Simplex Method

Dr. Manjubala Bisi

Simplex Method
The algebraic model of LP problem with “n” variables and “m”
constraints is in the following format:
Steps of Simplex method
1. Determine a starting basic feasible solution
2. Select an entering variable using the optimality condition. Stop if
there is no entering variable, the last solution is optimal. Else go to
step 3
3. Select a leaving variable using the feasibility condition
4. Apply the Gauss- Jordan computations to determine the new basic
solution. Go to step 2.
Computational details of Simplex method
Maximize Z = 5X1 + 4X2

S. T

6X1 + 4X2 <= 24

X1 + 2X2 <= 6
-X1 + 2X2 <= 1
X2 <= 2
X1, X2 >= 0
Computational details of Simplex method
Layout of Simplex Table

The layout of the simplex table automatically provides the solution at the starting iteration (x1,x2) =(0,0)
(x1,x2) ----- Non basic variable
(s1,s2,s3,s4) ----- Basic variable
Layout of Simplex Table
Basic x1 x2 s1 s2 s3 s4 Solution
Z -5 -4 0 0 0 0 0
S1 6 4 1 0 0 0 24
S2 1 2 0 1 0 0 6
S3 -1 1 0 0 1 0 1
s4 0 1 0 0 0 1 2
Gauss-Jordan Row operation
• It identifies the entering variable column as pivot column
• Leaving variable row as pivot row
• The intersection of the pivot column and pivot row is the pivot element.
• It will modify the simplex table as follows:
Step 1: Replace the leaving variable in the basic column with entering
variable
Step 2: New pivot row = current pivot row / pivot element
Step 3: All other rows including Z:
new row = current row - (pivot column coefficient * New pivot row)
Basic x1 x2 s1 s2 s3 s4 Solution
Z -5 -4 0 0 0 0 0
S1 6 4 1 0 0 0 24
S2 1 2 0 1 0 0 6
S3 -1 1 0 0 1 0 1
s4 0 1 0 0 0 1 2
Basic x1 x2 s1 s2 s3 s4 Solution
Z 0 -2/3 5/6 0 0 0 20
x1 1 2/3 1/6 0 0 0 4
S2 0 4/3 -1/6 1 0 0 2
S3 0 5/3 1/6 0 1 0 5
s4 0 1 0 0 0 1 2
The resultant table is:
• Now , none of the z-row coefficients are negative. So, this is the
optimal solution.
Summary of the Simplex method
• Optimality condition (entering variable)
• Feasibility condition (leaving variable)
Optimality condition
• The entering variable in a maximization (minimization) problem is the
non-basic variable with most negative (positive) coefficient in the z-
row.
• Ties are broken arbitrarily.
• The optimum is reached at the iteration where all the z-row
coefficients are nonnegative (non positive for minimization problem)
 Feasibility condition
• For both maximization and minimization problem, the leaving variable
is the basic variable associated with smallest nonnegative ratio.
• Ties are broken arbitrarily
Gauss-Jordan Row operation
1. Pivot row : Replace the leaving variable in the basic column with
the entering variable
2. New pivot row = current pivot row / pivot element
3. All other row including z-row:
New row = current row – (its pivot column coefficient)* (New pivot
row)
 Scarce and abundant resource
• The solution also gives the status of the resources.
• A resource is designated as scarce if its associated slack variable is zero—that is,
the activities (variables) of the model have used the resource completely.
• Otherwise, if the slack is positive, then the resource is abundant. The following
table classifies the constraints of the model:
 Sensitivity analysis
• The simplex tableau offers a wealth of additional information that
include the following:
• 1. Sensitivity analysis, which deals with determining the conditions that will
keep the current solution unchanged.
• 2. Post-optimal analysis, which deals with finding a new optimal solution
when the data of the model are changed.
 Sensitivity Analysis

• In LP, the parameters (input data) of the model can be changed within
certain limits without causing changes in the optimum.
• This is referred to as sensitivity analysis.
• Graphical sensitivity Analysis
• Sensitivity of the optimum solution to changes in the availability of the resources
(right-hand side of the constraints).
• Sensitivity of the optimum solution to changes in unit profit or unit cost
(coefficients of the objective function)
 Changes in the Right-Hand side
• JOBCO manufactures two products on two machines.
• A unit of product 1 requires 2 hrs on machine 1 and 1 hr on machine 2
• For product 2, one unit requires 1 hr on machine 1 and 3 hrs on machine 2.
• The revenues per unit of products 1 and 2 are $30 and $20, respectively.
• The total daily processing time available for each machine is 8 hrs.
• Letting x1 and x2 represent the daily number of units of products 1 and 2, respectively, the LP
model is given as
Maximize z = 30x1 + 20x2
Subject to
2x1 + x2 <= 8 (Machine 1)
x1 + 3x2 <= 8 (Machine 2)
x1, x2 >=0
• Find the graphical solution for this LP problem
Change in the optimum solution when changes are
made in the capacity of machine 1
• If the daily capacity is increased from 8 to 9 hrs, the new optimum will move to point G.
• The rate of change in optimum z resulting from changing machine 1 capacity from 8 to 9 hrs can
be computed as:

• The computed rate provides a direct link between the model input (resources) and its output
(total revenue).
• It says that a unit increase (decrease) in machine 1 capacity will increase (decrease) revenue by
$14.
Graphical
sensitivity of
optimal solution
to changes in the
availability of
resources (right-
hand side of the
constraints)
 Dual Price and Machine 1
• The name unit worth of a resource is a description of the rate of change of the objective
function per unit change of a resource
• unit worth of resource dual or shadow price
• We can see that the dual price of $14/hr remains valid for changes (increases or
decreases) in machine 1 capacity that move its constraint parallel to itself to any point on
the line segment FB.
• We compute machine 1 capacities at points F and B as follows:
• Minimum machine 1 capacity [at B = (0, 2.67)] = 2 * 0 + 1 * 2.67 = 2.67 hr
• Minimum machine 1 capacity [at F = (8, 0)] = 2 * 8 + 1 * 0 = 16 hr
• The conclusion is that the dual price of $14.00/hr remains valid only in the range
• 2.67 hr <= Machine 1 capacity <= 16 hr
• Changes outside this range produce a different dual price (worth per unit).
 Dual price for machine 2
• Using similar computations, you can verify that the dual price for machine
2 capacity is $2/hr
• It remains valid for changes in machine 2 capacity within the line segment
DE.
• Now, Minimum machine 2 capacity [at D = (4, 0)] = 1 * 4 + 3 * 0 = 4 hr
Minimum machine 2 capacity [at E = (0, 8)] = 1 * 0 + 3 * 8 = 24 hr
• Thus, the dual price of $2/hr for machine 2 remains applicable for the
range 4 hr <= Machine 2 capacity <= 24 hr
• The computed limits for machine 1 and 2 are referred to as the feasibility
ranges.
The dual prices allow making economic
decisions about the LP problem
 Question 1.
If JOBCO can increase the capacity of both
machines, which machine should
receive priority?
• From the dual prices for machines 1 and 2, each additional hour of
machine 1 increases revenue by $14, as opposed to only $2 for
machine 2.
• Thus, priority should be given to machine 1
 Question 2.
A suggestion is made to increase the capacities of
machines 1 and 2 at the additional cost of $10/hr
for each machine. Is this advisable?

• For machine 1, the additional net revenue per hour is 14 - 10 = $4,

and for machine 2, the net is $2 - $10 = - $8.
• Hence, only machine 1 should be considered for capacity increase.
 Question 3.
If the capacity of machine 1 is increased from 8 to
13 hrs, how will this increase
impact the optimum revenue?
• The dual price for machine 1 is $14 and is applicable in the range
(2.67, 16) hr. The proposed increase to 13 hrs falls within the
feasibility range.
• Hence, the increase in revenue is $14(13 – 8) = $70, which means that
the total revenue will be increased from $128 to $198( = $128 + $70).
 Question 4.
Suppose that the capacity of machine 1 is increased to
20 hrs, how will this increase affect the optimum
revenue?
• The proposed change is outside the feasibility range (2.67, 16) hr.
• Thus, we can only make an immediate conclusion regarding an increase up to 16
hrs.
• Beyond that, further calculations are needed to find the answer.
• Remember that falling outside the feasibility range does not mean that the
problem has no solution.
• It only means that available information is not sufficient to make a complete
decision.
Changes in the Objective coefficients

• The graphical solution space of the JOBCO

problem shows that the optimum occurs at point
C1 (x1 = 3.2, x2 = 1.6, z = 128).
• Changes in revenue units (i.e., objective-
function coefficients) will change the slope of z.
• However, as can be seen from the figure, the
optimum solution at point C remains
unchanged so long as the objective function lies
between lines FB and DE.
How to determine the ranges for the coefficients of the
objective function that will keep the optimum solution
unchanged at C?
• First, we write the objective function in the general format:
• Maximinze z = c1x1 + c2x2
• Imagine now that line z is pivoted at C and that it can rotate clockwise and
counterclockwise.
• The optimum solution will remain at point C so long as z = c1x1 + c2x2 lies between the
two lines x1 + 3x2 = 8 and 2x1 + x2 = 8.
𝐶1 1 2
• This means that the ratio can vary between and , which yields the following
𝐶2 3 1
optimality range:
1 𝑐1 2 𝑐1
• ≤ ≤ or 0.333 ≤ ≤2
3 𝑐2 1 𝑐2
 Question 1.
Suppose that the unit revenues for products 1 and 2 are
changed to $35 and $25, respectively. Will the current
optimum remain the same?
• The new objective function is
• Maximinze z = 35x1 + 25x2
𝑐1 35
• The solution at C will remain optimal because = = 1.4 remains within the
𝑐2 25
optimality range (.333, 2).
• When the ratio falls outside this range, additional calculations are needed to find
the new optimum (That we will discuss later).
• Notice that although the values of the variables at the optimum point C remain
unchanged, the optimum value of z changes to 35 * (3.2) + 25 * (1.6) = $152.
 Question 2.
Suppose that the unit revenue of product 2 is fixed at its
current value c2 = $20. What is the associated optimality range
for the unit revenue for product 1, c1, that will keep the
optimum unchanged?
 TOYCO model
• TOYCO uses three operations to assemble three types of toys—trains, trucks, and cars.
• The daily available times for the three operations are 430, 460, and 420 mins, respectively,
• The revenues per unit of toy train, truck, and car are $3, $2, and $5, respectively.
• The assembly times per train at the three operations are 1, 3, and 1 mins, respectively.
• The corresponding times per truck and per car are (2, 0, 4) and (1, 2, 0) mins (a zero time
indicates that the operation is not used).
Optimum solution
Determination of dual prices and feasibility ranges
• Suppose that D1, D2, and D3 are the (positive or negative) changes made in the allotted daily
manufacturing time of operations 1, 2, and 3, respectively.
• The original TOYCO model can then be changed to
 Starting Tableau
• To express the optimum simplex tableau of the modified problem in terms of the changes D1, D2,
and D3,
• We first rewrite the starting tableau using the new right-hand sides, 430 + D1, 460 + D2, and 420
+ D3
 Optimum Tableau
• The two shaded areas are identical.
• Hence, if we repeat the same simplex iterations (with the same row operations) as in the original
model, the columns in the two highlighted area will also be identical in the optimal tableau—that
is,
 Dual prices

This means that, by definition, the corresponding dual prices are 1, 2, and 0
($/min) for operations 1, 2, and 3, respectively.

• The coefficients of D1, D2, and D3 in the optimal z-row are exactly those of the slack variables
x4, x5, and x6.
• This means that the dual prices equal the coefficients of the slack variables in the optimal z-
row.
 Feasibility range
• The current solution remains feasible if all the basic variables remain
nonnegative—that is,

• Simultaneous changes D1, D2, and D3 that satisfy these inequalities

will keep the solution feasible.
• The new optimum solution can be found by substituting out the
values of D1, D2, and D3
 Feasibility range
• To illustrate the use of these conditions, suppose that the manufacturing
time available for operations 1, 2, and 3 are 480, 440, and 400 mins,
respectively.
• Then, D1 = 480 - 430 = 50, D2 = 440 - 460 = -20, and D3 = 400 - 420 = -20.
• Substituting in the feasibility conditions, we get

• The calculations show that x6 < 0, hence the current solution does not
remain feasible
 Feasibility range
• Alternatively, if the changes in the resources are such that D1 = -30, D2 = -12, and D3 =
10, then

• The new (optimal) feasible solution is x1 = 88, x3 = 224, and x6 = 68

• with z = 3(0) + 2(88) + 5(224) = $1296.
• Notice that the optimum objective value can also be computed using the dual
prices as z = 1350 + 1D1 + 2D2 + 0D3

• z = 1350 + 1( -30) + 2( -12) + 0(10) = $1296.

 Feasibility Range
• The given conditions can produce the individual feasibility ranges associated with
changing the resources one at a time.
• For example, a change in operation 1 time only means that D2 = D3 = 0. The
simultaneous conditions thus reduce to

• This means that the dual price for operation 1 is valid in the feasibility range -200≤ D1
≤10
• We can show in a similar manner that the feasibility ranges for operations 2
and 3 are -20 <= D<=400 and -20 <= D3 <=∞. respectively