Linear Programming Method For Engineering Management

INTRODUCTION TO
MANAGEMENT
SCIENCE, 13e
Anderson
Sweeney
Williams
Martin
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Slides by
JOHN
LOUCKS
St. Edwards
University
Chapter 17
Linear Programming: Simplex Method
An Overview of the Simplex Method

Standard Form
Tableau Form
Setting Up the Initial Simplex Tableau
Improving the Solution
Calculating the Next Tableau
Solving a Minimization Problem
Special Cases
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Overview of the Simplex Method
Steps Leading to the Simplex

Method
Formulate
Problem
as LP
Put In
Standard
Form
Put In
Tableau
Form
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Execute
Simplex
Method
Example: Initial Formulation
A Maximization Problem
Max
50x1 +40x2
s. t.
3x1 + 5x2 < 150

1x2 < 20
8x1 +5x2 < 300
x1 , x2 > 0
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Standard Form
Simplex method
start the initial
solution by zero
profit with zero
production
X1 =0,
X2=0,
Thus,
S1=150
S2=20
and
S3=300
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Tableau Form
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Example: Simplex Method
Initial Simplex Tableau

x1
Basis cB
s3
s1
s2
0
0
zj
cj - zj
50
x2 x1 s2 s3
40 0
Z1=(0*3+0*0+
0*8)
3
5
1 0 0 150
Z2=(0*5+0*1+
0
1
0 1 0 20
0*5)
8
5
0 0 1 Z300
3=(0*1+0*0+
0*0)
50 40
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x1
Basis cB
Pivot
elemen
t
s3
50 40 0
s1
150/3
150
s2
20/0
20
0
zj
Highest
positive
value
x2 x1 s2 s3
cj - zj
5
0
300/8
300
50 40
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Least
positive
value

x1
Basis cB
x1
s1
s2
0
50
S1
x2 x 1 s2 s3
50 40
3 - (31)
5 - (35/8)
1 - (30/8)
0 - (30/8)
0 - (31/8)
S2
8/8
5/8
0/8
0/8
1/8
300/8
zj
cj - zj
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0 - (01)
1 - (05/8)
0 - (00/8)
1 - (00/8)
0 - (01/8)
Pivot
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Least
positive
value
10
All values are either

zero or minus
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11
If there is another constrain (larger than or

equal)
Example: X1+X2 25
The initial solution
will give us the
following
Clearly this solution is not a basic feasible solution because s4

25 violates the non negativity requirement.
To set up the tableau form, we shall resort to a mathematical trick
that will enable us to find an initial basic feasible solution in terms of
the slack variables s1, s2, and s3 and a new variable we shall denote
a4. The new variable constitutes the mathematical trick. Variable a4
really has nothing to do with the HighTech problem; it merely enables
us to set up the tableau form and thus obtain an initial basic feasible
solution.
This
new variable,
whichAll
has
beenReserved
artificially created12
to start
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The way in which we guarantee that artificial variables will be

eliminated before the optimal solution is reached is to assign each
artificial variable a very large cost in the objective function. For
example, in the modified HighTech problem, we could assign a very large
negative number as the profit coefficient for artificial variable a4. Hence, if
this variable is in the basis, it will substantially reduce profits. As a result,
this variable will be eliminated from the basis as soon as possible, which is
precisely what we want to happen.
Assume that -100,000 for the profit coefficient, we will

denote the profit coefficient of each artificial variable by M.
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Because the variables s1, s2, s3, and a4 each appear in a different constraint
with a coefficient of 1, and the right-hand-side values are nonnegative, both
requirements of the tableau form have been satisfied. We can now obtain an
initial basic feasible solution by setting x1 x2 s4 = 0.
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After this step, (a4)can be dropped from the simplex

tableau as soon as they have been eliminated from
the basic feasible solution.
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Final solution
Al the values are zero and

minus
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Simplex Tableau
The simplex tableau is a convenient means for

performing the calculations required by the
simplex method.
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Setting Up Initial Simplex Tableau
Step 1: If the problem is a minimization

problem,
multiply the objective function by -1.
Step 2: If the problem formulation contains

any
constraints with negative right-hand
sides,
multiply each constraint by -1.
Step 3: Add a slack variable to each <

constraint.
Step 4: Subtract a surplus variable and add an

artificial variable to each > constraint.
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Setting Up Initial Simplex Tableau
Step 5: Add an artificial variable to each =

constraint.
Step 6: Set each slack and surplus variable's

coefficient in the objective function
equal to
zero.
Step 7: Set each artificial variable's coefficient

in the
objective function equal to -M, where M
is a
very large number.
Step 8: Each slack and artificial variable

becomes one
of the basic variables in the initial basic
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Simplex Method
Step 1: Determine Entering Variable
Identify the variable with the most positive
value in the cj - zj row. (The entering column
is called the pivot column.)
Step 2: Determine Leaving Variable
For each positive number in the entering
column, compute the ratio of the right-hand
side values divided by these entering
column values.
If there are no positive values in the
entering column, STOP; the problem is
unbounded.
Otherwise, select the variable with the
minimal
ratio.
(The
is called the
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Learning. All Rights Reserved.
May not be scanned,
copiedleaving
duplicated, or postedrow
to a
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Simplex Method
Step 3: Generate Next Tableau

Divide the pivot row by the pivot element
(the entry at the intersection of the pivot
row and pivot column) to get a new row. We
denote this new row as (row *).
Replace each non-pivot row i with:
[new row i] = [current row i] - [(aij) x (row
*)],
where aij is the value in entering column j
of row i
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Example: Initial Formulation
A Minimization Problem
Min
s. t.
2x1 - 3x2 - 4x3

x1 + x2 + x3 < 30
2x1 + x2 + 3x3 > 60
x1 - x2 + 2x3 = 20
x1, x2, x3 > 0
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Standard Form
An LP is in standard form when:

All variables are non-negative
All constraints are equalities
Putting an LP formulation into standard form
involves:
Adding slack variables to < constraints
Subtracting surplus variables from >
constraints.
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Example: Standard Form
Problem in Standard Form

Min
2x1 - 3x2 - 4x3

s. t.
30
60
20
x1 + x2 + x3 + s1
2x1 + x2 + 3x3
- s2 =
x1 - x2 + 2x3
x1, x2, x3, s1, s2 > 0

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Tableau Form
A set of equations is in tableau form if for each

equation:
its right hand side (RHS) is non-negative, and
there is a basic variable. (A basic variable
for an equation is a variable whose
coefficient in the equation is +1 and whose
coefficient in all other equations of the
problem is 0.)
To generate an initial tableau form:
An artificial variable must be

added to each constraint that
does not have a basic variable.
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Example: Tableau Form
Problem in Tableau Form

Min
2x1 - 3x2 - 4x3 + 0s1 - 0s2 + Ma2 + Ma3
s. t.
= 30
= 60
20
x1 + x2 + x3 + s1
2x1 + x2 + 3x3
x1 - x2 + 2x3
- s2 +
a2
+ a3 =
x1, x2, x3, s1, s2, a2, a3 > 0

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Simplex Method
Step 4: Calculate zj Row for New Tableau
For each column j, multiply the objective

function coefficients of the basic variables by
the corresponding numbers in column j and
sum them.
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Simplex Method
Step 5: Calculate cj - zj Row for New Tableau
For each column j, subtract the zj row from the

cj row.
If none of the values in the cj - zj row are

positive, GO TO STEP 1.
If there is an artificial variable in the basis with
a positive value, the problem is infeasible.
STOP.
Otherwise, an optimal solution has been found.
The current values of the basic variables are
optimal. The optimal values of the non-basic
variables are all zero.
If any non-basic variable's cj - zj value is 0,
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alternate
optimal solutions
might exist. STOP.
Solve the following problem by the simplex

method:
Max
s.t.
12x1 + 18x2 + 10x3

2x1 + 3x2 +
4x3 <
50
x1 -
x2 -
x3 > 0
x2 - 1.5x3 > 0
x1, x2, x3 > 0
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Writing the Problem in Tableau Form

We can avoid introducing artificial variables
to the second and third constraints by
multiplying each by -1 (making them <
constraints). Thus, slack variables s1, s2, and s3
are added to the three constraints.
Max
12x1 + 18x2 + 10x3 + 0s1 + 0s2 +
0s3
s.t.
= 50
2x1 + 3x2 +
- x1 +
x2 +
4x3 + s1
x3
+ s2
= 0
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or duplicated,
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- copied
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3
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+
32

x1
Basis cB
s1
x2 x3 s1 s2 s3
12 18 10
s2
0
0 (* row)
s3
0
-1
50
zj
-1 1.5 0
0
0
0
0
c - zj
12All 18
0
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Iteration 1
Step 1: Determine the Entering Variable
The most positive cj - zj = 18. Thus x2 is the
entering variable.
Step 2: Determine the Leaving Variable
Take the ratio between the right hand side
and
positive numbers in the x2 column:
50/3 = 16 2/3
0/1 = 0
minimum
s2 is the leaving variable and the 1 is the
pivot
element.
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Iteration 1 (continued)
Step 3: Generate New Tableau
Divide the second row by 1, the pivot
element. Call the "new" (in this case,
unchanged) row the "* row".
Subtract 3 x (* row) from row 1.
Subtract -1 x (* row) from row 3.
New rows 1, 2, and 3 are shown in the
upcoming tableau.
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The new zj row values are obtained by
multiplying the cB column by each column,
element by element and summing.
For example, z1 = 5(0) + -1(18) + -1(0) =
-18.
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The new cj-zj row values are obtained by
subtracting zj value in a column from the cj
value
in the same column.
For example, c1-z1 = 12 - (-18) = 30.
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Iteration 1 (continued) - New Tableau

x1
Basis cB
x2 x3 s1 s2 s3
12 18 10
s1
0
5
0
1 1 -3 0
50 (* row)
x2 18
-1
1
1 0 1 0
0
s3
0
-1 0 2.5 0
1 1
0
zj
-18 18 18
0 18
cj - May
zj not be scanned,
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0 or-8
-18
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0
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Iteration 2
Step 1: Determine the Entering Variable
The most positive cj - zj = 30. x1 is the
entering
variable.
Step 2: Determine the Leaving Variable
Take the ratio between the right hand side
and
positive numbers in the x1 column:
10/5 = 2
minimum
There are no ratios for the second and
third rows because their column elements (-1)
are negative.
Thus, s1 (corresponding to row 1) is the
leaving
variable and 5 is the pivot element.
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Step 3: Generate New Tableau
Divide row 1 by 5, the pivot element. (Call
this new row 1 the "* row").
Subtract (-1) x (* row) from the second row.
Subtract (-1) x (* row) from the third row.
The new zj row values are obtained by
multiplying the cB column by each
column,
element by element and summing.
For example, z3 = .2(12) + 1.2(18) + .2(0)

= 24.
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The new cj-zj row values are obtained by
subtracting zj value in a column from the cj
value
in the same column.
For example, c3-z3 = 10 - (24) = -14.
Since there are no positive numbers in the
cj - zj row, this tableau is optimal. The optimal
solution is: x1 = 10; x2 = 10; x3 = 0; s1 = 0; s2
= 0 s3 = 10, and the optimal value of the
objective function is 300.
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Iteration 2 (continued) Final Tableau

x1
x2 x3
s1 s2 s3
Basis cB 12 18 10
x1 12
1
0 .2 .2 -.6 0
10 (* row)
x2 18
0
1 1.2 .2 .4 0
10
s3
0
0
0 2.7 .2 .4 1
10
zj
12 18
24
0 -14 -6
300
cj - zj
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Special Cases
Infeasibility
Unboundedness
Alternative Optimal Solution
Degeneracy
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Infeasibility
Infeasibility is detected in the simplex method

when an artificial variable remains positive in
the final tableau.
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Example: Infeasibility
LP Formulation
Max
2x1 + 6x2
s. t.
4x1 + 3x2 < 12

2x1 + x2 > 8
x1, x2 > 0
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Final Tableau
x1 x2 s1
Basis CB 2 6
x1 2 1
a2
-M 0
s2 a2
3/4
-1/2
0
1/4
-M
0
0 3
-1/2
zj 2 (1/2)M (1/2)M
+3/2 +1/2
-1
M
+6
cj - zj 0 -(1/2)M -(1/2)M
+9/2
-1/2
1 2
-M
-M
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-2M
0
46
In the previous slide we see that the tableau
is the final tableau because all cj - zj < 0.
However, an artificial variable is still positive,
so the problem is infeasible.
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Unboundedness
A linear program has an unbounded solution if

all entries in an entering column are nonpositive.
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Example: Unboundedness
LP Formulation
Max
2x1 + 6x2
s. t.
3x2 > 12
x2 >
4x1 +
2x1 +
x1, x2
> 0
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Final Tableau
x1 x2 s1 s2
Basis cB 3 4 0
x2 4 3 1 0 -1 8
s1 0 2 0 1 -1 3
zj 12 4 0 -4 32
cj - zj -9 0 0
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In the previous slide we see that c4 - z4 = 4
(is positive), but its column is all non-positive.
This indicates that the problem is unbounded.
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Alternative Optimal Solution
A linear program has alternate optimal

solutions if the final tableau has a cj - zj value
equal to 0 for a non-basic variable.
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Example: Alternative Optimal Solution
Final Tableau
x1
Basis cB
x2 x3 s1 s2
s3
s4
s3
-2
x2
-1
x1
-1
s4
12
zj
cj zj
4
0
6
0
10
0 -10
0
0
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0
0
32
0
53

In the previous slide we see that the optimal
solution is:
x1 = 4, x2 = 6, x3 = 0, and z = 32
Note that x3 is non-basic and its c3 - z3 = 0.
This 0 indicates that if x3 were increased, the
value of the objective function would not change.
Another optimal solution can be found by
choosing x3 as the entering variable and
performing one iteration of the simplex method.
The new tableau on the next slide shows an
alternative optimal solution is:
x1 = 7, x2 = 0, x3 = 3, and z = 32
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New Tableau
x1
Basis cB 2
s3
2
x3
x1
s4
3
7
9
x2
x3
s1
s2
s3
s4
00
0 0
-1
-1 1
6 0
.5
- .5
2 1
.5
1.5
0 0
- .5
2.5
zj 2
4
6
10
0 0
0
32
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Degeneracy
A degenerate solution to a linear program is

one in which at least one of the basic variables
equals 0.
This can occur at formulation or if there is a tie
for the minimizing value in the ratio test to
determine the leaving variable.
When degeneracy occurs, an optimal solution
may have been attained even though some cj
zj > 0.
Thus, the condition that cj zj < 0 is sufficient
for optimality, but not necessary.
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End of Chapter 17
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Linear Programming Method For Engineering Management

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INTRODUCTION TO

An Overview of the Simplex Method

Overview of the Simplex Method

Steps Leading to the Simplex

Example: Initial Formulation

3x1 + 5x2 < 150

Example: Simplex Method

Initial Simplex Tableau

Example: Simplex Method

Initial Simplex Tableau

Example: Simplex Method

Initial Simplex Tableau

All values are either

If there is another constrain (larger than or

Clearly this solution is not a basic feasible solution because s4

The way in which we guarantee that artificial variables will be

Assume that -100,000 for the profit coefficient, we will

After this step, (a4)can be dropped from the simplex

Al the values are zero and

The simplex tableau is a convenient means for

Setting Up Initial Simplex Tableau

Step 1: If the problem is a minimization

Step 2: If the problem formulation contains

Step 3: Add a slack variable to each <

Step 4: Subtract a surplus variable and add an

Setting Up Initial Simplex Tableau

Step 5: Add an artificial variable to each =

Step 6: Set each slack and surplus variable's

Step 7: Set each artificial variable's coefficient

Step 8: Each slack and artificial variable

publicly accessible website, in whole or in part.

Step 3: Generate Next Tableau

Example: Initial Formulation

2x1 - 3x2 - 4x3

x1, x2, x3 > 0

An LP is in standard form when:

Example: Standard Form

Problem in Standard Form

2x1 - 3x2 - 4x3

x1, x2, x3, s1, s2 > 0

A set of equations is in tableau form if for each

An artificial variable must be

Example: Tableau Form

Problem in Tableau Form

2x1 - 3x2 - 4x3 + 0s1 - 0s2 + Ma2 + Ma3

x1, x2, x3, s1, s2, a2, a3 > 0

Step 4: Calculate zj Row for New Tableau

For each column j, multiply the objective

Step 5: Calculate cj - zj Row for New Tableau

For each column j, subtract the zj row from the

If none of the values in the cj - zj row are

Example: Simplex Method

Solve the following problem by the simplex

12x1 + 18x2 + 10x3

Example: Simplex Method

Writing the Problem in Tableau Form

12x1 + 18x2 + 10x3 + 0s1 + 0s2 +

Example: Simplex Method

Initial Simplex Tableau