ISE 203 OR I

Chapter 4
Solving Linear Programming Problems:
The Simplex Method
Asst. Prof. Dr. Nergiz Kasımbeyli
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 The SIMPLEX Method
• Simplex method is an algebraic procedure
• However, its underlying concepts are
geometric
• Understanding these geometric concepts
helps before going into their algebraic
equivalents

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• In this example, the point of intersection of two constraint boundaries are the
corner-point solutions of the problem.
• For a linear programming problem with n decision variables, each corner point
solution lies at the intersection point of n constraints.
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•The points that lie on the corners of the feasible region are the corner-point
feasible (CPF) solutions or extreme points.

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 Edges
• For any LP problem with n decision variables, two
extreme points are adjacent to each other if they
share n-1 constraint boundaries. The two adjacent
extreme points are connected by a line segment that
lies on these same shared constraint boundaries.
Such a line segment is referred to as an edge of the
feasible region.

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An edge of
the feasible
region
 Optimality test

Consider any LP problem that possesses at least one

optimal solution. If a CPF solution has no adjacent CPF
solutions that are better (as measured by Z), then it
must be an optimal solution. (This is due to the fact
that the feasible region is a convex set, we will see in
Chapter 5)
• (2,6) must be optimal since Z=36 is greater than Z=30
for (0,6) and Z=27 for (4,3).
• This is the optimality test used by Simplex.
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The Simplex Method in a Nutshell

Initialization
(Find initial CPF solution)

Is the current Yes

CPF solution Stop
optimal?

No
Move to a better
adjacent CPF solution

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Introducing slack variables x3, x4 and x5 to convert inequalities
into equalities – Convert LP to Augmented Form

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 Slack variables
• Slack variable = 0 in the current solution  This
solution lies on the constraint boundary for the
corresponding functional constraint.  Feasible
solution, Binding constraint
• If slack variable ≥ 0 the solution lies on the feasible
side of this constraint boundary.  Feasible
solution, Nonbinding constraint
• If slack variable ≤ 0, the solution lies on the
infeasible side of this constraint boundary. 
Infeasible solution
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‘Language’ of the Simplex Method

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 Initial Assumptions
• All constraints are of the form ≤

• All right-hand-side values (bj, j=1, …,m) are

positive

• We’ll learn how to address other forms later

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 The Augmented Form
Set up the method first:
Convert inequality constraints to equality constraints by adding slack variables

Augmented (Standard) Form

Original Form

Maximize Z = 3x1+ 5x2

Maximize Z = 3x1+ 5x2

subject to x1 +s1 =4
subject to x1 ≤4
2x2 +s2 = 12
2x2 ≤ 12
3x1+ 2x2 +s3 = 18
3x1+ 2x2 ≤ 18

x1,x2 , s1, s2, s3 ≥ 0

x1,x2 ≥ 0
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 Basic and Basic Feasible Solutions
X2
Augmented Form
(0,9,4,-6,0)
Maximize Z= 3x1+ 5x2

subject to x1 +s1 =4
2x2 +s2 = 12
3x1+ 2x2 +s3 = 18
(0,6,4,0,6) (2,6,2,0,0) (4,6,0,0,-6)
x1,x2, s1, s2, s3 ≥ 0

• Augmented solution
(2,3,2,6,6)
(4,3,0,6,0)
• Basic infeasible solution

• Basic feasible solution (BFS)

(0,2,4,8,14)
• Nonbasic feasible solution
(0,0,4,12,18) (4,0,0,12,6) (6,0,-2,12,0)

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 Basic, Nonbasic Solutions and the Basis

• In an LP, number of variables > number of equations

• The difference is the degrees of freedom of the system
– e.g. in Wyndor Glass, degrees of freedom (d.f.)= 5-3=2
• Can set some variables (# = d.f.) to an arbitrary value (simplex
uses 0)
• These variables (set to 0) are called nonbasic variables
• The rest can be found by solving the remaining system: basis
• The basis: the set of basic variables
• If all basic variables are ≥ 0, we have a BFS
• Between two basic solutions, if their bases are the same
except for one variable, then they are adjacent
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 Algebra of the Simplex Method
Initialization
Maximize Z = 3x1+ 5x2

subject to x1 +s1 =4
2x2 +s2 = 12
3x1+ 2x2 +s3 = 18

x1,x2, s1, s2, s3 ≥ 0

• Find an initial basic feasible solution

• If possible, use the origin as the initial CPF solution
• Equivalent to:
Choose original variables to be nonbasic (xi=0, i=1,…n) and let the slack
variables be basic (sj=bj, j=1,…m))

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 Algebra of the Simplex Method
Optimality Test
Maximize Z = 3x1+ 5x2

subject to x1 +s1 =4
2x2 +s2 = 12
3x1+ 2x2 +s3 = 18

x1,x2, s1, s2, s3 ≥ 0

• Are any adjacent BF solutions better than the current one?
• Rewrite Z in terms of nonbasic variables and investigate rate of improvement
• Current nonbasic variables: x1, x2
• Corresponding Z= 0

• Optimal? No. If I increase the value of one of the nonbasic variables from 0
to a positive value, the objective function will increase.

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 Algebra of the Simplex Method
Step 1 of Iteration 1: Direction of Movement
Maximize Z = 3x1+ 5x2

subject to x1 +s1 =4
2x2 +s2 = 12
3x1+ 2x2 +s3 = 18

x1,x2, s1, s2, s3 ≥ 0

• Which edge to move on?

• Determine the direction of movement by selecting the entering
variable (variable ‘entering’ the basis)
• Choose the direction of steepest ascent (increase, since maximization)
– x1: Rate of improvement in Z =3
– x2: Rate of improvement in Z =5
• Entering basic variable = x2 (pivot column)
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 Algebra of the Simplex Method
Step 2 of Iteration 1: Where to Stop
Maximize Z = 3x1+ 5x2

subject to x1 +s1 =4 (1)

2x2 +s2 = 12 (2)
3x1+ 2x2 +s3 = 18 (3)

x1,x2, s1, s2, s3 ≥ 0

• How far can we go?
• Determine where to stop by selecting the leaving variable (variable ‘leaving’ the basis)
• Increasing the value of x2 decreases the value of basic variables.
• The minimum ratio test
– Constraint (1): x1 ≤ 4 no bound on x2 (s1= 4 - x1 ≥ 0)
– Constraint (2): 2x2+ s2= 12  x2 can be increased up to 6 before s2= 0. Min. Ratio
– Constraint (3): 3x1+ 2x2+s3 = 18  x2 can be increased up to 9 before s3= 0.
• Leaving basic variable = s2 (pivot row)

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 Algebra of the Simplex Method
Step 3 of Iteration 1: Solving for the New BF Solution
Z- 3x1- 5x2 =0 (0)

x1 +s1 =4 (1)
2x2 +s2 = 12 (2)
3x1+ 2x2 +s3 = 18 (3)

Z- 3x1+ + 5/2 s2 = 30 (0)

x1 +s1 =4 (1)
x2 + 1/2 s2 =6 (2)
3x1 - s2 + s3 = 6 (3)
• Convert the system of equations to a more proper form for the new BF
solution
• Elementary algebraic operations: Gaussian elimination
– Eliminate the entering basic variable (x2) from all but constraint 2 (pivot
row)
Since x1=0 and s2=0 we obtain (x1,x2,s1,s2,s3)= (0,6,4,0,6)
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 Algebra of the Simplex Method
Optimality Test
Z- 3x1+ + 5/2 s2 = 30 (0)

x1 +s1 =4 (1)
x2 + 1/2 s2 =6 (2)
3x1 - s2 + s3 = 6 (3)

• Are any adjacent BF solutions better than the current one?

• Rewrite Z in terms of nonbasic variables and investigate rate of
improvement
• Current nonbasic variables: x1, s2
• Corresponding Z= 30

• Optimal? No (increasing x1 increases Z value)

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 Algebra of the Simplex Method
Step 1 of Iteration 2: Direction of Movement

Z- 3x1+ + 5/2 s2 = 30 (0)

x1 +s1 =4 (1)
x2 + 1/2 s2 =6 (2)
3x1 - s2 + s3 = 6 (3)

• Which edge to move on?

• Determine the direction of movement by selecting the entering variable
(variable ‘entering’ the basis)
• Choose the direction of steepest ascent
– x1: Rate of improvement in Z = 3
– s2: Rate of improvement in Z = - 5/2
• Entering basic variable = x1

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 Algebra of the Simplex Method
Step 2 of Iteration 2: Where to Stop
Z- 3x1+ + 5/2 s2 = 30 (0)

x1 +s1 =4 (1)
x2 + 1/2 s2 =6 (2)
3x1 - s2 + s3 = 6 (3)

• How far can we go?

• Determine where to stop by selecting the leaving variable (variable ‘leaving’ the
basis)
• Increasing the value of x1 decreases the value of basic variables
• The minimum ratio test
– Constraint (1): x1 ≤ 4
– Constraint (2): no upper bound on x1
– Constraint (3): x1 ≤ 6/3= 2
• Leaving basic variable = s3

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 Algebra of the Simplex Method
Step 3 of Iteration 2: Solving for the New BF Solution
Z- 3x1+ + 5/2 s2 = 30 (0)

x1 +s1 =4 (1)
x2 + 1/2 s2 =6 (2)
3x1 - s2 + s3 = 6 (3)

• Convert the system of equations to a more proper form for the new BF
solution
• Elementary algebraic operations: Gaussian elimination
– Eliminate the entering basic variable (x1) from all but its equation
The next BF solution is (x1,x2,s1,s2,s3)= (2,6,2,0,0)

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 Algebra of the Simplex Method
Optimality Test
Z + 3/2 s2 + s3 = 36 (0)

+s1 + 1/3 s2 - 1/3 s3 = 2 (1)

x2 + 1/2 s2 =6 (2)
x1 - 1/3 s2 + 1/3 s3 = 2 (3)

• Are any adjacent BF solutions better than the current one?

• Rewrite Z in terms of nonbasic variables and investigate rate of
improvement
• Current nonbasic variables: s2, s3
• Corresponding Z= 36

• Optimal? yes

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 The Simplex Method in Tabular Form

• For convenience in performing the required calculations

• Record only the essential information of the (evolving) system
of equations in tableaux
– Coefficients of the variables
– Constants on the right-hand-sides
– Basic variables corresponding to equations

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Table 4.3
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Table 4.10
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