THE PRIMAL SIMPLEX ALGORITHM David F.

Gleich
February 14, 2013

Recall the standard form for a linear program: minimize cT x

e material here is from Chapter in Nocedal and Wright, but some of the geometry comes from Griva, Sofer, and Nash.

subject to Ax = b x 0.
function [x,Bind,Nind,sol] = simplex_step(c,A,b,Bind,Nind,stop) % Bind is a set of column indices for the current vertex (basic indices) % Nind is the set of other columns % stop is a variable to pause execution on each step if stop, keyboard; end cb = c(Bind); cn = c(Nind); B = A(:,Bind); N = A(:,Nind); sol = 0; xb = B\b; xn = 0; lam = B\(cb); sn = cn - N*lam; if all(sn 0) x(Bind) = xb; x(Nind) = xn; sol=1; return end % use the Dantzig index [val,qn] = min(sn); q = Nind(qn); assert(all(A(:,q) == N(:,qn))); d = B\A(:,q); if all(d eps(1)) sol = -1; x = zeros(size(A,2),1); return end xq = xb./d; xq(d < eps(i)) = Inf; [xq pb] = min(xq); p = Bind(pb); Bind = setdiff(Bind,p); Nind = union(Nind,p); % remove p from B and add to N Nind = setdiff(Nind,q); Bind = union(Bind,q); % remove q from N and add to B % Set the next iteration B = A(:,Bind); N = A(:,Nind); xb = B\b; x(Bind) = xb; x(Nind) = 0;