Part II

Linear Constrained Optimization

Chapter 16
SIMPLEX METHOD

Chia-Hui Chang ()
National Central
University
2008.11.10
Solving Linear System

Augmented matrix
Perform a sequence of elementary row operations
to obtain
Let be a solution to Ax=b, xBRm, xDRn-m

Any solution to Ax=b has the form

where is a solution to Ax=0.

Canonical Form of Ax=b

Canonical representation of the system with respect

to the basis a1, a2, , am:
We call the canonical augmented matrix of the
system w.r.t. the basis a1, a2, , am.
Canonical Augmented Matrix
Updating the Augmented Matrix

Replacing a basic variable with a nonbasic variable,

e.g. pivoting about the (p,q)th element, 1pm, m<q
n.
Old basis {a1, a2, , am}

New basis {a1, ,ap-1, aq, ap+1 , am}

The Simplex Algorithm - Idea

Idea: move from one basic feasible solution to another.

Assume we are given the basic feasible solution

Suppose we decide to make aq, q>m, a basic column

Multiplying by >0

Combine with
Selecting Entering Variable

Solution to Ax=b:
Original objective function

New objective function

Thus if then the new objective function can

be decreasing.
Selecting Entering Variable
(Cont.)
Theorem 16.2 A basic feasible solution is optimal if
and only if the corresponding reduced cost
coefficients are all nonnegative.
Proof: General solution to Ax=b:

objective function
Since xi 0 for a feasible solution, we have
If ci-zi 0 for all i=m+1, , n, then any feasible solution x
will have objective function no smaller than z0.
ri=ci-zi is called the reduced cost coefficient
Entering
variable

Leaving
variable
Matrix Form of the Simplex Method

Objective function
Matrix Form of the Simplex Method (Cont.)

Elementary row operations on A

Elementary row operations on cT

Degenerate cases
Two Phases Simplex Method

Phase I: find initial basic feasible solution

Phase II: find optimal basic feasible solution

Phase I

Phase
II
Revised Simplex Method
Reasoning

Computation of current solution B-1b does

not require computation of B-1D (see slide
12).
Keep track of [B-1, B-1b]
Let yq=B-1aq and p=argmini {yio/yiq: yiq>0}
Updating [B-1, y0, yq] by pivoting at the p th
element of the last column
Phase I
Phase
II