The revised Simplex

method

Ha Thi Xuan Chi, PhD

1
Outline chapter
q Intr

2
Revised Simplex
Solving for Basic Feasible Solution

• The n nonbasic variables from the n+m elements

of are set to zero.
éxù
[A, I]ê ú = b
ëx s û

éxù
êx ú ³ 0
ë sû

3
Revised Simplex
Solving for Basic Feasible Solution

• The set of m equations with m basic variables denoted by BxB=b

where é xB1 ù éxù

ê ú êx ú
Vector of basic variables xB= ê xB 2 ú obtained by eliminating the nonbasic variables from
êë xBm úû
ë sû
é B11 B12 B1m ù
êB obtained by eliminating the columns corresponding to
Basis matrix B = B2 m úú
coefficient of nonbasic variables from [A, I]
ê 21 B22
êë Bm1 Bm 2 Bmm úû

• To solve BxB = b both side are premultiplied by B- B-1BxB=B-1b

1
xB=B-1b
or
then Z = cBxB= cBB-1b

4
Revised Simplex
Solving for Basic Feasible Solution
q Max Z = 3x1 + 5x2 é1 0 1 0 0ù
q s.t: x1 ≤4 ê
[ A, I ] = ê0 2 0 1 0ú ú
q 2x2 ≤ 12 êë3 2 0 0 1úû
q 3x1 + 2x2 ≤ 18
é4ù
q x1, x2 ≥ 0 é x3 ù ê ú
êx ú b = 12
ê ú
é x1 ù xs =
ê 4ú êë18 úû
In this case x=
êx ú êë x5 úû
c = [3, 5] ë 2û
5
Revised Simplex Solving for Basic Feasible
Solution

é x3 ù é1 0 0ù é 4 ù é ù
• Iteration 4
é1 0 0ù
0 ê0 ú ê x ú = ê0 1 0ú ê12 ú = ê12 ú
B = ê 1 0 ú =B
-1 s ê 4ú ê ú ê ú ê ú
êë0 0 1úû êë x5 úû êë0 0 1úû êë18 úû êë18úû
o
é4ù
é x3 ù ê12 ú
êx ú Z = [0, 0, 0] ê ú =0
ê 4ú êë18 úû
xB = êë x5 úû

cB = [0, 0, 0]

6
Revised Simplex Solving for Basic
Feasible Solution
• Iteration 1
é x3 ù é1 0 0ù é1 0 0ù
xB = ê ú B = êê0 2 0úú B-1 = êê0 1 / 2 0úú
ê x2 ú
êë x5 úû êë0 2 1úû êë0 - 1 1úû
cB = [0, 5, 0]

é x3 ù é1 0 0ù é 4 ù
é 4ù
ê ú ê ú ê12 ú = ê6ú
so x2 = 0 1 / 2 0 ê ú ê ú
ê ú ê ú
êë x5 úû êë0 - 1 1úû êë18 úû êë6úû
é4ù
ê6 ú
so Z = [0, 5, 0]
ê ú = 30
êë6 úû

7
Revised Simplex Solving for Basic
Feasible Solution

• Iteration 2

é4ù é 2ù
é x3 ù é1 0 1ù é1 1 / 3 - 1 / 3ù é x3 ù é1 1/ 3 - 1 / 3ù
xB = ê ú B = êê0 2 0úú B-1 = ê0 1 / 2 ú so ê x ú = êê0 1/ 2 0 úú 12= êê6úú
ê ú
ê x2 ú ê 0 ú ê 2 ú ê0 ê ú
- 1 / 3 1 / 3 úû
êë x1 úû êë0 2 3úû êë0 - 1 / 3 1 / 3 úû êë x1 úû ë ë û êë2úû
ê18 ú
cB = [0, 5, 3] é2ù
ê6 ú
so Z = [0, 5, 3]
ê ú = 36
êë 2 úû

8
Matrix Notation
Maximize Z= cx é a11 a12 L a1n ù
Matrix:
êa a22 L a2 n úú
subject to A = ê 21
Ax = b êL L L L ú
x³0 ê ú
ë am1 am 2 L amn û

The constrains become:

Row vector: c = [ c1 , c2 ,..., cn ]
Column vectors: éx ù éx ù
[ A, I ] ê x ú = b êx ú ³ 0
éb1 ù é xn +1 ù ë sû ë sû
é x1 ù é0 ù
êx ú êb ú ê0 ú êx ú
x = ê 2ú b = ê 2ú 0=ê ú xs = ê n + 2 ú
ê…ú ê…ú ê…ú ê… ú
ê ú ê ú ê ú ê ú
ë xn û ëbn û ë0 û ë xn + m û

9
Simplex tableaux in matrix form

Basic Z Coefficient of: RHS

variable Original Slack
variable variable
Z 1 cB .B-1 .A - c cB .B-1 cB .B-1 .b

xB 0 B-1 .A B-1 B-1 .b

cB : vector whose elements are the objective

function coefficients (including zero for slack variables)
for the corresponding elements of xB
xB : vector of basic variables
B : basis matrix
B-1 : inverse of basis matrix
B : vector of RHS
10
Simplex tableaux in matrix form
Example
Maximize Z = 3x1 + 5x2 Maximize Z = 3x1 + 5x2
Subject to Subject to
x1 ≤4 x1 + s1 =4
2x2 ≤ 12 2x2 + s2 = 12
3x1 + 2x2 ≤ 18 3x1 + 2x2 + s3 = 18
x1 ≥0
x2 ≥ 0. x1≥ 0, x2 ≥ 0, s1 ≥0, s2 ≥0, s3 ≥0.

é4 ù é1 0 ù
c = [3, 5] b = êê12 úú [ A ] = êê0 2úú
êë18 úû êë 3 2 úû
11
 Simplex tableaux in matrix form
Iteration 0
Basic variables Basis matrix

é s1 ù é1 0 0 ù
xB = êê s2 úú B = êê0 1 0 úú
êë s3 úû êë0 0 1 úû
The coefficients of basic variables (s1, s2, s3) in constraints
The coefficient of basic variables (s1, s2, s3) in objective function

CB = [ 0 0 0] é1 0 0 ù
B -1 = êê0 1 0 úú
êë0 0 1 úû

12
Simplex tableaux in matrix form
The coefficients of non basic variables (x1, x2) in constraints
é1 0 0 ù é1 0 ù é1 0 ù
-1 ê ú ê ú ê
B . A = ê0 1 0 ú ê0 2 ú = ê0 2 ú ú
êë0 0 1 úû êë3 2 úû êë3 2 úû

The coefficients of basic variables (s1, s2, s3) in constraints

é1 0 0 ù é 4 ù é 4 ù
B -1.b = êê0 1 0 úú êê12úú = êê12úú
êë0 0 1 ûú êë18úû êë18úû
13
Simplex tableaux in matrix form

The coefficients of the basis variables (s1, s2, s3) in objective function

é1 0 0 ù
ê ú
cB .B = [ 0 0 0] ê0 1 0 ú = [ 0 0 0]
-1

êë0 0 1 úû

14
Simplex tableaux in matrix form

The coefficients of the non basic variables (x1, x2) in objective function
é1 0 ù
cB .B -1. A - c = [ 0 0 0] êê0 2 úú - [3 5] = [ -3 - 5]
êë 3 2 ûú
Negative

é4 ù Solution is not optimal

Z = cB .B -1.b = [ 0 0 0] êê12 úú = 0
êë18 úû

15
Simplex tableaux in matrix form
Determine the entering variable :

Selecting the variable whose the coefficient value is the

most negative (maximize problem) and the positive

coefficient (minimize problem) in Z-eq.

The coefficients of the nonbasic variables (x1, x2):

cB .B -1. A - c = [ 0, 0] - [3,5] = [ -3, -5]

The most negative

x2 : entering variable
16
Simplex tableaux in matrix form
Determine the leaving variable:
Basic Z Coefficient of: RHS
variable Original Slack
variable variable
Z 1 cB .B-1 .A - c cB .B-1 cB .B-1 .b

xB 0 B-1 .A B-1 B-1 .b

q Entering variable is the original variable:

Selecting the minimum ratio: B-1 .b/B-1 .A

q Entering variable is the slack variable

Selecting the minimum ratio: B-1 .b/ B-1

17
Simplex tableaux in matrix form
x2 : entering variable and original variable

é1 0 0 ù é1 0 ù é1 0 ù
B -1. A = êê0 1 0 úú êê0 2 úú = êê0 2 úú
êë0 0 1 úû êë3 2 úû êë3 2 úû
é ù
Coefficient values of x2
ê- ú
ê ú
ê 12 ú
Min ratio = =4
é1 0 0 ù é 4 ù é 4 ù ê2ú
ê 8 ú s2 : leaving variable
B -1.b = êê0 1 0 úú êê12úú = êê12úú ê ú
ë2 û
êë0 0 1 ûú êë18úû êë18úû
18
 Simplex tableaux in matrix form
Iteration 1
Basic variables Basis matrix
é s1 ù é1 0 0 ù
xB = êê x2 úú B = êê0 2 0 úú
êë s3 úû êë0 2 1 úû

The coefficient of basic variables (s1, x2, s3) in objective function

cB = [ 0 5 0 ]
The coefficients of basic variables (s1, x2, s3) in constraints
é1 0 0 ù
ê 1 ú
B -1 = ê0 0ú
ê 2 ú
ê0 -1 1 ú
ë û 19
Simplex tableaux in matrix form
The coefficients of non basic variables (x1, s2) in constraints
é1 0 0 ù
ê ú é1 0 ù é1 0 ù
-1
ê 1 ú ê ú ê ú
B .A = 0 0 ê0 2 ú = ê0 -1ú
ê 2 ú
ê0 -1 1 ú êë 3 2 úû êë 3 0 úû
ë û
The coefficients of basic variables (s1, x2, s3) in constraints

é1 0 0 ù
ê ú é4 ù é4ù
1
-1
ê
B .b = 0 0 ú êê12 úú = êê6 úú
ê 2 ú
ê0 -1 1 ú êë18 úû êë6 úû
ë û 20
Simplex tableaux in matrix form

The coefficients of the basis variables (s1, x2, s3) in objective function

é1 0 0 ù
ê ú
1 é 5 ù
cB .B = [ 0 5 0] 0
-1
ê ú
0 = ê0 0ú
ê 2 ú ë 2 û
ê0 -1 1 ú
ë û

21
Simplex tableaux in matrix form

The coefficients of the non basic variables (x1, s2) in objective function
é1 0 ù
é 5 ùê
-1
cB .B . A - c = ê0 0 ú ê0 2 úú - [3 5] = [ -3 5]
ë 2 û
êë 3 2 úû

Negative
é4 ù
-1 é 5 ùê ú Solution is not optimal
Z = cB .B .b = ê0 0 ú ê12 ú = 30
ë 2 û
êë18 úû

22
Simplex tableaux in matrix form

Determine the entering variable :

The coefficients of the non basic variables (x1, s2) in objective function
é1 0 ù
é 5 ùê ú
-1
cB .B . A - c = ê0 0 ú ê0 2 ú - [3 5] = [ -3 5]
ë 2 û
êë 3 2 úû
The most negative
x1 : entering variable

23
Simplex tableaux in matrix form
Determine the leaving variable:
Basic Z Coefficient of: RHS
variable Original Slack
variable variable
Z 1 cB .B-1 .A - c cB .B-1 cB .B-1 .b

xB 0 B-1 .A B-1 B-1 .b

q If the entering variable is the original variable

Selecting the minimum ratio: B-1 .b/B-1 .A

q If the entering variable is the slack variable

Selecting the minimum ratio: B-1 .b/ B-1

24
Simplex tableaux in matrix form
é1 0 0 ù x2 : entering variable and original variable

ê ú é1 0 ù é1 0 ù
1
-1
ê
B .A = 0 0 ú êê0 2 úú = êê0 1 úú
ê 2 ú
ê0 -1 1 ú êë 3 2 úû êë 3 0 úû
ë û

é1 0 0 ù Coefficient values of x1

ê ú é4 ù é 4ù
1
-1
ê
B .b = 0 0 ú êê12 úú = êê 6 úú é4ù
ê 2 ú
ê0 -1 1 ú êë18 úû êë 6 úû ê1ú
ê ú
ë û Min ratio = - = 2 ê ú
ê6ú s3 : leaving variable
ê ú
ë3û 25
Simplex tableaux in matrix form

Iteration 2

Basic variables Basis matrix

é s1 ù é1 0 1 ù
ê
xB = ê x2 ú ú B = êê0 2 0 úú
êë x1 úû êë0 2 3úû

26
Simplex tableaux in matrix form

The coefficient of basic variables (s1, x2, x1) in objective function

cB = [ 0 5 3]
The coefficients of basic variables (s1, x2, x1) in constraints
é -1 ù
ê 1 0
3ú
ê ú
1
B -1 = ê0 0ú
ê 2 ú
ê ú
ê0 -1 1 ú
êë 3 úû

27
Simplex tableaux in matrix form

The coefficients of non basic variables (s1, s2) in constraints

é -1 ù
ê1 0 3 ú
ê ú é1 0 ù é 0 0 ù
1
-1 ê
B .A = 0 0 ú êê0 2 úú = êê0 1 úú
ê 2 ú
ê ú êë 3 2 úû êë1 0 úû
ê0 -1 1 ú
êë 3 úû

28
Simplex tableaux in matrix form

The coefficients of basic variables (s1, x2, x1) in constraints

é -1 ù
ê1 0 3 ú
ê ú é4 ù é2ù
1
-1 ê
B .b = 0 0 ú êê12 úú = êê6 úú
ê 2 ú
ê ú êë18 úû êë 2 úû
ê0 -1 1 ú
êë 3 úû

29
Simplex tableaux in matrix form
The coefficients of the basis variables (s1, x2, x1) in objective function

é -1 ù
ê1 0 3 ú
ê ú
ê 1 ú é 3 ù
cB .B = [ 0 5 3] 0
-1
0 = ê0 1ú
ê 2 ú ë 2 û
ê ú
ê0 -1 1 ú
êë 3 úû
Positive

30
Simplex tableaux in matrix form

The coefficients of the non basic variables (s1, s2) in objective function
é1 0 ù
ê ú
cB .B . A - c = [ 0 5 3] ê0 2 ú - [3 5] = [ 0 0]
-1

êë 3 2 úû

Positive
é4 ù
-1 é 3 ùê ú
Z = cB .B .b = ê0 1ú ê12 ú = 36
ë 2 û
êë18 úû
Solution is optimal

31
 Fundamental Insight
Initial Z Decision variables Slack variables RHS
Table
Z x1 x2 s1 s2 s3 rhs

1 -3 -5 0 0 0 0
t = -c 0
0 1 0 1 0 0 4

0 0 2 0 1 0 12
T = A I b
0 3 2 0 0 1 18

t 1 -c 0 0
=
T 0 A I b

1 cb B -1 A - c cb B -1 cb B -1b
=
0 B -1 A B -1 B -1b Foundations-32
 Fundamental Insight
Final Z Decision variables Slack variables rhs
Table
Z x1 x2 s1 s2 s3 Rhs
t* = 1 0 z*-c 0 0 3/2 y* 1 36 Z*
0 0 0 1 1/3 -1/3 2

T* = 0 0 A* 1 0 ½ S* 0 6 b*
0 1 0 0 -1/3 1/3 2

t* 1 z*-c y* Z*
=
T* 0 A* S* b*

1 y*A-c y* y*b
=
0 S*A S* S*b
 Fundamental Insight
Z Decision variables Slack rhs
variables

1 y A -c
*
y * *
yb
* * *
0 SA S Sb
We can use the fundamental insight for sensitivity analysis.
Vector y* plays a very special role. These are shadow prices.
Fundamental Insight

Optimal value: m
Z * = y * b = å yi *bi
i =1

Old optimal value:

é4 ù
é 3 ùê ú = 36
Z * = y1b1 + y2b2 + y3b3 = ê0 1ú ê12 ú
ë 2 û
êë18 úû
New optimal value:
é4 ù
é 3 ùê
Z * = ê0 1ú ê13 úú = 37.5
ë 2 û
êë18 úû

DZ * = 1.5 35
36