Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
DETERMINISTIC
OPERATIONS RESEARCH
Professor Emanuel Melachrinoudis
Mechanical and Industrial Engineering
Northeastern university
Boston, MA
FALL 2005
1/6/2006
IEM G205
HISTORY OF OR
1/6/2006
1/6/2006
Linear Programming
Network analysis
Dynamic programming
Markov Chains
Queuing theory
Inventory theory
Game theory
Scheduling
Simulation
Multiple criteria decision making
IEM G205
APPLICATION AREAS OF OR
Practitioners have successfully used the above
OR methods in many application areas, in
addition to military, such as:
1/6/2006
Manufacturing
Transportation
Telecommunications
Construction
Health care
Banking
IEM G205
1/6/2006
1/6/2006
IEM G205
It.(0) (2) 2 x1 x2 + 2 x3 = 6
(3) x x + 2 x = 5 eq (1) : pivot row; column of x : pivot
1
2
3
1
(
1
)
x
+
x
+
=
1
2
2
2 new row (1) row (1)/2 ( step 1)
1
2
3
1/6/2006
IEM G205
x3 9
3
1
(3) 2 x2 + x3 =
pivot element (3)
2
2
(1) x 1
It.(2) (2)
(3)
It.(3)
(1) x 1
PROPER (2)
FORM (3)
1/6/2006
5
7
x3 =
6
2
1
x 2 x3 = 1
3
5
5
x3 =
6
2
+
x2
IEM G205
x1 2 2 1 9
2 2 1 x1 9
2 - 1 2 x = 6 x = 2 - 1 2 6
2
2
x3 1 - 1 2 5
1 - 1 2 x3 5
1/6/2006
IEM G205
10
MATRIX INVERSION
Augment square matrix A by I, [ AM I ] and perform elementary row operations, so that
matrix A is transformed into I
2 2 1 1 0 0 1 1
It .(0) [ AM I ] = 2 - 1 2 0 1 0, 2 - 1
1 - 1 2 0 0 1 1 - 1
1 1
0 0
1 1
2 2
It.(1) 0 - 3 1 -1 1 0 ,
3 1
0 - 2
0 1
2 2
1/6/2006
1 1
0 0
2 2
2 0 1 0 step 1
2 0 0 1
1
0
-1
It.(2) 0 1
5
0 0
6
IEM G205
1 1
0
6 3
1 -1
0
3 3
1 -2
1
6 3
11
It.(3)
1 0 0 0
0 1 0 2
1
0 0 1
2
1
A A=
5
1
1/6/2006
-1
- 3 2
1
= IM A
5
5
-4 6
5 5
1
1 -1
2 2 1 1 0 0
- 3 2
2
1
2
0
1
0
=
= I and
5 5
- 4 6 1 - 1 2 0 0 1
5 5
IEM G205
2
1
A b=
5
1
1 -1
9
- 3 2
6 =
5 5
- 4 6 5
5 5
1
2
3
12
LINEAR PROGRAMMING
c1 = $3/unit
Activity 1
Resource 1
c2 = $5/unit
Activity 2
a31 = 3
a11 = 1
hour/unit
Resource 2
Resource 3
a22 = 2
a32 = 2
x1
x2
IEM G205
13
subject to
x1
(0, 9)
2x 2 12
3x 1 + 2 x2 18
x 1 0, x 2 0
z = 36
(0, 6)
Objective function
Constraints (functional and
non-negativity constraints)
Feasible region
Optimal solution
(2, 6)
z = 27
z = 20
z =15
(4, 6)
(4, 3)
(0, 0)
(4, 0)
1/6/2006
IEM G205
(6, 0)
14
x1
Maximize z = 3x 1 + 5 x 2
subject to
x1
(0, 13.5)
x2
4
2x 2 12
3x 1 + 2 x 2 27
x 1 0, x 2 0.
(4, 6)
(0, 6)
x1
(0, 0)
(4, 0)
1/6/2006
IEM G205
(9, 0)
15
Maximize z = 6x1 + 4 x2
subject to
x1
4
2x 2 12
3x1 + 2 x2 18
x1 0, x 2 0.
(0, 9)
(4, 6)
(0, 6)
Z = 36
Z = 24
Z = 12
(0, 0)
(4, 0) (6, 0)
1/6/2006
IEM G205
x1
16
A MINIMIZATION LP
x2
Minimize z = 3x 1 + 5 x2
subject to
x1
4
2x 2 12
(0, 9)
Z = 42
(4, 6)
(2, 6)
(0, 6)
Z = 27
3x 1 + 2 x 2 18
x 1 0, x 2 0.
(4, 3)
Z = 15
(0, 0)
x1
Z=0
(4, 0)
1/6/2006
IEM G205
(6, 0)
17
Matrix Form:
max z = cx
subject to Ax b
x0
c1
a11
a21
am1
x1
1/6/2006
IEM G205
c2
a12
a22
am2
x2
cn
a1n
a2n
amn
b1
b2
bm
xn
18
L IN E A R IT Y
D iv is ib ility
C e r ta in ty
1/6/2006
IEM G205
19
IEM G205
20
IEM G205
21
PROBLEM 3.4-13
COMPARTMENT
Front
Center
Back
WEIGHT
SPACE
CAPACITY CAPACITY
(TONS)
(CUBIC FEET)
12
18
10
7,000
9,000
5,000
20
16
25
13
500
700
600
400
PROFIT
($/TON)
320
400
360
290
1/6/2006
IEM G205
22
MATHEMATICAL FORMULATION OF
PROBLEM 3.4-13
DECISION VARIABLES
WGTij: Amount (tons) of cargo type i loaded in compartment j
i = 1, 2, 3, 4
cargo type
j = 1, 2, 3
compartment: Front, Center, Back
OBJECTIVE FUNCTION
Max z = 320(WGT11 + WGT12 + WGT13)
+ 400(WGT21 + WGT22 + WGT23)
+ 360(WGT31 + WGT32 + WGT33)
+ 290(WGT41 + WGT42 + WGT43)
1/6/2006
IEM G205
23
CONSTRAINTS
S.T.
Cargo
availability
constraints
Compartment
weight
capacity
constraints
Compartment
volume
capacity
constraints
Compartment
weight
balance
constraints
1/6/2006
IEM G205
24
IEM G205
25
IEM G205
26
WGT( 2, 1)
WGT( 2, 2)
WGT( 2, 3)
WGT( 3, 1)
WGT( 3, 2)
WGT( 3, 3)
WGT( 4, 1)
WGT( 4, 2)
WGT( 4, 3)
Row
1
2
3
4
5
6
7
8
9
10
11
12
13
14
1/6/2006
7.333333
0.0000000
3.333333
0.0000000
1.666667
0.0000000
4.666667
1.666667
6.666667
Slack or Surplus
13330.00
5.333333
5.333333
23.33333
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
IEM G205
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
0.0000000
Dual Price
1.000000
0.0000000
0.0000000
0.0000000
10.00000
0.0000000
266.6667
0.0000000
0.4000000
0.4000000
0.4000000
1440.000
-2640.000
1200.000
27
1/6/2006
IEM G205
28
1/6/2006
IEM G205
29
AUGMENTED SOLUTION
Original constraints
4
x1
2x2 12
3x1 + 2x2 18
x1, x2 0
1/6/2006
IEM G205
30
Maximize Z,
subject to
(0)
Z
(1)
(2)
(3)
and
1/6/2006
- 3x1
x1
3x1
xj 0,
- 5x2
+ x3
2x2
+x4
+2x2
for j=1, 2, ..., 5.
IEM G205
+x5
=0
=4
= 12
= 18
31
+ x3
= 4 NB : (x 1 , x 2 ) = (0,0 )
x1
(1)
It .(0)
2x 2
+ x4
= 12 BV : (x 3 , x 4 , x 5 ) = (4 ,12,18 )
(2)
(3)
3x 1 + 2x 2
+ x 5 = 18 z = 0
12 18
, =6
2
2
(0) z 3x 1
x1
(1)
It .(1)
(2)
(3)
3x 1
5
x4
2
+ x3
x2
x4
2
= 30
New BFS
= 4 NB : (x 1 , x 4 ) = (0,0 )
BV : (x 3 , x 2 , x 5 ) = (4,6,6 )
=6
z = 30
x4 + x5 = 6
1/6/2006
IEM G205
32
(0) z 3 x1
x1
(1)
It.(1)
(2)
(3) 3 x
1
+
+ x3
x2
5
x4
2
= 30
New BFS
= 4 NB : (x1 , x4 ) = (0,0 )
x4
BV : (x3 , x2 , x5 ) = (4,6,6 )
=6
2
z = 30
x 4 + x5 = 6
4 6
x1 enters the Basis at the level min , = 2 x5 leaves the Basis
1 3
+
(
0
)
z
x 4 + x5 = 36
New BFS
x 4 x5
(1)
x3 + = 2
NB : (x4 , x5 ) = (0,0 )
3 3
It.(2)
x
BV : (x3 , x 2 , x1 ) = (2,6,2 )
(2)
=6
x2 + 4
2
z = 36
x
x
(3) x1
4 + 5 =2
3
3
1/6/2006
IEM G205
33
x2
x1
It(2)
4
2x 2 12
It(1)
3x1 + 2 x 2 18
x1 0, x 2 0.
x1
1/6/2006
IEM G205
34
1/6/2006
Basic
Eq.
Coefficient of
Variable
No.
x3
x4
Right
Side
x1 x 2 x 3 x 4 x5
-3 -5 0 0 0
1
2
0
0
1
0
0
2
1 0 0
0 1 0
4
12
x5
0 0 1
18
-3 0 0
30
x3
x2
1
2
0
0
5
2
0 1
x5
0
3
1 0 1 0
2
0 0 -1 1
4
6
0 0 0
x3
x2
1
2
0
0
0 0 1
x1
1 0 0
0 1 0
Reduced
cost
IEM G205
3
2
1
3
1
2
-1
3
36
-1
3
2
6
0
1
3
Shadow
price or dual
price
2
35
1/6/2006
IEM G205
36
1/6/2006
IEM G205
37
1/6/2006
IEM G205
38
There are many learning aids in the tutorial. Among them, you can
find the interactive simplex mode, automatic mode, graphical
interactive mode (for two variable problems) and the demo mode.
Just try each one using the prototype example problem or the
assigned homework problems. The courseware is limited of course
in solving small size problems, small enough so the simplex tableau
fits on a computer screen. For larger problems you can use
commercial software such as LINGO.
1/6/2006
IEM G205
39
1/6/2006
IEM G205
40
x1
2x2
3x1 + 2x2
x1 , x2
Iteration
Basic
Eq.
Variable No.
z
x3
x4
x5
0
1
2
3
4
12
18
0
x1
1
0
0
0
x1
Coefficient of
x2
x3
x4
x5
-3
1
0
3
-3
0
2
2
0
0
0
1
IEM G205
0
1
0
0
0
0
1
0
Right side
0
4
12
18
41
x1
2x2
3x1 + 2x2
x1 , x2
2x2 = 12
(x4 = 0)
2
12
18
0
x2
x1 = 2
(x3 = 0)
(2,6)
3x1 + 2x2 = 18
(x5 = 0)
x1
IEM G205
42
DEGENERACY
1/6/2006
IEM G205
43
Basic
Eq.
Coefficient of
Right
Variable
No.
x1 x 2 x 3 x 4 x 5
Side
0
1
1
0
-3 -5 0 0 0
1 0 1 0 0
0
2
0 1 0
12
x 55
0 0 1
18
z
x3
0
1
2
3
1
0
0
0
-3
1
0
3
0
0
1
0
0 52
1 0
0 12
0 -1
30
2
6
6
0
1
2
1
0
0
0 0 0
0 0 1
0 1 0
1 0 0
z
0
1/6/2006
x3
x4
x2
x5
z
x3
x2
x1
0
0
0
1
3
2
1
3
-1
3
1
2
36
0
6
-1
3
1
3
2
44
CYCLING
1/6/2006
IEM G205
45
x1
4
x1 - x2 2
x1 , x2 0
z = 30
x1 4
z = 15
x1 - x2 2
z=0
x1
1/6/2006
IEM G205
46
x1
+ x3
=4
x1 x 2
+ x4 = 2
x j 0, j = 1,2,3,4
B asic
V ariable
E q.
N o.
C oefficient of
x1 x 2 x 3 x 4
0
1
2
1
0
0
-3
1
1
z
x3
x4
-5 0
0 1
-1 0
0
0
1
R ight
Side
0
4
2
IEM G205
47
x1
2x2
3x1 + 2x2
x1 , x2
4
12
18
0
x1
1/6/2006
IEM G205
48
Extra
Basic
Eq.
Coefficient of
Right
Variable
No.
x1 x 2 x 3 x 4 x5
-3
-2
x3
x4
12
x5
18
Side
-2
12
x1
x4
x5
2
3
0
0
0
0
2
2
0
-3
1
0
0
1
12
6
z
x1
x4
x2
0
1
2
3
1
0
0
0
0
1
0
0
0
1
0
0
1
0
0
0
0
1
-1
-3
2
1
0
18
4
6
3
z
x1
x3
x2
0
1
2
3
1
0
0
0
0
1
0
0
0
0
0
0
0
1
1
0
-1
3
1
3
1
2
1
3
-1
3
1
2
18
2
2
6
Algorithms exist for generating all corner point multiple optimal solutions.
A crashing algorithm is implemented in the ADBASE software.
1/6/2006
IEM G205
49
"=" constraints
">" constraints
1/6/2006
IEM G205
50
Minimization
x2
min z = 2x1 - x2
s.t.
x1
2x2
3x1 + 2x2
x1 , x2
4
12
18
0
z '
z
x1
IEM G205
51
Equality Constraints
Artificial variable methods
Big-M method
Two Phase method
Big-M Formulation
max z = 3x1 + 5x 2
s. t .
x1
4
+ 2x 2 12
3x1 + 2x 2 = 18
x1 , x 2 0
1/6/2006
Max z = 3x1 + 5 x2 M x5
+ x3
=4
s.t.
x1
2 x2
+ x4
= 12
3x1 + 2 x2
+ x5 = 18
all variables 0
IEM G205
52
+ x4
+ Mx5 = 0
= 4
= 12
+ x5 = 18
(0)
(1)
(2)
(3)
+ Mx5 = 0
- M x5 = -18M
1/6/2006
IEM G205
53
1/6/2006
IEM G205
54
1/6/2006
x2
x1
4
2x2 12
3x1 + 2x2 = 18
x1 , x2 0
IEM G205
x1
55
x1
+ x3
=4
+ 2 x 2 12 s. t .
2 x2
+ x4
= 12
3 x 1 + 2 x 2 = 18
3 x1 + 2 x 2
+ x 5 = 18
x 1 , x 2 0
max z = 3 x 1 + 5 x 2
s. t .
all variables 0
eq ( 0) Max (- z ' ) = x 5
or
------------------eq ( 0) z '
+ x5 = 0
eq ( 3) 3 x 1 2 x 2 x 5 = 18
new eq ( 0): z ' 3 x 1 2 x 2 = 18
1/6/2006
IEM G205
56
Phase 1
Basic
Eq .
Iteration
Variable
No.
z'
x3
x4
x5
0
1
2
3
z'
1
Coefficient of
z'
x1 x 2 x 3 x 4 x 5
Right
Side
0
0
0
1
0
3
2
0
2
2
0
1
0
0
0 2
0 0
x1
x4
1
2
0
0
1
0
0
2
1
0
0 0
1 0
4
12
x5
3 0 1
z'
x1
x4
x2
0
1
2
3
1
0
0
0
0
1
0
0
0
0
0
1
0
1
3
0
4
6
3
3
2
0
0
1
0
0
0
1
0
0
0
0
1
1
0
1
1
2
18
4
12
18
IEM G205
57
z
2
x1 x2 x3 x4
Right side
-3
-5
x1
x4
1
2
0
0
1
0
0
0
1
3
0
1
4
6
x2
3
2
P h a se 2
Original objective:
B a sic
Itera tio n
3eq(1)
3x1
=0
x1
x2
-9
2
27
x1
2
3
0
0
0
0
1
3
0
1
x4
x2
1
0
0
-3
2
x1
0
1
0
0
x3
x2
2
3
0
0
x3 x4
R ig h t
N o.
+ 3x 3 = 12
15
5x2 x3 = 15
+5eq(3)
2
9
new eq( 0): z x3 = 27
2
C o e ffic ie n t o f
V a ria b le
----------------eq(0) z 3x1 5x 2
Eq.
S id e
6
3
0
0
3
2
36
-1
3
2
2
6
1
3
1
2
P h a se 2 is o p tim a l.
1/6/2006
IEM G205
58
1/6/2006
Both sides of these constraints are multiplied by (-1) so that the rhs
becomes non-negative. This is necessary because Simplex starts
always with a basic feasible solution. In case of an inequality constraint,
the direction of the inequality has also to be reversed.
IEM G205
59
Case 1.
Example:
x3 -5, or
x3+5 0. Equivalently,
x'3= x3+ 5, x'3 0:
Replace in the model x3 with x'3-5
1/6/2006
IEM G205
60
1/6/2006
IEM G205
61
Example
Min z = 2x1 + x 2
subject to
x1
- x2 = 2
- 4x1 + 2 x 2 4
x1 = 1
-4x1
+2x2=4
x1 , x 2 unrestricted
(0,0)
x1
in sign
(1,-2)
1/6/2006
IEM G205
-x2 = 2
62
x 1(old )
- x 2(old) = 2
- 4x 1(old) + 2 x 2 (old) 4
x 1(old) , x 2(old) unrestricted
in sign
x2 (old ) x2 - x3
Min z = 2x 1 + x 2 3x 3
subject to
x1
- x3 1
- x2 + x3 = 2
- 4x 1 + 2 x 2 + 2 x 3 4
x1 , x 2 , x 3 0
1/6/2006
IEM G205
63
Max - z = -2x 1 x 2 + 3x 3
subject to
- x3 - x4 + x5
x1
- x2
+ x3
=1
+ x6
- 4x1 + 2 x 2 + 2 x 3
=2
+ x7 = 4
all variables 0
1/6/2006
IEM G205
64
1/6/2006
IEM G205
65
1 X2 3 X3
1 X1 + 0 X2 1 X3 >= 1
0 X1 1 X2 +
1 X3 = 2
-4 X1 + 2 X2 +
2 X3 <= 4
and
X1 >= 0, X2 >= 0, X3 >= 0.
Solve Interactively by the Simplex Method
Bas Eq
Var No
Coefficient of
X3
X4
X5
X1
X2
-1
0
0
0
-1M
2
1*
0
-4
1M
1
0
-1
2
X1
0
1
2
3
-1
0
0
0
0
1
0
0
X2
1M
1
0
-1
2
Bas Eq
Var No
X1
X2
X3
-1
0
0
0
0
1
0
0
0
-1
0
0
0
0
1
0
Z
0
X5
1
X6
2
X7
3
Bas Eq
Var No
Z
X1
X6
X7
Z
X1
X3
X7
0
1
2
3
1/6/2006
1M
0
0
-1
1
0
0
0
0
Coefficient of
X3
X4
X5
-1M
1M
-1
2
-2
-1
-1
1
1*
0
0
-2
-4
4
-3
-1
1
2
Coefficient of
X4
X5
1M
2
-2
-1
1
0
0
-4
4
X6
X7
0
0
1
0
0
0
0
1
X6
X7
0
0
1
0
0
0
0
1
X6
1M
1
1
1
2
X7
0
0
0
1
IEM G205
Right
side
-3M
0
1
2
4
Right
side
-2M
-2
1
2
8
(old) x1 = x1 - x3 = 3 - 2 = 1
(old) x2 = x2 - x3 = 0 - 2 = -2
-z = 0 z = 0
Right
side
0
0
3
2
12
66
THEORY OF SIMPLEX
1/6/2006
IEM G205
67
THEORY OF SIMPLEX
Example in 3-D
Constraint Boundary
Equations
x2
B
C
O
A
x1
x3
Max z = x2
s.t. x1 + x2 + x3
x1
x1
x2
x3
1/6/2006
4
2
0
0
0
x1 + x2 + x3 = 4
=2
x1
x1
=0
x2
=0
x3 = 0
Indicating
Variables
x4 (slack)
x5 (slack)
x1
x2
x3
(1)
(2)
(3)
(4)
(5)
IEM G205
68
A set S is convex if for any two points x1, x2 S, the points of the line
segment joining x1, x2 belong to S.
x = x1 + (1 ) x2, 0 1
1/6/2006
IEM G205
69
m + n (m + n)!
=
(# of extreme points) # of CPs
m!n!
n
1/6/2006
IEM G205
70
An Example in 3
- D
Corner Point (CP) Solutions
Defining equations
x2
B
CP
Feasible
?
C
O
A
x1
x3
Max z = x2
s.t. x1 + x2 + x3
x1
x1
x2
x3
1/6/2006
4
2
0
0
0
(1)
(2)
(3)
(4)
(5)
IEM G205
71
An Example in 3
- D
Corner Point (CP) Solutions
x2
B
C
O
A
x1
x3
Max z = x2
s.t. x1 + x2 + x3
x1
x1
x2
x3
1/6/2006
4
2
0
0
0
(1)
(2)
(3)
(4)
(5)
Defining
equations
(1,2,3)
(1,2,4)
(1,2,5)
(1,3,4)
(1,3,5)
(1,4,5)
(2,3,4)
(2,3,5)
(2,4,5)
(3,4,5)
CP
E
C
A
B
F
D
O
Feasible
?
Y
Y
Y
Y
N
Y
Y
m + n (m + n)!
# of extreme points # of CPs n = m!n!
IEM G205
72
1/6/2006
IEM G205
73
An Example in 3
- D
CPs, Defining Equations and Basic Solutions
CP
Defining equations
x2
B
BS
(x1, x2, x3,
x4, x5)
NB Variables
(Indicating
Variables)
C
O
A
x1
x3
Max z = x2
s.t. x1 + x2 + x3
x1
x1
x2
x3
1/6/2006
4
2
0
0
0
(1)
(2)
(3)
(4)
(5)
IEM G205
74
4
2x2 12
3x1 + 2x2 18
x1 0, x2 0.
x1
(0, 9)
(0, 6)
x2
(4, 6)
(2, 6)
(4, 3)
x1
(0, 0)
(4, 0)
1/6/2006
IEM G205
(6, 0)
75
x1
=4
2x2 = 12
3x1 + 2x2 = 18
=0
x1
x2 = 0
Corner-Point Feasible
Solution
Corner-Point
Infeasible
Solution
(0, 9)
(4, 6)
(6, 0)
1/6/2006
(0, 0)
Defining Equations
(0, 6)
(2, 6)
x1 = 0
3x1 +2x2 =18
2x2 =12
x1 =4
3x1+2x2 =18
x2 = 0
IEM G205
(4, 3)
(4, 0)
Defining Equations
x1 = 0
x2 = 0
x1 = 0
2x2 =12
2x2 =12
3x1 +2x2 =18
3x1 +2x2 =18
x1 =4
x1 =4
x2 = 0
76
1/6/2006
IEM G205
77
On the average,
# of iterations 2m
Computing time using a regression equation: km2.5 nd.33
=
n
n
n
n1
n2
n ( n 1)
m> n
m + n m + n
m+ n
n
>2
>
n n >2
n
m + n
29
1/6/2006
IEM G205
78
x3
H
G
F
Max z = 100 x1 + 10 x2 + x3
s.t.
x2
20 x1 +
1/6/2006
x2
100
x1, x2, x3 0
C
B
200 x1 + 20 x2 + x3 10000
x1
x1
IEM G205
79
INTERIOR-POINT ALGORITHMS
IEM G205
80
1/6/2006
IEM G205
81
(0, 9)
x2
(2, 6)
(0, 6)
(4, 6)
It.
x1
x2
.
.
.
.
.
.
1.92134
.
.
.
(1.56,5.5)
(1.38,5)
.
.
.
10
(1.27,4)
(4, 3)
1.99799
.
.
.
.
.
.
15
1.99994
13
.
.
.
5.82908
.
.
.
5.99398
.
.
.
5.99981
.
.
.
34.9094
.
.
.
35.9639
.
.
.
35.9989
(1,2)
(0, 0)
(4, 0)
1/6/2006
(6, 0)
IEM G205
82
FUNDAMENTAL INSIGHT
1/6/2006
IEM G205
83
1/6/2006
Variable
Eq.
Coefficien t of
No.
Right
x1 x 2 x3 x 4 x5
Side
-3 -5 0 0 0
x3
1 0 0
x4
0 1 0
12
x5
0 0 1
18
-3
0 0
5
2
30
x3
x2
1
2
x5
0 -1 1
3
2
36
x3
1
3
-1
3
x2
1
2
x1
-1
3
1
3
IEM G205
84
E1 =
1 0 0
0 1 / 2 0
0 1 1
1 0 1 / 3
E2 E1 = 0 1
0
0 0 1 / 3
1/6/2006
E2 =
1 0 1 / 3
0 1
0 0 1 / 3
1 0 0
1 1 / 3 1 / 3
0 1 / 2 0
0 1 / 2
0
=
0 1 / 3 1 / 3
0 1 1
IEM G205
85
Iteration(0):
(0)
(1)
(2)
(3)
- 3x1
x1
3x1
- 5x2
+ x3
2x2
+ 2x2
or
1
0
1/6/2006
3
1
5
0
0
1
0
0
+x4
+x5
z
0 x1
0 x 2
0x 3
1x 4
x5
IEM G205
=0
=4
= 12
= 18
=
1 2
1
8
86
+ x3
x2
+3/2 x4
+x5
+1/3 x4 -1/3 x5
+1/2 x4
-1/3 x4 +1/3 x5
= 36
=2
=6
=2
or
1
0
0
0
1/6/2006
0
0
0
1
0
0
1
0
0
1
0
0
3/2
1/3
1/2
1/3
z
1 x1
1 / 3 x2
0 x3
1 / 3 x 4
x5
IEM G205
36
= 6
87
MATRIX LP FORM
Max
s.t.
x1
x
2
x = , b =
M
xn
1/6/2006
z = cx
Ax b
x 0
b1
b
2 ,0=
M
bm
0
0
,A=
M
0
IEM G205
a
L
a
22
2n
21
M M L M
a
a
L
a
m2
mn
m1
88
z
1 c 0 0
0 A I x = b
x S
is transformed by
1 c B B 1
premultiplying both sides by the matrix
1
0 B
z
1 c B B A c c B B c B B 1b
x = 1
1
1
B A
B
B b
0
x S
1
1/6/2006
IEM G205
89
SIMPLEX TABLEAUX
Setting S = B-1
and
y = CBB-1
(0) iteration:
xS
RHS
-c
yA - c
yb
SA
Sb
y*A - c
y*
y*b
S*A
S*
S*b
Any iteration:
M
Last iteration :
1/6/2006
IEM G205
90