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MAT581SS
Mathematics for Logistics
Produced by Jeff Chak-Fu WONG
ABLE OF
TABLE OF C ONTENTS
1. GRAPHICAL SOLUTIONS TO A LINEAR PROGRAMMING PROBLEM
2. SIMPLEX METHOD
3. ARTIFICIAL VARIABLE TECHNIQUE
(a) The Big M method
(b) The Two-phase simplex method
4. VARIANTS OF SIMPLEX METHOD
C ONTENTS
The last lecture dealt with LPPs with less than or equal () type
constraints.
This property together with the fact that the right-hand side of
all the constraints is non-negative, i.e.,
b0
provides us with a ready starting basic feasible solution that
comprises of all slack variables.
There are however, many linear programming problems for
which mere slack variables cannot provide such a solution.
They are:
1. Big M method or method of penalty due to A. Charnes
2. The Two-phase simplex method due to Dantzig, Orden and
Wolfe.
T HE B IG M M ETHOD
Step 1:
Convert the LPP into maximisation form.
Express it in the standard form by introducing slack and/or
surplus variables as the case may be.
HE
B IG M M ETHOD
Step 2:
Introduce non-negative variables to the left-hand side of all the
constraints of ( or =) type.
These variables are called artificial variables.
The purpose of introducing artificial variables is just to obtain
an initial basic feasible solution.
In order to get rid of the artificial variables in the final optimum
iteration, we assign a very large penalty M to these artificial
variables in the objective function for maximisation objective
function.
HE
B IG M M ETHOD
Step 3:
Solve the modified linear programming problem by simplex
method.
While making iterations by this method, one of the following
three cases may arise.
HE
B IG M M ETHOD
B IG M M ETHOD
10
XB
y1
y2
yj
yn
x1
x2
xj
xn
(z1 c1 )
(z2 c2 )
(zj cj )
(zn cn )
xB1
xB2
.
.
.
xBr
.
.
.
xBm
z(XB )
HE
B IG M M ETHOD
11
B IG M M ETHOD
12
XB
Ar
B IG M M ETHOD
y2
yj
yn
x1
x2
xj
xn
(z1 c1 )
(z2 c2 )
(zj cj )
(zn cn )
=0
z(XB )
HE
y1
13
B IG M M ETHOD
14
XB
Ar
B IG M M ETHOD
y2
yj
yn
x1
x2
xj
xn
(z1 c1 )
(z2 c2 )
(zj cj )
(zn cn )
>0
z(XB )
HE
y1
15
HE
B IG M M ETHOD
16
Step 4:
Application of simplex method is continued until either
an optimum basic feasible solution is obtained
or
there is an indication of the existence of an unbounded solution
to the given LPP.
HE
B IG M M ETHOD
17
HE
B IG M M ETHOD
18
x2
3x1
2x2
x1
x2
s1
+
s2
s3
10
x1 , x2 , s1 , s2 , s3 , 0.
Clearly, no a basic feasible solution, since the surplus variables carry negative
coefficients (1).
Introduce two new artificial variables A1 0 and A2 0 in the first and third
equation, respectively. It provides a starting basic feasible solution.
We assign a very high penalty cost (say M, M 0) to these variables in the
objective function so that they may be driven to zero at the optimality step.
HE
B IG M M ETHOD
19
x2
s1
0s2
0s3
3x1
2x2
0s1
s2
0s3
x1
x2
0s1
0s2
s3
A1
+
A2
10
x1 , x2 , s1 , s2 , s3 , A1 , A2 0.
If we take the basic variables as A1 , s2 , A2 then an obvious initial basic
feasible solution is A1 = 10, s2 = 6, A2 = 6.
HE
B IG M M ETHOD
20
x2
s1
0s2
0s3
3x1
2x2
0s1
s2
0s3
x1
x2
0s1
0s2
s3
A1
+
A2
10
x1 , x2 , s1 , s2 , s3 , A1 , A2 0.
If we take the basic variables as A1 , s2 , A2 then an obvious initial basic
feasible solution is A1 = 10, s2 = 6, A2 = 6.
HE
B IG M M ETHOD
21
HE
B IG M M ETHOD
22
HE
B IG M M ETHOD
23
Starting Tableau:
Tableau 5.1.1
cj
CB
XB
(-4
-3
M )
y1
y2
y3
y4
y5
yA1
yA2
x1
x2
s1
s2
s3
A1
A2
A1
10
-1
s2
-3
A2
-1
3M + 4
2M + 3
zj cj
z(XB )
6
1
Ratio
10
2
HE
Min.
24
=5
=6
Starting Tableau:
Tableau 5.1.2
cj
CB
XB
(-4
-3
M )
y1
y2
y3
y4
y5
yA1
yA2
x1
x2
s1
s2
s3
A1
A2
A1
10
-1
s2
-3
A2
-1
3M + 4
2M + 3
zj cj
z(XB )
Min.
Ratio
B IG M M ETHOD
25
Starting Tableau:
Tableau 5.1.3
cj
CB
XB
(-4
-3
M )
y1
y2
y3
y4
y5
yA1
yA2
x1
x2
s1
s2
s3
A1
A2
A1
10
-1
s2
-3
A2
-1
3M + 4
2M + 3
zj cj
z(XB )
Min.
Ratio
B IG M M ETHOD
26
Starting Tableau:
Tableau 5.1.4
cj
CB
XB
(-4
-3
M )
y1
y2
y3
y4
y5
yA1
yA2
x1
x2
s1
s2
s3
A1
A2
A1
10
-1
s2
-3
A2
-1
3M + 4
2M + 3
zj cj
z(XB )
6
1
Ratio
10
2
HE
Min.
27
=5
=6
Starting Tableau:
Tableau 5.1.5
cj :
CB
-3
M )
x1
x2
s1
s2
s3
A1
A2
A1
10
-1
s2
-3
A2
6
z(XB )
-1
M
zj cj
HE
XB
(-4
B IG M M ETHOD
Min.
Ratio
1
2
R1
28
Starting Tableau:
Tableau 5.1.6
cj :
CB
M
0
M
zj cj
HE
B IG M M ETHOD
(-4
-3
M )
x1
x2
s1
s2
s3
A1
A2
1/2
-1/2
-3
A2
6
z(XB )
-1
XB
A1
s2
Min.
Ratio
R2 + 3 R1
R3 + (1) R1
29
Starting Tableau:
Tableau 5.1.7
(-4
-3
M )
x1
x2
s1
s2
s3
A1
A2
1/2
-1/2
21
7/2
-3/2
A2
1
z(XB )
1/2
1/2
-1
cj :
CB
4
0
M
zj cj
HE
B IG M M ETHOD
XB
x1
s2
Min.
Ratio
30
sA2
a1
=
= I3 B
i.e., B
1 , we have
Find the inverse of B,
h
i h
I3 I3
B
s2
sA2
That is,
HE
B IG M M ETHOD
0
0
1
0
1/2
0
.
1
3/2
1/2
31
0
0
1/2
1
2
R1
0
R2 + 3 R1
1
R3 R1
3/2
1/2
Thus
1
B
HE
B IG M M ETHOD
1/2
3/2
1/2
0
.
1
32
1 a1 = [1 0 0]T
y1 = B
1 a2 = [1/2 7/2 1/2]T
y2 = B
1 s1 = [1/2 3/2 1/2]T
y3 = B
1 s2 = [0 1 0]T
y4 = B
1 s3 = [0 0 1]T
y5 = B
1 sA2 = [0 0 1]T
yA2 = B
HE
B IG M M ETHOD
33
z5 c5 = CB y5 c5 = [4 0 M ][0 0 1]T 0 = M
z6 c6 = CB yA2 c6 = [4 0 M ][0 0 1]T (M ) = 0
HE
B IG M M ETHOD
34
First iteration:
Tableau 5.2.1
cj :
CB
XB
(-4
-3
M )
y1
y2
y3
y4
y5
yA2
x1
x2
s1
s2
s3
A2
-4
x1
1/2
-1/2
s2
21
7/2
-3/2
A2
1/2
1/2
-1
M
+1
2
M
+2
2
zj cj
z(XB ) = M 20
Min.
Ratio
5
= 10
1/2
21
= 42
7/2
7
0
=0
1/2
we have omitted all entries of column vector A1 , because the artificial variable A1 has left
the basis and so the re-entering of the variable in any subsequent iterations can be
avoided.
Since the most negative net evaluation is M
2 + 1, the non-basic vector x2 enters the
basis.
HE
B IG M M ETHOD
35
Minimum ratio column implies that the variable A2 leaves the basis.
HE
B IG M M ETHOD
36
First iteration:
Tableau 5.2.2
cj :
CB
XB
(-4
-3
M )
y1
y2
y3
y4
y5
yA2
x1
x2
s1
s2
s3
A2
-4
x1
1/2
-1/2
s2
21
7/2
-3/2
A2
1/2
1/2
-1
M
+1
2
M
+2
2
zj cj
z(XB ) = M 20
Min. R.
we have omitted all entries of column vector A1 , because the artificial variable
A1 has left the basis and so the re-entering of the variable in any subsequent
iterations can be avoided.
Since the most negative net evaluation is M
2 + 1, the non-basic vector x2 enters
the basis.
Minimum ratio column implies that the variable A2 leaves the basis.
HE
B IG M M ETHOD
37
First iteration:
Tableau 5.2.3
cj :
CB
XB
(-4
-3
M )
y1
y2
y3
y4
y5
yA2
x1
x2
s1
s2
s3
A2
Min. Ratio
5
= 10
1/2
21
42
=
7/2
7
1
=2
1/2
-4
x1
1/2
-1/2
s2
21
7/2
-3/2
A2
1/2
1/2
-1
M
+1
2
M
+2
2
zj cj
z(XB ) = M 20
we have omitted all entries of column vector A1 , because the artificial variable
A1 has left the basis and so the re-entering of the variable in any subsequent
iterations can be avoided.
Since the most negative net evaluation is M
2 + 1, the non-basic vector x2 enters
the basis.
Minimum ratio column implies that the variable A2 leaves the basis.
HE
B IG M M ETHOD
38
First iteration:
Tableau 5.2.4
(-4
-3
M )
x1
x2
s1
s2
s3
A2
1/2
-1/2
21
7/2
-3/2
A2
1
z(XB )
1/2
1/2
-1
cj :
CB
-4
0
M
zj cj
HE
B IG M M ETHOD
XB
x1
s2
Min.
Ratio
(2) R3
39
First iteration:
Tableau 5.2.5
cj :
CB
-3
M )
x1
x2
s1
s2
s3
A2
-4
x1
1/2
-1/2
s2
21
7/2
-3/2
A2
2
z(XB )
-2
M
zj cj
HE
XB
(-4
B IG M M ETHOD
Min.
Ratio
1 R3
2
R2 + 7 R3
2
R1 +
40
First iteration:
Tableau 5.2.7
(-4
-3
M )
x1
x2
s1
s2
s3
A2
-1
14
-5
x2
2
z(XB )
-2
cj :
CB
-4
0
-3
zj cj
HE
B IG M M ETHOD
XB
x1
s2
Min.
Ratio
41
sA2
=
B
a1
s2
a2
i.e., (B)
1 , we have
Find the inverse of B,
h
i h
i
1
I3 I3 (B)
.
B
That is,
HE
B IG M M ETHOD
0
0
1
0
7
.
2
42
3
1
0
0
B IG M M ETHOD
1/2
1/2
0
0
R2 + 3 R1
1
R3 R1
1/2
1/2
1/2
3/2
1/2
7/2
R1
0
R2 + 3 R1
1
R3 R1
1/2
1/2
1
2
0
0
HE
2
2 R3
7/2
3/2
43
0
0
1/2
1/2
7/2
3/2
0
0
HE
B IG M M ETHOD
R1
0
R2
2
1
1
2
7
2
7
.
2
R3
R3
44
1 a1 = [1 0 0]T
y1 = (B)
1 a2 = [0 0 1]T
y2 = (B)
1 s1 = [1 5 1]T
y3 = (B)
1 s2 = [0 1 0]T
y4 = (B)
1 s3 = [1 7 2]T
y5 = (B)
HE
B IG M M ETHOD
45
HE
B IG M M ETHOD
46
Second iteration:
Tableau 5.3.1
CB
XB
x1
x2
s1
s2
s3
-4
x1
-1
s2
14
-5
-3
x2
-2
zj cj
z(XB ) = 22
HE
B IG M M ETHOD
47
Example 2
Maximise z = 3x1 + 2x2
subject to
2x1 + x2 2
3x1 + 4x2 12
x1 , x2 0.
HE
B IG M M ETHOD
48
Solution:
Introducing slack variable s1 0, surplus variable s2 0 and an
artificial variable A1 0, the LPP can be written as
Maximise z = 3x1 + 2x2 + 0s1 + 0s2 M A1
subject to
2x1
x2
3x1
4x2
s1
s2
A1
12
x1 , x2 , s1 , s2 0 and A1 0.
HE
B IG M M ETHOD
49
s1
sA1
= I2 .
HE
B IG M M ETHOD
50
y1 = B 1 a1 = I2 [2 3]T = [2 3]T
y2 = B 1 a2 = I2 [1 4]T = [1 4]T
y1 = B 1 s1 = I2 [1 0]T = [1 0]T
y2 = B 1 s2 = I2 [0 1]T = [0 1]T
yA1 = B 1 sA1 = I2 [0 1]T = [0 1]T
z1 c1 = CB x1 c1 = [0 M ][2 3]T 3 = 3M 3
z2 c2 = CB x2 c2 = [0 M ][1 4]T 2 = 4M 2
z3 c3 = CB s1 c3 = [0 M ][1 0]T 0 = 0
z4 c4 = CB s2 c4 = [0 M ][0 1]T 0 = M
z5 c5 = CB yA1 c5 = [0 M ][0 1]T (M ) = 0
HE
B IG M M ETHOD
51
Starting Tableau:
Tableau 5.4.1
cj :
CB
XB
(3
M )
y1
y2
y3
y4
y5
x1
x2
s1
s2
A1
s1
A1
12
-1
3M 3
4M 2
zj cj
z(XB ) = 12M 2
Min Ratio
2
1
12
4
HE
B IG M M ETHOD
52
=2
=3
Starting Tableau:
Tableau 5.4.2
CB
0
M
zj cj
HE
B IG M M ETHOD
cj :
(3
M )
x2
1
s1
s2
x1
2
A1
0
-1
XB
s1
A1
12
z(XB )
Min Ratio
R2 + (4) R1
53
Starting Tableau:
Tableau 5.4.2
CB
0
M
zj cj
HE
B IG M M ETHOD
cj :
(3
M )
x2
1
s1
s2
x1
2
A1
0
-5
-4
-1
XB
s1
A1
4
z(XB )
Min Ratio
54
sA1
i.e., B
1 , we have
Find the inverse of B,
h
i h
i
1
I2 I2 B
.
B
That is,
HE
B IG M M ETHOD
55
1 a1 = [2 5]T
y1 = B
1 a2 = [1 0]T
y2 = B
1 s1 = [1 4]T
y3 = B
1 s2 = [0 1]T
y4 = B
1 sA1 = [0 1]T
yA1 = B
z1 c1 = CB y1 c1 = [2 M ][2 5]T 3 = 5M + 1
z2 c2 = CB y2 c2 = [2 M ][1 0]T 2 = 0
z3 c3 = CB y3 c3 = [2 M ][1 4]T 0 = 4M + 2
z4 c4 = CB y4 c4 = [2 M ][0 1]T 0 = M
z5 c5 = CB yA1 c5 = [2 M ]0 1]T (M ) = 0
HE
B IG M M ETHOD
56
First iteration:
Tableau 5.4.2
cj :
CB
XB
(3
M )
x1
x2
s1
s2
A1
x2
A1
-5
-4
-1
5M + 1
4M + 2
zj cj
z(XB ) = 4M + 4
HE
B IG M M ETHOD
57
First iteration:
Tableau 5.4.2
cj :
CB
XB
(3
M )
x1
x2
s1
s2
A1
x2
A1
-5
-4
-1
5M + 1
4M + 2
zj cj
z(XB ) = 4M + 4
HE
B IG M M ETHOD
58
HE
B IG M M ETHOD
x1 , x2 , x3 0.
59
Solution:
Introducing slack variables s1 , s2 0 and a surplus variable s3 0 and
artificial variable A1 0, the LPP can be written as
Maximise z = 2x1 + x2 + x3 + 0s1 + 0s2 + 0s3 M A1
subject to
4x1
6x2
3x3
3x1
6x2
4x3
2x1
3x2
5x3
s1
+
s2
s3
A1
x1 , x2 , s1 , s2 , s3 0, and A1 0.
An obvious IBFS s1 = 8, s2 = 1, A1 = 4.
HE
B IG M M ETHOD
60
y1 = B 1 x1 = I3 [4 3 2]T = [4 3 2]T
y2 = B 1 x2 = I3 [6 6 3]T = [6 6 3]T
y3 = B 1 x3 = I3 [3 4 5]T = [3 4 5]T
y4 = B 1 s1 = I3 [1 0 0]T = [1 0 0]T
y5 = B 1 s2 = I3 [0 1 0]T = [0 1 0]T
y6 = B 1 s3 = I3 [0 0 1]T = [0 0 1]T
yA1 = B 1 sA1 = I3 [0 0 1]T = [0 0 1]T
HE
B IG M M ETHOD
61
z1 c1 = CB y1 c1 = [0 0 M ][4 3 2]T 2 = 2M 2
z2 c2 = CB y2 c2 = [0 0 M ][6 6 3]T 1 = 3M 1
z3 c3 = CB y3 c3 = [0 0 M ][3 4 5]T 1 = 5M 1
z4 c4 = CB y4 c4 = [0 0 M ][1 0 0]T 0 = 0
z5 c5 = CB y5 c5 = [0 0 M ][0 1 0]T 0 = 0
z6 c6 = CB y6 c6 = [0 0 M ][0 0 1]T 0 = M
z7 c7 = CB yA1 c7 = [0 0 M ][0 0 1]T (M ) = 0
HE
B IG M M ETHOD
62
Starting Tableau:
Tableau 5.5.1
cj :
XB
CB
M )
y1
y2
y3
y4
y5
y6
yA1
x1
x2
x3
s1
s2
s3
A1
Min Ratio
s1
8/6=1.33
s2
-6
-4
A1
-5
-1
4/3=1.33
2M 2
3M 1
5M 1
zj c j
HE
(2
B IG M M ETHOD
z(XB ) = 4M
63
Starting Tableau:
Tableau 5.5.2
cj :
CB
XB
(2
M )
x1
x2
x3
s1
s2
s3
A1
s1
s2
-6
-4
A1
-5
-1
Min Ratio
1
3
R3
zj c j
HE
B IG M M ETHOD
64
Starting Tableau:
Tableau 5.5.3
cj :
CB
XB
(2
M )
x1
x2
x3
s1
s2
s3
A1
M.R.
s1
R1 + (6) R3
s2
-6
-4
R2 + (6) R3
A1
4/3
2/3
-5/3
-1/3
zj c j
HE
B IG M M ETHOD
65
Starting Tableau:
Tableau 5.5.4
cj :
CB
XB
(2
M )
x1
x2
x3
s1
s2
s3
A1
s1
13
s2
-14
-2
x2
4/3
2/3
-5/3
-1/3
Min Ratio
zj c j
HE
B IG M M ETHOD
66
sA1
s1
=
= I3 B
i.e., B
1 , we have
Find the inverse of B,
h
i h
I3 I3
B
s2
a2
That is,
HE
B IG M M ETHOD
0
0
1
0
2
.
1/3
67
HE
B IG M M ETHOD
0
0
1
0
0
0
0
0
1
1/3
R3
3
0
R1 6 R3
0
R2 + 6 R3
1/3
1/3
68
y1 = B 1 a1 = [0 7 2/3]T
y2 = B 1 a2 = [0 0 1]T
y3 = B 1 a3 = [13 14 5/3]T
y4 = B 1 s1 = [1 0 0]T
y5 = B 1 s2 = [0 1 0]T
y6 = B 1 s3 = [2 2 1/3]T
HE
B IG M M ETHOD
69
HE
B IG M M ETHOD
70
CB
0)
y1
y2
y3
y4
y5
y6
x1
x2
x3
s1
s2
s3
Min. Ratio
s1
13
s2
-14
-2
x2
4/3
2/3
-5/3
-1/3
-4/3
-8/3
-1/3
zj cj
HE
XB
B IG M M ETHOD
z(XB )
71
First iteration:
Tableau 5.5.6
cj :
(2
0)
x2
0
x3
13
s1
s2
s3
CB
0
s1
x1
0
s2
-14
-2
x2
4/3
2/3
-5/3
-1/3
XB
Min Ratio
1
13
R1
zj cj
HE
B IG M M ETHOD
72
First iteration:
Tableau 5.5.7
cj :
(2
0)
x2
0
x3
1
s1
s2
s3
1/13
2/13
CB
0
s1
x1
0
s2
-14
-2
x2
4/3
2/3
-5/3
-1/3
XB
Min Ratio
R2 + (14) R1
R3 + 5 R1
3
zj cj
HE
B IG M M ETHOD
73
First iteration:
Tableau 5.5.8
cj :
(2
0)
x2
0
x3
1
s1
s2
s3
1/13
2/13
x3
s2
x1
0
14/13
2/13
x2
4/3
2/3
5/39
-1/13
CB
1
XB
Min Ratio
zj cj
HE
B IG M M ETHOD
74
a2
=
B
a3
s2
a2
i.e., (B)
1 , we have
Find the inverse of B,
h
i h
i
1
I3 I3 (B)
.
B
That is,
HE
B IG M M ETHOD
0
0
0
1
1/13
2/13
2/13
.
1/13
14/13
5/39
75
1 a1 = [0 7 2/3]T
y1 = (B)
1 a2 = [0 0 1]T
y2 = (B)
1 a3 = [1 0 0]T
y3 = (B)
1 s2 = [0 1 0]T
y5 = (B)
HE
B IG M M ETHOD
76
HE
B IG M M ETHOD
77
Second iteration:
Tableau 5.5.9
cj :
CB
0)
x1
x2
x3
s1
s2
s3
Min Ratio
x3
1/13
2/13
s2
14/13
2/13
9/7
x2
4/3
2/3
5/39
-1/13
-4/3
8/39
1/13
zj cj
HE
XB
(2
B IG M M ETHOD
z(XB ) = 4/3
78
Second iteration:
Tableau 5.5.10
cj :
(2
0)
x3
1
s2
s3
x2
0
s1
1/13
2/13
x3
s2
x1
0
14/13
2/13
x2
4/3
2/3
5/39
-1/13
CB
1
XB
Min Ratio
1
7
R2
zj cj
HE
B IG M M ETHOD
79
Second iteration:
Tableau 5.5.11
cj :
(2
0)
x2
0
x3
1
s1
s2
s3
1/13
2/13
x3
s2
x1
0
9/7
2/13
1/7
2/91
x2
4/3
2/3
5/39
-1/13
CB
1
XB
Min Ratio
2
3
R2 + R3
zj cj
HE
B IG M M ETHOD
80
Second iteration:
Tableau 5.5.12
cj :
(2
0)
x2
0
x3
1
s1
s2
s3
1/13
2/13
x3
x1
x1
0
9/7
2/13
1/7
2/91
x2
10/21
1/39
-2/21
-25/273
CB
1
XB
Min Ratio
zj cj
HE
B IG M M ETHOD
81
=
B
a3
s2
a2
= a3
B
a1
a2
1 , we have
Find the inverse of B, i.e., (B)
h
I3
I3
1
(B)
That is,
HE
0
0
1
0
B IG M M ETHOD
1/13
2/13
1/7
1/39
2/21
2/13
2/91
.
25/273
82
1 a1 = [0 1 0]T
y1 = (B)
1 a2 = [0 0 1]T
y2 = (B)
1 a3 = [1 0 0]T
y3 = (B)
1 s2 = [0 1/7 2/21]T
y5 = (B)
HE
B IG M M ETHOD
83
z1 c1 = CB y1 c1 = [1 2 1][0 1 0]T 2 = 0
z2 c2 = CB y2 c2 = [1 2 1][0 0 1]T 1 = 0
z3 c3 = CB y3 c3 = [1 2 1][1 0 0]T 1 = 0
z4 c4 = CB y4 c4 = [1 2 1][1/13 2/13 1/39]T 0 = 16/39
z5 c5 = CB y5 c5 = [1 2 1][0 1/7 2/21]T 0 = 4/21
z6 c6 = CB y6 c6 = [1 2 1][2/13 2/91 25/273]T 0 = 29/273
HE
B IG M M ETHOD
84
Third iteration:
Tableau 5.5.12
cj :
CB
XB
(2
0)
x1
x2
x3
s1
s2
s3
x3
1/13
2/13
x1
9/7
2/13
1/7
2/91
x2
10/21
1/39
-2/21
-25/273
16/39
4/21
29/273
zj cj
z(XB ) = 64/21
Min Ratio
HE
B IG M M ETHOD
85
HE T WO - PHASE
S IMPLEX M ETHOD
86
HE T WO - PHASE
S IMPLEX M ETHOD
87
HE T WO - PHASE
S IMPLEX M ETHOD
88
Step 5:
Assign a cost 1 to each artificial variable
Assign a cost 0 to all other variables (in place of their original
cost) in the objective function.
The new objective function is
max z = A1 A2 An ,
where Ai s are the artifical variables.
Step 6: Write down the auxiliary LPP in which the new objective
function is to be maximised subject to the given set of
constraints.
HE T WO - PHASE
S IMPLEX M ETHOD
89
Step 7: Solve the auxiliary LPP by simplex method until either of the
following three possibilities arise:
(i) max z < 0 and at least one artificial variable appears in the
optimum basis at a +ve level. In this case no feasible solution
exist, stop the procedure.
(ii) max z = 0 and at least one artificial variable appears in the
optimum basis at zero level.
(iii) max z = 0 and no artificial variable appears in the optimum
basis.
HE T WO - PHASE
S IMPLEX M ETHOD
90
XB
Ar
y1
y2
yj
yn
x1
x2
xj
xn
>0
z < 0
HE T WO - PHASE
S IMPLEX M ETHOD
91
Step 7: Solve the auxiliary LPP by simplex method until either of the
following three possibilities arise:
(i) max z < 0 and at least one artificial variable appears in the
optimum basis at a +ve level. In this case no feasible solution
exist, stop the procedure.
(ii) max z = 0 and at least one artificial variable appears in
the optimum basis at zero level.
(iii) max z = 0 and no artificial variable appears in the
optimum basis.
HE T WO - PHASE
S IMPLEX M ETHOD
92
XB
Ar
y1
y2
yj
yn
x1
x2
xj
xn
=0
z = 0
HE T WO - PHASE
S IMPLEX M ETHOD
93
Step 7: Solve the auxiliary LPP by simplex method until either of the
following three possibilities arise:
(i) max z < 0 and at least one artificial variable appears in the
optimum basis at a +ve level. In this case no feasible solution
exist, stop the procedure.
(ii) max z = 0 and at least one artificial variable appears in
the optimum basis at zero level.
(iii) max z = 0 and no artificial variable appears in the
optimum basis.
HE T WO - PHASE
S IMPLEX M ETHOD
94
XB
y1
y2
yj
yn
x1
x2
xj
xn
xB1
xB2
..
.
xBr
..
.
xBm
z = 0
HE T WO - PHASE
S IMPLEX M ETHOD
95
S IMPLEX M ETHOD
96
Remark 1
1. In Phase I, the iterations are stopped as soon as the value of the new
(artificial) objective function becomes zero because this is its
minimum value. There is no need to continue till the optimality
reached if this value becomes zero earlier than that.
2. Note that the new objective function is always of maximisation type
whether the given original problem is maximisation or minimisation
type.
3. Before starting Phase II, remove all artificial variables from Tableau
which were non-basic at the end of Phase I.
HE T WO - PHASE
S IMPLEX M ETHOD
97
HE T WO - PHASE
S IMPLEX M ETHOD
98
Solution:
By introducing the non-negative slack, surplus and artificial
variables, the standard form of the LPP becomes
Maximise z = A1 A2
subject to
3x1
2x2
s1
0s2
0s3
x1
4x2
0s1
s2
0s3
x1
x2
0s1
0s2
s3
A1
+
A2
x1 , x2 , s1 , s2 , s3 , A1 , A2 0.
An obvious initial basic feasible solution is A1 = 3, A2 = 4, s3 = 5.
HE T WO - PHASE
S IMPLEX M ETHOD
99
HE T WO - PHASE
S IMPLEX M ETHOD
100
HE T WO - PHASE
S IMPLEX M ETHOD
sA1
sA2
s3
= I3 .
101
y1 = B 1 a1 = I3 [3 1 1]T = [3 1 1]T
y2 = B 1 a2 = I3 [2 4 1]T = [2 4 1]T
y3 = B 1 s1 = I3 [1 0 0]T = [1 0 0]T
y4 = B 1 s2 = I3 [0 1 0]T = [0 1 0]T
y5 = B 1 s3 = I3 [0 0 1]T = [0 0 1]T
yA1 = B 1 sA1 = I3 [1 0 0]T = [1 0 0]T
yA2 = B 1 sA2 = I3 [0 1 0]T = [0 1 0]T
HE T WO - PHASE
S IMPLEX M ETHOD
102
z1 c1 = CB y1 c1 = [1 1 0][3 1 1]T 0 = 4
z2 c2 = CB y2 c2 = [1 1 0][2 4 1]T 0 = 6
z3 c3 = CB y3 c3 = [1 1 0][1 0 0]T 0 = 1
z4 c4 = CB y4 c4 = [1 1 0][0 1 0]T 0 = 1
z5 c5 = CB y5 c5 = [1 1 0][0 0 1]T 0 = 0
z6 c6 = CB yA1 c6 = [1 1 0][1 0 0]T (1) = 0
z7 c7 = CB yA2 c7 = [1 1 0][0 1 0]T (1) = 0
HE T WO - PHASE
S IMPLEX M ETHOD
103
Starting Tableau:
Tableau 5.6.1
cj :
CB
XB
(0
-1
-1)
y1
y2
y3
y4
y5
yA1
yA2
x1
x2
s1
s2
s3
A1
A2
Min Ratio
-1
A1
-1
3/2
-1
A2
-1
4/4
s3
5/1
-4
-6
zj cj
Since there are some (zj cj ) < 0, the current basic feasible solution
is not optimal.
HE T WO - PHASE
S IMPLEX M ETHOD
104
Starting Tableau:
Tableau 5.6.2
CB
-1
(0
-1
-1)
x2
2
s1
s2
s3
-1
A1
1
A2
0
A1
A2
x1
3
-1
s3
XB
-1
0
zj cj
HE T WO - PHASE
cj :
S IMPLEX M ETHOD
Min Ratio
1
4
R2
105
Starting Tableau:
Tableau 5.6.3
cj :
(0
-1
-1)
s2
s3
x2
2
s1
-1
A1
1
A2
0
-1
A1
A2
x1
3
1/4
-1/4
1/4
s3
CB
-1
XB
Min Ratio
R1 + (2) R2
R3 + (1) R2
c
zj
j
HE T WO - PHASE
S IMPLEX M ETHOD
106
Starting Tableau:
Tableau 5.6.4
cj :
(0
-1
-1)
x2
0
s1
s2
s3
-1
1/2
A1
1
A2
-1/2
A1
x2
x1
5/2
1/4
-1/4
1/4
s3
3/4
1/4
-1/4
CB
-1
XB
Min Ratio
c
zj
j
HE T WO - PHASE
S IMPLEX M ETHOD
107
s3
=
B
sA1
a2
s3
i.e., B
1 , we have
Find the inverse of B,
h
i h
i
I3 I3 B
1 .
B
That is,
HE T WO - PHASE
S IMPLEX M ETHOD
0
0
0
1
1/2
1/4
1/4
0
.
1
108
HE T WO - PHASE
S IMPLEX M ETHOD
109
HE T WO - PHASE
S IMPLEX M ETHOD
110
First iteration:
Tableau 5.6.4
cj :
CB
XB
(0
-1
-1)
x1
x2
s1
s2
s3
A1
A2
Min Ratio
-1
A1
5/2
-1
1/2
-1/2
2/5
x2
1/4
-1/4
1/4
s3
3/4
1/4
-1/4
16/3
-5/2
-1/2
3/2
zj cj
z (XB ) = 1
Since there are zj cj < 0, the current basic feasible solution is not
optimal.
HE T WO - PHASE
S IMPLEX M ETHOD
111
First iteration:
Tableau 5.6.5
CB
-1
(0
-1
-1)
s2
s3
x2
0
s1
A1
x1
5/2
-1
1/2
A1
1
A2
-1/2
x2
s3
1/4
-1/4
1/4
3/4
1/4
-1/4
XB
0
0
zj cj
HE T WO - PHASE
cj :
S IMPLEX M ETHOD
Min Ratio
2
5
R1
112
First iteration:
Tableau 5.6.6
cj :
(0
-1
-1)
s2
s3
2/5
x2
0
s1
-2/5
1/5
A1
2/5
A2
-1/5
A1
x2
x1
1
1/4
-1/4
1/4
s3
3/4
1/4
-1/4
CB
-1
XB
Min Ratio
1 R1
4
R3 + 3 R1
4
R2 +
c
zj
j
HE T WO - PHASE
S IMPLEX M ETHOD
113
First iteration:
Tableau 5.6.7
cj :
(0
-1
-1)
x2
0
s1
s2
s3
-2/5
1/5
A1
2/5
A2
-1/5
2/5
x1
x2
x1
1
9/10
1/10
-3/10
-1/10
3/10
s3
37/10
3/10
1/10
-3/10
-1/10
CB
0
XB
Min Ratio
c
zj
j
HE T WO - PHASE
S IMPLEX M ETHOD
114
s3
=
B
a1
a2
s3
i.e., (B)
1 , we have
Find the inverse of B,
h
i h
i
1
I3 I3 (B)
.
B
That is,
HE T WO - PHASE
S IMPLEX M ETHOD
0
0
1
0
2/5
1/5
0
.
1
1/10
3/10
3/10
1/10
115
y1 = B 1 a1 = I3 [1 0 0]T = [1 0 0]T
y2 = B 1 a2 = I3 [0 1 0]T = [0 1 0]T
y3 = B 1 s1 = I3 [2/5 1/10 3/10]T = [2/5 1/10 3/10]T
y4 = B 1 s2 = I3 [1/5 3/10 3/10]T = [1/5 3/10 3/10]T
y5 = B 1 s3 = I3 [0 0 1]T = [0 0 1]T
yA1 = B 1 sA1 = I3 [2/5 1/10 3/10]T = [2/5 1/10 3/10]T
yA2 = B 1 sA2 = I3 [1/5 3/10 1/10]T = [1/5 3/10 1/10]T
HE T WO - PHASE
S IMPLEX M ETHOD
116
z1 c1 = CB y1 c1 = [0 0 0][1 0 0]T 0 = 0
z2 c2 = CB y2 c2 = [0 0 0][0 1 0]T 0 = 0
z3 c3 = CB y3 c3 = [0 0 0][2/5 1/10 3/10]T 0 = 0
z4 c4 = CB y4 c4 = [0 0 0][1/5 3/10 3/10]T 0 = 0
z5 c5 = CB y5 c5 = [0 0 0][0 0 1]T 0 = 0
z6 c6 = CB yA1 c6 = [0 0 0][2/5 1/10 3/10]T (1) = 1
z7 c7 = CB yA2 c7 = [0 0 0][1/5 3/10 1/10]T (1) = 1
HE T WO - PHASE
S IMPLEX M ETHOD
117
Second iteration:
Tableau 5.6.8
cj :
CB
XB
(0
-1
-1)
x1
x2
s1
s2
s3
A1
A2
x1
2/5
-2/5
1/5
2/5
-1/5
x2
9/10
1/10
-3/10
-1/10
3/10
s3
37/10
3/10
1/10
-3/10
-1/10
z (XB ) = 0
Min Ratio
HE T WO - PHASE
S IMPLEX M ETHOD
118
Second iteration:
Tableau 5.6.8
cj :
CB
XB
(0
-1
-1)
x1
x2
s1
s2
s3
A1
A2
x1
2/5
-2/5
1/5
2/5
-1/5
x2
9/10
1/10
-3/10
-1/10
3/10
s3
37/10
3/10
1/10
-3/10
-1/10
z (XB ) = 0
Min Ratio
HE T WO - PHASE
S IMPLEX M ETHOD
119
Phase II
Consider the actual costs associated with the original variables.
The new objective function is
z = 5x1 + 8x2 + 0s1 + 0s2 + 0s3 .
The initial basic feasible for this phase is the one obtained at the
end of Phase I.
HE T WO - PHASE
S IMPLEX M ETHOD
120
a1
a2
s3
= I3 .
Tableau 5.6.8
cj :
CB
XB
(0
-1
-1)
y1
y2
y3
y4
y5
yA1
yA2
x1
x2
s1
s2
s3
A1
A2
x1
2/5
-2/5
1/5
2/5
-1/5
x2
9/10
1/10
-3/10
-1/10
3/10
s3
37/10
3/10
1/10
-3/10
-1/10
z(XB ) = 0
HE T WO - PHASE
S IMPLEX M ETHOD
Min Ratio
121
y1 = B 1 a1 = I3 [1 0 0]T = [1 0 0]T
y2 = B 1 a2 = I3 [0 1 0]T = [0 1 0]T
y3 = B 1 s1 = I3 [2/5 1/10 3/10]T = [2/5 1/10 3/10]T
y4 = B 1 s2 = I3 [1/5 3/10 3/10]T = [1/5 3/10 3/10]T
y5 = B 1 s3 = I3 [0 0 1]T = [0 0 1]T
z1 c1 = CB y1 c1 = [5 8 0][1 0 0]T 5 = 0
z2 c2 = CB y2 c2 = [5 8 0][0 1 0]T 8 = 0
z3 c3 = CB y3 c3 = [5 8 0][2/5 1/10 3/10]T 0 = 6/5
z4 c4 = CB y4 c4 = [5 8 0][1/5 3/10 3/10]T 0 = 7/5
z5 c5 = CB y5 c5 = [5 8 0][0 0 1]T 0 = 0
HE T WO - PHASE
S IMPLEX M ETHOD
122
CB
XB
0)
y1
y2
y3
y4
y5
x1
x2
s1
s2
s3
Min Ratio
x1
2/5
-2/5
1/5
(2/5)/(1/5)=2
x2
9/10
1/10
-3/10
s3
37/10
3/10
1/10
(37/10)/(1/10)=37
z(XB ) = 46/5
-6/5
-7/5
zj cj
From Table 5.6.9, we observe that s2 enters into the basis and x1
leaves the basis.
HE T WO - PHASE
S IMPLEX M ETHOD
123
0)
x2
0
s1
s2
s3
-2/5
1/5
2/5
x1
x2
x1
1
9/10
1/10
-3/10
s3
37/10
3/10
1/10
CB
5
XB
Min Ratio
(5) R1
zj cj
HE T WO - PHASE
S IMPLEX M ETHOD
124
0)
x2
0
s1
s2
s3
-2
x1
x2
x1
5
9/10
1/10
-3/10
s3
37/10
3/10
1/10
CB
5
XB
Min Ratio
3
R2 +
R1
10
1
R3 +
R1
10
zj cj
HE T WO - PHASE
S IMPLEX M ETHOD
125
0)
s2
x1
5
x2
s3
3/2
3/2
-1/2
7/2
-1/2
1/2
XB
x2
0
s1
s2
s3
-2
Min Ratio
zj cj
HE T WO - PHASE
S IMPLEX M ETHOD
126
s3
=
B
s2
a2
s3
i.e., B
1 , we have
Find the inverse of B,
h
i h
i
I3 I3 B
1 .
B
That is,
1/5
3/10
1/10
HE T WO - PHASE
S IMPLEX M ETHOD
0
0
0
1
0
.
1
3/2
1/2
127
y1 = B 1 a1 = [5 3/2 1/2]T
y2 = B 1 a2 = [0 1 0]T
y3 = B 1 s1 = [2 1/2 1/2]T
y4 = B 1 s2 = [1 0 0]T
y5 = B 1 s3 = [0 0 1]T
HE T WO - PHASE
S IMPLEX M ETHOD
128
First iteration:
Tableau 5.6.13
ci :
CB
XB
(5
0)
y1
y2
y3
y4
y5
x1
x2
s1
s2
s3
Min Ratio
s2
-2
x2
3/2
3/2
-1/2
s3
7/2
-1/2
1/2
-4
zj cj
z(XB ) = 12
HE T WO - PHASE
S IMPLEX M ETHOD
129
First iteration:
Tableau 5.6.14
CB
0
ci :
(5
0)
s2
s3
x2
0
s1
s2
x1
5
-2
x2
s3
3/2
3/2
-1/2
7/2
-1/2
1/2
XB
8
0
Min Ratio
(2) R3
zj cj
HE T WO - PHASE
S IMPLEX M ETHOD
130
First iteration:
Tableau 5.6.15
ci :
(5
0)
x2
0
s1
s2
s3
-2
CB
0
s2
x1
5
x2
3/2
3/2
-1/2
s3
-1
XB
Min Ratio
R1 + (2) R3
R2 + 1 R3
2
zj cj
HE T WO - PHASE
S IMPLEX M ETHOD
131
First iteration:
Tableau 5.6.16
ci :
CB
0
0
0)
x2
0
s1
s2
s3
s2
16
x1
3
x2
s1
-1
XB
(5
Min Ratio
zj cj
HE T WO - PHASE
S IMPLEX M ETHOD
132
s3
=
B
s2
a2
s1
i.e., (B)
1 , we have
Find the inverse of B,
h
i h
i
1
I3 I3 (B)
.
B
That is,
1/5
3/10
1/10
HE T WO - PHASE
2/5
1/10
3/10
S IMPLEX M ETHOD
0
1
1
1
0
.
1
133
1 a1 = [3 1 1]T
y1 = (B)
1 a2 = [0 1 0]T
y2 = (B)
1 s1 = [0 0 1]T
y3 = (B)
1 s2 = [1 0 0]T
y4 = (B)
1 s3 = [4 1 2]T
y5 = (B)
HE T WO - PHASE
S IMPLEX M ETHOD
134
z1 c1 = CB y1 c1 = [0 8 0][3 1 1]T 5 = 3
z2 c2 = CB y2 c2 = [0 8 0]0 1 0]T 8 = 0
z3 c3 = CB y3 c3 = [0 8 0][0 0 1]T 0 = 0
z4 c4 = CB y4 c4 = [0 8 0][1 0 0]T 0 = 0
z5 c5 = CB y5 c5 = [0 8 0][4 1 2]T 0 = 8
HE T WO - PHASE
S IMPLEX M ETHOD
135
Second iteration:
Tableau 5.6.17
ci :
CB
XB
(5
0)
x1
x2
s1
s2
s3
s2
16
x2
s1
-1
zj cj
z(XB ) = 40
Min Ratio
HE T WO - PHASE
S IMPLEX M ETHOD
136
HE T WO - PHASE
S IMPLEX M ETHOD
137
Solution:
Since the given LPP is having one constraint with type
constraint we can solve it by using two phase simplex method.
Convert the LPP into standard form by introducing slack variable
s1 0 and surplus variable s2 0 and artificial variable A1 0.
HE T WO - PHASE
S IMPLEX M ETHOD
138
s1
sA1
= I2 .
HE T WO - PHASE
S IMPLEX M ETHOD
139
y1 = B 1 a1 = I2 [2 1]T = [2 1]T
y2 = B 1 a2 = I2 [1 4]T = [1 4]T
y3 = B 1 s1 = I2 [1 0]T = [1 0]T
y4 = B 1 s2 = I2 [0 1]T = [0 1]T
yA1 = B 1 sA1 = I2 [0 1]T = [0 1]T
z1 c1 = CB x1 c1 = [0 1][2 1]T 0 = 1
z2 c2 = CB x2 c2 = [0 1][1 4]T 0 = 4
z3 c3 = CB s1 c3 = [0 1][1 0]T 0 = 0
z4 c4 = CB s2 c4 = [0 1][0 1]T 0 = 1
z5 c5 = CB yA1 c5 = [0 1][0 1]T (1) = 0
HE T WO - PHASE
S IMPLEX M ETHOD
140
x2
x1
4x2
s1
s2
A1
x1 , x2 , s1 , s2 , A1 0.
HE T WO - PHASE
S IMPLEX M ETHOD
141
XB
(0
-1)
x1
x2
s1
s2
A1
Min Ratio
s1
1/1=1
-1
A1
-1
6/4=1.5
-1
-4
zj cj
z (XB ) = 6
From Tableau 5.7.1, we observe that x2 enters into the basis and s1
leaves the basis.
HE T WO - PHASE
S IMPLEX M ETHOD
142
XB
(0
-1)
x1
x2
s1
s2
A1
s1
-1
A1
-7
-4
-1
Min Ratio
R2 + (4) R1
zj cj
HE T WO - PHASE
S IMPLEX M ETHOD
143
sA1
i.e., B
1 , we have
Find the inverse of B,
h
i h
i
1
I2 I2 B
.
B
That is,
HE T WO - PHASE
S IMPLEX M ETHOD
144
1 a1 = [2 7]T
y1 = B
1 a2 = [1 0]T
y2 = B
1 s1 = [1 4]T
y3 = B
1 s2 = [0 1]T
y4 = B
z1 c1 = CB y1 c1 = [0 1][2 7]T 0 = 7
z2 c2 = CB y2 c2 = [0 1][1 0]T 0 = 0
z3 c3 = CB y3 c3 = [0 1][1 4]T 0 = 4
z4 c4 = CB y4 c4 = [0 1][0 1]T 0 = 1
HE T WO - PHASE
S IMPLEX M ETHOD
145
First iteration:
Tableau 5.7.3
cj :
CB
XB
(0
-1)
x1
x2
s1
s2
A1
x2
-1
A1
-7
-4
-1
zj cj
z (XB ) = 2
Min Ratio
HE T WO - PHASE
S IMPLEX M ETHOD
146
First iteration:
Tableau 5.7.3
cj :
CB
XB
(0
-1)
x1
x2
s1
s2
A1
x2
-1
A1
-7
-4
-1
zj cj
z (XB ) = 2
Min Ratio
HE T WO - PHASE
S IMPLEX M ETHOD
147
First iteration:
Tableau 5.7.3
cj :
CB
XB
(0
-1)
x1
x2
s1
s2
A1
x2
-1
A1
-7
-4
-1
zj cj
z (XB ) = 2
Min Ratio
HE T WO - PHASE
S IMPLEX M ETHOD
148
149
1.
Even though Big-M method can always be used to check
the existence of a feasible solution it may be
computationally inconvenient because of the manipulation
of the constant M .
On the other hand, two-phase method eliminates the
constant M from the calculations.
2.
Another difficulty arises especially when the problem is to be
solved on a digital computer.
To use a digital computer, M must be assigned some
numerical value which is much larger than the values
c1 , c2 , in the objective function.
But a computer has only a fixed number of digits.
150