Revised Simplex Method Original simplex method calculates and stores all numbers in the tableau many are

e not needed. Revised Simplex Method (more efficient for computing) Used in all commercially available packages. (e.g. IBM MPSX, CDC APEX III) Max subject to Z = cx Ax b x 0

Initially constraints become (standard form):

x xs
xs

= slack variables

Basis matrix: columns relating to basic variables. B11 . . . . . . . . . . B1m .. . . . .. .. . . . .. . . . . . Bm1 . . . . . . . . . . Bmm

(Initially B = I ) Basic variable values: xB = xB1 .. .. .. xBm

At any iteration non-basic variables = 0 Therefore B xB = b xB = B-1b B-1 inverse matrix.

At any iteration, given the original b vector and the inverse matrix, xB (current R.H.S.) can be calculated. Z = cBxB where cB = objective coefficients of basic variables

Step in the Revised Simplex Method

1. Determine entering variable, Xj , with associated vector Pj .

- compute Y = cBB-1 - compute zj cj = Y Pj - cj for all non-basic variables. Choose largest negative value (maximisation). If none, stop.
2. Determine leaving variable, Xr , with associated vector Pr .

- compute xB = B-1b (current R.H.S.) - compute current constraint coefficients of entering variable: j = B-1Pj Xr is associated with = Min { (xB )k / jk , jk > 0}
k

(minimum ratio rule)

3. Determine next basis i.e. calculate B-1

Go to step 1.

Example: Max Z = 3X1 + 5X2 s.t.

4 2X2 12 3X1 + 2X2 18 X1 , X2 0

X1

Standard form of constraints:+ S1 = 4 2X2 + S2 = 12 + S3 = 18 3X1 + 2X2 X1 , X2 , S1 , S2 , S3 0 X1 xB = B-1b = 1 0 0 0 1 0 0 0 1 0 0 0 0 0 4 12 18 = 0 4 12 18 4 = 12 18

cB =

Z =

First iteration Step 1 Determine entering variable, Xj , with associated vector Pj . - compute Y = cBB-1 - compute zj cj = Y Pj - cj for all non-basic variables. Y = 0 0 0 1 0 0 0 0 1 0 0 1 1 0 3 - 3 = 0 0 0

z1 c 1 = 0 0 0

= -3

and similarly for z2 c2 = - 5 Therefore X2 is entering variable.

Step 2 Determine leaving variable, Xr , with associated vector Pr . - compute xB = B-1b (current R.H.S.) - compute current constraint coefficients of entering variable: j = B-1Pj Xr is associated with = Min { (xB )k / jk , jk > 0}
k

xB =

4 12 18

2 =

1 0 0 0 1 0 0 0 1

0 0 2 = 2 2 2

= Min { - , 12/2 , 18/2 } = 12/2 therefore S2 leaves the basis.

Step 3 Determine new B-1 B = 1 0 0 0 2 0 0 2 1 B-1 = 1 0 0 0 0 0 -1 1

Solution after one iteration: xB = B-1b = 1 0 0 0 0 0 -1 1 Go to step 1 Step 1 (second iteration) Compute Y = cBB-1 Y = 0 5 0 1 0 0 0 -1 0 0 1 = 0 5/2 0 4 4 12 = 6 18 6

- compute zj cj = Y Pj - cj for all non-basic variables (X1 and S2):X1: z1 c1 = 0 5/2 0 1 0 3 0 1 0 - 3 = -3

S2: z4 c4 = 0 5/2 0

- 0

= 5/2

Therefore X1 enters the basis. Step 2 Determine leaving variable. xB = 4 6 6 1 = 1 0 0 0 0 0 -1 1 1 1 0 = 0 3 3

= Min { 4/1 , - , 6/3 } = 6/3 therefore S3 leaves the basis.

Step 3 Determine new B-1 B = 1 0 1 0 2 0 0 2 3 B-1 = 1 0 0 1/3 -1/3 1/2 0 -1/3 1/3

Solution after two iterations: xB = B-1b = 1 1/3 0 1/2 0 -1/3 Go to step 1 -1/3 0 1/3 4 12 18 2 = 6 2

Step 1 - compute Y = cBB-1 Y = 0 5 3 B-1 = 0 3/2 1

- compute zj cj = Y Pj - cj for all non-basic variables (S2 and S3):S2: z4 c4 = 0 3/2 1 0 1 0 0 0 1 - 0 = 3/2

S3: z5 c5 = 0

3/2

- 0

No negatives. Therefore stop. Optimal solution: S1* = 2 X2* = 6 X1* = 2 Z* = cB xB =

0 5 3

2 6 2

= 36