m in P  c T x

Summary su b jec t to A x  b ,
x, b  0.
 Initialization: Select a basic feasible solution
xB  bˆ  B 1b  0, with B the basis matrix.

 Optimality Test: The current basis is optimal, if

cˆTN  cTN  (cBT B 1 )T N  0.

Reduced costs

Otherwise, select a variable

xt that satisfies cˆt  0 as the entering variable.

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 Recursive Step: Compute Aˆt  B 1 At .
Find an index s (determining the leaving variable,
s‐th. basic variable in B) such that:

bˆs  bˆ 
 m in  i aˆ i , t  0
aˆ s , t 1 i  m  aˆ i , t 

 The Pivot: From the “pivot entry” aˆs ,t , update the

basis matrix B and the vector of basis variables xB .
GO BACK TO STEP 2.

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 An Exercise
min P   x1  2 x2
subject to  2 x1  x2  x3 2
 x1  2 x2  x4 7
x1  x5  3
x1 , x2 , x3 , x4 , x5  0.

In compact notation:
min P  cT x, subject to: Ax  b, x  0, b  0.
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 Check the sign of reduced cost at each step
Answer cˆTN  cTN  (cBT B1 )T N . If all  0, then STOP.

Step 1:
xB   x3 , x4 , x5  , xN   x1 , x2 
T T

c B   0, 0, 0  , c N   1,  2 
T T

Step 2:
xB   x2 , x4 , x5  , xN   x1 , x3 
T T

c B   2, 0, 0  , c N   1, 0 
T T

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 Step 3: xB   x2 , x1 , x5  , xN   x3 , x4 
T T

c B   2,  1, 0  , c N   0, 0 
T T

Step 4: xB   x2 , x1 , x3  , xN   x4 , x5 
T T

c B   2,  1, 0  , c N   0, 0 
T T

Optimal, because

 
T
1
cˆ  c N  c B B
T
N
T T
N  (1, 2)  0.
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 The Simplex Tableau
Initial tableau:

Basic xB xN rhs
T T
-P c B c N
0
xB B N b Next,
Basic xB xN rhs
1 1
-P 0 c  c B N c B b
T
N
T
B
T
B
xB I B N 1
B b 1

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 The Simplex Tableau
For illustration purpose, study the same example.

Basic x1 x2 x4 x5 rhs
x3
-P -1 -2 0 0 0 0

x3 -2 1 1 0 0 2
x4 -1 2 0 1 0 7
x5 1 0 0 0 1 3

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Use the rule to select bˆs  bˆi 
 min  aˆi ,t  0 
the pivot entry aˆ s ,t 1i  m  aˆi ,t 
s=3, t=2:

Basic x1 x2 x4 x5 rhs
x3
-P -1 -2 0 0 0 0

x3 -2 1 1 0 0 2
x4 -1 2 0 1 0 7
x5 1 0 0 0 1 3

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 Add 2 times the x3 row to the –P row and subtract
2 times the x3 row from the x4 row:

Basic x1 x2 x4 x5 rhs
x3
-P -5 0 2 0 0 4

x2 -2 1 1 0 0 2
x4 3 0 -2 1 0 3
x5 1 0 0 0 1 3

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 Basic x1 x2 x4 x5 rhs
x3
-P 0 0 -4/3 5/3 0 9

x2 0 1 -1/3 2/3 0 4
x1 1 0 -2/3 1/3 0 1
x5 0 0 2/3 -1/3 1 2

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Final Step (Optimal solution):

Basic rhs
x1 x2 x3 x4 x5
-P 0 0 0 1 2 13

x2 0 1 0 1/2 1/2 5
x1 1 0 0 0 1 3
x3 0 0 1 -1/2 3/2 3

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Final Step (Optimal solution):

Basic rhs
x1 x2 x3 x4 x5
-P 0 0 0 1 2 13

x2 0 1 0 1/2 1/2 5
x1 1 0 0 0 1 3
x3 0 0 1 -1/2 3/2 3

   
P   13, at x  x  3, x  5.
1 3 2
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 An Exercise
Solve the minimization problem:

min P   3 x1  x2  3 x3
subject to 2 x1  x2  x3  2
x1  2 x2  3x3  5
2 x1  2 x2  x3  6
x1  0, x2  0, x3  0.
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 Answer
First tableau (pivoting 1 leads to less computation):

x1 x2 x3 x4 x5 x6 rhs

-P -3 -1 -3 0 0 0 0

2 1 1 1 0 0 2

1 2 3 0 1 0 5

2 2 1 0 0 1 6

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 Answer (cont’d)
Second tableau:

x1 x2 x3 x4 x5 x6 rhs

-P -1 0 -2 1 0 0 2

2 1 1 1 0 0 2

-3 0 1 -2 1 0 1

-2 0 -1 -2 0 1 2

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 Answer (cont’d)
Third tableau:

x1 x2 x3 x4 x5 x6 rhs

-P -7 0 0 -3 2 0 4

5 1 0 3 -1 0 1

-3 0 1 -2 1 0 1

-5 0 0 -4 1 1 3

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 Answer (cont’d)
Fourth tableau:

x1 x2 x3 x4 x5 x6 rhs

-P 0 7/5 0 6/5 3/5 0 27/5

1 1/5 0 3/5 -1/5 0 1/5

0 3/5 1 -1/5 2/5 0 8/5

0 1 0 -1 0 1 4

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Answer (cont’d)
Optimal solution, read from the last tableau:

1 * 8 *
x  , x2  0, x3  , x4  0, x5*  0, x6*  4.
*
1
*

5 5
27
P  .
*

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 Artificial Variables
Goal: Find an (initial) basic feasible solution for the
standard LP Problem:

min P  c x T

subject to Ax  b,
x  0.
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 The Two‐Phase Method
The phase-I problem:
min P   ai
i

subject to Ax  a  b,
x, a  0,
a   a1 , , am  : artificial variables
T

A direct application of the simplex method yields

a basic feasible solution (not optimal)
for the original P !!
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 An Example
min P  2 x1  3 x2
subject to 3x1  2 x2  14
2x1  4 x2  2
4x1  3 x2  19
x1 , x2  0.

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 An Example (cont’d)
min P  2 x1  3 x2
subject to 3x1  2 x2  14
2x1  4 x2  x3 2
4x1  3 x2  x4  19
x1 , x2 , x3 , x4  0.

No obvious basic feasible solution, due

to less than (three) slack variables.
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Phase‐1 Problem:

min P  a1  a2
subject to 3x1  2 x2  a1  14
2x1  4 x2  x3  a2 2
4x1  3 x2  x4  19
x1 , x2 , x3 , x4 , a1 , a2  0.
Now the (initial) basic feasible variable
xB   a1 , a2 , x4  with values 14, 2, 19  .
T T

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 Applying the simplex technique,

Initial tableau:

x1 x2 x3 x4 a1 a2 rhs

 P 0 0 0 0 1 1 0

3 2 0 0 1 0 14

2 -4 -1 0 0 1 2

4 3 0 1 0 0 19

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 (Use elimination to the first row to make the
entries for the initial basic variables 0.)
First tableau:

x1 x2 x3 x4 a1 a2 rhs

-5 2 1 0 0 0 -16
 P
3 2 0 0 1 0 14

2 -4 -1 0 0 1 2

4 3 0 1 0 0 19

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 (The basic variable a2 leaving, so delete the
irrelevant a2 column:)
Second tableau:

x1 x2 x3 x4 a1 rhs

 P 0 -8 -3/2 0 0 -11

0 8 3/2 0 1 11

1 -2 -1/2 0 0 1

0 11 2 1 0 15

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 (The basic variable x4 leaving, but cannot
delete the relevant x4 column:)
Third tableau:

x1 x2 x3 x4 a1 rhs

 P 0 0 -1/22 8/11 0 -1/11

0 0 1/22 -8/11 1 1/11

1 0 -3/22 2/11 0 41/11

0 1 2/11 1/11 0 15/11

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 (The basic variable a1 leaving, so delete the
irrelevant a1 column:)
Third tableau:

x1 x2 x3 x4 rhs

 P 0 0 0 0 0

0 0 1 -16 2

1 0 0 -2 4

0 1 0 3 1

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Phase–II Problem: P=2x1 + 3x2

Initial tableau:

x1 x2 x3 x4 rhs

-P 2 3 0 0 0

0 0 1 -16 2

1 0 0 -2 4

0 1 0 3 1

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Phase–II Problem: P=2x1 + 3x2
First tableau (Use elimination to the first row to make
the entries for the initial basic variables 0):

x1 x2 x3 x4 rhs

-P 0 0 0 -5 -11

0 0 1 -16 2

1 0 0 -2 4

0 1 0 3 1

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Phase–II Problem: P=2x1 + 3x2

Second tableau:

x1 x2 x3 x4 rhs

-P 0 5/3 0 0 -28/3

0 16/3 1 0 22/3

1 2/3 0 0 14/3

0 1/3 0 1 1/3

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 So, the optimal solution is
28 28
 P   , or P 
* *

3 3
which is attained at the following minimizer:
14 22 1
x  , x2  0, x3  , x4  .
*
1
* * *

3 3 3

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 An Exercise

min P  4 x1  x2  x3
subject to 2x1  x2  2 x3  4
3 x1  3 x2  x3  3
xi  0, i  1, 2,3

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 Degeneracy
A linear program is degenerate, if a basic
variable equals zero, i.e., the last column b
contains a zero.

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 Cycling
In case of degeneracy, it may happen that
 bˆ  bˆ
xt  min  i aˆi ,t  0   s  0
1i  m  ˆ
a i , t 
 ˆ
a s ,t

Then, the performance function does not improve:

P  Pˆ  cˆ x  Pˆ
t t

eventually leading to the cycling problem,

i.e., the (leaving) basic variable xs will be
re-chosen as the entering variable in a few steps.
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 A Degenerate LP Problem
For the following LP problem, the simplex method
cycles indefinitely!
3 1
min P   x1  150 x2  x3  6 x4
4 50
1 1
subject to x1  60 x2  x3  9 x4  0
4 25
1 1
x1  90 x2  x3  3 x4  0
2 50
x3 1
xi  0, 1  i  4.
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 Bland’s Rule
Goal: to avoid cycling. Make the following changes in
the simplex method,
a) select the lowest‐indexed favorable column to enter
the basis, using the rule:

j  min  j : cˆ j  0 .

b) In case of ties or undecision, select the lowest

indexed column to leave the basis.

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 The Perturbation Method
This is another efficient method to avoid cycling or
minimize computation time.

The simplex method will surely terminate if applied to

the LP with perturbed constraints:
Ax  b  
where, for sufficiently small 0  0,

   0 ,  , , 
2
0
m
0 
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