Solving Linear

Programming Problems:
The Simplex Method
Chapter 4: Hillier and Lieberman
Chapter 4: Decision Tools for Agribusiness
Dr. Hurley’s AGB 328 Course
Terms to Know
Constraint Boundary, Corner-
Point Solutions, Corner-Point
Feasible Solution (CPF),
Iteration, Iterative Algorithm,
Optimality Test, Slack
Variables, Augmented Form,
Augmented Solution, Basic
Solution, Basic Feasible
Solution (BF), Non-Basic
Terms to Know Cont.
Minimum Ratio Test, Leaving
Basic Variable, Entering Basic
Variable, Elementary Algebraic
Operations, Simplex Tableau,
Pivot Column, Pivot Row, Pivot
Number, Elementary Row
Operations, Degenerate, Optimal
Solution, Artificial-Variable
Technique, Artificial Problem,
Artificial Variable
Terms to Know Cont.
Big M Method, Surplus
Variable, Two-Phase Method,
Shadow Price, Binding
Constraints, Sensitive
Parameters, Allowable Range,
Parametric Linear
Programming, Interior Points,
Interior-Point Algorithms,
Barrier Algorithm, Polynomial
Wyndor Glass Co. Example
Revisited

Subject to:

2
Graphical View of Wyndor
Problem

x1=4
x
2
9

2x2=12
6

3x1+2x2=1
8

0 4 6 x
1
Items in the Graph to Consider
Each line is a constraint
boundary.
The intersection of two constraint
boundary lines gives a corner-
point solution.
◦ Corner-point feasible solutions (CPF)
are solutions to the intersection of
two boundary constraint lines but
also meet the criterion of all the
other constraints in the model.
 E.g., (0,0); (0,6); (4,0); (4,3); (2,6)
Items in the Graph to Consider
Cont.
◦ Corner-point infeasible solutions are
solutions to two the intersection of two
boundary constraint lines but do not meet
the criterion of some other constraint in
the model.
 E.g., (0,9); (6,0); (4,6)
Two CPF solutions are considered
adjacent if they share n-1 constraint
boundaries where n represents the
number of decision variables.
◦ E.g., (0,0) is adjacent to (0,6) and (4,0)
◦ E.g., (2,6) is adjacent to (4,3) and (0,6)
Optimality Test
Assume that there is at least one
optimal solution.
◦ A CPF solution is optimal if there are
no other adjacent CPF solutions that
increase Z.
Solving the Wyndor Glass Co. Example
(Graphical Approach with Simplex
Method in Mind)
Iteration 0:
◦ Start from an initial CPF solution;
usually the origin.
◦ Identify adjacent CPF solutions
◦ Test to see if you can improve Z by
moving to an adjacent CPF solution.
 If no, you have found the optimal.
 If yes, move to adjacent CPF solution that
improves Z the most and increment to
the next iteration.
Iteration i:
◦ Start from CPF solution given from
iteration i-1.
◦ Identify adjacent CPF solutions
◦ Test to see if you can improve Z by
moving to an adjacent CPF solution.
 If no, you have found the optimal.
 If yes, move to adjacent CPF solution that
improves Z the most and increment to
the next iteration.
Algebraic Approach to the
Simplex Method
To solve a linear programming
problem using a computer, a set
of algebraic steps are needed.
◦ These algebraic steps are needed to
allow the computer to solve a set of
linear equations.
◦ The current Wyndor problem is not
set up as a set of linear equations
that are met with equality, rather
they are expressions using
inequality.
Slack Variables
One way to change an inequality
constraint to an equality constraint is
to add what is known as a slack
variable.
◦ The purpose of the slack variable is to take
an inequality constraint and turning it into
an equality constraint.
◦ Suppose we have the Wyndor constraint
x1 ≤ 4, we can define a new variable x3= 4
- x1 where x3 ≥ 0.
 These last two constraints can replace the first
constraint.
Creating the Augmented Form of

The following is equivalent to the

Wyndor’s Model Using Slack Variables

original Wyndor problem:

Subject to:

2
Properties of a Basic Solution that Is
Derived from the Augmented Problem
Each variable in the solution is either a
basic variable or a non basic variable
The number of basic variables should
equal the number of constraints
The non basic variables are set to zero
◦ Why?
The simultaneous solution to the system
of equations will give the basic variables
The basic solution is a basic feasible
solution if all the non negativity
constraints are satisfied
Solving the Wyndor Problem Using the Simplex
Method: Step 0, Write the Set Equations to
Solve

Z - -5x2 = 0
3x1
x1 +x = 4
3

2x2 +x4 = 12
3x1 +2x +x = 18
2 5
Solving the Wyndor Problem Using the
Simplex Method: Step 1, Find an Initial
Solution
Because the slack variables were
introduced into the problem, a natural
initial solution is to set x1 = 0 and x2 = 0
◦ This implies that x3 = 4, x4 = 12, and x5 = 18
◦ This initial solution can be represented as:
(0,0,4,12,18)
◦ x1 = 0 and x2 = 0 are the non basic variables
for this current setup
 Why?
◦ This implies that Z = 0
Solving the Wyndor Problem Using the Simplex
Method: Step 2, Test Solution for Optimality

It is straightforward to see that

increasing x1 or x2 would provide
a better solution than the current
one
◦ Why?
Solving the Wyndor Problem Using the
Simplex Method: Step 3, Determine
Which Variable Should Increase
Looking at the original equation Z
= 3x1 + 5x2 it appears that it
would be best to increase the
amount of x2
◦ Why?
x2becomes known as the
entering basic variable
Solving the Wyndor Problem Using the
Simplex Method: Step 4, Determine the
Amount x2 Should Increase By
We know that all variables in the
problem must be non negative, which
implies that:
◦ x3 = 4 ≥ 0 which implies x2 ≤ Infinity
◦ x4 = 12 – 2x2 ≥ 0 which implies x2 ≤ 6
◦ x5 = 18 – 2x2 ≥ 0 which implies x2 ≤ 9
By the minimum ratio test, x2 is limited
to be no larger than 6 which is the
largest amount you can increase x2
◦ This implies that x4 = 0 and becomes the
leaving basic variable
Quick Algebraic Note
Rule 1: You can add one equation to
another without affecting the ultimate
solution to the set of equations, e.g.:
◦ x1 = 5 and x2 = 7 is equivalent to:
 x1 + x2 = 12 and x2 = 7
◦ The same is true for subtraction
Rule 2: You can divide an equation by a
number without affecting the results of
the equation, e.g.:
◦ 4x1 + 8x2 = 12 is equivalent to:
◦ x1 + 2x2 = 3
Solving the Wyndor Problem Using the Simplex
Method: Step 5, Find the New Basic Feasible
Solution by Using Elementary Algebraic
Operations
First, divide the row with x4 in it
by 2 to get:
Z - -5x2 = 0
3x1
x1 +x = 4
3

x2 +(1/2) = 6
x4
3x1 +2x1 +x = 18
5
Solving the Wyndor Problem Using the Simplex
Method: Step 5, Find the New Basic Feasible
Solution by Using Elementary Algebraic
Operations Cont.
Add 5 times the third row to the
first row to get:
Z - +(5/2) = 30
3x1 x4

x1 +x = 4
3

x2 +(1/2) = 6
x4
3x1 +2x2 +x = 18
5
Solving the Wyndor Problem Using the Simplex
Method: Step 5, Find the New Basic Feasible
Solution by Using Elementary Algebraic
Operations Cont.
Subtract 2 times the third row
from the fourth row to get:
Z - +(5/2) = 30
3x1 x4

x1 +x = 4
3

x2 +(1/2) = 6
x4
3x1 - x4 +x = 6
5
Solving the Wyndor Problem Using the Simplex
Method: Step 5, Find the New Basic Feasible
Solution by Using Elementary Algebraic
Operations Cont.
The new feasible solution is
where x1 = 0 and x4 = 0
◦ This implies that x2 = 6, x3 = 4, and
x5 = 6
◦ This gives a new solution of
(0,6,4,0,6)
 This new solution is adjacent to the
previous solution
Solving the Wyndor Problem Using the
Simplex Method: Step 6, Test Solution
for Optimality
Itis straightforward to see that
increasing x1 would provide a
better solution than the current
one
◦ Why?
◦ Why not change the x4 variable?
Solving the Wyndor Problem Using the
Simplex Method: Step 7, Determine the
Amount x1 Should Increase By
We know that all variables in the
problem must be non negative, which
implies that:
◦ x3 = 4 – x1 ≥ 0 which implies x1 ≤ 4
◦ x2 = 6 ≥ 0 which implies x1 ≤ Infinity
◦ x5 = 6 – 3x1 ≥ 0 which implies x1 ≤ 2
By the minimum ratio test, x1 is limited
to be no larger than 2 which is the
largest amount you can increase x1
◦ This implies that x5 = 0 and becomes the
leaving basic variable
Solving the Wyndor Problem Using the Simplex
Method: Step 8, Find the New Basic Feasible
Solution by Using Elementary Algebraic
Operations
First, divide the row with x5 in it
by 3 to get:
Z -3x1 +(5/2) x4 = 3
0
x1 +x3 = 4
x2 +(1/2) x4 = 6
x1 - (1/3)x4 +(1/3) = 2
x5
Solving the Wyndor Problem Using the Simplex
Method: Step 8, Find the New Basic Feasible
Solution by Using Elementary Algebraic
Operations Cont.
Add 3 times the fourth row to the
first row to get:
Z +(3/2) x4 +x5 = 3
6
x1 +x3 = 4
x2 +(1/2) x4 = 6
x1 - (1/3)x4 +(1/3) = 2
x5
Solving the Wyndor Problem Using the Simplex
Method: Step 8, Find the New Basic Feasible
Solution by Using Elementary Algebraic
Operations Cont.
Subtract the fourth row from the
second row to get:
Z +(3/2) x4 +x5 = 3
6
x3 + (1/3)x4 - = 2
(1/3)x5
x2 +(1/2) x4 = 6
x1 - (1/3)x4 +(1/3) = 2
x5
Solving the Wyndor Problem Using the Simplex
Method: Step 8, Find the New Basic Feasible
Solution by Using Elementary Algebraic
Operations Cont.
The new feasible solution is
where x4 = 0 and x5 = 0
◦ This implies that x1 = 2, x2 = 6, and
x3 = 6
◦ This gives a new solution of
(2,6,2,0,0)
 This new solution is adjacent to the
previous solution
Solving the Wyndor Problem Using the
Simplex Method: Step 9, Test Solution
for Optimality
Itis straightforward to see that
nothing else would increase Z
◦ Why?
◦ Why not change the x4 or x5
variable?
The maximum amount of Z is 36 at
the optimal solution (2,6,2,0,0)
The problem is done
Class Activity (Not
Graded)
Solve the following problem using
the Simplex Method:

Subject to:
On Your Own Activity
Solve the following problem using
the Simplex Method:

Subject to:
Representing Wyndor in Tabular
Form
Z - -5x2 = 0
3x1
x1 +x = 4
3

2x2 +x4 = 12
3x1 +2x +x = 18
1 5

Coefficient of:
Basic Equati Z x1 x2 x3 x4 x5 Right
Variabl on Side
e
Z 0 1 -3 -5 0 0 0 0
x3 1 0 1 0 1 0 0 4
x4 2 0 0 2 0 1 0 12
x5 3 0 3 2 0 0 1 18
Solving Wyndor Method Using
the Tabular Form
Optimality Test
◦ Check to see if any of the coefficients in
row one are negative
 If no, stop because you have the optimal
solution
 If yes, your solution is not optimal and you
most go to a first iteration
An Iteration
◦ Find the entering basic variable by
selecting the variable, i.e., column, with
the largest negative coefficient
 This column is known as the pivot column
Solving Wyndor Method Using
the Tabular Form Cont.
◦ Next determine the leaving basic variable
by applying the minimum ratio test
 Divide the last column of numbers, i.e., the
Right Side column, by the corresponding
number in the pivot column
 If the pivot column has a zero, put infinity in for the
number, or a very large number that is several orders
of magnitude above the other calculated numbers
 Select the row with the smallest number after
the division
 This becomes the leaving basic variable
 This row is known as the pivot row
 Where the pivot row and pivot column
intersect, you will find the pivot number
Solving Wyndor Method Using
the Tabular Form Cont.
◦ Solve for the new basic feasible
solution by using elementary row
operations to make the pivot number
equal to one and all other pivot
numbers in the pivot column equal
to zero
◦ Use the optimality test to test the
new BF solution
 If the new solution is optimal, then stop
 If the new solution is not optimal do
another iteration
In-Class Activity (Not
Graded)
Solve the following problem using
the tabular form of the Simplex
Method:

Subject to:
On Your Own Activity
Solve the following problem using
the tabular form of the Simplex
Method:

Subject to:
Issues with Simplex
Method
Tie Between Entering Basic Variables
◦ Break the tie arbitrarily
Leaving Basic Variables Tie
◦ Break tie arbitrarily, but it is possible to
have problems
No Leaving Basic Variable Occurs
◦ This implies you have an unbounded Z
Multiple Optimal Solutions
◦ This occurs when the objective function
has the same slope as the constraint that
the optimal solution(s) are on
Handling Equality
Constraints
Equality constraints can cause
problems under the initial
solution method because there is
no natural starting point for the
algorithm
◦ To handle this issue, we can use the
artificial variable technique and the
Big M Method
Revised Wyndor Glass Co.
Example with Equality Constraint

Subject to:

2
Creating the Augmented Form of the Revised

The following is equivalent to the

Wyndor’s Model Using Slack Variables

original Wyndor problem:

Subject to:

2
Tabular Form of Revised Wyndor
Problem
Notice in the table below that
there is no obvious feasible first
solution

Coefficient of:
Basic Equati Z x1 x2 x3 x4 Right
Variabl on Side
e
Z 0 1 -3 -5 0 0 0
x3 1 0 1 0 1 0 4
x4 2 0 0 2 0 1 12
x5 3 0 3 2 0 0 18
The Artificial Variable Techniques
and The Big M Method
This artificial variable technique
introduces a non-negative variable
similar to the slack variables
◦ To introduce this variable, an extremely
large penalty must be introduced into
the objective function for this variable
being positive which will force the
variable to be zero in the solution
process
 The value we give to the penalty is known as
M which is meant to represent an extremely
large number
Creating the Augmented Form of the Revised
Wyndor’s Model Using the Artificial Variable

The following is equivalent to the

Technique

original Wyndor problem:

Subject to:
-M

2
Solving the Augmented Form of the Revised
Wyndor’s Model Using the Artificial Variable
Technique
To solve these problems, you
need to first get the penalty out
of the objective function using
elementary row operations
You next follow the simplex
method
The Issue of Negative Right-
Hand Sides
Suppose you have one of your
constraints with a negative right-
hand side
◦ E.g., 2x1 – 3x2 ≤ -6
To handle this issue, you can
multiply both sides of the
inequality by -1
◦ -1(2x1 – 3x2) ≤ -1(-6) gives
◦ -2x1 + 3x2 ≥ 6
◦ Notice that the inequality sign
The Issue of ≥ Constraints
When you have a ≥ constraint
instead of ≤ constraint, then you
first introduce a surplus variable
that acts like a slack variable
◦ The surplus variable would have a
negative sign in front of it
You then utilize the artificial
variable technique because the
surplus variable will change the ≥
constraint to an = constraint
The Issue of Minimization
Problems
Two ways to deal with it
◦ Change the instructions in the
simplex method
◦ Multiply the objective function by -1
 Maximizing Z is the same as minimizing –
Z
 Why?
Quick Note About the Artificial
Variable Technique
Ifthe original problem has no
feasible solution then the final
solution will have at least one
artificial variable greater than
zero
Post-Optimality Analysis
Re-Optimization
◦ For very large problems that may get small
changes, it may make sense to start from the
previous solution before changes were made to
the model
Shadow Price
◦ This value tells you how much the Z will change
for small changes in a resource constraint
 Binding constraints will have positive shadow prices,
while non-binding constraints will have a value of zero
 Shadow prices for the constraints all embedded in the
final objective function from the simplex method
Sensitivity Analysis
Sensitivityanalysis is meant to
understand how robust your
model is to the assumptions
made in the model
◦ One of the major assumptions made
in the model concern the value of
the coefficients in the objective
function and the constraints
◦ Sensitivity analysis can be used to
see how much a coefficient can
change before the optimal answer
Sensitivity Analysis Cont.
Sensitivity analysis can allow you
to put allowable ranges around
each of the coefficients
◦ An allowable range tells you all the
values the coefficient can take
before the optimal solution changes