Solving Linear

Programming Problems

By

Simplex Method
Dr Syed Ajaz Kirmani
Q. What is a Linear Programming Problem?

A. A Linear Programming Problem(LPP) is a problem in

which we are asked to find the maximum (or minimum)
value of a linear objective function
       Z = aX1 + bX2 + cX2 + ... (e.g. Z = 3X1 + 2X2 + X3)
Subject to one or more linear constraints of the form

 AX1+ BX2 + CX3 + . . <or= N  (e.g. X1 + X2 + 3X3 <or= 12)

The desired largest (or smallest) value of the objective

function is called the optimal value, and a collection of
values of X1,X2,X3, . . . that gives the optimal value
constitutes an optimal solution.The variables X1, X2,
X3, . . are called the decision variables.
 Simplex Method
• Simplex: a linear-programming algorithm that can
solve problems having more than two decision
variables.
• The simplex technique involves generating a series
of solutions in tabular form, called tableaus. Each
tableau corresponds to a corner point of the
feasible solution space.
• The first tableau corresponds to the origin.
Subsequent tableaus are developed by shifting to
an adjacent corner point in the direction that
yields the highest (smallest) rate of profit (cost).
• This process continues as long as a positive
(negative) rate of profit (cost) exists.
Simplex Algorithm
The key solution concepts
• Solution Concept 1: the simplex method focuses on BFS
(BASIC FEASIBLE SOLUTION) solutions.

• Solution concept 2: Simplex method is an iterative algorithm

(a systematic solution procedure that keeps repeating a fixed
series of steps, called, an iteration, until a desired result has
been obtained) with the following structure:
 Simplex algorithm
• Convert LPP to standard form [A linear program in which all the
constraints are written as equalities.
Initialization: setup to start iterations, by finding an initial BFS
solution

• Optimality test: is the current BFS solution optimal?

if no if yes stop

• Iteration: Perform an iteration to find a better BFS

solution
(Use EROs to find the new BFS with better solution) MATH-107
Simplex Method

Some important terminologies :

Standard Form- A linear program in which all the constraints are written as
equalities.

Slack Variable- A variable added to the LHS of “Less than or equal

to” constraint to convert it into an equality.

Surplus Variable- A variable subtracted from the LHS of

“More than or equal to” constraint to convert it into an equality.

Constraint type Variable to be added

≤ + slack (s)
≥ - Surplus (s) , + artificial (A)

= + Artificial (A)
satisfy constraints and non-negativity condition.

Basic Solution- For a system of m linear equations in n

variables (n>m),a solution obtained by setting (n-m)
variables [Non basic variables] equal to zero and
solving the system of equations for remaining m variables
[Basic variables].

Basic Feasible Solution(BFS)- If all the variables in

basic solution are more than or equal to zero.

Optimal Basic feasible Solution- Any BFS which

optimizes(maximizes or minimizes) the objective function.

Non-degenerate BFS: It is BFS in which all the m basic

variables are positive and remaining n variables are zero
each.

Degenerate BFS: It is BFS in which one or more basic

prior to setting up the Initial Simplex Tableau.

Simplex Tableau- A table which is used to keep track of

the calculations made at each iteration when the simplex
method is employed.

Net EvaluationRow(Cj-Zj )- The row containing net profit

or loss.The nos.in this row are also known as shadow
prices.

Pivotal Column- The column having largest positive(or

negative) value in the Net Evaluation Row for a
maximization(or minimization) problem.

Pivotal Row- The row corresponding to variable that will

leave the table in order to make room for another
variable.

Pivotal Element- Element at the intersection of pivotal

Let us take an example containing two decision
variables and two constraints.

Example:
Maximize Z = 7X1+5X2 , subject to the constraints,
X1+2X2 < or = 6
4X1+3X2 < or = 12 and X1 & X2 are non-negative.

Step1: Convert the LP problem into Standard

form (a system of linear equations.)
We do this by rewriting the constraint inequalities as
equations by adding new "slack variables" and assigning
them zero coefficients(profits) in the objective function as
shown below:
X1+2X2+S1 =6
4X1+3X2 +S2 = 12
And the Objective Function would be:
Z=7X1+5X2+0.S1+0.S2
Step 2: Obtain a Basic Solution to the problem.
We do this by putting the decision variables X1=X2=0,
so that
S1= 6 and S2=12.
These are the initial values of slack variables.
# Variables S1 and S2 are called Basic variables and
form Basic
Step 3: Form the Initial Tableau as shown.
Initial Tableau
Basis Cj 7 5 0 0
Min.Ratio
Basic
Basic (XB/Pivotal
CB Variable X1 X2 S1 S2
Soln(XB) Col.>0)
(B)
0 S1 6 1 2 1 0 6/1=6
0 S2 12 4 3 0 1 12/4=3
Zj 0 0 0 0
(Net Evaluation)Cj - Zj 7 5 0 0
Step 3: Form the Initial Tableau as shown.
Initial Tableau
BASIS Cj 7 5 0 0
Min.Ratio
Basic
Basic (XB/Pivotal
CB Variable X1 X2 S1 S2
Soln(XB) Col.>0)
(B)
0 S1 6 1 2 1 0 6/1=6
0 S2 12 4 3 0 1 12/4=3
Zj 0 0 0 0
(Net Evaluation)Cj - Zj 7 5 0 0

Every simplex table has identity matrix under the

basic variables
Step 4: Find (Cj-Zj) having highest positive value.
The column corresponding to this value,is called the Pivotal
Column and enters the table. In the previous table,column
corresponding to variable X1 is the pivotal column.

Step 5: Find the Minimum Positive Ratio.

Divide XB values by the corresponding values of Pivotal
Column.The row corresponding to the minimum positive
value is the Pivotal Row and leaves the table. In the
previous table,row corresponding to the slack variable S2 is
the pivotal row.
Step 6: First Iteration or First Simplex Tableau.
In the new table,we shall place the incoming variable(X1)
instead of the outgoing variable(S2). Accordingly,new
values of this row have to be obtained in the following way
:
R2(New)=R2(Old)/Pivotal Element = R2(Old)/4
R1(New)=R1(Old) - (Intersecting value of R1(Old) & Pivotal
Col)*R 2(New)
=R1(Old) - 1*R2(New)
Cj 7 5 0 0
Min.Ratio
Basic
Basic (XB/Pivotal
CB Variable X1 X2 S1 S2
Soln(XB) Col.)
(B)
0 S1 3 0 54 1 - 1/4
7 X1 3 1 3/4 0 1/4
Zj 7 21 4 0 74
(Net Evaluation)Cj - Zj 0 - 1/4 0 -74
Step 7: If all the (Cj-Zj) values are zero or
negative,an optimum point is reached
otherwise repeat the process as given in
Step 4,5 & 6.
Since all the (Cj-Zj) values are either negative or
zero,hence an optimum solution has been achieved.The
optimum values are:
X1=3,
X2=0 and,
Max Z=21.
Special cases of linear
programming
• Infeasible solution
• Multiple solution (infinitely many solution)
• Unbounded solution
• Degenerated solution
 Big-M Method of solving LPP
The Big-M method of handling instances with artificial
variables is the “commonsense approach”. Essentially, the
notion is to make the artificial variables, through their
coefficients in the objective function, so costly or unprofitable
that any feasible solution to the real problem would be
preferred....unless the original instance possessed no feasible
solutions at all. But this means that we need to assign, in the
objective function, coefficients to the artificial variables that
are
either very small (maximization problem) or very large
(minimization problem); whatever this value,let us call it Big
M.
In fact, this notion is an old trick in optimization in general; we
simply associate a penalty value with variables that we do not
want to be part of an ultimate solution(unless such an
outcome
Is unavoidable).
Indeed, the penalty is so costly that unless any of the
respective variables' inclusion is warranted
algorithmically,
such variables will never be part of any feasible solution.
This method removes artificial variables from the basis.
Here,
we assign a large undesirable (unacceptable penalty)
coefficients to artificial variables from the objective
function point of view. If the objective function (Z) is to
be minimized, then a very large positive price (penalty,
M) is assigned to each artificial variable and if Z is to be
minimized, then a very large negative price is to be
assigned. The penalty will be designated by +M for
minimization problem and by –M for a maximization
problem and also M>0.
Example: Minimize Z= 600X1+500X2
subject to constraints,
2X1+ X2 >or= 80
X1+2X2 >or= 60 and X1,X2 >or= 0
Step1: Convert the LP problem into a system of
linear equations.
We do this by rewriting the constraint inequalities as
equations by subtracting new “surplus & artificial variables"
and assigning them zero & +M coefficientsrespectively in the
objective function as shown below.
So the Objective Function would be:
Z=600X1+500X2+0.S1+0.S2+MA1+MA2
subject to constraints,
2X1+ X2-S1+A1 = 80
X1+2X2-S2+A2 = 60
X1,X2,S1,S2,A1,A2 >or= 0
Step 2: Obtain a Basic Solution to the problem.
We do this by putting the decision variables X1=X2=S1=S2=0,
so that A1= 80 and A2=60.
These are the initial values of artificial variables.

Step 3: Form the Initial Tableau as shown.

Cj 600 500 0 0 M M
Min.Ratio
Basic
Basic (XB/Pivotal
CB Variab X1 X2 S1 S2 A1 A2 Col.)
Soln(XB)
le (B)
M A1 80 2 1 -1 0 1 0 80
M A2 60 1 2 0 -1 0 1 60
Zj 3M 3M M M M M
Cj - Zj 600-3M 500-3M M M 0 0
It is clear from the tableau that X2 will enter and A2 will
leave the basis. Hence 2 is the key element in pivotal
column. Now,the new row operations are as follows:
R2(New) = R2(Old)/2
R1(New) = R1(Old) - 1*R2(New)

Cj 600 500 0 0 M
Min.Ratio
Basic
Basic (XB/Pivota
CB Variab X1 X2 S1 S2 A1 l Col.)
Soln(XB)
le (B)
M A1 50 3 2 0 -1 1 2 1 100/3
500 X2 30 1 2 1 0 - 1/2 0 60
Zj 3M/2+250 500 M M/2-250 M
Cj - Zj 350-3M/2 0 M 250-M/2 0
It is clear from the tableau that X1 will enter and A1 will
leave the basis. Hence 2 is the key element in pivotal
column. Now,the new row operations are as follows:
R1(New) = R1(Old)*2/3
R2(New) = R2(Old) – (1/2)*R1(New)

Cj 600 500 0 0 Min.

Basic Ratio
Varia Basic (XB/P
CB X1 X2 S1 S2 ivotal
ble Soln(XB)
(B) Col.)

600 X1 100/3 1 0 2 3 1 3
500 X2 40/3 0 1 1 3 2 3
Zj 600 500 700 3 400 3
Cj - Zj 0 0 700 3 400 3
Since all the values of (Cj-Zj) are either zero or positive
and also both the artificial variables have been removed,
an optimum solution has been arrived at with X1=100/3 ,
X2=40/3 and Z=80,000/3.