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DETERMINISTIC
OPERATIONS RESEARCH
Professor Emanuel Melachrinoudis
Mechanical and Industrial Engineering
Northeastern university
Boston, MA
FALL 2005

WHAT IS OPERATIONS RESEARCH (OR)

OR is the professional discipline that deals with the application of

scientific methods to decision making, especially to the allocation
of resources

OR uses analytical and numerical techniques to develop and

manipulate mathematical and computer models of organizational
systems composed of people, machines, and procedures

OR draws upon ideas from many diverse areas, such as,

engineering, management, mathematics and psychology to
contribute to a wide variety of application domain

OR is closely related to several other fields in the "Decision

Sciences" - Applied Mathematics, Computer Science,
Economics, Industrial Engineering and Systems Engineering.
Nobel Prizes in Economics for contributions that used OR
methodologies: Samuelson (Input/Output Model); Markowitz
(Portfolio Selection Model); Merton (Option Pricing)

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HISTORY OF OR

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During World War II by the British military

Research on military operations problems OR
Develop methods for effectively utilizing new defense
technologies, such as the radar
The air chief marshal directed the project for the Royal Air Force,
1938
This first OR project contributed to the first allied victory, the battle
of Britain, 1940
Rapid expansion of OR in the USA began in 1942, again as
military operations research
After the war, interest spread from the military to other government
organizations and to industry
In 1952 ORSA was founded by Professor Philip Morse of MIT
In 1995 ORSA merged with the Institute of Management Sciences
to form the INFORMS organization
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THEORY AND METHODS OF OR

By the early 1970's a large body of theory and
methods was developed.

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Linear Programming
Network analysis
Dynamic programming
Markov Chains
Queuing theory
Inventory theory
Game theory
Scheduling
Simulation
Multiple criteria decision making

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APPLICATION AREAS OF OR
Practitioners have successfully used the above
OR methods in many application areas, in
addition to military, such as:

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Manufacturing
Transportation
Telecommunications
Construction
Health care
Banking

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INTRODUCTION TO LINEAR PROGRAMMING

(LP)

LP was the first OR area, developed in the 1940's

The most common application of LP is the allocation of limited

resources to competing activities in the best possible (optimal)
way. For example,

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Allocating production facilities to products

Allocating limited funds to investment opportunities
Selection of shipping patterns
Agricultural planning

LP uses a mathematical model of the system.

Activity levels are represented by variables which are
used to define the measure of performance (objective function),
and restrictions of the problem are represented by functions in
equality or inequality forms (constraints)
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INTRODUCTION TO LINEAR PROGRAMMING

(LP)

The name linear programming stands for the linearity of the

functions used (linear), and the planning of activities
(programming)

The tremendous impact of LP is mostly due to the development of

the digital computer and of an efficient computational procedure
called simplex (Dantzig 1947)

New (interior point) methods were developed (N. Karmarkar, Bell

Laboratories,1984) which can solve large size problems.

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FINDING A SOLUTION TO THE SYSTEM OF

SIMULTANEOUS LINEAR EQUATIONS BY THE GAUSSJORDAN METHOD (GAUSSIAN ELIMINATION)
(1) 2 x1 + 2 x2 + x3 = 9 Select a variable in eq (1) with a

nonzero coefficient, (2).

It.(0) (2) 2 x1 x2 + 2 x3 = 6
(3) x x + 2 x = 5 eq (1) : pivot row; column of x : pivot
1
2
3
1

column; coeff. of x1 : pivot element

x3 9

(
1
)
x
+
x
+
=
1
2

2
2 new row (1) row (1)/2 ( step 1)

( 2 ) 2 x1 x 2 + 2 x 3 = 6 row (2) ( 2) pivot row + row(2)

(3) x x + 2 x = 5 row (3) ( 1) pivot row + row(3) ( step 2)

1
2
3

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x3 9

(1) x 1 + x2 + 2 = 2 repeat step 1 and 2. Pivot row row (2)

It.(1) (2) 3x2 + x3 = 3

pivot column column of x2

3
1
(3) 2 x2 + x3 =
pivot element (3)
2
2

(1) x 1

It.(2) (2)

(3)

It.(3)

repeat step 1 and 2. Pivot row row (3)

pivot column column of x3
5
pivot element
6

= 1 The variable values can be read

(1) x 1

PROPER (2)
FORM (3)

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5
7
x3 =
6
2
1
x 2 x3 = 1
3
5
5
x3 =
6
2
+

x2

= 2 from the RHS

x3 = 3

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Premultiplication by matrix inverse

The elementary row operations performed are equivalent to premultipling
the original matrix A by its inverse A -1 , i.e.,
Ax = b A 1Ax = A -1b Ix = A -1b x = A -1b
1

x1 2 2 1 9
2 2 1 x1 9
2 - 1 2 x = 6 x = 2 - 1 2 6
2

2

x3 1 - 1 2 5
1 - 1 2 x3 5

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MATRIX INVERSION
Augment square matrix A by I, [ AM I ] and perform elementary row operations, so that
matrix A is transformed into I

2 2 1 1 0 0 1 1

It .(0) [ AM I ] = 2 - 1 2 0 1 0, 2 - 1
1 - 1 2 0 0 1 1 - 1

1 1
0 0
1 1
2 2

It.(1) 0 - 3 1 -1 1 0 ,

3 1
0 - 2
0 1

2 2

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1 1

0 0
2 2

2 0 1 0 step 1
2 0 0 1

1
0

-1

It.(2) 0 1

5
0 0

6
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1 1
0
6 3

1 -1
0
3 3

1 -2
1
6 3
11

MATRIX INVERSION (CONT)

It.(3)

1 0 0 0

0 1 0 2

1
0 0 1

2
1

A A=
5
1

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-1

- 3 2
1
= IM A
5
5
-4 6
5 5
1

1 -1
2 2 1 1 0 0
- 3 2

2
1
2
0
1
0
=
= I and

5 5

- 4 6 1 - 1 2 0 0 1

5 5

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2
1

A b=
5
1

1 -1
9
- 3 2
6 =
5 5

- 4 6 5

5 5

1

2
3

12

LINEAR PROGRAMMING

PROTOTYPE EXAMPLE: WYNDOR GLASS CO.

c1 = $3/unit

Activity 1

Resource 1

c2 = $5/unit

Activity 2

a31 = 3

a11 = 1
hour/unit

Resource 2

Resource 3

a22 = 2

a32 = 2

x1

x2

Resource amount available: b1 = 4, b2 = 12, b3 = 18 (in hours/week)

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LINEAR PROGRAMMING FORMULATION AND

GRAPHICAL SOLUTION
Maximize z = 3x1 + 5x 2
x2

subject to

x1

(0, 9)

2x 2 12
3x 1 + 2 x2 18
x 1 0, x 2 0

z = 36
(0, 6)

Objective function
Constraints (functional and
non-negativity constraints)
Feasible region
Optimal solution

(2, 6)

z = 27
z = 20
z =15

(4, 6)

(4, 3)

(0, 0)
(4, 0)
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(6, 0)
14

x1

A LP THAT IS INFEASIBLE (INCONSISTENT)

Maximize z = 3x 1 + 5 x 2
subject to

x1

(0, 13.5)

x2

4
2x 2 12

3x 1 + 2 x 2 27
x 1 0, x 2 0.

(4, 6)
(0, 6)

x1

(0, 0)
(4, 0)

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(9, 0)
15

A LP THAT HAS MULTIPLE (ALTERNATIVE)

OPTIMAL SOLUTIONS
x2

Maximize z = 6x1 + 4 x2
subject to

x1

4
2x 2 12

3x1 + 2 x2 18
x1 0, x 2 0.

(0, 9)

(4, 6)

(0, 6)

Z = 36
Z = 24
Z = 12

(0, 0)
(4, 0) (6, 0)

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x1

16

A MINIMIZATION LP
x2

Minimize z = 3x 1 + 5 x2
subject to

x1

4
2x 2 12

(0, 9)
Z = 42

(4, 6)

(2, 6)
(0, 6)
Z = 27

3x 1 + 2 x 2 18
x 1 0, x 2 0.

(4, 3)

Z = 15

(0, 0)

x1

Z=0

(4, 0)

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(6, 0)

17

LINEAR PROGRAMMING MODEL IN A

STANDARD FORM
Algebraic Form:
max z = c1 x1 + c2 x 2 +...+ cn x n
subject to: a11 x1 + a12 x 2 +...+ a1n x n b1
a 21 x1 + a 22 x 2 +...+ a 2 n x n b2
M
M
M
M
a m1 x1 + a m2 x 2 +...+ a mn x n bm
x1 , x 2 ,..., x n 0

Matrix Form:
max z = cx
subject to Ax b
x0
c1
a11
a21

am1
x1

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c2

a12
a22

am2
x2

cn
a1n
a2n

amn

b1
b2

bm

xn

18

ASSUMPTIONS OF LINEAR PROGRAMMING

P r o p o r tio n a lity
A d d itiv ity

L IN E A R IT Y

D iv is ib ility
C e r ta in ty

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EXAMPLE FOR ENTERING IN THE COMPUTER

A LINGO MODEL

Select New from File menu and enter the model:

MODEL:
!Wyndor Glass Co. prototype example;
MAX= 3*x1 + 5*x2 ; !objective function;
x1
<= 4;
2*x2 <=12;
3*x1 + 2*x2 <=18;
end

To save a file : Select Save from File menu.

To generate a Report Window :

From LINGO menu ,

1. Select Generate Display model
2. Select Solve Solve model and display solution
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CONTENTS OF REPORT WINDOW

MODEL:
!Wyndor Glass Co. prototype example;
MAX= 3*x1 + 5*x2 ; !objective function;
x1
<= 4;
2*x2 <=12;
3*x1 + 2*x2 <=18;
end
MAX 3 X1 + 5 X2
SUBJECT TO
2] X1 <= 4
3] 2 X2 <= 12
4] 3 X1 + 2 X2 <= 18
END
Global optimal solution found at step:
2
Objective value:
36.00000
Variable
Value
Reduced Cost
X1
2.000000
0.0000000
X2
6.000000
0.0000000
Row Slack or Surplus
Dual Price
1
36.00000
1.000000
2
2.000000
0.0000000
3
0.0000000
1.500000
4
0.0000000
1.000000
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PROBLEM 3.4-13

A cargo plane has three

compartments for storing
cargo

COMPARTMENT

Front
Center
Back

WEIGHT
SPACE
CAPACITY CAPACITY
(TONS)
(CUBIC FEET)

12
18
10

Four cargoes have been

offered for shipment (partial
cargoes are acceptable)

CARGO WEIGHT VOLUME

(TONS) (CUBIC
FEET/TON)
1
2
3
4

7,000
9,000
5,000

20
16
25
13

500
700
600
400

PROFIT
($/TON)
320
400
360
290

The weight of the cargo in each compartment must be the same

proportion of that compartment's weight capacity
How would the airplane be loaded to maximize total profit for the
flight?

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MATHEMATICAL FORMULATION OF
PROBLEM 3.4-13
DECISION VARIABLES
WGTij: Amount (tons) of cargo type i loaded in compartment j
i = 1, 2, 3, 4
cargo type
j = 1, 2, 3
compartment: Front, Center, Back

OBJECTIVE FUNCTION
Max z = 320(WGT11 + WGT12 + WGT13)
+ 400(WGT21 + WGT22 + WGT23)
+ 360(WGT31 + WGT32 + WGT33)
+ 290(WGT41 + WGT42 + WGT43)

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CONSTRAINTS
S.T.

WGT11 + WGT12 + WGT13 20

WGT21 + WGT22 + WGT23 16
WGT31 + WGT32 + WGT33 25
WGT41 + WGT42 + WGT43 13
WGT11 + WGT21 + WGT31 + WGT41 12
WGT12 + WGT22 + WGT32+ WGT42 18
WGT13 + WGT23 + WGT33 + WGT43 10

Cargo
availability
constraints
Compartment
weight
capacity
constraints

500WGT11 + 700WGT21 + 600WGT31 + 400WGT41 7000

500WGT12 + 700WGT22 + 600WGT32 + 400WGT42 9000
500WGT13 + 700WGT23 + 600WGT33 + 400WGT43 5000

Compartment
volume
capacity
constraints

(WGT11 + WGT21 + WGT31 + WGT41 )/12

= (WGT12 + WGT22 + WGT32+ WGT42)/18
= (WGT13 + WGT23 + WGT33 + WGT43)/10
= RATIO

Compartment
weight
balance
constraints

WGTij 0, i =1, 2, 3, 4; j=1, 2, 3

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Lingo Modeling Language

! This model illustrates the modeling language feature of LINGO.
The model is divided into three segments: sets, equations and data;
! CARGO LOADING PROBLEM, 3.4-13;
SETS:
CARGO/1 .. 4/:PROFIT, LOAD, VOLTON;
COMP/1 .. 3/:WTCAP, VOLCAP;
LINKS(CARGO, COMP):WGT;
ENDSETS
MAX=@SUM(LINKS(I,J):PROFIT(I)*WGT(I,J)); !The Objective Function;
@FOR(CARGO(I):@SUM(COMP(J):WGT(I,J))<=LOAD(I));
@FOR(COMP(J):@SUM(CARGO(I):WGT(I,J))<=WTCAP(J));
@FOR(COMP(J):@SUM(CARGO(I):VOLTON(I)*WGT(I,J))<=VOLCAP(J));
@FOR(COMP(J):@SUM(CARGO(I):WGT(I,J))/WTCAP(J)= RATIO);
DATA:
PROFIT =320 400 360 290;
LOAD =20 16 25 13;
VOLTON =500 700 600 400;
WTCAP =12 18 10;
VOLCAP =7000 9000 5000;
ENDDATA
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Global optimal solution found at step:

6
Objective value:
13330.00
Variable
Value
Reduced Cost
RATIO
1.000000
0.0000000
PROFIT( 1)
320.0000
0.0000000
PROFIT( 2)
400.0000
0.0000000
PROFIT( 3)
360.0000
0.0000000
PROFIT( 4)
290.0000
0.0000000
LOAD( 1)
20.00000
0.0000000
LOAD( 2)
16.00000
0.0000000
LOAD( 3)
25.00000
0.0000000
LOAD( 4)
13.00000
0.0000000
VOLTON( 1)
500.0000
0.0000000
VOLTON( 2)
700.0000
0.0000000
VOLTON( 3)
600.0000
0.0000000
VOLTON( 4)
400.0000
0.0000000
WTCAP( 1)
12.00000
0.0000000
WTCAP( 2)
18.00000
0.0000000
WTCAP( 3)
10.00000
0.0000000
VOLCAP( 1)
7000.000
0.0000000
VOLCAP( 2)
9000.000
0.0000000
VOLCAP( 3)
5000.000
0.0000000
WGT( 1, 1)
0.0000000
0.0000000
WGT( 1, 2)
14.66667
0.0000000
WGT( 1, 3)
0.0000000
0.0000000
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WGT( 2, 1)
WGT( 2, 2)
WGT( 2, 3)
WGT( 3, 1)
WGT( 3, 2)
WGT( 3, 3)
WGT( 4, 1)
WGT( 4, 2)
WGT( 4, 3)
Row
1
2
3
4
5
6
7
8
9
10
11
12
13
14
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7.333333
0.0000000
3.333333
0.0000000
1.666667
0.0000000
4.666667
1.666667
6.666667
Slack or Surplus
13330.00
5.333333
5.333333
23.33333
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
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0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
Dual Price
1.000000
0.0000000
0.0000000
0.0000000
10.00000
0.0000000
266.6667
0.0000000
0.4000000
0.4000000
0.4000000
1440.000
-2640.000
1200.000
27

If you want to display only the nonzero values of certain variables

(attributes) or parameters you select from the LINGO pulldown
menu Solution and in the displayed dialog box you check
Nonzeros Only, and enter the name of the attribute. If you enter
WGT for the attribute name the following output is displayed:

Global optimal solution found at step:

6
Objective value:
13330.00
Variable
Value
Reduced Cost
WGT( 1, 2)
14.66667
0.0000000
WGT( 2, 1)
7.333333
0.0000000
WGT( 2, 3)
3.333333
0.0000000
WGT( 3, 2)
1.666667
0.0000000
WGT( 4, 1)
4.666667
0.0000000
WGT( 4, 2)
1.666667
0.0000000
WGT( 4, 3)
6.666667
0.0000000

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It is easier to check the formulation in expanded form:

Choosing from the LINGO pull down menu Generate--> Display
Menu:
MAX 320 WGT( 1, 1) + 320 WGT( 1, 2) + 320 WGT( 1, 3) + 400 WGT( 2, 1)
+ 400 WGT( 2, 2) + 400 WGT( 2, 3) + 360 WGT( 3, 1) + 360 WGT( 3, 2)
+ 360 WGT( 3, 3) + 290 WGT( 4, 1) + 290 WGT( 4, 2) + 290 WGT( 4, 3)
SUBJECT TO
2] WGT( 1, 1) + WGT( 1, 2) + WGT( 1, 3) <= 20
3] WGT( 2, 1) + WGT( 2, 2) + WGT( 2, 3) <= 16
4] WGT( 3, 1) + WGT( 3, 2) + WGT( 3, 3) <= 25
5] WGT( 4, 1) + WGT( 4, 2) + WGT( 4, 3) <= 13
6] WGT( 1, 1) + WGT( 2, 1) + WGT( 3, 1) + WGT( 4, 1) <= 12
7] WGT( 1, 2) + WGT( 2, 2) + WGT( 3, 2) + WGT( 4, 2) <= 18
8] WGT( 1, 3) + WGT( 2, 3) + WGT( 3, 3) + WGT( 4, 3) <= 10
9] 500 WGT( 1, 1) + 700 WGT( 2, 1) + 600 WGT( 3, 1) + 400 WGT( 4, 1) <=7000
10] 500 WGT( 1, 2) + 700 WGT( 2, 2) + 600 WGT( 3, 2) + 400 WGT( 4, 2)<=9000
11] 500 WGT( 1, 3) + 700 WGT( 2, 3) + 600 WGT( 3, 3) + 400 WGT( 4, 3)<=5000
12]- RATIO + .0833333 WGT( 1, 1) + .0833333 WGT( 2, 1) + .0833333 WGT(3,1)
+ .0833333 WGT(4, 1) = 0
13]- RATIO + .0555556 WGT( 1, 2) + .0555556 WGT( 2, 2) + .0555556 WGT(3,2)
+ .0555556 WGT( 4, 2) = 0
14]- RATIO + .1 WGT( 1, 3) + .1 WGT( 2, 3) + .1 WGT( 3, 3) + .1 WGT(4,3)=0
END

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AUGMENTED SOLUTION
Original constraints
4
x1
2x2 12
3x1 + 2x2 18
x1, x2 0

After adding slacks

+ x3
=4
x1
2x2
+ x4
= 12
3x1 + 2x2
+ x5 = 18
x1, x2, x3, x4, x5 0

A solution to the system of equations constructed by adding

slacks to the original inequality constraints.

Example: (x1, x2, x3, x4, x5) = (2, 4, 2, 4, 4)

AUGMENTED CORNER POINT SOLUTION

An augmented solution in which n variables have zero
values.
It is also called Basic Solution.

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There are Basic Feasible (BF) Solutions and Basic Infeasible

(BI) Solutions
Every Basic Solution has n Nonbasic Variables and m Basic
Variables
Example of a BF Solution: (x1, x2, x3, x4, x5) = (0, 6, 4, 0, 6) 0
Example of a BI Solution: (x1, x2, x3, x4, x5) = (6, 0, -2, 12, 0) 0

AUGMENTED FORM OF THE PROTOTYPE LP MODEL

Maximize Z,
subject to
(0)
Z
(1)
(2)
(3)
and
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- 3x1
x1
3x1
xj 0,

- 5x2

+ x3

2x2
+x4
+2x2
for j=1, 2, ..., 5.
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+x5

=0
=4
= 12
= 18

31

(Algebraic) Simplex applied on the prototype example

= 0 Initial Basic feasible solution (BFS ) :
(0) z 3x 1 5x 2

+ x3
= 4 NB : (x 1 , x 2 ) = (0,0 )
x1
(1)
It .(0)
2x 2
+ x4
= 12 BV : (x 3 , x 4 , x 5 ) = (4 ,12,18 )
(2)
(3)
3x 1 + 2x 2
+ x 5 = 18 z = 0

12 18
, =6
2
2

x 2 enters the Basis at the level min

x 4 leaves the Basis

(0) z 3x 1

x1
(1)
It .(1)
(2)

(3)
3x 1

5
x4
2

+ x3

x2

x4
2

= 30

New BFS
= 4 NB : (x 1 , x 4 ) = (0,0 )
BV : (x 3 , x 2 , x 5 ) = (4,6,6 )
=6
z = 30

x4 + x5 = 6

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(0) z 3 x1

x1
(1)
It.(1)
(2)

(3) 3 x
1

+
+ x3
x2

5
x4
2

= 30

New BFS

= 4 NB : (x1 , x4 ) = (0,0 )

x4
BV : (x3 , x2 , x5 ) = (4,6,6 )
=6
2
z = 30
x 4 + x5 = 6

4 6
x1 enters the Basis at the level min , = 2 x5 leaves the Basis
1 3

+
(
0
)
z
x 4 + x5 = 36

New BFS
x 4 x5
(1)
x3 + = 2

NB : (x4 , x5 ) = (0,0 )
3 3
It.(2)
x
BV : (x3 , x 2 , x1 ) = (2,6,2 )
(2)
=6
x2 + 4

2
z = 36

x
x
(3) x1
4 + 5 =2

3
3

Optimality test : z cannot increase further by introducing any of the

NB variables into the Basis

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x2

Maximize z = 3x1 + 5x2

subject to

x1

It(2)

4
2x 2 12

It(1)

3x1 + 2 x 2 18
x1 0, x 2 0.
x1

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The Simplex in tabular form

Complete Set of Simplex Tableaux for Wyndor Glass Co. Problem
Iteration

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Basic

Eq.

Coefficient of

Variable

No.

x3
x4

Right
Side

x1 x 2 x 3 x 4 x5
-3 -5 0 0 0

1
2

0
0

1
0

0
2

1 0 0
0 1 0

4
12

x5

0 0 1

18

-3 0 0

30

x3
x2

1
2

0
0

5
2

0 1

x5

0
3

1 0 1 0
2
0 0 -1 1

4
6

0 0 0

x3
x2

1
2

0
0

0 0 1

x1

1 0 0

0 1 0

Reduced
cost
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3
2
1
3
1
2
-1
3

36

-1
3

2
6

0
1
3

Shadow
price or dual
price

2
35

POST OPTIMALITY ANALYSIS

The shadow price or dual price of resource i, yi*,

measures the marginal value of resource i, i.e. the rate
of increase of z for slightly increasing resource amount
bi; equivalently, it is the maximum price we can afford
to pay for resource i, yi*= z
bi

The value of yi* is given by the coefficient of the ith

slack variable in row (0) of the optimal simplex tableau.

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POST OPTIMALITY ANALYSIS

On the other hand, the coefficient of an original

variable (xj) in row (0) of the optimal simplex tableau is
called reduced cost of xj. If xj is basic variable its
reduced cost is automatically 0. The reduced cost of a
nonbasic variable is 0 and has two valid
interpretations:
(a) The amount of penalty you would have to pay to introduce
one unit of xj into the solution,
(b) amount that the objective function coefficient (cj) would
have to improve before xj becomes profitable, i.e., basic
variable.

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POST OPTIMALITY ANALYSIS

For constraints which are binding at the optimum

solution (scarce resources) shadow prices are nonzero.

For constraints which are not binding (resources in

surplus) shadow prices are zero.

Sensitive parameter of a LP model is a parameter

which even changed slightly results in change in the
optimal solution.

Redundant constraint is a constraint which if deleted it

will not change the feasible region.

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To solve problems interactively by the algebraic or tabular simplex,

you need to install on your computer the software: Interactive
Operations Research Tutorial (IOR Tutorial) and the Java 2
Environment. You can find the IOR Tutorial in the CD-ROM attached
to the textbook. Alternatively, you can download it from the
textbooks web page http://www.mhhe.com/hillier.

There are many learning aids in the tutorial. Among them, you can
find the interactive simplex mode, automatic mode, graphical
interactive mode (for two variable problems) and the demo mode.
Just try each one using the prototype example problem or the
assigned homework problems. The courseware is limited of course
in solving small size problems, small enough so the simplex tableau
fits on a computer screen. For larger problems you can use
commercial software such as LINGO.

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BREAKING TIES IN THE SIMPLEX METHOD

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Tie for entering variable

Tie for leaving variable (degenerate
solution)
No leaving variable (unbounded z-value)
Multiple optimal solutions

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Tie for the entering variable

(the most negative coefficient in the (0) equation is
x2
not unique)
Max z = 3x1+ 3x2
s.t.

x1

2x2
3x1 + 2x2
x1 , x2

Iteration

Basic
Eq.
Variable No.
z
x3
x4
x5

0
1
2
3

4
12
18
0

x1

1
0
0
0

x1

Coefficient of
x2
x3
x4

x5

-3
1
0
3

-3
0
2
2

0
0
0
1

Rule: Break ties arbitrarily

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0
1
0
0

0
0
1
0

Right side

0
4
12
18
41

Tie for the leaving variable (the minimum ratio in a

simplex iteration is not unique)
Max z = 3x1+ 5x2
s.t.

x1

2x2
3x1 + 2x2
x1 , x2

2x2 = 12
(x4 = 0)

2
12
18
0

x2
x1 = 2
(x3 = 0)
(2,6)
3x1 + 2x2 = 18
(x5 = 0)
x1

Degenerate BFS at (2,6)

(a) NB: {x4, x5}, BV: {x1, x2, x3 = 2, 6, 0}
(b) NB: {x3, x4}, BV: {x1, x2, x5 = 2, 6, 0}
(c) NB: {x3, x5}, BV: {x1, x2, x4 = 2, 6, 0}
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DEGENERACY

A degenerate point in the n-dimensional

space is the intersection of more than n
hyperplanes, or equivalently satisfies more
than n linear equations;
A BF solution is degenerate when at least
one of the basic variables has a zero value

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Example of a tie for a leaving variable

Iteration

Basic

Eq.

Coefficient of

Right

Variable

No.

x1 x 2 x 3 x 4 x 5

Side

0
1

1
0

-3 -5 0 0 0
1 0 1 0 0

0
2

0 1 0

12

x 55

0 0 1

18

z
x3

0
1
2
3

1
0
0
0

-3
1
0
3

0
0
1
0

0 52
1 0
0 12
0 -1

30
2
6
6

0
1
2

1
0
0

0 0 0
0 0 1
0 1 0

1 0 0

z
0

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x3
x4

x2
x5
z
x3
x2
x1

Rule: Break ties

arbitrarily
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0
0
0
1

3
2

1
3

-1
3

1
2

36
0
6

-1
3

1
3

2
44

CYCLING

A potential problem of a degenerate

solution is Cycling. However, cycling has
more theoretical than practical interest.

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Unbounded z-value Problem

(At some iteration there is no positive ratio no
leaving variable)
x2

Max z = 3x1+ 5x2

s.t.

x1
4
x1 - x2 2
x1 , x2 0

z = 30

x1 4

z = 15
x1 - x2 2
z=0
x1

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How simplex detects an unbounded z-value

problem:
Maximize z = 3x1 + 5x2
s. t.

x1

+ x3

=4

x1 x 2
+ x4 = 2
x j 0, j = 1,2,3,4

B asic
V ariable

E q.
N o.

C oefficient of
x1 x 2 x 3 x 4

0
1
2

1
0
0

-3
1
1

z
x3
x4

-5 0
0 1
-1 0

0
0
1

R ight
Side
0
4
2

x 2 enters the Basis, but there is no leaving variable

The problem has an unbounded z - value;

No optimal solution exists.

What if the objective function was :

max z = 2x1 x2 ?
Problem with an unbounded feasible region v.s.
Problem with an unbounded z-value
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Multiple (alternative) Optimal Solutions

x2

Max z = 3x1+ 2x2

s.t.

x1

2x2
3x1 + 2x2
x1 , x2

4
12
18
0
x1

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How simplex detects multiple optimal solutions:

If in the optimal tableau, the coefficient of a nonbasic variable in the (0)
equation is zero then multiple optimal solutions may exist.
Iteration

Extra

Basic

Eq.

Coefficient of

Right

Variable

No.

x1 x 2 x 3 x 4 x5

-3

-2

x3

x4

12

x5

18

Side

-2

12

x1

x4
x5

2
3

0
0

0
0

2
2

0
-3

1
0

0
1

12
6

z
x1
x4
x2

0
1
2
3

1
0
0
0

0
1

0
0

0
1

0
0

1
0

0
0

0
1

-1

-3
2

1
0

18
4
6
3

z
x1
x3
x2

0
1
2
3

1
0
0
0

0
1

0
0

0
0

0
0

0
1

1
0

-1
3
1
3
1
2

1
3
-1
3

1
2

18
2
2
6

Algorithms exist for generating all corner point multiple optimal solutions.
A crashing algorithm is implemented in the ADBASE software.

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ADAPTING NONSTANDARD TO STANDARD LP

FORM
Minimization

"=" constraints

">" constraints

Unrestricted in sign variables

Note: The right hand sides of all constraints are
assumed to be nonnegative (otherwise,
multiplication of both sides by -1 is required).

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Minimization

A minimizing objective function

can be converted to an equivalent
maximizing by revising the sign of
its every coefficient to its opposite
one.

x2

min z = 2x1 - x2
s.t.

x1

2x2
3x1 + 2x2
x1 , x2

4
12
18
0

z '
z

x1

Consider max z = -2x1 + x2

s.t. same constraints
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Equality Constraints
Artificial variable methods

Big-M method
Two Phase method
Big-M Formulation

max z = 3x1 + 5x 2

s. t .
x1
4

+ 2x 2 12
3x1 + 2x 2 = 18

x1 , x 2 0

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Max z = 3x1 + 5 x2 M x5

+ x3
=4
s.t.
x1

2 x2
+ x4
= 12
3x1 + 2 x2
+ x5 = 18

all variables 0

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Finding an initial artificial BFS

(converting to a proper form)
Max z
s.t.
z - 3x1 - 5x2
x1
+ x3
2x2
3x1 + 2x2

+ x4

+ Mx5 = 0
= 4
= 12
+ x5 = 18

(0)
(1)
(2)
(3)

New eq(0) = eq(0) - M eq(3)

z - 3x1 - 5x2
- 3Mx1 2Mx2

+ Mx5 = 0
- M x5 = -18M

New eq(0): z + (- 3M - 3)x1 + ( 2M 5)x2 = -18M

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Big-M Method Iterations

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How can one detect infeasibililty in a LP problem?

Which of the above iterations correspond to corner
point feasible solutions of the artificial problem versus
original problem?
What is the path of corner point solutions
corresponding to the above iterations?
Max z = 3x1+ 5x2
s.t.

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x2

x1

4
2x2 12
3x1 + 2x2 = 18
x1 , x2 0

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x1

55

Two Phase Method

Two Phase method for the Wyndor Glass Co. example
with an equality constraint (3x1 + 2x2 = 18)

( obj. function (1))

Min z ' = x 5
4 Max z = 3 x 1 + 5 x 2 ( obj. function ( 2 ))
x1

x1
+ x3
=4
+ 2 x 2 12 s. t .

2 x2
+ x4
= 12
3 x 1 + 2 x 2 = 18

3 x1 + 2 x 2
+ x 5 = 18
x 1 , x 2 0

max z = 3 x 1 + 5 x 2
s. t .

all variables 0

eq ( 0) Max (- z ' ) = x 5

or

------------------eq ( 0) z '
+ x5 = 0

eq ( 3) 3 x 1 2 x 2 x 5 = 18
new eq ( 0): z ' 3 x 1 2 x 2 = 18
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Phase 1
Basic

Eq .

Iteration

Variable

No.

z'
x3
x4
x5

0
1
2
3

z'
1

Coefficient of
z'

x1 x 2 x 3 x 4 x 5

Right
Side

0
0
0

1
0
3

2
0
2
2

0
1
0
0

0 2

0 0

x1
x4

1
2

0
0

1
0

0
2

1
0

0 0
1 0

4
12

x5

3 0 1

z'
x1
x4
x2

0
1
2
3

1
0
0
0

0
1
0
0

0
0
0
1

0
1
3

0
4
6
3

3
2

0
0
1
0

0
0
1
0

0
0
0
1

1
0
1
1
2

18
4
12
18

Phase 1 is optimal (all artificial variables are zero).

Drop columns of artificial varriables.
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z
2

x1 x2 x3 x4

Right side

-3

-5

x1
x4

1
2

0
0

1
0

0
0

1
3

0
1

4
6

x2

3
2

P h a se 2

Original objective:

B a sic

Max z = 3x1 + 5x2 , or

Itera tio n

3eq(1)

3x1

=0

x1

x2

-9
2

27

x1

2
3

0
0

0
0

1
3

0
1

x4
x2

1
0
0

-3
2

x1

0
1

0
0

x3
x2

2
3

0
0

x3 x4

R ig h t

N o.

+ 3x 3 = 12

15
5x2 x3 = 15
+5eq(3)
2
9
new eq( 0): z x3 = 27
2

C o e ffic ie n t o f

V a ria b le

----------------eq(0) z 3x1 5x 2

Eq.

S id e

6
3

0
0

3
2

36

-1
3

2
2
6

1
3

1
2

P h a se 2 is o p tim a l.

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Remarks on Two Phase Method

If a problem has more than one artificial variable, the artificial

objective function is constructed as the sum of all artificial
variables.

If a problem has a feasible solution, Phase 1 terminates with all

artificial variables and z equal to zero.

"" Inequality Constraints

> inequality constraints are handled by subtracting a surplus and adding

an artificial variable. Then Big-M or Two Phase method can be used to
solve the revised problem.

Constraints with negative right-hand sides (rhs)

1/6/2006

Both sides of these constraints are multiplied by (-1) so that the rhs
becomes non-negative. This is necessary because Simplex starts
always with a basic feasible solution. In case of an inequality constraint,
the direction of the inequality has also to be reversed.
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Variables Unrestricted In Sign

Case 1.

A variable has a negative lower bound

Example:

x3 -5, or
x3+5 0. Equivalently,
x'3= x3+ 5, x'3 0:
Replace in the model x3 with x'3-5

A variable is unrestricted in sign with no lower bound.

Suppose x3 has such a property. Then the
following transformation can be used:
x3= x3+- x3-,
x3+, x3- 0
If there are many unrestricted in sign variables xj, one can save on
the number of new variables by having a common second variable
xj', x"0
x":
xj=xj'- x",

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How LINGO handles different types of variables?

When you solve a problem by LINGO, the transformation is

performed for you. The only thing you have to do is to declare the
unrestricted in sign variable as free; for example @FREE (x3).

You can even declare bounds: for example, -2<x3<3 is entered

@BND(-2, x3, 3) and get rid of the double inequality.

Some other useful commands in LINGO are used to declare

variables as binary, e.g. @BIN(x3), or general integer, e.g.
@GIN(x3).

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Example

The following example illustrates the transformation of unrestricted

in sign variables, the handling of minimization problem, "="
constraints, "" constraints and demonstrates the Big-M method.
x2

Min z = 2x1 + x 2
subject to

x1

- x2 = 2
- 4x1 + 2 x 2 4

x1 = 1
-4x1
+2x2=4

x1 , x 2 unrestricted

(0,0)

x1

in sign
(1,-2)

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-x2 = 2

62

Min z = 2x 1(old) + x 2(old)

subject to

x 1(old )

- x 2(old) = 2
- 4x 1(old) + 2 x 2 (old) 4
x 1(old) , x 2(old) unrestricted
in sign

Transforming unrestricted in sign variables to nonnegative variables:

x1 (old) x1 - x3

x2 (old ) x2 - x3

Min z = 2x 1 + x 2 3x 3
subject to

x1

- x3 1
- x2 + x3 = 2

- 4x 1 + 2 x 2 + 2 x 3 4
x1 , x 2 , x 3 0
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Converting min to max and introducing slacks,

surplus and artificial variables:

Max - z = -2x 1 x 2 + 3x 3
subject to

- x3 - x4 + x5

x1
- x2

+ x3

=1
+ x6

- 4x1 + 2 x 2 + 2 x 3

=2
+ x7 = 4

all variables 0

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Solve using the Big-M method:

Max z = -2x1 - x2 + 3x3 Mx5 - Mx 6
(0) or z + 2x1+x2- 3x3+ M x5 + M x 6
=0
(1) s.t.
x1
-x3 - x4 + x5
=1
(2)
-x2 + x3
+ x6
=2
(3)
-4x1+ 2x2 + 2x3
+x7 =4
all variables 0
After the elimination of x 5 and x 6 terms,
new equation (0) becomes:
-z + (-M+2)x1 + (M+1)x2 - 3x3 + Mx4 = -3M

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Solution by the Big-M Method

Min Z = 2 X1 +
subject to

1 X2 3 X3
1 X1 + 0 X2 1 X3 >= 1
0 X1 1 X2 +
1 X3 = 2
-4 X1 + 2 X2 +
2 X3 <= 4
and
X1 >= 0, X2 >= 0, X3 >= 0.
Solve Interactively by the Simplex Method
Bas Eq
Var No

Coefficient of
X3
X4
X5

X1

X2

-1
0
0
0

-1M
2
1*
0
-4

1M
1
0
-1
2

X1

0
1
2
3

-1
0
0
0

0
1
0
0

X2
1M
1
0
-1
2

Bas Eq
Var No

X1

X2

X3

-1
0
0
0

0
1
0
0

0
-1
0
0

0
0
1
0

Z
0
X5
1
X6
2
X7
3
Bas Eq
Var No
Z
X1
X6
X7

Z
X1
X3
X7

0
1
2
3

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1M
0
0
-1
1
0
0
0
0
Coefficient of
X3
X4
X5
-1M
1M
-1
2
-2
-1
-1
1
1*
0
0
-2
-4
4
-3
-1
1
2

Coefficient of
X4
X5
1M
2
-2
-1
1
0
0
-4
4

X6

X7

0
0
1
0

0
0
0
1

X6

X7

0
0
1
0

0
0
0
1

X6
1M
1
1
1
2

X7
0
0
0
1

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Right
side
-3M
0
1
2
4
Right
side
-2M
-2
1
2
8

(old) x1 = x1 - x3 = 3 - 2 = 1
(old) x2 = x2 - x3 = 0 - 2 = -2
-z = 0 z = 0

Right
side
0
0
3
2
12

66

THEORY OF SIMPLEX

The constraint boundary equation of a constraint is

obtained by replacing "<", "=", or ">" with "=".

A constraint boundary equation is a hyperplane. The

hyperplane is the boundary of two half spaces. Each
half space is the set of points satisfying the
corresponding inequality (with >, or <).

The boundary of the feasible region of a LP is the set

of all feasible points which lie on one or more
hyperplanes.

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THEORY OF SIMPLEX

Example in 3-D
Constraint Boundary
Equations

x2
B
C
O
A

x1

x3
Max z = x2
s.t. x1 + x2 + x3
x1
x1
x2
x3
1/6/2006

4
2
0
0
0

x1 + x2 + x3 = 4
=2
x1
x1
=0
x2
=0
x3 = 0

Indicating
Variables
x4 (slack)
x5 (slack)
x1
x2
x3

(1)
(2)
(3)
(4)
(5)
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A set S is convex if for any two points x1, x2 S, the points of the line
segment joining x1, x2 belong to S.
x = x1 + (1 ) x2, 0 1

x above is called the convex combination of x1, x2

(Strictly convex combination is for 0< <1).

A point x, x S, is an extreme point of S if there do not exist two

points x1, x2 S whose strictly convex combination is x.

The feasible region of a LP, S,

S= { x | Ax b, x 0},
is a convex set.

The feasible region of a LP is called polyhedral set.

A bounded polyhedral set is called polyhedron.

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A corner point (CP) solution of a LP with n variables is the solution

of the system of n simultaneous constraint boundary equations.
Equivalently, a CP solution is the intersection point of n hyperplanes.
Those constraint boundary equations are called defining equations of the
CP solution and the variables (original, slack or surplus) that are zero are
called indicating variables.

A CP solution corresponds to a Basic Solution of the LP.

A CP solution is either feasible (CPF) or infeasible (CPI).

A CPF solution is an extreme point of the feasible region.

m + n (m + n)!
=
(# of extreme points) # of CPs
m!n!
n

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An Example in 3
- D
Corner Point (CP) Solutions
Defining equations

x2
B

CP

Feasible
?

C
O
A

x1

x3
Max z = x2
s.t. x1 + x2 + x3
x1
x1
x2
x3
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4
2
0
0
0

(1)
(2)
(3)
(4)
(5)
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An Example in 3
- D
Corner Point (CP) Solutions
x2
B
C
O
A

x1

x3
Max z = x2
s.t. x1 + x2 + x3
x1
x1
x2
x3
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4
2
0
0
0

(1)
(2)
(3)
(4)
(5)

Defining
equations
(1,2,3)
(1,2,4)
(1,2,5)
(1,3,4)
(1,3,5)
(1,4,5)
(2,3,4)
(2,3,5)
(2,4,5)
(3,4,5)

CP

E
C
A
B
F

D
O

Feasible
?

Y
Y
Y
Y
N

Y
Y

m + n (m + n)!
# of extreme points # of CPs n = m!n!

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A set of n-1 constraint boundary equations (in n unknowns) defines

a line in the n-dimensional space. The feasible part of that line (if
one exists) is called an edge of the feasible region.

An edge may be bounded or unbounded. A bounded edge connects

two extreme points.

Two extreme points are called adjacent if the line segment

connecting them is an edge of the feasible region. A nondegenerate
extreme point has exactly n adjacent extreme points.

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An Example in 3
- D
CPs, Defining Equations and Basic Solutions
CP

Defining equations

x2
B

BS
(x1, x2, x3,
x4, x5)

NB Variables
(Indicating
Variables)

C
O
A

x1

x3
Max z = x2
s.t. x1 + x2 + x3
x1
x1
x2
x3

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4
2
0
0
0

(1)
(2)
(3)
(4)
(5)

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CORNER POINT SOLUTIONS OF THE

PROTOTYPE EXAMPLE PROBLEM
Original problem
Maximize z = 3x1 + 5x2
subject to

4
2x2 12
3x1 + 2x2 18
x1 0, x2 0.
x1

(0, 9)

(0, 6)

x2

(4, 6)

(2, 6)

(4, 3)

x1

(0, 0)
(4, 0)

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(6, 0)

75

Constraint Boundary Eqs.

x1

=4
2x2 = 12
3x1 + 2x2 = 18
=0
x1
x2 = 0

Defining Equations for Each Corner-Point

Feasible Solution for Wyndor Glass Co.
Problem

Corner-Point Feasible
Solution

Defining Equations for Each

Corner-Point Infeasible Solution for
Wyndor Glass Co. Problem

Corner-Point
Infeasible
Solution
(0, 9)
(4, 6)
(6, 0)
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(0, 0)

Defining Equations

(0, 6)
(2, 6)

x1 = 0
3x1 +2x2 =18
2x2 =12
x1 =4
3x1+2x2 =18
x2 = 0

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(4, 3)
(4, 0)

Defining Equations
x1 = 0
x2 = 0
x1 = 0
2x2 =12
2x2 =12
3x1 +2x2 =18
3x1 +2x2 =18
x1 =4
x1 =4
x2 = 0
76

PROPERTIES OF CORNER POINT FEASIBLE

SOLUTIONS (EXTREME POINTS)

If there exists a single optimal solution, then it must be

a corner point feasible solution.

If the optimal set is bounded and there are multiple

optimal solutions, then at least two must be adjacent
corner point feasible solutions.

There is a finite number of corner point feasible

solutions.

If a corner point feasible solution is better than all its

adjacent corner point feasible solutions, then it is
optimal.

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COMPUTATIONAL COMPLEXITY OF SIMPLEX

On the average,
# of iterations 2m
Computing time using a regression equation: km2.5 nd.33

Worst Case Complexity (Performance guarantee)

Notation O(.)

In the worst case, simplex is an exponential time algorithm (computation

time is bounded above by an exponential function of the problem size).
This is because the number of corner point solutions can be an exponential
function of the problem size:
m + n m + n m + n 1 m + n 2 m + n ( n 1) m + n
....
>

=
n
n
n
n1
n2
n ( n 1)

m> n

m + n m + n
m+ n
n
>2

>
n n >2
n

m + n
29

Example: for m=n=50 n 10

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x3

A LP in which simplex visits all extreme points

H
G
F

Max z = 100 x1 + 10 x2 + x3

s.t.
x2

20 x1 +

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x2

100

x1, x2, x3 0

C
B

200 x1 + 20 x2 + x3 10000

x1

x1

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INTERIOR-POINT ALGORITHMS

In 1979, Khachian presented a polynomial time algorithm, O(n6L2), i.e.

the computation time is bounded above by a polynomial function of
problem size, where L is the input length in binary bits required to
record all input data.

In 1984, Narendra Karmarkar announced the discovery of a polynomial

time algorithm, O(n3.5L2).

Karmarkar's algorithm, like Khachian's algorithm, moves through the

interior of the feasible region (interior-point algorithms) from one point
to the next and terminates when the objective function improvement is
infinitesimally small.

The weakness of Karmarkar's algorithm is that is does not find the

exact solution and it does not offer itself for post-optimality analysis as
Simplex does.
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INTERIOR-POINT ALGORITHMS (CONT)

For large size problems, an implementation of both algorithms in the

same software package works better. The Karmarkar's algorithm
will find fast an approximate optimal solution, then a switching
procedure will identify the closest CPF solution, then Simplex will
check if the corresponding BF solution is optimal and if necessary it
will perform a few Simplex iterations to find it. Once the exact
optimal solution is found, Simplex-based post-optimality analysis
can be performed.

The strength of Karmarkar's algorithm is that it requires much fewer

iterations than Simplex to solve large size LPs, having tens of
thousands of constraints. Although the time per iteration is much
higher than the one required by Simplex, the overall computing time
is many times lower for large size LPs.

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(0, 9)

x2

(2, 6)

(0, 6)

(4, 6)

It.

x1

x2

.
.
.

.
.
.

1.92134

.
.
.

(1.56,5.5)
(1.38,5)

.
.
.

10
(1.27,4)

(4, 3)

1.99799

.
.
.

.
.
.

15

1.99994

13
.
.
.

5.82908
.
.
.

5.99398
.
.
.

5.99981

.
.
.

34.9094
.
.
.

35.9639
.
.
.

35.9989

(1,2)

(0, 0)
(4, 0)

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(6, 0)

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FUNDAMENTAL INSIGHT

After each Simplex iteration, the

coefficients of the slack variables in each
equation reveal how that equation has
been obtained from the initial equations.

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Complete Set of Simplex Tableaux for Wyndor Glass Co. Problem

Basic
Iteration
0

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Variable

Eq.

Coefficien t of

No.

Right

x1 x 2 x3 x 4 x5

Side

-3 -5 0 0 0

x3

1 0 0

x4

0 1 0

12

x5

0 0 1

18

-3

0 0

5
2

30

x3

x2

1
2

x5

0 -1 1

3
2

36

x3

1
3

-1
3

x2

1
2

x1

-1
3

1
3

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E1 =

1 0 0
0 1 / 2 0

0 1 1

1 0 1 / 3

E2 E1 = 0 1
0

0 0 1 / 3

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E2 =

1 0 1 / 3
0 1

0 0 1 / 3

1 0 0
1 1 / 3 1 / 3
0 1 / 2 0
0 1 / 2

0
=

0 1 / 3 1 / 3
0 1 1

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Iteration(0):
(0)
(1)
(2)
(3)

- 3x1
x1
3x1

- 5x2
+ x3
2x2
+ 2x2

or

1
0

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3
1

5
0

0
1

0
0

+x4
+x5

z
0 x1

0 x 2

0x 3

1x 4

x5

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=0
=4
= 12
= 18

=
1 2

1
8

86

Last Iteration (2):

(0) z
(1)
(2)
(3) x1

+ x3
x2

+3/2 x4
+x5
+1/3 x4 -1/3 x5
+1/2 x4
-1/3 x4 +1/3 x5

= 36
=2
=6
=2

or

1
0

0
0

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0
0
0
1

0
0
1
0

0
1
0
0

3/2
1/3
1/2
1/3

z
1 x1

1 / 3 x2

0 x3
1 / 3 x 4

x5

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= 6

87

MATRIX LP FORM
Max
s.t.

x1
x
2
x = , b =
M

xn

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z = cx
Ax b
x 0

where c = [ c1, c2, ..., cn],

b1
b
2 ,0=
M

bm

0
0
,A=
M

0

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a11 a12 L a1n

a

a
L
a
22
2n
21

M M L M

a
a
L
a
m2
mn
m1

88

The (0) iteration tableau

z
1 c 0 0
0 A I x = b

x S
is transformed by

1 c B B 1
premultiplying both sides by the matrix
1
0 B

z
1 c B B A c c B B c B B 1b
x = 1

1
1
B A
B
B b

0
x S
1

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SIMPLEX TABLEAUX
Setting S = B-1
and

y = CBB-1

(0) iteration:

xS

RHS

-c

yA - c

yb

SA

Sb

y*A - c

y*

y*b

S*A

S*

S*b

Any iteration:
M

Last iteration :
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