6s-1 Linear Programming

CHAPTER FIVE

SIMPLEX METHOD OF LINEAR

PROGAMMING

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6s-2 Linear Programming

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. By inspecting
the bottom row of each tableau, one can immediately tell
if it represents the optimal solution. 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.
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6s-3 Linear Programming

Simplex Algorithm
The key solution concepts
 Solution Concept 1: the simplex method focuses
on corner point of feasible(CPF) solutions.
 Solution concept 2: the 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:

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6s-4 Linear Programming

Simplex algorithm
Initialization: setup to start iterations, including
finding an initial CPF solution

Optimality test: is the current CPF solution

optimal?

if no if yes stop

Iteration: Perform an iteration to find a

better CFP solution
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6s-5 Linear Programming

Simplex algorithm
 Solution concept 3: whenever possible, the initialization
of the simplex method chooses the origin point (all
decision variables equal zero) to be the initial CPF
solution.

 Solution concept 4: given a CPF solution, it is much

quicker computationally to gather information about its
adjacent CPF solutions than about other CPF solutions.
Therefore, each time the simplex method performs an
iteration to move from the current CPF solution to a
better one, it always chooses a CPF solution that is
adjacent to the current one.

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6s-6 Linear Programming

Simplex algorithm
 Solution concept 5: After the current CPF solution
is identified, the simplex method examines each of
the edges of the feasible region that emanate from
this CPF solution. Each of these edges leads to an
adjacent CPF solution at the other end, but the
simplex method doesn’t even take the time to solve
for the adjacent CPF solution. Instead it simply
identifies the rate of improvement in Z that would
be obtained by moving along the edge. And then
chooses to move along the one with largest
positive rate of improvement. 6
6s-7 Linear Programming

Simplex algorithm
 Solution concept 6: A positive rate of
improvement in Z implies that the adjacent
CPF solution is better than the current one,
whereas a negative rate of improvement in Z
implies that the adjacent CPF solution is
worse. Therefore, the optimality test consists
simply of checking whether any of the edges
give a positive rate of improvement in Z. if
none do, then the current CPF solution is
optimal. 7
6s-8 Linear Programming

The simplex method in tabular form

 Steps:
1. Initialization:
a. transform all the constraints to equality by
introducing slack, surplus, and artificial variables as
follows:
Constraint type Variable to be added

≥ + slack (s)

≤ - Surplus (s) + artificial (A)

= + Artificial (A)

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6s-9 Linear Programming

Simplex method in tabular form

b. Construct the initial simplex tableau

Basic X1 … Xn S1 …... Sn A1 …. An RHS

variable
S b1
Coefficient of the constraints

A bm
Z Objective function coefficient Z
In different signs value
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6s-10 Linear Programming

Simplex method in tabular form

2. Test for optimality:
Case 1: Maximization problem
the current basic feasible(BF )solution is
optimal if every coefficient in the objective
function row is nonnegative
Case 2: Minimization problem
the current BF solution is optimal if every
coefficient in the objective function row is non
positive
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6s-11 Linear Programming

Simplex method in tabular form

3. Iteration
Step 1: determine the entering basic variable by
selecting the variable (automatically a nonbasic
variable) with the most negative value (in case of
maximization) or with the most positive (in case
of minimization) in the last row (Z-row). Put a
box around the column below this variable, and
call it the “pivot column”

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6s-12 Linear Programming

Simplex method in tabular form

 Step 2: Determine the leaving basic variable by applying
the minimum ratio test as following:
1. Pick out each coefficient in the pivot column that is
strictly positive (>0)
2. Divide each of these coefficients into the right hand side
entry for the same row
3. Identify the row that has the smallest of these ratios
4. The basic variable for that row is the leaving variable, so
replace that variable by the entering variable in the basic
variable column of the next simplex tableau. Put a box
around this row and call it the “pivot row”

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6s-13 Linear Programming

Simplex method in tabular form

 Step 3: Solve for the new BF solution by using elementary
row operations (multiply or divide a row by a nonzero
constant; add or subtract a multiple of one row to another
row) to construct a new simplex tableau, and then return to
the optimality test. The specific elementary row operations
are:
1. Divide the pivot row by the “pivot number” (the number in
the intersection of the pivot row and pivot column)
2. For each other row that has a negative coefficient in the
pivot column, add to this row the product of the absolute
value of this coefficient and the new pivot row.
3. For each other row that has a positive coefficient in the
pivot column, subtract from this row the product of the
absolute value of this coefficient and the new pivot row.
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6s-14 Linear Programming

Simplex method
 Example (All constraints are )
Solve the following problem using the simplex method
 Maximize

Z = 3X1+ 5X2
Subject to
X1  4
2 X2  12
3X1 +2X2  18
X1 , X2  0

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6s-15 Linear Programming

Simplex method
 Solution
 Initialization
1. Standard form
Maximize Z,
Subject to Sometimes it is called
the augmented form of
Z - 3X1- 5X2 =0 the problem because
the original form has
X1 + S1 = 4 been augmented by
some supplementary
2 X2 + S2 = 12
variables needed to
3X1 +2X2 + S3 = 18 apply the simplex
X1 , X2, S1, S2, S3  0 method
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6s-16 Linear Programming

Definitions
 A basic solution is an augmented corner point solution.
 A basic solution has the following properties:
1. Each variable is designated as either a nonbasic variable or a
basic variable.
2. The number of basic variables equals the number of functional
constraints. Therefore, the number of nonbasic variables equals
the total number of variables minus the number of functional
constraints.
3. The nonbasic variables are set equal to zero.
4. The values of the basic variables are obtained as simultaneous
solution of the system of equations (functional constraints in
augmented form). The set of basic variables are called “basis”
5. If the basic variables satisfy the nonnegativity constraints, the
basic solution is a Basic Feasible (BF) solution.

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6s-17 Linear Programming

Initial tableau
Entering
2. Initial tableau variable

Basic X1 X2 S1 S2 S3 RHS
variable
S1 1 0 1 0 0 4
S2 0 2 0 1 0 12
S3 3 2 0 0 1 18
Z -3 -5 0 0 0 0

Leaving Pivot row

Pivot column
variable Pivot
number
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6s-18 Linear Programming

Simplex tableau
Notes:
 The basic feasible solution at the initial tableau
is (0, 0, 4, 12, 18) where:
X1 = 0, X2 = 0, S1 = 4, S2 = 12, S3 = 18, and Z = 0
Where S1, S2, and S3 are basic variables
X1 and X2 are nonbasic variables
 The solution at the initial tableau is associated to
the origin point at which all the decision
variables are zero.
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6s-19 Linear Programming

Optimality test
 By investigating the last row of the initial tableau,
we find that there are some negative numbers.
Therefore, the current solution is not optimal

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6s-20 Linear Programming

Iteration
 Step 1: Determine the entering variable by
selecting the variable with the most negative in the
last row.
 From the initial tableau, in the last row (Z row),
the coefficient of X1 is -3 and the coefficient of X2
is -5; therefore, the most negative is -5.
consequently, X2 is the entering variable.
 X2 is surrounded by a box and it is called the pivot
column

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6s-21 Linear Programming

Iteration
 Step 2: Determining the leaving variable by using the
minimum ratio test as following:

Basic Entering RHS Ratio

variable variable X2
(1) (2) (2)(1)
S1 0 4 None
S2 2 12 6
Leaving Smallest ratio
S3 2 18 9
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6s-22 Linear Programming

Iteration
 Step 3: solving for the new BF solution by using the
eliminatory row operations as following:
1. New pivot row = old pivot row  pivot number
Basic X1 X2 S1 S2 S3 RHS
variable
S1
X2 0 1 0 1/2 0 6
S3
Z
Note that X2 becomes in the basic
variables list instead of S2 22
6s-23 Linear Programming

iteration
2. For the other row apply this rule:
New row = old row – the coefficient of this row in the pivot column (new pivot row).
For S1

1 0 1 0 0 4
-
0 (0 1 0 1/2 0 6)
1 0 1 0 0 4
For S3

3 2 0 0 1 18
-
2 (0 1 0 1/2 0 6)
3 0 0 -1 1 6
for Z
-3 -5 0 0 0 0
- Substitute this
-5(0 1 0 1/2 0 6) values in the
-3 0 0 5/2 0 30
table

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6s-24 Linear Programming

Iteration
This solution is not optimal, since there is a negative numbers in the last row

Basic X1 X2 S1 S2 S3 RHS
variable
S1 1 0 1 0 0 4
X2 0 1 0 1/2 0 6
S3 3 0 0 -1 1 6
Z -3 0 0 5/2 0 30

The smallest ratio

The most negative
is 6/3 =2; therefore,
value; therefore, X1
S3 is the leaving
is the entering 24
variable
variable
6s-25 Linear Programming

Iteration
 Apply the same rules we will obtain this solution:

Basic X1 X2 S1 S2 S3 RHS
variable
S1 0 0 1 1/3 -1/3 2
X2 0 1 0 1/2 0 6
X1 1 0 0 -1/3 1/3 2
Z 0 0 0 3/2 1 36
This solution is optimal; since there is no negative solution in
the last row: basic variables are X1 = 2, X2 = 6 and S1 = 2; the
nonbasic variables are S2 = S3 = 0
Z = 36 25
6s-26 Linear Programming

Special cases of linear programming

 Infeasible solution
 Multiple solution (infinitely many solution)

 Unbounded solution

 Degenerated solution

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6s-27 Linear Programming

Notes on the Simplex tableau

1. In any Simplex tableau, the intersection of any basic variable with itself is always
one and the rest of the column is zeroes.
2. In any simplex tableau, the objective function row (Z row) is always in terms of the
nonbasic variables. This means that under any basic variable (in any tableau) there
is a zero in the Z row. For the non basic there is no condition ( it can take any value
in this row).
3. If there is a zero under one or more nonbasic variables in the last tableau (optimal
solution tableau), then there is a multiple optimal solution.
4. When determining the leaving variable of any tableau, if there is no positive ratio
(all the entries in the pivot column are negative and zeroes), then the solution is
unbounded.
5. If there is a tie (more than one variables have the same most negative or positive) in
determining the entering variable, choose any variable to be the entering one.
6. If there is a tie in determining the leaving variable, choose any one to be the leaving
variable. In this case a zero will appear in RHS column; therefore, a “cycle” will
occur, this means that the value of the objective function will be the same for
several iterations.
7. A Solution that has a basic variable with zero value is called a “degenerate
solution”.
8. If there is no Artificial variables in the problem, there is no room for “infeasible
solution” 27
6s-28 Linear Programming

Exercise 1
 Maximize
15x1+6x2+9x3+2x4
 Subject to:
2x1+x2+5x3+0.6x4 < 20
3x1+x2+3x3+0.25x4 < 24
7x1+x4 < 70
Every xj
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6s-29 Linear Programming

Big - M Method

Simplex method for LP problem with ‘greater-than-equal-

to’ ( ) and ‘equality’ (=) constraints needs a modified

approach. This is known as Big-M method.

The LPP is transformed to its standard form by incorporating a large

coefficient M

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6s-30 Linear Programming

Transformation of LPP for Big-M

method
1. One ‘artificial variable’ is added to each of the ‘greater-than-equal-to’ (≥) and
equality (=) constraints to ensure an initial basic feasible solution.

2. Artificial variables are ‘penalized’ in the objective function by introducing a

large negative (positive) coefficient for maximization (minimization) problem.

3. Cost coefficients, which are supposed to be placed in the Z-row in the initial
simplex tableau, are transformed by ‘pivotal operation’ considering the
column of artificial variable as ‘pivotal column’ and the row of the artificial
variable as ‘pivotal row’.

4. If there are more than one artificial variables, step 3 is repeated for all the
artificial variables one by one.

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6s-31 Linear Programming

Simplex method incase of Artificial variables

“Big M method”

 Solve the following linear programming

problem by using the simplex method:
 Min Z =2 X1 + 3 X2

S.t.
½ X 1 + ¼ X2 ≤ 4
X1 + 3X2  20
X1 + X2 = 10
X1, X2  0
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6s-32 Linear Programming

Big M method
 Solution
Step 1: standard form
Min Z,
s.t.
Z – 2 X1 – 3 X2 - M A1 -M A2 =0
½ X1 + ¼ X2 + S1 =4
X1 + 3X2 - S 2 + A1 = 20
X1 + X2 + A2 = 10
X1, X2 ,S1, S2, A1, A2  0
Where: M is a very large number 32
6s-33 Linear Programming

Big M method
 Notes
M, a very large number, is used to ensure that the values of A1 and A2, …, and An will
be zero in the final (optimal) tableau as follows:
1. If the objective function is Minimization, then A1, A2, …, and An must be added to
the RHS of the objective function multiplied by a very large number (M).
Example: if the objective function is Min Z = X1+2X2, then the obj. function should
be Min Z = X1 + X2+ MA1 + MA2+ …+ MAn
OR
Z – X1 - X2- MA1 - MA2- …- MAn = 0

2. If the objective function is Maximization, then A1, A2, …, and An must be

subtracted from the RHS of the objective function multiplied by a very large
number (M).
Example: if the objective function is Max Z = X1+2X2, then the obj. function should
be Max Z = X1 + X2- MA1 - MA2- …- MAn
OR
Z - X1 - X2+ MA1 + MA2+ …+ MAn = 0

N.B.: When the Z is transformed to a zero equation, the signs are changed 33
6s-34 Linear Programming

Big M method
 Step 2: Initial tableau

Basic X1 X2 S1 S2 A1 A2 RHS
variables
2 3 0 0 M M

S1 ½ ¼ 1 0 0 0 4
A1 1 3 0 -1 1 0 20
A2 1 1 0 0 0 1 10
Z -2 -3 0 0 -M -M 0

Note that one of the simplex rules is violated, which is the basic variables A1,
and A2 have a non zero value in the z row; therefore, this violation must be
corrected before proceeding in the simplex algorithm as follows.
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6s-35 Linear Programming

Big M method
 To correct this violation before starting the simplex
algorithm, the elementary row operations are used
as follows:
New (Z row) = old (z row) ± M (A1 row) ± M (A2 row)
In our case, it will be positive since M is negative in the Z
row, as following:
Old (Z row): -2 -3 0 0 -M -M 0
M (A1 row): M 3M 0 -M M o 20M
M (A2 row): M M 0 0 0 M 10M
New (Z row):2M-2 4M-3 0 -M 0 0 30M
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It becomes zero
6s-36 Linear Programming

Big M method
 The initial tableau will be:
Basic X1 X2 S1 S2 A1 A2 RHS
variables
2 3 0 0 M M

S1 1/2 1/4 1 0 0 0 4
A1 1 3 0 -1 1 0 20
A2 1 1 0 0 0 1 10
Z 2M-2 4M-3 0 -M 0 0 30M

• Since there is a positive value in the last row, this solution is not optimal
• The entering variable is X2 (it has the most positive value in the last row)
• The leaving variable is A1 (it has the smallest ratio)
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6s-37 Linear Programming

Big M method
 First iteration
Basic X1 X2 S1 S2 A1 A2 RHS
variables
2 3 0 0 M M

S1 5/12 0 1 1/12 -1/12 0 7/3

X2 1/3 1 0 -1/3 1/3 0 20/3

A2 2/3 0 0 1/3 -1/3 1 10/3

Z 2/3M-1 0 0 1/3M-1 1-4/3M 0 20+10/3M

• Since there is a positive value in the last row, this solution is not optimal
• The entering variable is X1 (it has the most positive value in the last row)
• The leaving variable is A2 (it has the smallest ratio)
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6s-38 Linear Programming

Big M method
 Second iteration
Basic X1 X2 S1 S2 A1 A2 RHS
variables
S1 0 0 1 -1/8 1/8 -5/8 1/4

X2 0 1 0 -1/2 1/2 -1/2 5

X1 1 0 0 1/2 -1/2 3/2 5

Z 0 0 0 -1/2 ½-M 3/2-M 25

This solution is optimal, since there is no positive value in the last row. The
optimal solution is:
X1 = 5, X2 = 5, S1 = ¼
A1 = A2 = 0 and Z = 25 38
6s-39 Linear Programming

Example
Consider the following problem

Maximize Z  3x1  5x2

subject to x1  x2  2
x2  6
3x1  2x2  18
x 1 , x2  0

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6s-40 Linear Programming

Example…

After incorporating the artificial variables

Maximize Z  3x1  5x2  Ma1  Ma2

subject to x1  x2  x3  a1  2
x2  x4  6
3x1  2x2  a2  18
x1, x2  0

where x3 is surplus variable, x4 is slack variable and a1 and a2 are the

artificial variables

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6s-41 Linear Programming

Transformation of cost
coefficients
Considering the objective function and the first
constraint
Z  3x1  5x2  Ma1  Ma2  0 E1 
x1  x2  x3  a1 2 E  Pivotal
2
Row
Pivotal
Column

By the pivotal operation

E1  M  E2 the cost coefficients are modified as

Z  3  M x1  5  M x2  Mx3  0 a1  Ma2  2M

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6s-42 Linear Programming

Transformation of cost
coefficients…

Considering the modified objective function and the third constraint

Z  3  M  x1  5  M 
 Mx3  0 a1  Ma2  2M E 
3

x2  a2  18 E 
4

3 x1  2 x2
Pivotal Column
Pivotal Row
By the pivotal operation E3  M  E4 the cost coefficients are modified as

Z  3  4M x1  5  3M x2  Mx3  0 a1  0 a2  20M

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6s-43 Linear Programming

Construction of Simplex Tableau

Corresponding simplex
tableau

Pivotal row, pivotal column and pivotal elements are shown as

earlier

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6s-44 Linear Programming

Simplex Tableau…
contd.
Successive simplex tableaus are as
follows:

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6s-45 Linear Programming

Simplex
Tableau…

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6s-46 Linear Programming

Simplex
Tableau…

Optimality has reached. Optimal solution is Z = 36 with x1 = 2 and x2 = 6

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6s-47 Linear Programming

Note for the Big M method

 In the final tableau, if one or more artificial
variables (A1, A2, …) still basic and has a nonzero
value, then the problem has an infeasible solution.
 All other notes are still valid in the Big M method.

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6s-48 Linear Programming

Special cases
 In the final tableau, if one or more artificial variables
(A1, A2, …) still basic and has a nonzero value, then
the problem has an infeasible solution
 If there is a zero under one or more non basic
variables in the final tableau (optimal solution
tableau), then there is a multiple optimal solution.
 When determining the leaving variable of any
tableau, if there is no positive ratio (all the entries in
the pivot column are negative and zeroes), then the
solution is unbounded.
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6s-49 Linear Programming