Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
(Z )
( xi )
(x )
j
c1 x1 + c2 x2 + c3 x3 + L L L + cn xn + Z = 0
c11 x1 + c12 x2 + c13 x3 + L L L + c1n xn
= b1
= b2
( xl )
cm1 x1 + cm 2 x2 + cm 3 x3 + L L L + cmn xn
= bm
As the revised simplex method is mostly beneficial for large LP problems, it will be
discussed in the context of matrix notation. Matrix notation of above LP problem can be
expressed as follows:
M3L5
Minimize z = C T X
subject to : AX = B
with : X 0
b1
x1
c1
c11 c12
0
x
c
c
b2
c 22
0
2
2
where X =
, C=
, B= , 0 =
, A = 21
M
c m1 c m 2
xn
c n
bm
c1n
c 2 n
c mn
It can be noted for subsequent discussion that column vector corresponding to a decision
c1k
c
variable x k is 2 k .
c mk
Let X S is the column vector of basic variables. Also let C S is the row vector of costs
coefficients corresponding to X S and S is the basis matrix corresponding to X S .
1. Selection of entering variable
For each of the nonbasic variables, calculate the coefficient (WP c ) , where, P is the
corresponding column vector associated with the nonbasic variable at hand, c is the cost
coefficient associated with that nonbasic variable and W = C S S 1 .
For maximization (minimization) problem, nonbasic variable, having the lowest negative
(highest positive) coefficient, as calculated above, is the entering variable.
2. Selection of departing variable
U(i )
, are calculated provided V (i ) > 0 . i = r , for which the ratio is least, is
V (i )
noted. The r th basic variable of the current basis is the departing variable.
If it is found that V (i ) 0 for all i , then further calculation is stopped concluding that
bounded solution does not exist for the LP problem at hand.
M3L5
where E =
m 1
M
V (i )
V (r )
M and i =
1
M
V (r )
for
ir
for
i=r
r th column
S is replaced by S new and steps 1 through 3 are repeated. If all the coefficients calculated in
X S = S 1B and z = CX S
Duality of LP problems
Each LP problem (called as Primal in this context) is associated with its counterpart known
as Dual LP problem. Instead of primal, solving the dual LP problem is sometimes easier
when a) the dual has fewer constraints than primal (time required for solving LP problems is
directly affected by the number of constraints, i.e., number of iterations necessary to
converge to an optimum solution which in Simplex method usually ranges from 1.5 to 3
times the number of structural constraints in the problem) and b) the dual involves
maximization of an objective function (it may be possible to avoid artificial variables that
otherwise would be used in a primal minimization problem).
The dual LP problem can be constructed by defining a new decision variable for each
constraint in the primal problem and a new constraint for each variable in the primal. The
coefficients of the j th variable in the duals objective function is the i th component of the
primals requirements vector (right hand side values of the constraints in the Primal). The
duals requirements vector consists of coefficients of decision variables in the primal
objective function. Coefficients of each constraint in the dual (i.e., row vectors) are the
M3L5
column vectors associated with each decision variable in the coefficients matrix of the primal
problem. In other words, the coefficients matrix of the dual is the transpose of the primals
coefficient matrix. Finally, maximizing the primal problem is equivalent to minimizing the
dual and their respective values will be exactly equal.
When a primal constraint is less than equal to in equality, the corresponding variable in the
dual is non-negative. And equality constraint in the primal problem means that the
corresponding dual variable is unrestricted in sign. Obviously, duals dual is primal. In
summary the following relationships exists between primal and dual.
Primal
Dual
Maximization
Minimization
Minimization
Maximization
i th variable
i th constraint
j th constraint
j th variable
Inequality sign of i th Constraint:
xi 0
if dual is maximization
if dual is minimization
i th variable unrestricted
j th variable unrestricted
RHS of j th constraint
RHS of i th constraint
function
See the pictorial representation in the next page for better understanding and quick reference:
M3L5
Maximize Z = c1 x1 + c2 x2 + L L L + cn xn
Subject to
cm1 x1 + cm 2 x2 + L L L + cmn xn bm
ym
x1 0, x2 unrestricted, L , xn 0
Coefficients
of the 1st
constraint
Corresponding
sign of the 1st
constraint is
Coefficients
of the 2nd
constraint
Corresponding
sign of the 2nd
constraint is =
M
Determine the
sign of y1
Right hand
side of the 1st
constraint
Right hand
side of the 2nd
constraint
Determine the
sign of y2
LL
M
Determine the
sign of ym
Dual Problem
Minimize Z = b1 y1 + b2 y2 + L L L + bm ym
c11 y1 + c21 y2 + L L L + cm1 ym c1
Subject to
c12 y1 + c22 y2 + L L L + cm 2 ym = c2
M
M
c1n y1 + c2 n y2 + L L L + cmn ym cn
y1 unrestricted, y2 0, L , ym 0
M3L5
It may be noted that, before finding its dual, all the constraints should be transformed to lessthan-equal-to or equal-to type for maximization problem and to greater-than-equal-to or
equal-to type for minimization problem. It can be done by multiplying with 1 both sides
of the constraints, so that inequality sign gets reversed.
An example of finding dual problem is illustrated with the following example.
Primal
Z = 4 x1 + 3 x 2
Maximize
Minimize
Subject to
Subject to
x1 +
Dual
2
x 2 6000
3
y1 y 2 + y 3 = 4
x1 x 2 2000
2
y1 + y 2 3
3
x1 4000
y1 0
x1 unrestricted
y2 0
x2 0
y3 0
Primal-Dual relationships
Following points are important to be noted regarding primal-dual relationship:
1. If one problem (either primal or dual) has an optimal feasible solution, other problem
also has an optimal feasible solution. The optimal objective function value is same for
both primal and dual.
2. If one problem has no solution (infeasible), the other problem is either infeasible or
unbounded.
3. If one problem is unbounded the other problem is infeasible.
M3L5
Cost Coefficients
.
the sign of the elements of pivotal row, i.e., ratio =
1 Elements of pivotal row
The column corresponding to minimum ratio is identified as the pivotal column and
associated decision variable is the entering variable.
5. Pivotal operation: Pivotal operation is exactly same as in the case of simplex
method, considering the pivotal element as the element at the intersection of pivotal
row and pivotal column.
6. Check for optimality: If all the basic variables have nonnegative values then the
optimum solution is reached. Otherwise, Steps 3 to 5 are repeated until the optimum is
reached.
M3L5
Minimize
Z = 2 x1 + x 2
subject to
x1 2
3 x1 + 4 x 2 24
4 x1 + 3 x 2 12
x1 + 2 x 2 1
By introducing the surplus variables, the problem is reformulated with equality constraints as
follows:
Minimize
Z = 2 x1 + x 2
subject to
x1
+ x3 = 2
3 x1
+4 x 2
+ x 4 = 24
4 x1
3 x 2
+ x5 = 12
x1
2 x 2
+ x6 = 1
Basis
br
Z
x1
x2
x3
x4
x5
x6
-2
-1
x3
-1
-2
x4
24
x5
-4
-3
-12
x6
-2
-1
0.5
1/3
--
--
--
Ratios
Pivotal Element
Pivotal Row
Pivotal Column
M3L5
Tableaus for successive iterations are shown below. Pivotal Row, Pivotal Column and Pivotal
Element for each tableau are marked as usual.
Iteration
Basis
Variables
x3
x4
x5
x6
br
-2/3
-1/3
x3
-1
-2
x4
-7/3
4/3
x2
4/3
-1/3
x6
11/3
-2/3
2/3
--
--
--
--
--
x1
x2
Variables
x3
x4
x5
x6
br
Basis
-2/3
-1/3
16/3
x1
-1
x4
-7/3
4/3
38/3
x2
4/3
-1/3
4/3
x6
11/3
-2/3
-1/3
--
--
--
--
0.5
--
x1
x2
Variables
x3
x4
x5
x6
Ratios
Iteration
x2
Ratios
Iteration
x1
br
Basis
2.5
-0.5
5.5
x1
-1
x4
12
x2
-0.5
-0.5
1.5
x5
-5.5
-1.5
0.5
Ratios
M3L5
10
As all the br are positive, optimum solution is reached. Thus, the optimal solution is Z = 5.5
Dual
Maximize
Z = 4 x1 x2 + 2 x3
subject to
2 x1 + x2 + 2 x3 6
x1 4 x2 + 2 x3 0
5 x1 2 x2 2 x3 4
x1 , x2 , x3 0
Minimize
Z ' = 6 y1 + 0 y 2 + 4 y3
subject to
2 y1 + y 2 + 5 y3 4
y1 4 y 2 2 y3 1
2 y1 + 2 y 2 2 y3 2
y1 , y 2 , y3 0
y1
y2
y3
As illustrated above solution for the dual can be obtained corresponding to the coefficients of
slack variables of respective constraints in the primal, in the Z row as, y1 = 1 , y 2 =
y3 =
1
and
3
1
and Z=Z=22/3.
3
M3L5
11
where y j is the dual variable associated with the i th constraint, bi is the small change in the
RHS of i th constraint, and Z is the change in objective function owing to bi .
Let, for a LP problem, i th constraint be 2 x1 + x2 50 and the optimum value of the objective
function be 250. What if the RHS of the i th constraint changes to 55, i.e., i th constraint
changes to 2 x1 + x2 55 ? To answer this question, let, dual variable associated with the i th
constraint is y j , optimum value of which is 2.5 (say). Thus, bi = 55 50 = 5 and y j = 2.5 .
So, Z = y j bi = 2.5 5 = 12.5 and revised optimum value of the objective function is
M3L5