve the problem. The Big M −method is a version of the
simplex algorithm that first finds a bfs by adding “artificial” variables to the
problem. The objective function of the original LP must be modified to ensure
that the artificial variables are all equal to 0 at the conclusion of the simplex
algorithm.
The big M −method starts with the LP in equation form. If equation i does
not have a slack (or a variable that can play the role of a slack), an artificial
variable, ai , is added to form a starting solution similar to the all-slack basic
solution. However, because the artificial variables are not part of the original
problem, a modeling “trick” is needed to force them to zero value by the time

45
the optimum iteration is reached (assuming the problem has a feasible solution).
The desired goal is achieved by assigning a penalty defined as:

Artificial variable objective −M in max problems
=
function coefficient M in min problems

where M is a sufficiently large positive value (mathematically, M → ∞).

Example 2.7. Solve the following LP problem using the simplex method.
min w = 4x1 + x2
s.t. 3x1 + x2 = 3
4x1 + 3x2 ≥ 6
x1 + 2x2 ≤ 4
x1 , x2 ≥ 0
Solution: To convert the constraint to equations, use e2 as a surplus in the
second constraint and s3 as a slack in the third constraint.

3x1 + x2 =3
4x1 + 3x2 − e2 =6
x1 + 2x2 + s3 = 4

The third equation has its slack variable, s3 , but the first and second equations
do not. Thus, we add the artificial variables a1 and a2 in the first two equations
and penalize them in the objective function with M a1 + M a2 (because we are
minimizing). The resulting LP becomes
min w = 4x1 + x2 + M a1 + M a2
s.t. 3x1 + x2 + a1 = 3
4x1 + 3x2 − e2 + a2 = 6
x1 + 2x2 + s3 = 4
x1 , x2 , s3 , e2 , a1 , a2 ≥ 0
After writing the objective function as w − 4x1 − x2 − M a1 − M a2 = 0, the
initial tableau will be
Iteration [0] Basic x1 x2 s3 e2 a1 a2 RHS
w −4 −1 0 0 −M −M 0
a1 3 1 0 0 1 0 3
a2 4 3 0 −1 0 1 6
s3 1 2 1 0 0 0 4
Before proceeding with the simplex method computations, row 0 must be made
consistent with the rest of the tableau. The right−hand side of row 0 in the
tableau currently shows w = 0. However, given the nonbasic solution x1 =
x2 = e2 = 0, the current basic solution is a1 = 3, a2 = 6, and s3 = 4 yields

w = (4 × 0) + (1 × 0) + (3 × M ) + (6 × M ) = 9M 6= 0.

46
The inconsistency stems from the fact that a1 and a2 have nonzero coefficients
in row 0. To eliminate the inconsistency, we use EROs. The modified tableau
thus becomes (verify!):
Iteration [0] Basic x1 x2 s3 e2 a1 a2 RHS
w 7M − 4 4M − 1 0 −M 0 0 9M
a1 3 1 0 0 1 0 3
a2 4 3 0 −1 0 1 6
s3 1 2 1 0 0 0 4
The last tableau is ready for the application of the simplex optimality and the
feasibility conditions. Because the objective function is minimized, the variable
x1 having the most positive coefficient in the row 0 enters the solution. The
minimum ratio of the feasibility condition specifies a1 as the leaving variable.
All tableaus until the optimal solution is reached are shown below.

↓
Iteration [0] Basic x1 x2 s3 e2 a1 a2 RHS
w 7M − 4 4M − 1 0 −M 0 0 9M
← a1 3 1 0 0 1 0 3 Ratio= 3/3 = 1
a2 4 3 0 −1 0 1 6 Ratio= 6/4 = 3/2
s3 1 2 1 0 0 0 4 Ratio= 4/2 = 2
↓
Iteration [1] Basic x1 x2 s3 e2 a1 a2 RHS
w 0 (1+5M )/3 0 −M (4−7M )/3 0 4 + 2M
x1 1 1/3 0 0 1/3 0 1 Ratio= 1 ÷ 1/3 = 3
← a2 0 5/3 0 −1 −4/3 1 2 Ratio= 2 ÷ 5/3 = 6/5
s3 0 5/3 1 0 −1/3 0 3 Ratio= 3 ÷ 5/3 = 9/5
↓
Iteration [2] Basic x1 x2 s3 e2 a1 a2 RHS
w 0 0 0 1/5 8/5 − M −1/5 − M 18/5
x1 1 0 0 1/5 3/5 −1/5 3/5 Ratio= 3/5 ÷ 1/5 = 3
x2 0 1 0 −3/5 −4/5 3/5 6/5 7
← s3 0 0 1 1 1 −1 1 Ratio= 1/1 = 1

Iteration [3] Basic x1 x2 s3 e2 a1 a2 RHS Optimal Tableau

w 0 0 −1/5 0 7/5 −M −M 17/5 w = 17/5
x1 1 0 −1/5 0 2/5 0 2/5 x1 = 2/5, x2 = 9/5
x2 0 1 3/5 0 −1/5 0 9/5 e2 = 1
e2 0 0 1 1 1 −1 1 a1 = 0, a2 = 0
Note 9. From a computational standpoint, solving the problem on the computer
requires replacing M with a sufficiently large numeric value. The result is an
unnecessary layer of computational difficulty that can be avoided by substituting
an appropriate numeric value for M (which is what we would do anyway if we

47
use the computer). We break away from the long tradition of manipulating M
algebraically and use a numerical substitution instead. The intent is to simplify
the presentation without losing substance. What value of M should we use?
The answer depends on the data of the original LP. Recall that the penalty
M must be sufficiently large relative to the original objective coefficients to
force the artificial variables to be zero (which happens only if a feasible solution
exists). At the same time, since computers are the main tool for solving LPs,
M should not be unnecessarily too large, as this may lead to serious round-off
error. In the present example, the objective coefficients of x1 and x2 are 2 and
1, respectively, and it appears reasonable to set M = 100.

Example 2.8. Solve the following LP problem using the simplex method.
max z = 2x1 + x2
s.t. x1 + x2 ≤ 10
−x1 + x2 ≥ 2
x1 , x2 ≥ 0
Solution: To convert the constraint to equations, use s1 as a slack in the first
constraint and e2 as a surplus in the second constraint.

x1 + x2 + s1 = 10
−x1 + x2 − e2 = 2

We add the artificial variables a2 in the second equation and penalize it in the
objective function with −M a2 = −100a2 (because we are maximizing). The
resulting LP becomes
max z = 2x1 + x2 − 100a2
s.t. x1 + x2 + s1 = 10
−x1 + x2 − e2 + a2 = 2
x1 , x2 , s1 , e2 , a2 ≥ 0
After writing the objective function as z − 2x1 − x2 + 100a2 = 0, the initial
tableau will be
Iteration [0] Basic x1 x2 s1 e2 a2 RHS
z −2 −1 0 0 100 0
s1 1 1 1 0 0 10
a2 −1 1 0 −1 1 2
Before proceeding with the simplex method computations, row 0 must be made
consistent with the rest of the tableau. The inconsistency stems from the fact
that a2 has nonzero coefficients in row 0. To eliminate the inconsistency, we use
EROs. The modified tableau and all other tableaus until the optimal solution
is reached are:

48
 ↓
Iteration [0] Basic x1 x2 s1 e2 a2 RHS
z 98 −101 0 100 0 −200
s1 1 1 1 0 0 10 Ratio= 10/1 = 10
← a2 −1 1 0 −1 1 2 Ratio= 2/1 = 2
↓
Iteration [1] Basic x1 x2 s1 e2 a2 RHS
z −3 0 0 −1 101 2
← s1 2 0 1 1 −1 8 Ratio= 8/2 = 4
x2 −1 1 0 −1 1 2 7

Iteration [2] Basic x1 x2 s1 e2 a2 RHS Optimal Tableau

z 0 0 3/2 1/2 199/2 14 z = 14
x1 1 0 1/2 1/2 −1/2 4 x1 = 4,x2 = 6
x2 0 1 1/2 −1/2 1/2 6 s1 = e2 = a2 = 0
Example 2.9. Consider the problem.
max z = 2x1 + 4x2 + 4x3 − 3x4
s.t. x1 + x2 + x3 =4
x1 + 4x2 + x4 = 8
x1 , x2 , x3 , x4 ≥ 0
The variables x3 and x4 play the role of slack variables. So, without using any ar-
tificial variables, solve the problem with x3 and x4 as the starting basic variables.

Solution: The main difference here from the usual simplex is that x3 and x4
have nonzero objective coefficients in row 0: z − 2x1 − 4x2 − 4x3 + 3x4 = 0. To
eliminate their coefficients, we use EROs. The initial tableaus and all following
tableaus until the optimal solution is reached are shown below.

Iteration [0] Basic x1 x2 x3 x4 RHS

z −2 −4 −4 3 0
x3 1 1 1 0 4
x4 1 4 0 1 8
↓
Iteration [0] Basic x1 x2 x3 x4 RHS
z −1 −12 0 0 −8
x3 1 1 1 0 4 Ratio= 4/1 = 4
← x4 1 4 0 1 8 Ratio= 8/4 = 2

Iteration [1] Basic x1 x2 x3 x4 RHS Optimal Tableau

z 2 0 0 3 16 z = 16
x3 3/4 0 1 −1/4 2 x1 = 0, x2 = 2
x2 1/4 1 0 1/4 2 x3 = 2, x4 = 0

49
Exercise 2.5.
1. Use the Big M -method to solve the following LPs:

(a) min w = 4x1 + 4x2 + x3 (c) min w = 2x1 + 3x2

s.t. x1 + x2 + x3 ≤ 2 s.t. 2x1 + x2 ≥ 4
2x1 + x2 ≤ 3 x1 − x2 ≥ −1
2x1 + x2 + 3x3 ≥ 3 x1 , x2 ≥ 0
x1 , x2 , x3 ≥ 0
(b) min w = x1 + x2 (d) max z = 3x1 + x2
s.t. 2x1 + x2 + x3 = 4 s.t. 2x1 + x2 ≤ 4
x1 + x2 + 2x3 ≤ 2 x1 + x2 = 3
x1 , x2 , x3 ≥ 0 x1 , x2 ≥ 0

2. Solve the following problem using x3 and x4 as starting basic feasible

variables. As in example (2.9), do not use any artificial variables.

min z = 3x1 + 2x2 + 3x3 + 2x4

s.t. x1 + 4x2 + x3 ≥ 14
2x1 + x2 + x4 ≥ 20
x1 , x2 , x3 , x4 ≥ 0

3. Consider the problem

max z = x1 + 5x2 + 3x3

s.t. x1 + 2x2 + x3 = 6
2x1 − x2 =8
x1 , x2 , x3 ≥ 0

The variable x3 plays the role of a slack. Thus, no artificial variable

is needed in the first constraint. In the second constraint, an artificial
variable, a2 , is needed. Solve the problem using x3 and a2 as the starting
variables.

2.7 Special Cases in the Simplex Method

This section considers four special cases that arise in the use of the simplex
method.

2.7.1 Degeneracy
In the application of the feasibility condition of the 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. This situation may reveal that the model has at least
one redundant constraint.

50
 Definition 2.4. An LP is degenerate if it has at least one bfs
in which a basic variable is equal to zero.

If one of these degenerate basic variables retains its value of zero until it is
chosen at a subsequent iteration to be a leaving basic variable, the corresponding
entering basic variable also must remain zero, so the value of the objective
function must remain unchanged. However, if the objective function may remain
the same rather than change at each iteration, the simplex method may then go
around in a loop, repeating the same sequence of solutions periodically rather
than eventually changing the objective function toward an optimal solution.
This occurrence is called cycling.
Example 2.10. Solve the following LP problem.
max z = 3x1 + 9x2
s.t. x1 + 4x2 ≤ 8
x1 + 2x2 ≤ 4
x1 , x2 ≥ 0
Solution: By adding slack variables s1 and s2 , we obtain the LP in standard
form
max z − 3x1 − 9x2 = 0
s.t. x1 + 4x2 + s1 = 8
x1 + 2x2 + s2 = 4
x1 , x2 , s1 , s2 ≥ 0
The initial tableau and all following tableaus until the optimal solution is reached
are shown below.
↓
Iteration [0] Basic x1 x2 s1 s2 RHS
z −3 −9 0 0 0
← s1 1 4 1 0 8 Ratio= 8/4 = 2
s2 1 2 0 1 4 Ratio= 4/2 = 2
In iteration 0, s1 and s2 tie for the leaving variable, leading to degeneracy in
iteration 1 because the basic variable s2 assumes a zero value.
↓
Iteration [1] Basic x1 x2 s1 s2 RHS
z −3/4 0 9/4 0 18
x2 1/4 1 1/4 0 2 Ratio= 2 ÷ 1/4 = 8
← s2 1/2 0 −1/2 1 0 Ratio= 0 ÷ 1/2 = 0

Iteration [2] Basic x1 x2 s1 s2 RHS Optimal Tableau

z 0 0 3/2 3/2 18 z = 18
x2 0 1 1/2 −1/2 2 x1 = 0, x2 = 2
x1 1 0 −1 2 0 s1 = 0, s2 = 0

51
 The following example illustrates the occurrence of cycling in the simplex
iterations and the possibility that the algorithm may never converge to the
optimum solution.

Example 2.11. This example was authored by E.M. Beale1 . Consider the
following LP:
3 1
max C = x1 − 150x2 + x3 − 6x4
4 50
1 1
s.t. x1 − 60x2 − x3 + 9x4 ≤ 0
4 25
1 1
x1 − 90x2 − x3 + 3x4 ≤ 0
2 50
x3 ≤ 1
x1 , x2 , x3 , x4 ≥ 0
1 1
Actually, the optimal solution of this example is C = when x1 = ,
20 25
x3 = 1, and x2 = x4 = 0. However, in order to solve this LP using the Simplex
algorithm, we write it in standard form as follows.
3 1
max C − x1 + 150x2 − x3 + 6x4 = 0
4 50
1 1
s.t. x1 − 60x2 − x3 + 9x4 + s1 = 0
4 25
1 1
x1 − 90x2 − x3 + 3x4 + s2 = 0
2 50
x3 + s3 = 1
x1 , x2 , x3 , x4 , s1 , s2 , s3 ≥ 0
Let us start applying the Simplex algorithm, and see what will happen through
the iterations.

↓
Iteration [0] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C −3/4 150 −1/50 6 0 0 0 0
← s1 1/4 −60 −1/25 9 1 0 0 0 Ratio= 0
s2 1/2 −90 −1/50 3 0 1 0 0 Ratio= 0
s3 0 0 1 0 0 0 1 1 7
↓
Iteration [1] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C 0 −30 −7/50 33 3 0 0 0
x1 1 −240 −4/25 36 4 0 0 0 7
← s2 0 30 3/50 −15 −2 1 0 0 Ratio= 0
s3 0 0 1 0 0 0 1 1 7
1
Saul I. Gass, Sasirekha Vinjamuri. Cycling in linear programming problems. Computers
& Operations Research 31 (2004)

52
 ↓
Iteration [2] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C 0 0 −2/25 18 1 1 0 0
← x1 1 0 8/25 −84 −12 8 0 0 Ratio= 0
x2 0 1 1/500 −1/2 −1/15 1/30 0 0 Ratio= 0
s3 0 0 1 0 0 0 1 1 Ratio= 1
↓
Iteration [3] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C 1/4 0 0 −3 −2 3 0 0
x3 25/8 0 1 −525/2 −75/2 25 0 0 7
← x2 −1/160 1 0 1/40 1/120 −1/60 0 0 Ratio= 0
s3 −25/8 0 0 525/2 75/2 −25 1 1 Ratio= 2/525
↓
Iteration [4] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C −1/2 120 0 0 −1 1 0 0
← x3 −125/2 10500 1 0 50 −150 0 0 Ratio= 0
x4 −1/4 40 0 1 1/3 −2/3 0 0 Ratio= 0
s3 125/2 −10500 0 0 −50 150 1 1 7
↓
Iteration [5] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C −7/4 330 1/50 0 0 −2 0 0
s1 −5/4 210 1/50 0 1 −3 0 0 7
← x4 1/6 −30 −1/150 1 0 1/3 0 0 Ratio= 0
s3 0 0 1 0 0 0 1 1 7

Iteration [6] Basic x1 x2 x3 x4 s1 s2 s3 RHS

C −3/4 150 −1/50 6 0 0 0 0 We back to
s1 1/4 −60 −1/25 9 1 0 0 0 iteration [0]
s2 1/2 −90 −1/50 3 0 1 0 0 and we stuck
s3 0 0 1 0 0 0 1 1 in a cycle

Note 10. There are several ways to solve the LP problem in example (2.11).
We review these methods as follows.

1. Computer Systems: like Excel Solver, LINDO and Mathematica.

2. Convert all the coefficients in the constraints to integer values by

using proper multiples:2 this can be done by multiplying the first con-
straint in the original LP by lcm(4, 25) = 100 and the second constrain
by lcm(2, 50) = 50. Then we write the LP in standard form.
2
Hamdy A. Taha, Operations Research: An Introduction, 9th Edition, Prentice Hall.
2011. Call number in PU library: 658.4034 TAH.

53
 3 1
max C − x1 + 150x2 − x3 + 6x4 = 0
4 50
s.t. 25x1 − 6000x2 − 4x3 + 900x4 + s1 = 0
25x1 − 4500x2 − x3 + 150x4 + s2 = 0
x3 + s 3 = 1
x1 , x2 , x3 , x4 , s1 , s2 , s3 ≥ 0

Now we apply the Simplex algorithm.

↓
Iteration [0] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C −3/4 150 −1/50 6 0 0 0 0
← s1 25 −6000 −4 900 1 0 0 0 Ratio= 0
s2 25 −4500 −1 150 0 1 0 0 Ratio= 0
s3 0 0 1 0 0 0 1 1 7
↓
Iteration [1] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C 0 −30 −7/50 33 3/100 0 0 0
x1 1 −240 −4/25 36 1/25 0 0 0 7
← s2 0 1500 3 −750 −1 1 0 0 Ratio= 0
s3 0 0 1 0 0 0 1 1 7
↓
Iteration [2] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C 0 0 −2/25 18 1/100 1/50 0 0
x1 1 0 8/25 −84 −3/25 4/25 0 0 Ratio= 0
← x2 0 1 1/500 −1/2 −1/1500 1/1500 0 0 Ratio= 0
s3 0 0 1 0 0 0 1 1 Ratio= 1
↓
Iteration [3] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C 0 40 0 −2 −1/60 7/150 0 0
x1 1 −160 0 −4 −1/75 4/75 0 0 7
x3 0 500 1 −250 −1/3 1/3 0 0 7
← s3 0 −500 0 250 1/3 −1/3 1 1 Ratio= 1/250
↓
Iteration [4] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C 0 36 0 0 −7/500 11/250 1/125 1/125
x1 1 −168 0 0 −1/125 6/125 2/125 2/125 7
x3 0 0 1 0 0 0 1 1 7
← x4 0 −2 0 1 1/750 −1/750 1/250 1/250 Ratio= 3

54
 Iteration [5] Basic x1 x2 x3 x4 s1 s2 s3 RHS Optimal
C 0 15 0 21/2 0 3/100 1/20 1/20 Tableau
x1 1 −180 0 6 0 1/25 1/25 1/25
x3 0 0 1 0 0 0 1 1
s1 0 −1500 0 750 1 −1 3 3

3. Bland’s Rule for selecting entering and leaving variables3 .

(a) For the entering basic variable: Of all negative coefficients in the
objective row (Row 0), choose the one with smallest subscript.
(b) For the departing basic variable: When there is a tie between one
or more ratios computed, choose the candidate for departing basic
variable that has the smallest subscript.

When we use Bland’s rule to solve the LP in example (2.11), we name

the slake variables s1 , s2 , s3 as x5 , x6 , x7 respectively. The iterations will
be as follows.

↓
Iteration [0] Basic x1 x2 x3 x4 x5 x6 x7 RHS
C −3/4 150 −1/50 6 0 0 0 0
← x5 1/4 −60 −1/25 9 1 0 0 0 Ratio= 0
x6 1/2 −90 −1/50 3 0 1 0 0 Ratio= 0
x7 0 0 1 0 0 0 1 1 7
↓
Iteration [1] Basic x1 x2 x3 x4 x5 x6 x7 RHS
C 0 −30 −7/50 33 3 0 0 0
x1 1 −240 −4/25 36 4 0 0 0 7
← x6 0 30 3/50 −15 −2 1 0 0 Ratio= 0
x7 0 0 1 0 0 0 1 1 7
↓
Iteration [2] Basic x1 x2 x3 x4 x5 x6 x7 RHS
C 0 0 −2/25 18 1 1 0 0
← x1 1 0 8/25 −84 −12 8 0 0 Ratio= 0
x2 0 1 1/500 −1/2 −1/15 1/30 0 0 Ratio= 0
x7 0 0 1 0 0 0 1 1 Ratio= 1
3
James Calvert and William Voxman, Linear Programming, 1st Edition, Harcourt Brace
Jovanovich Publishers, 1989.

55
 ↓
Iteration [3] Basic x1 x2 x3 x4 x5 x6 x7 RHS
C 1/4 0 0 −3 −2 3 0 0
x3 25/8 0 1 −525/2 −75/2 25 0 0 7
← x2 −1/160 1 0 1/40 1/120 −1/60 0 0 Ratio= 0
x7 −25/8 0 0 525/2 75/2 −25 1 1 Ratio= 2/525
↓
Iteration [4] Basic x1 x2 x3 x4 x5 x6 x7 RHS
C −1/2 120 0 0 −1 1 0 0
x3 −125/2 10500 1 0 50 −150 0 0 7
x4 −1/4 40 0 1 1/3 −2/3 0 0 7
← x7 125/2 −10500 0 0 −50 150 1 1 Ratio= 2/125
↓
Iteration [5] Basic x1 x2 x3 x4 x5 x6 x7 RHS
C 0 36 0 0 −7/5 11/5 1/125 1/125
x3 0 0 1 0 0 0 1 1 7
← x4 0 −2 0 1 2/15 −1/15 1/250 1/250 Ratio= 100/3
x1 1 −168 0 0 −4/5 12/5 2/125 2/125 7

Iteration [6] Basic x1 x2 x3 x4 x5 x6 x7 RHS Optimal

C 0 15 0 21/2 0 3/2 1/20 1/20 Tableau
x3 0 0 1 0 0 0 1 1
x5 0 −15 0 15/2 1 −1/2 3/100 3/100
x1 1 −180 0 6 0 2 1/25 1/25

4. Lexicographic Rule for selecting an exiting variable4 .

Given a basic feasible solution with basis B, suppose that the nonbasic
variable xk is chosen to enter the basis (the most negative value in Row
0 for maximization LP). The index r of the variable xB leaving the basis
is determined as follows. Let
  
br bi
I0 = r : = min : yik > 0
yrk 0≤i≤m yik

If I0 is a singleton, namely I0 = {r}, then xBr leaves the basis. Otherwise,

form I1 as follows:
  
yr1 yi1
I1 = r : = min
yrk i∈I0 yik

where y∗1 is the first column of the m × m identity matrix. If I1 is

singleton, namely, I1 = {r}, then xBr leaves the basis. Otherwise, form
4
Mokhtar S. Bazaraa, John J. Jarvis, Hanif D. Sher, Linear Programming and Network
Flows, 4th Edition, John Wiley & Sons, Inc. 2010. Call number in PU library: 519.72 BAZ

56
 I2 , where, in general, Ij is formed from Ij−1 as follows:
  
yrj yij
Ij = r : = min
yrk i∈Ij−1 yik

where y∗j is the jth column of the m × m identity matrix. Eventually,

for some j ≤ m, Ij will be a singleton. If Ij = {r}, then xBr leaves the
basis.

↓
Iteration [0] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C −3/4 150 −1/50 6 0 0 0 0
s1 1/4 −60 −1/25 9 1 0 0 0 Ratio= 0
← s2 1/2 −90 −1/50 3 0 1 0 0 Ratio= 0
s3 0 0 1 0 0 0 1 1 7

Here, I0 = {1, 2}, and then I1 = {2}, and therefore xB2 = s2 leaves the
basis.

↓
Iteration [1] Basic x1 x2 x3 x4 s1 s2 s3 RHS
C 0 15 −1/20 21/2 0 3/2 0 0
s1 0 −15 −3/100 15/2 1 −1/2 0 0 7
x1 1 −180 −1/25 6 0 2 0 0 7
← s3 0 0 1 0 0 0 1 1 Ratio= 1

Here, I0 = {3}. Therefore, xB3 = s3 leaves.

Iteration [2] Basic x1 x2 x3 x4 s1 s2 s3 RHS Optimal

C 0 15 0 21/2 0 3/2 1/20 1/20 Tableau
s1 0 −15 0 15/2 1 −1/2 3/100 3/100
x1 1 −180 0 6 0 2 1/25 1/25
x3 0 0 1 0 0 0 1 1

2.7.2 Alternative Optima

Recall from example (1.14) of Section 1.4 that for some LPs, more than one
extreme point is optimal. If an LP has more than one optimal solution, then
we say that it has multiple or alternative optimal solutions. An LP problem
may have an infinite number of alternative optima when the objective function
is parallel to a nonredundant binding constraint. The existence of alternative
can be detected in the optimal tableau by examining row 0 coefficients of the

57
nonbasic variables. The zero coefficient of nonbasic xj indicates that xj can
be made basic, altering the values of the basic variables without changing the
value of z.
In practice, alternative optima are useful because we can choose from many
solutions without experiencing deterioration in the objective value. If the exam-
ple represents a product-mix situation, it may be advantageous to market two
products instead of one.

Example 2.12. Solve the following LP problem.

max z = 2x1 + 4x2
s.t. x1 + 2x2 ≤ 5
x1 + x2 ≤ 4
x1 , x2 ≥ 0
Solution: By adding slack variables s1 and s2 , we obtain the LP in standard
form
max z − 2x1 − 4x2 = 0
s.t. x1 + 2x2 + s1 = 5
x1 + x2 + s 2 = 4
x1 , x2 , s1 , s2 ≥ 0
The initial tableau and all following tableaus until the optimal solution is reached
are shown below.
↓
Iteration [0] Basic x1 x2 s1 s2 RHS
z −2 −4 0 0 0
← s1 1 2 1 0 5 Ratio= 5/2
s2 1 1 0 1 4 Ratio= 4/1 = 4
↓
Iteration [1] Basic x1 x2 s1 s2 RHS Optimal
z 0 0 2 0 10 Tableau
x2 1/2 1 1/2 0 5/2 Ratio= 5/2 ÷ 1/2 = 5
← s2 1/2 0 −1/2 1 3/2 Ratio= 3/2 ÷ 3/2 = 3

Iteration [2] Basic x1 x2 s1 s2 RHS Alternative

z 0 0 2 0 10 Optima
x2 0 1 1 −1 1
x1 1 0 −1 2 3

Mathematically, we can determine
all the points (x1 , x2 ) on the line segment
joining the optimal solutions 0, 25 and (3, 1) as follows:

x1 = t(0)
+ (1 − t)(3) = 3 − 3t
; 0≤t≤1
x2 = t 25 + (1 − t)(1) = 1 + 3t
2

58
2.7.3 Unbounded Solutions
In some LP models, as in example (1.16) of Section 1.4, the solution space is
unbounded in at least one variable, meaning that variables may be increased
indefinitely without violating any of the constraints. The associated objective
value may also be unbounded in this case. An unbounded LP for a max problem
occurs when a variable with a negative coefficient (positive for min LP) in row
0 has a nonpositive coefficient in each constraint.
An unbounded solution space may signal that the model is poorly con-
structed. The most likely irregularity in such models is that some key con-
straints have not been accounted for. Another possibility is that estimates of
the constraint coefficients may not be accurate.

Example 2.13. Solve the following LP problem.

max z = 2x1 + x2
s.t. x1 − x2 ≤ 10
2x1 ≤ 40
x1 , x2 ≥ 0
Solution: By adding slack variables s1 and s2 , we obtain the LP in standard
form
max z − 2x1 − x2 = 0
s.t. x1 − x2 + s1 = 10
2x1 + s2 = 40
x1 , x2 , s1 , s2 ≥ 0
The initial tableau and all following tableaus until the optimal solution is reached
are shown below.

Iteration [0] Basic x1 x2 s1 s2 RHS

z −2 −1 0 0 0
s1 1 −1 1 0 10
s2 2 0 0 1 40
In the starting tableau, both x1 and x2 have negative z−equation coefficients,
meaning that an increase in their values will increase the objective value. Al-
though x1 should be the entering variable (it has the most negative z−coefficient),
we note that all the constraint coefficients under x2 are ≤ 0, meaning that x2
can be increased indefinitely without violating any of the constraints. The result
is that z can be increased indefinitely.

2.7.4 Nonexisting (or Infeasible) Solutions

LP models with inconsistent constraints have no feasible solution, see example
(1.15) of Section 1.4. This situation does not occur if all the constraints are

59
of the type ≤ with nonnegative right-hand sides because the slacks provide
an obvious feasible solution. For other types of constraints, penalized artificial
variables are used to start the solution. If at least one artificial variable is
positive in the optimum iteration, then the LP has no feasible solution. From
the practical standpoint, an infeasible space points to the possibility that the
model is not formulated correctly.

Example 2.14. Solve the following LP problem.

max z = 3x1 + 2x2
s.t. 2x1 + x2 ≤ 2
3x1 + 4x2 ≥ 12
x1 , x2 ≥ 0
Solution: To convert the constraint to equations, use s1 as a slack in the first
constraint and e2 as a surplus in the second constraint.

2x1 + x2 + s1 = 2
3x1 + 4x2 − e2 = 12

We add the artificial variables a2 in the second equation and penalize it in the
objective function with −M a2 = −100a2 (because we are maximizing). The
resulting LP becomes
max z = 3x1 + 2x2 − 100a2
s.t. 2x1 + x2 + s1 = 2
3x1 + 4x2 − e2 + a2 = 12
x1 , x2 , s1 , e2 , a2 ≥ 0
After writing the objective function as z − 3x1 − 2x2 + 100a2 = 0, the initial
tableau will be and all following tableaus until the optimal solution is reached
are shown below.
Iteration [0] Basic x1 x2 s1 e2 a2 RHS
z −3 −2 0 0 100 0
s1 2 1 1 0 0 2
a2 3 4 0 −1 1 12
↓
Iteration [0] Basic x1 x2 s1 e2 a2 RHS
z −303 −402 0 100 0 −1200
← s1 2 1 1 0 0 2 Ratio= 2/1 = 2
a2 3 4 0 −1 1 12 Ratio= 12/4 = 3

Iteration [1] Basic x1 x2 s1 e2 a2 RHS Optimal

z 501 0 402 100 0 −396 Tableau
x2 2 1 1 0 0 2
a2 −5 0 −4 −1 1 4

60
Optimum iteration 1 shows that the artificial variable a2 is positive (= 4),
meaning that the LP is infeasible. The result is what we may call a pseudo-
optimal solution.
Exercise 2.6.
1. Consider the following LP:

max z = 3x1 + 2x2

s.t. 4x1 − x2 ≤ 4
4x1 + 3x2 ≤ 6
4x1 + x2 ≤ 4
x1 , x2 ≥ 0

(a) Show that the associated simplex iterations are temporarily degen-
erate. How many iterations are needed to reach the optimum?
(b) Verify the result by solving the problem graphically.
(c) Interchange constraints (1) and (3) and resolve the problem. How
many iterations are needed to solve the problem?

2. Solve the following problem, using the lexicographic rule for noncycling.
Repeat using Bland’s Rule:

max z = x1 + 2x2 + x3
s.t. x1 + 4x2 + 3x3 ≤ 4
−x1 + x2 + 4x3 ≤ 1
x1 + 3x2 + x3 ≤ 6
x1 , x2 , x3 ≥ 0

3. For the following LP, identify three alternative optimal basic solutions.

max z = x1 + 2x2 + 3x3

s.t. x1 + 2x2 + 3x3 ≤ 10
x1 + x2 ≤ 5
x1 ≤ 1
x1 , x2 , x3 ≥ 0

4. Solve the following LP:

max z = 2x1 − x2 + 3x3

s.t. x1 − x2 + 5x3 ≤ 5
2x1 − x2 + 3x3 ≤ 20
x1 , x2 , x3 ≥ 0

From the optimal tableau, show that all the alternative optima are not
corner points (i.e., nonbasic).

61
5. For the following LP, show that the optimal solution is degenerate and
that none of the alternative solutions are corner points.

max z = 3x1 + x2
s.t. x1 + 2x2 ≤ 5
x1 + x2 − x3 ≤ 2
7x1 + 3x2 − 5x3 ≤ 20
x1 , x2 , x3 ≥ 0

6. Consider the LP:

max z = 20x1 + 5x2 + x3

s.t. 3x1 + 5x2 − 5x3 ≤ 50
x1 ≤ 10
x1 + 3x2 − 4x3 ≤ 20
x1 , x2 , x3 ≥ 0

(a) By inspecting the constraints, determine the direction (x1 , x2 , x3 ) in

which the solution space is unbounded.
(b) Without further computations, what can you conclude regarding the
optimum objective value?

7. Consider the LP model

max z = 3x1 + 2x2 + 3x3

s.t. 2x1 + x2 + x3 ≤ 4
3x1 + 4x2 + 2x3 ≥ 16
x1 , x2 , x3 ≥ 0

Use hand computations to show that the optimal solution can include an
artificial basic variable at zero level. Does the problem have a feasible
optimal solution?

8. The following tableau represents a specific simplex iteration. All variables

are nonnegative. The tableau is not optimal for either maximization or
minimization. Thus, when a nonbasic variable enters the solution, it can
either increase or decrease z or leave it unchanged, depending on the
parameters of the entering nonbasic variable.

Basic x1 x2 x3 x4 x5 x6 x7 x8 RHS
z 0 −5 0 4 −1 −10 0 0 620
x8 0 3 0 −2 −3 −1 5 1 12
x3 0 1 1 3 1 0 3 0 6
x1 1 −1 0 0 6 −4 0 0 0

62
 (a) Categorize the variables as basic and nonbasic, and provide the cur-
rent values of all the variables.
(b) Assuming that the problem is of the maximization type, identify the
nonbasic variables that have the potential to improve the value of
z. If each such variable enters the basic solution, determine the
associated leaving variable, if any, and the associated change in z.
(c) Repeat part (b) assuming that the problem is of the minimization
type.
(d) Which nonbasic variable(s) will not cause a change in the value of z
when selected to enter the solution?

9. You are given the tableau shown below for a maximization problem.

Basic x1 x2 x3 x4 x5 RHS
z −c 2 0 0 0 10
x3 −1 a1 1 0 0 4
x4 a2 −4 0 1 0 1
x5 a3 3 0 0 1 b

Give conditions on the unknowns a1 , a2 , a3 , b, and c that make the

following statements true:

(a) The current solution is optimal.

(b) The current solution is optimal, and there are alternative optimal
solutions.
(c) The LP is unbounded (in this part, assume that b ≥ 0).

10. Suppose we have obtained the tableau shown below for a maximization
problem.

Basic x1 x2 x3 x4 x5 x6 RHS
z c1 c2 0 0 0 0 10
x3 4 a1 1 0 a2 0 b
x4 −1 −5 0 1 −1 0 2
x6 a3 −3 0 0 −4 1 3

State conditions on a1 , a2 , a3 , b, c1 , and c2 that are required to make

the following statements true:

(a) The current solution is optimal, and there are alternative optimal
solutions.
(b) The current basic solution is not a basic feasible solution.
(c) The current basic solution is a degenerate bfs.

63
 (d) The current basic solution is feasible, but the LP is unbounded.
(e) The current basic solution is feasible, but the objective function value
can be improved by replacing x6 as a basic variable with x1 .

11. The starting and current tableaux of a given problem are shown below.
Find the values of the unknowns a through n.

Starting Basic x1 x2 x3 x4 x5 RHS

Tableau z a 1 −3 0 0 0
x4 b c d 1 0 6
x5 −1 2 e 0 1 1
Current Basic x1 x2 x3 x4 x5 RHS
Tableau z 0 −1/3 j k ` n
x1 g 2/3 2/3 2/3 0 f
x5 h i −1/3 2/3 1 m

64