Advanced Linear Programming

(Part 1)
TUA 405
Operations Research 1
Simplex Method Fundamentals
 In linear programming, the feasible solution space is said to form a
convex set if the line segment joining any two distinct feasible points
also falls in the set.
 An extreme point of the convex set is a feasible point that cannot lie
on a line segment joining any two distinct feasible points in the set.
 A feasible point x can be expressed as a convex combination of its
extreme points Xl, X2, X3, X4, X5, and X6 using :
X = α1X1 + α2X2 + α3X3 + α4X4 + α5X5 + α6X6
where
α1 + α2 + α3 + α4 + α5 + α6 = 1
From Extreme Points to Basic Solutions
 It is convenient to express the general LP problem in equation
form using matrix notation.
 Define
 X as an n-vector representing the variables.
 A as an (m x n)-matrix representing the constraint coefficients.
 b as a column vector representing the right-hand side.
 C as an n-vector representing the objective-function coefficients.
 The LP is written as :
Maximize or Minimize z = CX
subject to
AX = b
X≥0
From Extreme Points to Basic Solutions
 In the simplex tableau format, the rightmost m columns of A al-
ways can be made to represent the identity matrix I.
 A basic solution of AX = b is determined by setting n – m variables
equal to zero.
 Solving the resulting m equations in the remaining m unknowns,
provided that the resulting solution is unique.
 Given this definition, the algebraic definition of basic solution can
be written as :
Extreme points of {X|AX=b}<> Basic solution of AX = b
From Extreme Points to Basic Solutions
 We conclude that the basic solutions of AX = b contain all the in-
formation we need to determine the optimum solution of the LP
problem.
 If we impose the nonnegativity restriction, X ≥ 0, the search for
the optimum solution is confined to the feasible basic solution only.
 To formalize the definition of a basic solution, the system AX = b
can be expressed in vector form as follow

 The vector Pj is the jth column of A.

 From Extreme Points to Basic Solutions
 If XB is the set of m variables associated with the vectors of non-
singular B, then XB must be a basic solution, then we have :
BXB = b
 Given the inverse B-1 of B, we get the corresponding basic solution
as XB = B-1b
 If B-1b ≥ 0, then XB is feasible.
 The definitions assumes that the remaining n – m variables are
nonbasic at zero level.
 The maximum number of (feasible and infeasible) basic solutions is
given by
Example
 Determine and classify (as feasible and infeasible) all the basic so-
lutions of the following system of equations.

 The following table summarizes the results.

Generalized Simplex Tableau in
Matrix Form
 Consider the LP in equation form:
Maximize z = CX, subject to AX = b, X ≥ 0
 The problem can written equivalently as

 Suppose that B is a feasible basis of the system AX = b, X ≥ 0, and

let X be the corresponding vector of basic variables with CB as its
associated objective vector.
 The corresponding solution may then be computed as follows :
Generalized Simplex Tableau in
Matrix Form
 The general simplex tableau in matrix form can be derived from
the original standard equations as follow :

 Matrix manipulation yield the following equations

 Given Pj is the jth vector of A, the simplex tableau columns associ-

ated with variable xj can be represented as
Example

 Generate the simplex tableau associated with the basis B = (P1,P2)

Example
 Given B = (P1,P2), then XB = (x1,x2)T and CB = (1,4)

 Then we get,

 To compute constraint columns in the body of the tableau,

Example
 Next, we compute the objective row as follow

 Finally, we compute the value of the objective function as follow

 The entire tableau can be summarized as

 Revised Simplex
 The general LP problem can be written as follows :

 For a given basic vector XB and its corresponding basis B and object-
ive vector CB, the general simplex tableau developed can be repre-
sented as :

 Which zj – cj the reduced cost is defined as :

Revised Simplex : Optimality
Condition
 An increase in nonbasic xj will improve the value of z relative to its
current value (= CBB-1b) only if its zj - cj is strictly negative in the
case of maximization and strictly positive in the case of minimi-
zation.
 The entering variable is selecting as the one with the most negati-
ve (most positive) zj - cj in case of maximization (minimization).
 In feasibility condition, the determination of the leaving variable is
based on examining the constraint equation associated with the ith
basic variable, which is :
Revised Simplex : Optimality
Condition
 When Pj is selected by the optimality condition to enter the basis,
its associated variable xj will increase above zero level.
 At the same time, all the remaining nonbasic variables remain at
zero level. Thus, the ith constraint equation reduces to

 The equation shows that if (B-1Pj)i > 0, an increase in xj can cause

(XB)i to become negative, which violates the nonnegativity
condition, (XB)i ≥ 0 for all i, and we have
Revised Simplex : Optimality
Condition
 The conditions yields the maximum value of the entering variable
xj as :
Revised Simplex : The Algorithm
 Step 0
Construct a starting basic feasible solution and let Band CB be its
associated basis and objective coefficients vector, respectively.
 Step 1
Compute the inverse B-1 by using an appropriate inversion method.
 Step 2
For each nonbasic variable xj, compute

If zj - cj ≥ 0 in maximization (≤0 in minimization) for all nonbasic

xj, stop; the optimal solution is given by
Revised Simplex : The Algorithm
Else, apply the optimality condition and determine the entering va-
riable xj as the nonbasic variable with the most negative (positive) zj
- cj in case of maximization (minimization).
 Step 3
Compute B-1Pj. If all the elements of B-1Pj are negative or zero,
stop; the problem has no bounded solution. Else, compute B-1b.
Then for all the strictly positive elements of B-1Pj, determine the ra-
tios defined by the feasibility condition. The basic variable xi asso-
ciated with the smallest ratio is the leaving variable.
 Step 4
From the current basis B, form a new basis by replacing the lea-
ving vector Pi with the entering vector Pj. Go to step 1 to start a
new iteration.
Example
Example
Example
Example
Example
Example
Example
End of Topic
TUA 405
Operations Research 1