Operations Research 9ed Chapter 22

M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.
CHAPTER 22
Additional Network
and LP Algorithms
22.1 MINIMUM-COST CAPACITATED FLOW PROBLEM

The minimum-cost capacitated flow problem is based on the following assumptions:
1. All arcs are directional (one way).

2. A (nonnegative) unit flow cost is associated with each arc.
3. Arcs may have positive lower-capacity limits.
4. Any node in the network may act as a source or as a sink.
The new model determines the flows that minimize the total cost while satisfying
the flow restrictions on the arcs and the supply and demand amounts at the nodes.We first
present the capacitated network flow model and its equivalent linear programming for-
mulation. The linear programming formulation is then used as the basis for the develop-
ment of a special capacitated simplex algorithm for solving the network flow model.
22.1.1 Network Representation

Consider a capacitated network G = (N, A), where N is the set of nodes and A is the
set of arcs and define
xij = amount of flow from node i to node j

uij(lij) = upper (lower) capacity of arc (i, j)
cij = unit flow cost from node i to node j
fi = net flow at node i
Figure 22.1 depicts these definitions on arc (i, j,). The label [fi] assumes a positive
(negative) value when a net supply (demand) is associated with node i.
22.1
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22.2 Chapter 22 Additional Network and LP Algorithms
[ fi] [ fj]
$ cij
i j
FIGURE 22.1 (lij, uij)
Capacitated arc with external flow xij
[150]
$1
[100] 1 4
(50, 80) $2
$1
$4
$3 [50] (70, 120) 6 [120]
$4
3 $2
$5 (100, 120)
$6
FIGURE 22.2 [200] 2 5
Capacitated network for Example 22.1-1 [80]
Example 22.1-1
GrainCo supplies corn from three silos to three poultry farms. The supply amounts at the three
silos are 100, 200, and 50 thousand bushels and the demands at the three farms are 150, 80, and
120 thousand bushels. GrainCo mostly uses railroads to transport the corn to the farms, with the
exception of three routes where trucks are used.
Figure 22.2 shows the available route between the silos and the farms. The silos are repre-
sented by nodes 1, 2, and 3 whose supply amounts are [100], [200], and [50], respectively.The farms
are represented by nodes 4, 5, and 6 whose demand amounts are [ -150], [ -80], and [ -120],
respectively. The routes allow transshipping between the silos. Arcs (1, 4), (3, 4), and (4, 6) are
truck routes. These routes have minimum and maximum capacities. For example, the capacity of
route (1, 4) is between 50 and 80 thousand bushels. All other routes use trainloads, whose
maximum capacity is practically unlimited. The transportation costs per bushel are indicated on
the respective arcs.
PROBLEM SET 22.1A

*1. A product is manufactured to satisfy demand over a 4-period planning horizon according
to the following data:
Unit production Unit holding

Period Units of demand cost ($) cost ($)
1 100 24 1
2 110 26 2
3 95 21 1
4 125 24 2
Given that no back-ordering is allowed, represent the problem as a network model.

22.1 Minimum-Cost Capacitated Flow Problem 22.3
2. In Problem 1, suppose that back-ordering is allowed at a penalty of $1.50 per unit per
period. Formulate the problem as a network model.
3. In Problem 1, suppose that the production capacities of periods 1 to 4 are 110, 95, 125,
and 100 units, respectively, in which case the given demand cannot be satisfied without
back-ordering. Assuming that the penalty cost for back-ordering is $1.5 per unit per
period, formulate the problem as a network model.
4. Daw Chemical owns two plants that manufacture a basic chemical compound for two
customers at the rate of 660 and 800 tons per month. The monthly production capacity
of plant 1 is between 400 and 800 tons and that of plant 2 is between 450 and 900 tons.
The production costs per ton in plants 1 and 2 are $25 and $28, respectively. Raw
material for the plants is provided by two suppliers, who are contracted to ship at least
500 and 700 tons per month for plants 1 and 2 at the costs of $200 and $210 per ton,
respectively. Daw Chemical also pays for the transportation cost of both the raw
material and the final compound. The costs per ton of transporting the raw material
from supplier 1 to plants 1 and 2 are $10 and $12, respectively. Similar costs from
supplier 2 are $9 and $13, respectively. The transportation costs per ton from plant 1 to
clients 1 and 2 are $3 and $4, and from plant 2 are $5 and $2, respectively. Assuming
that 1 ton of raw material produces 1 ton of the final compound, formulate the
problem as a network model.
5. Two nonintegrated public schools are required to change the racial balance of their
enrollments by accepting minority students. Minority enrollment must be between 30%
and 40% in both schools. Nonminority students live in two communities, and minority
students live in three other communities. Traveled distances, in miles, from the five
communities to the two schools are summarized in the following table:
Round-trip miles from school to
Minority areas Nonminority areas

Maximum
School enrollment 1 2 3 1 2
1 1500 20 12 10 4 5
2 2000 15 18 8 6 5
Student population 500 450 300 1000 1000
Formulate the problem as a network model to determine the number of minority

and nonminority students enrolled in each school.
6. Charnes and Cooper (1967) During the next three months, farmers harvest their
crops and sell it to a local silo. The silo in turn can sell the crop to retailers. The
following table provides the purchasing cost and selling price per ton during the
harvest season.
Purchasing cost Selling price

Month per ton ($) per ton ($)
1 200 250
2 190 230
3 195 240
The maximum capacity of the silo is 800 tons. The owner has $100, 000 cash on hand
which can be used to purchase new crops. Also, initially, at the start of month 1, the silo
is half full. It is estimated that the storage cost per ton per month is $10. Surplus cash
earns 1% interest monthly. The objective is to determine the buy/sell policy the owner
must follow to maximize the total cash accumulation at the end of the three-month
season.
Formulate the problem as a network model.
22.1.2 Linear Programming Formulation

The formulation of the capacitated network model as a linear program provides the
foundation for the development of the capacitated simplex algorithm, which we will
present in the next section. Using the notation introduced in Section 22.1.1, the linear
program for the capacitated network is given as
Minimize z = a a cijxij
(i, j) HA
subject to
a xjk - a xij = fj, j H N

k i
(j, k)HA (i, j)HA
lij xij uij, (i, j) A
The equation for node j measures the net flow fj in node j as
(Outgoing flow from node j) - (Incoming flow into node j) = fj
Node j acts as a source if fj 7 0 and as a sink if fj 6 0.

We can always remove the lower bound lij from the constraints by using the
substitution
xij = xij + lij
The new flow variable, xij , has an upper limit of uij - lij. Additionally, the net flow
at node i becomes fi - lij, and that at node j is fj + lij. Figure 22.3 shows the transforma-
tion of activity (i, j) after the lower bound is substituted out.
Example 22.1-2
Write the linear program for the network in Figure 22.2, before and after the lower bounds are
substituted out.
FIGURE 22.3 [ fi] [ fj] [ fi lij] [fj lij]

$ cij $ cij
Removal of lower bound in arcs i j i j
(lij, uij) (uij lij)
xij xij
The main constraints of the linear program relate the input and output flow for each node,
which yields the following LP:
x12 x13 x14 x23 x25 x34 x35 x46 x56
Minimize 3 4 1 5 6 1 2 2 4
Node 1 1 1 1 = 100
Node 2 -1 1 1 = 200
Node 3 -1 -1 1 1 = 50
Node 4 -1 -1 1 = -150
Node 5 -1 -1 1 = -80
Node 6 -1 -1 = -120
Lower bounds 0 0 50 0 0 70 0 0 100

Upper bounds q q 80 q q 120 q q 120
Note the arrangement of the constraints coefficients. The column associated with variable
xij has exactly one +1 in row i and one -1 in row j, a typical property of network models. The
rest of the coefficients are all 0. This structure is typical of network flow models.
The optimum solution is z = $1, 870, 000 with x13 = 20 (thousand bushels), x14 = 80 ,
x23 = 20, x25 = 180, x34 = 90, x46 = 20, and x56 = 100. All the remaining variables are zero.
The variables with lower bounds are substituted as
x14 = x14

+ 50
x34 = x34

+ 70
x56 = x56

+ 100
The substitution leads to the following LP:
x12 x13 x14

x23 x25 x34

x35 x46 x56

Minimize 3 4 1 5 6 1 2 2 4
Node 1 1 1 1 = 50
Node 2 -1 1 1 = 200
Node 3 -1 -1 1 1 = -20
Node 4 -1 -1 1 = -30
Node 5 -1 -1 1 = -180
Node 6 -1 -1 = -20
Upper bounds q q 30 q q 50 q q 20
The corresponding network after substituting out the lower bounds is shown in
Figure 22.4. Note that the lower-bound substitution can be done directly from Figure 22.2
using the substitution in Figure 22.3 and without the need to express the problem as a linear
program first.
The optimum solution is z = $1, 350 thousand (or z = 1350 + 50 * 1 + 70 * 1 + 100 *
4 = $1870 thousand) with x13 = 20 (thousand bushels), x14
= 30 (or x14 = 30 + 50 = 80 ),
x25 = 180 , x34 = 20 (or x34 = 20 + 70 = 90 ), x46 = 20 , x56 = 0 (or x56 = 0 + 100 = 100 ),

which, of course, is the same solution given by the before-substitution solution.

[30]
$1
[50] 1 4
(30) $2
$1
$4
$3 [20] (50) 6 [20]
3 $2 $4
$5 (20)
FIGURE 22.4 $6
[200] 2 5
Network of Example 22.1-2 after substituting
out lower bounds [180]
Example 22.1-3 (Employment Scheduling)

This example illustrates a network model that initially does not satisfy the node flow requirement
(i.e., node output flow less node input flow equals node net flow), but that can be converted to this
form readily through special manipulation of the constraints of the linear program.
Tempo Employment Agency has a contract to provide workers over the next 4 months
(January to April) according to the following schedule:
Month January February March April
No. of workers 100 120 80 170
Because of change in demand, it may be economical to retain more workers than needed in
a given month. The cost of recruiting and maintaining a worker depends on the length of the
employment period, as the following table shows:
Employment period (months) 1 2 3 4
Cost per worker ($) 100 130 180 220
Let
xij = number of workers hired at the start of month i
and terminated at the start of month j
For example, x12 gives the number of workers hired in January for 1 month only. To formulate the
problem as a linear program for the 4-month period, we add May as a dummy month (month 5),
so that x45 defines hiring in April for April.
The constraints recognize that the demand for period k can be satisfied by all xij such that
i k 6 j. Letting si 0 be the surplus number of workers in month i, the linear program is given as
x12 x13 x14 x15 x23 x24 x25 x34 x35 x45 s1 s2 s3 s4
Minimize 100 130 180 220 100 130 180 100 130 100
January 1 1 1 1 -1 = 100
February 1 1 1 1 1 1 -1 = 120
March 1 1 1 1 1 1 -1 = 80
April 1 1 1 1 -1 = 170
The preceding LP does not have the ( -1, +1) special structure of the network flow model
(see Example 22.1-2). Nevertheless, the given linear program can be converted into an equiva-
lent network flow model by using the following arithmetic manipulations:
1. In an n-equation linear program, create a new equation, n + 1, by multiplying equation
n by -1.
2. Leave Equation 1 unchanged.
3. For i = 2, 3, . . . , n, replace each equation i with (equation i) - (equation i - 1).
The application of these manipulations to the employment scheduling example yields the
following linear program, whose structure fits the network flow model:
x12 x13 x14 x15 x23 x24 x25 x34 x35 x45 s1 s2 s3 s4
Minimize 100 130 180 220 100 130 180 100 130 100
January 1 1 1 1 -1 = 100
February -1 1 1 1 1 -1 = 20
March -1 -1 1 1 1 -1 = -40
April -1 -1 -1 1 1 -1 = 90
May -1 -1 -1 -1 1 = -170
Using the preceding formulation, the employment scheduling model can be represented
equivalently by the minimum cost flow network shown in Figure 22.5. Actually, because the arcs
have no upper bounds, the problem can be solved also as a transshipment model (see Appendix
to this section).
The optimum solution is x15 = 100, x25 = 20, x45 = 50, and all the remaining variables are
zero. The following table summarizes the hiring and firing activities over the 4-month horizon.
The total cost is $30, 600.
Month Number of workers Number of workers Net number

hired fired of workers
January 100 0 100

February 20 0 120
March 0 0 120
April 50 0 170
FIGURE 22.5
Network representation of employment scheduling problem
x15
x14
x13 x35
x12 x34 x45

s2
1 2 3 4 5
s1 s3 s4
[100] [20] x23 [40] [90] [170]
x24
x25
PROBLEM SET 22.1B

*1. Write the linear program associated with the minimum-cost flow network in Figure 22.6,
before and after the lower bounds are substituted out.
2. Use inspection to find a feasible solution to the minimum-cost network model of the
employment scheduling problem in Example 22.1-3 (Figure 22.5). Interpret the solution
by showing the pattern of hiring and firing that satisfies the demand for each month, and
compute the associated total cost.
3. Reformulate the employment scheduling model of Example 22.1-3, assuming that a
worker must be hired for at least 2 months. Write the linear program, and convert it to a
minimum-cost flow network.
4. Develop the linear program and the associated minimum-cost flow network for the
employment scheduling model of Example 22.1-3 using the following 5-month demand
data. The per-worker costs of recruiting and maintaining a worker for periods of 1 to
5 months are $50, $70, $85, $100, and $130, respectively.
(a)
Month 1 2 3 4 5
Number of workers 300 180 90 170 200
(b)
Month 1 2 3 4 5
Number of workers 200 220 300 50 240
5. Conversion of a capacitated network into an uncapacitated network. Show that an arc

(i : j) with capacitated flow xij uij can be replaced with two uncapacitated arcs
(i : k) and (j : k) with a net (output) flow of [-uij] at node k and an additional
(input) flow of [+uij] at node j. The result is that the capacitated network can be
converted to an uncapacitated transportation model (Section 5.1). Apply the
resulting transformation to the network in Figure 22.7, and find the optimum
solution to the original network by solving the uncapacitated transportation
model.
FIGURE 22.6 [20]

Network for Problem 1, Set 22.1b 3
(3 $5
$6 )
)
40
(0
,
0,
$4 (10, )
$1 $3
[50] 1 2 4 [30]
(0, ) (10, )
[40]
2
$1 $8
) (50
(60 )
[100] 1 4 [100]
$2 (50)
$4
( $1
) 0)
(9
FIGURE 22.7
3
Network for Problem 5, Set 22.1b
22.1.3 Capacitated Network Simplex Algorithm

The algorithm is based on the exact steps of the regular simplex method, but it is
designed to exploit the special network structure of the minimum-cost flow model.
Given that fi is the net flow at node i as defined in the linear program of Section
22.1.2, the capacitated simplex algorithm stipulates that the network must satisfy
n
a fi = 0
i=1
The condition says that the total supply in the network equals the total demand.
We can always satisfy this requirement by adding a balancing dummy source or destina-
tion, which we connect to all other nodes in the network by arcs with zero unit cost and
infinite capacity. However, the balancing of the network does not guarantee feasibility,
as this depends on the capacities of the arcs.
We now present the steps of the capacitated algorithm. Familiarity with the sim-
plex method and duality theory (Chapters 3 and 4) is essential. Also, knowledge of the
upper-bounded simplex method (Section 7.3) is helpful.
Step 0. Determine a starting basic feasible solution (set of arcs) for the network. Go
to step 1.
Step 1. Determine an entering arc (variable) using the simplex method optimality
condition. If the solution is optimal, stop; otherwise, go to step 2.
Step 2. Determine the leaving arc (variable) using the simplex method feasibility
condition. Determine the new solution, then go to step 1.
An n-node network with zero net flow (i.e., f1 + f2 + +fn = 0) consists of

n - 1 independent constraint equations. Thus, a basic solution must include n - 1 arcs.
It can be proved that a basic solution always corresponds to a spanning tree of the
network (see Section 6.2).
The entering arc (step 1) is determined by computing the objective coefficients
for all the current nonbasic arcs ( i, j). If all the objective coefficients are 0, the
current basis is optimum. Otherwise, we select the nonbasic arc with the most positive
objective coefficients to enter the basis.
The computation of objective coefficients is based on duality, exactly as we did
with the transportation model (see Section 5.3.2). Using the linear program defined in
Section 22.1.2, let wi be the dual variable associated with the constraint of node i, then
the dual problem (excluding the upper bounds) is given as
n
Maximize z = a fiwi
i=1
subject to
wi - wj cij, (i, j) H A
wi unrestricted in sign, i = 1, 2, , n
From the theory of linear programming, we have
wi - wj = cij, for basic arc (i, j)
Because the original linear program (Section 22.1.2) has one redundant constraint by
definition, we can assign an arbitrary value to one of the dual variables (compare with
the transportation algorithm, Section 5.3). For convenience, we will set w1 = 0. We
then solve the (basic) equations wi - wj = cij to determine the remaining dual values.
From Section 4.2.4, Formula 2, we know that the objective coefficient of nonbasic xij is
the difference between the left-hand side and the right-hand side of the associated dual
constraint, that is, wi - wj - cij. Letting
zij = wi - wj
the objective coefficient of the variable xij is computed as
zij - cij = wi - wj - cij
The only remaining detail is to show how the leaving variable is determined. The
following numeric example provides this detail.
Example 22.1-4
A network of pipelines connects two water desalination plants to two cities. The daily supply
amounts at the two plants are 40 and 50 million gallons, and the daily demand amounts at cities
1 and 2 are 30 and 60 million gallons, respectively. Nodes 1 and 2 represent plants 1 and 2, respec-
tively, and nodes 4 and 5 represent cities 1 and 2, respectively. Node 3 is a booster station between
the plants and the cities. The model is already balanced because the sum of the supply at nodes
1 and 2 equals the sum of the demand at nodes 4 and 5. Figure 22.8 gives the associated network.
Iteration 0
Step 0. Determination of a Starting Basic Feasible Solution: The starting basic solution must be
a spanning tree. The feasible spanning tree in Figure 22.9 (shown with solid arcs) is
obtained by inspection. Normally, we use an artificial-variable technique to find such a
solution (for details, see Bazaraa et al., 1990, pp. 440446).
In Figure 22.9, the basic feasible solution consists of (solid) arcs (1, 3), (1, 4),
(2, 3), and (3, 5) with the feasible flows of 30, 10, 50, and 60 units, respectively. The
remaining (dashed) arcs (1, 2), (2, 5), and (4, 5) represent the nonbasic variables.
The notation x(c) shown on the arcs indicates that a flow of x units is assigned to an
arc with capacity c. The default values for x and c are 0 and q, respectively.
Unit cost Arc capacity

$5
Plant 1 [40] 1 4 [30] City 1
(35)
$7 )
(1
0
$3 () 3 $4 ()
$8
(
(6 2
$
)
0)
$1 FIGURE 22.8
Plant 2 [50] 2 5 [60] City 2
(30) Network for Example 22.1-4
w1 0 w4 5
$5
[40] 1 4 [30] z12 c12 0 (5) 3 2
30(35)
z25 c25 5 (15) 1 9
z45 c45 5 (15) 4 6
$7 0)
10
(1
w3 7
$3 $4 () Arc (2, 5) reaches upper bound at 30.
3
$ Substitute x25 30 x52.
60 8
(
50 $2
0)
)
(6
Reduce x23 and x35 each by 30.

$1
[50] 2 5 [60]
(30)
w2 5 w5 15
FIGURE 22.9
Network for iteration 0
Iteration 1
Step 1. Determination of the entering arc: We obtain the dual values by solving the current
basic equations
w1 = 0
wi - wj = cij, for basic arc (i, j)
We thus get,
Arc(1, 3): w1 - w3 = 7, hence w3 = -7
Arc(1, 4): w1 - w4 = 5, hence w4 = -5
Arc(2, 3): w2 - w3 = 2, hence w2 = -5
Arc(3, 5): w3 - w5 = 8, hence w5 = -15
Now, we compute zij - cij for the nonbasic arcs as
Arc (1, 2): w1 - w2 - c12 = 0 - ( -5) - 3 = 2
Arc (2, 5): w2 - w5 - c25 = ( -5) - (-15) - 1 = 9
Arc (4, 5): w4 - w5 - c45 = ( -5) - (-15) - 4 = 6
Thus, arc (2, 5) enters the basic solution.
Step 2. Determination of the leaving arc: From Figure 22.9, arc (2, 5) forms a loop with basic
arcs (2, 3) and (3, 5). From the definition of the spanning tree, no other loop can be
formed. Because the flow in the new arc (2, 5) must be increased, we adjust the flow
in the arcs of the loop by an equal amount to maintain the feasibility of the new solu-
tion. To achieve this, we identify the positive ( + ) flow in the loop by the direction
of flow of the entering arc (i.e., from 2 to 5). We then assign ( + ) or ( - ) to the
remaining arcs of the loop, depending on whether the flow of each arc is with or
against the direction of flow of the entering arc. These sign conventions are shown in
Figure 22.9.
Determination of the maximum level of flow in the entering arc (2, 5) is based on
two conditions:
1. New flow in the current basic arcs of the loop cannot be negative.
2. New flow in the entering arc cannot exceed its capacity.
The application of condition 1 shows that the flows in arcs (2, 3) and (3, 5) cannot be
decreased by more than min{50, 60} = 50 units. By condition 2, the flow in arc (2, 5) can
be increased to at most the arc capacity ( = 30 units). Thus, the maximum flow change in
the loop is min{30, 50} = 30 units. The new flows in the loop are thus 30 units in arc (2,
5), 50 - 30 = 20 units in arc (2, 3), and 60 - 30 = 30 units in arc (3, 5).
Because none of the current basic arcs leave the basis at zero level, the new arc
(2, 5) must remain nonbasic at upper bound. However, to avoid dealing with nonbasic
arcs that are at capacity (or upper bound) level, we implement the substitution
x25 = 30 - x52, 0 x52 30
This substitution is effected in the flow equations associated with nodes 2 and 5 as
follows. Consider
Current flow equation at node 2: 50 + x12 = x23 + x25

Current flow equation at node 5: x25 + x35 + x45 = 60
Then, the substitution x25 = 30 - x52 gives
New flow equation at node 2: 20 + x12 + x52 = x23

New flow equation at node 5: x35 + x45 = x52 + 30
The results of these changes are shown in Figure 22.10. The direction of flow in
arc (2, 5) is now reversed to 5 : 2 with x52 = 0 , as desired. The substitution also
requires changing the unit cost of arc (5, 2) to - $1. We will indicate this direction
reversal on the network by tagging the arc capacity with an asterisk.
Iteration 2. Figure 22.10 summarizes the new values of zij - cij (verify!) and shows that arc
(4, 5) enters the basic solution. It also defines the loop associated with the new
entering arc and assigns the signs to its arcs.
The flow in arc (4, 5) can be increased by the smallest of
1. Maximum allowable increase in entering arc (4, 5) = q

2. Maximum allowable increase in arc (1, 4) = 35 - 30 = 5 units
w1 0 w4 5
$5
[40] 1 4 [30] z12 c12 0 (5) 3 2
30(35)
z52 c52 15 (5) (1) 9
z45 c45 5 (15) 4 6
$7 0)
10
w 7
(1
3
$3 $4 () Arc (4, 5) enters at level 5.
3
$ Arc (1, 4) leaves at upper bound.
30 8
(
20 $2
0)
) Substitute x14 35 x41.
(6 $1
[20] 2 5 [30] Reduce x13 and x35 each by 5.
(30)*
w2 5 w5 15
FIGURE 22.10
3. Maximum allowable decrease in arc (1, 3) = 10 units

4. Maximum allowable decrease in arc (3, 5) = 30 units
Thus, the flow in arc (4, 5) can be increased to 5 units, which will make (4, 5)
basic and will force basic arc (1, 4) to be nonbasic at its upper bound ( = 35).
Using the substitution x14 = 35 - x41 , the network is changed as shown in
Figure 22.11, with arcs (1, 3), (2, 3), (3, 5), and (4, 5) forming the basic (spanning
tree) solution. The reversal of flow in arc (1, 4) changes its unit cost to - $5. Also,
convince yourself that the substitution in the flow equations of nodes 1 and 4 will
net 5 input units at each node.
Iteration 3. The computations of the new zij - cij for the nonbasic arcs (1, 2), (4, 1), and (5, 2)
are summarized in Figure 22.11, which shows that arc (1, 2) enters at level 5, and
arc (1, 3) becomes nonbasic at level 0. Figure 22.12 depicts the new solution.
Iteration 4. The new zij - cij in Figure 22.12 shows that the solution is optimum. Back-
substitution yields the values of the original variables, as shown in Figure 22.12.
FIGURE 22.11
w1 0 w4 11
$5
[5] 1 4 [5] z12 c12 0 (5) 3 2
(35)*
z41 c41 11 0 (5) 6
z52 c52 15 (5) (1) 9
$7 0)
5(
1
w3 7
$3 $4 5() Arc (1, 2) enters at level 5.
3

$ Arc (1, 3) leaves at level 0.
25 8
(
20 $2
0)
)

(6
Increase x23 by 5.
$1
[20] 2 5 [30]
(30)*
w2 5 w5 15
w1 0 w4 9
$5 z13 c13 0 (5) 7 2
[5] 1 4 [5]
(35)* z41 c41 9 0 (5) 4
z52 c52 13 (3) (1) 9
$7 )
(1
w3 5
0
Optimum solution:
$3 5() $4 5() x12 5, x13 0
3
$ x14 35 0 35
25 8 x23 25
25 $2 (
0)
(6 ) x25 30 0 30
$1 x35 25, x45 5
[20] 2 5 [30] Total cost $490
(30)*
w2 3 w5 13
FIGURE 22.12
Solver Moment
The basic idea of the Excel Solver minimum cost capacitated model is similar to the one detailed
in Example 6.3-6 for the shortest-route model. File solverEx22.1-4.xls provides the details.
AMPL Moment
File amplEx22.1-4.txt is a general model that can be used to solve the minimum cost capacitated
problem of any size. The idea of the model is similar to that of the shortest-route AMPL model
for Example 6.3-6.
PROBLEM SET 22.1C

*1. Solve Problem 1, Set 22.1a, by the capacitated simplex algorithm.
2. Solve Problem 2, Set 22.1a, by the capacitated simplex algorithm, and also show that it
can be solved by the transshipment model.
3. Solve Problem 3, Set 22.1a, by the capacitated simplex algorithm.
4. Solve Problem 4, Set 22.1a, by the capacitated simplex algorithm.
*5. Solve Problem 5, Set 22.1a, by the capacitated simplex algorithm.
6. Solve the employment scheduling problem of Example 22.1-3 by the capacitated simplex
algorithm.
7. Wyoming Electric uses existing slurry pipes to transport coal (carried by pumped water)
from three mining areas (1, 2, and 3) to three power plants (4, 5, and 6). Each pipe can
transport at most 10 tons per hour. The transportation costs per ton and the supply and
demand per hour are given in the following table:
4 5 6 Supply
1 $5 $8 $4 8
2 $6 $9 $12 10
3 $3 $1 $5 18
Demand 16 6 14
Determine the optimum shipping schedule.
5
2 5
2 11 6
8
10
1 4 7
4 3 7 9
1
3 6
FIGURE 22.13
Network for Problem 8, Set 22.1c
8. The network in Figure 22.13 gives the distances among seven cities. Use the capacitated
simplex algorithm to find the shortest distance between nodes 1 and 7. (Hint: Assume
that nodes 1 and 7 have net flows of [ +1] and [ -1], respectively. All the other nodes have
zero net flow.)
9. Show how the capacitated minimum-cost flow model can be specialized to represent
the maximum flow model of Section 6.4. Apply the transformation to the network in
Example 6.4-2. For convenience, assume that the flow capacity from 4 to 3 is zero. All
the remaining data are unchanged.
10. Solve the following problems using Excel Solver and AMPL:
(a) Problem 3, Set 22.1a.
(b) Problem 4, Set 22.1a.
(c) Problem 7, Set 22.1c.
(d) Problem 8, Set 22.1c.
APPENDIX: Transshipment Model

The transshipment model is an old technique that converts minimum cost trans-
portation network to the regular transportation model presented in Chapter 5. This is a
special case of the highly efficient minimum cost network presented above in that it
does not allow capacity restrictions on the shipping routes. The transshipment model is
rarely used in practice because it is not as efficient as the general network model. It is
presented here, however, because it demonstrates the interesting use of buffers to
convert transient shipping to direct shipping.
Example 22.1.5
Two automobile plants, P1 and P2, are linked to three dealers, D1, D2, and D3, by way of two
transit centers, T1 and T2, according to the network shown in Figure 22.14. The supply amounts
at plants P1 and P2 are 1000 and 1200 cars, respectively, and the demand amounts at dealers
D1, D2, and D3, are 800, 900, and 500 cars, respectively. The shipping costs per car (in hundreds
of dollars) between pairs of nodes are shown on the connecting links (or arcs) of the network.
D1 800
8
3
1000 P1 T1 5
6
4
2 7 D2 900
4
5
1200 P2 T2 3
9
FIGURE 22.14
Transshipment network between plants
D3 500
and dealers
Transshipment occurs in the network in Figure 5.7 because the entire supply amount of 2200
(= 1000 + 1200) cars at nodes P1 and P2 could conceivably pass through any node of the net-
work before ultimately reaching their destinations at nodes D1, D2, and D3. In this regard, each
node of the network with both input and output arcs (T1, T2, D1, and D2) acts as both a source
and a destination and is referred to as a transshipment node. The remaining nodes are either
pure supply nodes (P1 and P2) or pure demand nodes (D3).
The transshipment model can be converted into a regular transportation model with
6 sources (P1, P2, T1, T2, D1, and D2) and five destinations (T1, T2, D1, D2, and D3). The
amounts of supply and demand at the different nodes are computed as
Supply at a pure supply node = Original supply

Demand at a pure demand node = Original demand
Supply at a transshipment node = Original supply + Buffer amount
Demand at a transshipment node = Original demand + Buffer amount
The buffer amount should be sufficiently large to allow all of the original supply (or
demand) units to pass through any of the transshipment nodes. Let B be the desired buffer
amount; then
B = Total supply (or demand)
= 1000 + 1200 (or 800 + 900 + 500)
= 2200 cars
Using the buffer B and the unit shipping costs given in the network, we construct the equivalent
regular transportation model as in the table below.
T1 T2 D1 D2 D3
P1 3 4 M M M 1000
P2 2 5 M M M 1200
T1 0 7 8 6 M B
T2 M 0 M 4 9 B
D1 M M 0 5 M B
D2 M M M 0 3 B
B B 800 + B 900 + B 500

D1 800
800
1000 P1 T1
10 400
00
D2 900
00
0
12 100
1200 P2 T2 500
FIGURE 22.15
D3 500
Solution of the transshipment model
The solution of the resulting transportation model (determined by TORA) is shown in

Figure 22.15. Note the effect of transshipment: Dealer D2 receives 1400 cars, keeps 900 cars to
satisfy its demand, and sends the remaining 500 cars to dealer D3.
PROBLEM SET 22.1D1

1. The network in Figure 22.16 gives the shipping routes from nodes 1 and 2 to nodes 5
and 6 by way of nodes 3 and 4. The unit shipping costs are shown on the respective arcs.
(a) Develop the corresponding transshipment model.
(b) Solve the problem, and show how the shipments are routed from the sources to the
destinations.
2. In Problem 1, suppose that source node 1 can be linked to source node 2 with a unit
shipping cost of $1. The unit shipping cost from node 1 to node 3 is increased to $5.
1 6 FIGURE 22.16
100 1 3 5 150
4 Network for Problem 1, Set 22.D
1 3 5 1
3
2 8
200 2 4 6 150
FIGURE 22.17
900 1 6 1100
1 .2 Network for Problem 3, Set 22.1D
.3
4 4.5
.8
6
1400 2 .5 7 1000
3
4.3
5 2.1
2
4.6 1.9
1000 3 8 1200
1
You are encouraged to use TORA, Excel Solver, or AMPL to solve the problems in this set.
Formulate the problem as a transshipment model, and find the optimum shipping
schedule.
3. The network in Figure 22.17 shows the routes for shipping cars from three plants
(nodes 1, 2, and 3) to three dealers (nodes 6 to 8) by way of two distribution
centers (nodes 4 and 5). The shipping costs per car (in $100) are shown on
the arcs.
(a) Solve the problem as a transshipment model.
(b) Find the new optimum solution assuming that distribution center 4 can sell 240 cars
directly to customers.
4. Consider the transportation problem in which two factories supply three stores with a
commodity. The numbers of supply units available at sources 1 and 2 are 200 and 300,
respectively; those demanded at stores 1, 2, and 3 are 100, 200, and 50, respectively. Units
may be transshipped among the factories and the stores before reaching their final desti-
nation. Find the optimal shipping schedule based on the unit costs in the following table.
Factory Store
1 2 1 2 3
1 $0 $6 $7 $8 $9
Factory
2 $6 $0 $5 $4 $3
1 $7 $2 $0 $5 $1
Store 2 $1 $5 $1 $0 $4
3 $8 $9 $7 $6 $0
5. Consider the oil pipeline network shown in Figure 22.18. The different nodes represent
pumping and receiving stations. Distances in miles between the stations are shown on the
network. The transportation cost per gallon between two nodes is directly proportional
to the length of the pipeline. Develop the associated transshipment model, and find the
optimum solution.
6. Shortest-Route Problem. Find the shortest route between nodes 1 and 7 of the network
in Figure 22.19 by formulating the problem as a transshipment model. The distances
between the different nodes are shown on the network. (Hint: Assume that node 1 has
a net supply of 1 unit, and node 7 has a net demand also of 1 unit.)
50,000 60,000 (gallons) FIGURE 22.18

Network for Problem 5, Set 22.1D
1 3
20 3 9 30
2 7 4
40
90,000 20,000
8 10 2
6 5
4
1 4
4
2 7 5 9 2
5
8
1 4 6 5 7
1
3
3 2 5 7
3
3 6
FIGURE 22.19
Network for Problem 6, Set 22.1D
7. In the transshipment model of Example 5.5-1, define xij as the amount shipped from
node i to node j. The problem can be formulated as a linear program in which each
node produces a constraint equation. Develop the linear program, and show that the
resulting formulation has the characteristic that the constraint coefficients, aij , of the
variable xij are
1, in constraint i
aij = -1, in constraint j
0, otherwise
8. An employment agency must provide the following laborers over the next
5 months:
Month 1 2 3 4 5
Number of laborers 100 120 80 170 50
Because the cost of labor depends on the length of employment, it may be more
economical to keep more laborers than needed during some months of the 5-month
planning horizon. The following table estimates the labor cost as a function of the length
of employment:
Months of employment 1 2 3 4 5
Cost per laborer ($) 100 130 180 220 250
Formulate the problem as a linear program. Then, using proper algebraic

manipulations of the constraint equations, show that the model can be converted to a
transshipment model, and find the optimum solution. (Hint: Use the transshipment
characteristic in Problem 7 to convert the constraints of the scheduling problem into
those of the transshipment model.)
22.2 DECOMPOSITION ALGORITHM

Consider the situation of developing a master corporate plan for several production
facilities. Although each facility has its own independent capacity and production
constraints, the different facilities are linked together at the corporate level by
budgetary considerations. The resulting model includes two types of constraints:
common, representing the corporate budgetary constraints, and independent, repre-
senting the internal capacity and production restrictions of each facility. Figure 22.20
depicts the layout of the resulting constraints for n activities (facilities). In the absence
of the common constraints, all activities operate independently.
The decomposition algorithm improves the computational efficiency of the
problem depicted in Figure 22.20 by breaking it down into n subproblems that can be
solved almost independently. We point out, however, that the need for the decomposi-
tion algorithm was more justifiable in the past when the speed and memory of the
computer were modest. Todays impressive computer capabilities obviate the use of
the decomposition algorithm. Nevertheless, we present the algorithm here because of its
interesting theoretical contribution.
The corresponding mathematical model is given as
Maximize z = C1X1 + C2X2 + + CnXn
subject to
A1X1 + A2X2 + + AnXn b0
D1X1 b1
D2X2 b2
o o
DnXn bn
Xj 0, j = 1, 2, , n
The slack and surplus variables are added as necessary to convert all the inequali-
ties into equations.
FIGURE 22.20
Layout of a decomposable linear Common constraints
program
Activity
1
Activity
Independent
2
constraints

Activity
n
22.2 Decomposition Algorithm 22.21
The decomposition principle is based on representing the entire problem in

terms of the extreme points of the sets {X|DjXj bj, Xj 0}, j = 1, 2, , n . To do so,
the solution space described by each {X|DjXj bj, Xj 0} must be bounded. This
requirement can always be satisfied for any set j by adding the artificial restriction
1Xj M , where M is sufficiently large.
Let XN , k = 1, 2, , K define the extreme points of {X|D X b , X 0}. We
jk j j j j j
then have
Kj
N , j = 1, 2, , n
Xj = a b jkXjk
k=1
kj
where b jk 0 for all k and a b jk = 1
k=1
We can reformulate the entire problem in terms of the extreme points to obtain
the following master problem:
K1 K2 Kn
N b +
Maximize = a C1X N N
a C2X2k b 2k + a CnXnk b nk
1k 1k
+
k=1 k=1 k=1
subject to
K1 K2 Kn
N N N
a A1X1k b 1k + a A2X2k b 2k + a AnXnk b nk b0
+
k=1 k=1 k=1
Kj
a b 1k = 1
k=1
Kj
a b 2k = 1
k=1
o o
Kj
a b nk = 1
k=1
b jk 0, for all j and k
The new variables in the master problem are bjk . Once their optimal values,
bj*k , are determined, we can find the optimal solution to the original problem by
back-substitution:
Kj
N ,
Xj = a b jkX j = 1, 2, , n
jk
k=1
It may appear that the solution of the master problem requires prior determination
of all the extreme points XN , a difficult task indeed! Fortunately, it is not so.
jk
To solve the master problem by the revised simplex method (Section 7.2), we need
to determine the entering and the leaving variables at each iteration. For the entering
variable, given CB and B-1 of the current basis of the master problem, then for nonbasic
b jk, we have
zjk - cjk = CBB-1Pjk - cjk
where
AjX N
jk
0
N and P
cjk = CjX =
o

jk jk
1
o
0
Now, to decide which, if any, of the nonbasic variables b jk should enter the
solution, we need to determine
zj*k* - cj*k* = min {zjk - cjk}

all j and k
If zj*k* - cj*k* 7 0, then, according to the maximization optimality condition, b j*k*

must enter the solution; otherwise, the optimum has been reached.
We still have not shown how zj*k* - cj*k* is computed numerically. The idea lies
in the following identity
min {zjk - cjk} = min e min{zjk - cjk} f

all j and k j k
The reason we are able to establish this identity is that each convex set {X|Dj
Xj bj, Xj 0} has its independent set of extreme points. In effect, what the identity
says is that we can determine zj*k* - cj*k* in two steps:
Step 1. For each convex set {X|DjXj bj, Xj 0}, determine the extreme point
N
Y jk* that yields the smallest zjk - cjkthat is, zjk* - cjk* = mink{zjk - cjk}.
Step 2. Determine zj*k* - cj*k* = min{zjk* - cjk*}

j
From LP theory, we know that the optimum solution, when finite, must be asso-
ciated with an extreme point of the solution space. Because each of the sets
{X|DjXj bj, Xj 0} is bounded by definition, step 1 is mathematically equivalent
to solving n linear programs of the form
Minimize wj = {zj - cj|DjXj bj, Xj 0}
The objective function wj is a linear function in Xj (see Problem 8, Set 22.2a).

The determination of the entering variable b j*k* in the master problem reduces
to solving n (smaller) linear programs to determine the entering extreme point
N
Y j*k*. This approach precludes the need to determine all the extreme points of all n
convex sets. Once the desired extreme point is located, all the elements of the
column vector Pj*k* are defined. We can then determine the leaving variable, and
subsequently compute the next B-1 using the revised simplex method computations.
Example 22.2-1
Solve the following LP by the decomposition algorithm:
Maximize z = 3x1 + 5x2 + x3 + x4
subject to
x1 + x2 + x3 + x4 40
5x1 + x2 12
x3 + x4 5
x3 + 5x4 50
x1, x2, x3, x4 0
The problem has two subproblems that correspond to the following sets of variables:
X1 = (x1, x2)T, X2 = (x3, x4)T
The associated master problem is thus given as:
Starting basic
Subproblem 1 Subproblem 2 solution
b 11 b 12 b 1K1 b 21 b 22 b 2K2 x5 x6 x7
N
C 1X N
C 1X N
C 1X N
C 2X N
C 2X N
C 2X 0 -M -M
11 12 1K1 21 22 2k2
A 1XN A 1XN N
A 1X A 2XN N
A 2X N
A 2X 1 0 0 = 40
11 12 1K1 21 22 2K2
1 1 1 0 0 0 0 1 0 = 1
0 0 0 1 1 1 0 0 1 = 1
C 1 = (3, 5) C 2 = (1, 1)
A 1 = (1, 1) A 2 = (1, 1)
Solution space, D1X 1 b1: Solution space, D2X 2 b2:
5x1 + x2 12 x3 + x4 5
x1, x2 0 x3 + 5x4 50
x3, x4 0
Notice that x5 is the slack variable that converts the common constraint to the following equation:
x1 + x2 + x3 + x4 + x5 = 40
Recall that subproblems 1 and 2 account for variables x1, x2, x3, and x4 only. This is the reason x5
must appear explicitly in the master problem. The remaining starting basic variables, x6 and x7,
are artificial.
Iteration 0
XB = (x5, x6, x7)T = (40, 1, 1)T

CB = (0, -M, -M), B = B-1 = I
Iteration 1
Subproblem 1 (j = 1). We have
A1X1
z1 - c1 = CBB-1 1 - C1X1
0
11, 12a b
x1
x2
= 10, -M, -M2 - 13, 52a b
x1
1
x2
0
= - 3x1 - 5x2 - M
Thus, the corresponding LP is

Minimize w1 = -3x1 - 5x2 - M
subject to
5x1 + x2 12
x1, x2 0
The solution of this problem (by the simplex method) yields
N = 10, 122T, z - c = w = -60 - M

X11 1 1 1
Subproblem 2 (j = 2). The associated linear program is given as
A2X2
Minimize z2 - c2 = CBB-1 0 - C2X2
1
11, 12a b
x3
x4
= 10, -M, -M2 - 11, 12a b
x4
0
x5
1
= -x4 - x5 - M
subject to
x3 + x4 5
x3 + 5x4 50
x3, x4 0
The optimal solution of the problem yields
N = 150, 02T, z - c = -50 - M

X21 2 2
Because the master problem is of the maximization type and z*1 - c*1 6 z*2 - c*2 and z*1 - c*1 6 0,
N enters the solution.
it follows that b 11 associated with extreme point X11
To determine the leaving variable,
11, 12a b
0
A1XN 12 12
11
P11 = 1 = 1 = 1
0 0 0
Thus, B-1P11 = (12, 1, 0)T. Given XB = (x5, x6, x7)T = (40, 1, 1)T , it follows that x6 (an artificial
variable) leaves the basic solution (permanently).
The new basis is determined by replacing the vector associated with x6 with the vector P11,
which gives (verify!)
1 12 0 1 -12 0
B = 0 1 0 Q B-1 = 0 1 0
0 0 1 0 0 1
The new basic solution is
XB = (x5, b 11, x7)T = B-1(40, 1, 1)T = (28, 1, 1)T

N , - M) = (0, 60, - M)
CB = (0, C1 X11
Iteration 2
Subproblem 1 (j = 1). The associated objective function is
Minimize w1 = -3x1 - 5x2 + 60
(verify!). The optimum solution yields z*1 - c*1 = w1 = 0, which means that none of the remain-
ing extreme points in subproblem 1 can improve the solution to the master problem.
Subproblem 2 (j = 2). The associated objective function is (coincidentally) the same as for j = 2
in iteration 1 (verify!). The optimum solution yields
N = 150, 02T, z - c = -50 - M

X22 2 2
Note that XN is actually the same extreme point as X N . The subscript 2 is used for notational
22 21
convenience to represent iteration 2.
N
From the results of the two subproblems, z2 - c2 6 0 indicates that b 22 associated with X 22
enters the basic solution.
To determine the leaving variable, consider
11, 12a b
50
A2XN 0 50
22
P22 = 0 = 0 = 0
1 1 1
Thus, B-1P22 = (50, 0, 1)T. Because XB = (x5, b 11, x7)T = (28, 1, 1)T, x5 leaves.
The new basis and its inverse are given as (verify!)
1
50 12 0 50 - 12
50 0
B = 0 1 0 Q B = 0
-1
1 0
1 12
1 0 1 - 50 50 1
XB = (b 22, b 11, x7)T = B-1(40, 1, 1)T = A 14

25 , 1, 25 B
11 T
CB = 1C2 X 1 11, -M2 = 150, 60, -M2

N ,C X
22
N
Iteration 3
Subproblem 1 (j = 1). You should verify that the associated objective function is
Minimize w1 = AM
50 - 2 B x1 + A 50 - 4 B x2 -
M 12M
50 + 48
The associated optimum solution is
N = 10, 02T, z - c = - 12M + 48

X13 1 1 50
Subproblem 2 (j = 2). The objective function can be shown to equal (verify!)
Minimize w2 = AM
50 B (x3 + x4) - M
The associated optimum solution is
N = 15, 02T, z - c = - 9M
X23 2 2 10
Nonbasic Variable x5 . From the definition of the master problem, zj - cj of x5 must be computed
and compared separately. Thus,
z5 - c5 = CBB-1P5 - c5
= A1 + M
50 , 48 - 12M
50 , - M B (1, 0, 0)T - 0
M
= 1 + 50
Thus, x5 cannot improve the solution.

N enters the basic solution.
From the preceding information, b 23 associated with X23
To determine the leaving variable, consider
11, 12a b
5
A2XN 0 5
23
P23 = 0 = 0 = 0
1 1 1
Thus, B-1P23 = 1 10 1
2 . Given that XB = (b 22, b 11, x7)T = 1 14
9 T
, 0, 10 25 , 1, 25 2 , the artificial
11 T
variable x10 leaves the basic solution (permanently).

The new basis and its inverse are thus given as (verify!)
1
50 12 5 45 - 12
45
5
- 45
B = 0 1 0 Q B = 0
-1
1 0
1 12 50
1 0 1 - 45 45 45
XB = (b 22, b 11, b 23)T = B-1(40, 1, 1)T = A 23

45 , 1, 22
45 BT
CB = (C2 XN ,C X N N
22 1 11, C2 X23) = (50, 60, 5)
Iteration 4
Subproblem 1 (j = 1). w1 = - 2x1 - 4x2 + 48. It yields z*1 - c*1 = w*1 = 0.
Subproblem 2 (j = 2). w2 = 0x4 + 0x5 + 48 + 48.
Nonbasic Variable x5: z5 - c5 = 1. The preceding information shows that iteration 3 is optimal.
We can compute the optimum solution of the original problem by back-substitution:
X1 = 1x1, x22T = b 11 X
N = 110, 122T = 10, 122T
11
X2 = 1x4, x52T = b 22 X
N + b X
22
N
23 23
= A 23
45 B A 50, 02 + A 45 B 15, 0 B
T 22 T
= 128, 02T
All the remaining variables are zero. The optimum value of the objective function can be
obtained by direct substitution.
PROBLEM SET 22.2A

*1. In each of the following cases, determine the feasible extreme points graphically, and
express the feasible solution space as a function of these extreme points. If the solution
space is unbounded, add a proper artificial constraint.
(a)
x1 + 2x2 6
2x1 + x2 8
-x1 + x2 1
x2 2
x1, x2 0
(b)
2x1 + x2 2
3x1 + 4x2 12
x1, x2 0
*(c)
x1 - x2 10
2x1 40
x1, x2 0
*2. In Example 22.2-1, the feasible extreme points of subspaces D1X1 = b1, X1 0
and D2X2 = b2, X2 0 can be determined graphically. Use this information to express
the associated master problem explicitly in terms of the feasible extreme points. Then
show that the application of the simplex method to the master problem produces the
same entering variable b jk as that generated by solving subproblems 1 and 2. Hence,
convince yourself that the determination of the entering variable b jk is exactly
equivalent to solving the two minimization subproblems.
3. Consider the following linear program:
Maximize z = x1 + 3x2 + 5x3 + 2x4
subject to
x1 + 4x2 8
2x1 + x2 9
5x1 + 3x2 + 4x3 10
x3 - 5x4 4
x3 + x4 10
x1, x2, x3, x4 0
Construct the master problem explicitly by using the extreme points of the subspaces,
and then solve the resulting problem directly by the simplex method.
4. Solve Problem 3 using the decomposition algorithm, and compare the two procedures.
5. Apply the decomposition algorithm to the following problem:
Maximize z = 6x1 + 7x2 + 3x3 + 5x4 + x5 + x6
subject to
x1 + x2 + x3 + x4 + x5 + x6 50
x1 + x2 10
x2 8
5x3 + x4 12
x5 + x6 5
x5 + 5x6 50
x1, x2, x3, x4, x5, x6 0
22.3 Karmarkar Interior-Point Method 22.29
*6. Indicate the necessary changes for applying the decomposition algorithm to minimization
LPs. Then solve the following problem:
Minimize z = 5x1 + 3x2 + 8x3 - 5x4
subject to
x1 + x3 + x3 + x4 25
5x1 + x2 20
5x1 - x2 5
x3 + x4 = 20
x1, x2, x3, x4 0
7. Solve the following problem by the decomposition algorithm:
Minimize z = 10y1 + 2y2 + 4y3 + 8y4 + y5
subject to
y1 + 4y2 - y3 8
2y1 + y2 + y3 2
3y1 + y4 + y5 4
y1 + 2y4 - y5 10
y1, y2, y3, y4, y5 0
(Hint: Solve the dual problem first by decomposition.)

8. In the decomposition algorithm, suppose that the number of common constraints in the
original problem is r. Show that the objective function for subproblem j can be written as
Minimize wj = zj - cj = (CBRAj - Cj)Xj + CBVr + j
The vector R represents the first r columns of B-1, and Vr + j is its (r + j)th column.
22.3 KARMARKAR INTERIOR-POINT METHOD

The simplex method obtains the optimum solution by following a path of adjacent
extreme points along the edges of the solution space. Although in practice the simplex
method has served well in solving large problems, theoretically the number of itera-
tions needed to reach the optimum solution can grow exponentially. In fact,
researchers have constructed a class of LPs in which all feasible extreme points are
visited before the optimum is reached.
In 1984, N. Karmarkar developed a polynomial-time algorithm that cuts across
the interior of the solution space. The algorithm is effective for extremely large LPs.
We start by introducing the main idea of the Karmarkar method and then
provide the computational details of the algorithm.
22.3.1 Basic Idea of the Interior-Point Algorithm

Consider the following (trivial) example:
Maximize z = x1
subject to
0 x1 2
Using x2 as a slack variable, the problem can be rewritten as
Maximize z = x1
subject to
x1 + x2 = 2
x1, x2 0
Figure 22.21 depicts the problem. The solution space is given by the line segment
AB. The direction of increase in z is in the positive direction of x1.
Let us start with any arbitrary interior (nonextreme) point C in the feasible space
(line AB). The gradient of the objective function (maximize z = x1) at C is the direction
of fastest increase in z. If we locate an arbitrary point along the gradient and then
project it perpendicularly on the feasible space (line AB), we obtain the new point D
with a better objective value z. Such improvement is obtained by moving in the
direction of the projected gradient CD. If we repeat the procedure at D, we will deter-
mine a new closer-to-optimum point E. Conceivably, if we move (cautiously) in the
direction of the projected gradient, we will reach the optimum at point B. If we are min-
imizing z (instead of maximizing), the projected gradient will correctly move us away
from point B toward the minimum at point A (x1 = 0).
The given steps hardly define an algorithm in the normal sense, but the idea is
intriguing! We need some modifications that will guarantee that (1) the steps generated
FIGURE 22.21 x2
Illustration of the general idea
of Karmarkars algorithm
2
A
Gradient of z Maximize
z = x1
C
1
B x1
0 1 2
along the projected gradient will not overshoot the optimum point at B, and (2) in the
general n-dimensional case, the direction created by the projected gradient will not
cause an entrapment of the algorithm at a nonoptimum point. This, basically, is what
Karmarkars interior-point algorithm accomplishes.
22.3.2 Interior-Point Algorithm

Several variants of Karmarkars algorithm are available in the literature. Our presen-
tation follows the original algorithm. Karmarkar assumes that the LP is given as
Minimize z = CX
subject to
AX = 0
1X = 1
X 0
All the constraints are homogeneous equations except for the constraint
n
1X = a j = 1xj = 1, which defines an n-dimensional simplex. The validity of Karmarkars
algorithm rests on satisfying two conditions:
1. X = A n1 , n1 , , n1 B satisfies AX = 0.
2. min z = 0.
Karmarkar provides modifications that allow solving the problem when the second
condition is not satisfied. These modifications will not be presented here.
The following example illustrates how a general LP can be made to satisfy the
two stipulated conditions.
Example 22.3-1
Consider the problem.
Maximize z = y1 + y2
subject to
y1 + 2y2 2
y1, y2 0
We start by defining the primal and dual problems of the LP:
Primal Dual
Maximize y0 = y1 + y2 Minimize w0 = 2w1

subject to subject to
f Q w1 1
y1 + 2y2 2 w1 1
y1, y2 0 2w1 1
w1 0
The primal and dual constraints can be put in equation form as

y1 + 2y2 + y3 = 2, y3 0
w1 - w2 = 1, w2 0 (1)
At the optimum y0 = w0, which yields

y1 + y2 - 2w1 = 0 (2)
Selecting M sufficiently large, we have

y1 + y2 + y3 + w1 + w2 M (3)
Now, converting (3) into an equation, we get

y1 + y2 + y3 + w1 + w2 + s1 = M, s1 0 (4)
Next, define a new variable s2. From (4) the following two equations hold if, and only if, the
condition s2 = 1 holds:
y1 + y2 + y3 + w1 + w2 + s1 - Ms2 = 0
y1 + y2 + y3 + w1 + w2 + s1 + s2 = M + 1 (5)
Now, given s2 = 1 as stipulated by (5), the primal and dual equations (1) can be written as
y1 + 2y2 + y3 - 2s2 = 0
w1 - w2 - 1s2 = 0 (6)
Now, define
yj = (M + 1)xj, j = 1, 2, 3
wj - 3 = (M + 1)xj, j = 4, 5
s1 = (M + 1)x6
s2 = (M + 1)x7
Substitution in equations (2), (5), and (6) will produce the following equations:
x1 + x2 - 2x4 = 0
x1 + x2 + x3 + x4 + x5 + x6 - Mx7 = 0
x1 + x2 + x3 + x4 + x5 + x6 + x7 = 1
x1 + 2x2 + x3 + - 2x7 = 1
x4 - x5 - x7 = 0
xj 0, j = 1, 2, , 7
The final step calls for augmenting the artificial variable y8 in the left-hand side of each
equation. The new objective function will call for minimizing y8, whose obvious minimum value
must be zero (assuming the primal is feasible). Note, however, that Karmarkars algorithm
requires the solution
X = A 18, 18, 18, 18, 18, 18, 18, 18 B T
to be feasible for AX = 0. This will be true for the homogeneous equations (with zero right-
hand side) if the associated coefficient of the artificial x8 equals the (algebraic) sum of all the
coefficients on the left-hand side. It thus follows that the transformed LP is given as
Minimize z = x8
subject to
x1 + x2 - 2x4 - 0x8 = 0
x1 + x2 + x3 + x4 + x5 + x6 - Mx7 - 16 - M2x8 = 0
x1 + 2x2 + x3 - 2x7 - 2x8 = 0
x4 - x5 - x7 + x8 = 0
x1 + x2 + x3 + x4 + x5 + x6 + x7 + x8 = 1
xj 0, j = 1, 2, , 8
Note that the solution of this problem automatically yields the optimum solutions of the primal
and dual problems through back-substitution.
Figure 22.22 provides a typical illustration of the solution space in three dimensions with the
homogeneous set AX = 0 consisting only of one equation. By definition, the solution space
consisting of the line segment AB lies entirely in the two-dimensional simplex 1X = 1 and
passes through the feasible interior point A 13 , 13 , 13 B .
Steps of the algorithm. Karmarkars algorithm starts from an interior point repre-
sented by the center of the simplex and then advances in the direction of the projected
gradient to determine a new solution point. The new point must be strictly interior,
meaning that all its coordinates must be positive. The validity of the algorithm rests on
this condition.
For the new solution point to be strictly interior, it must not lie on the boundaries
of the simplex. (In terms of Figure 22.22, points A and B must be excluded.) To
guarantee this result, a sphere with its center coinciding with that of the simplex is
inscribed tightly inside the simplex. In the n-dimensional case, the radius r of this
sphere equals n(n1 - 1). A smaller sphere with radius ar (0 6 a 6 1) will be a subset
3
of the sphere, and any point in the intersection of the smaller sphere with the homoge-
neous system AX = 0 will be an interior point, with strictly positive coordinates. Thus,
we can move as far as possible in this restricted space (intersection of AX = 0 and the
ar-sphere) along the projected gradient to determine the new (improved) solution
point.
The new solution point no longer will be at the center of the simplex. For the
procedure to be iterative, we need to find a way to bring the new solution point to the
center of a simplex. Karmarkar satisfies this requirement by proposing the following
intriguing idea, called projective transformation. Let
xi
xki
yi = n x , i = 1, 2, , n
a
i
xkj
j=1
x3
(0, 0, 1)
Simplex 1X 1
B
Intersection of
Center of
AX 0 and 1X 1
simplex
1,1,1
3 3 3
x1
(1, 0, 0)
(0, 1, 0)
x2
(a) Three dimensions
(0, 0, 0, 1)
Simplex 1X 1
Intersection of
AX 0 and 1X 1
C
Center of
simplex
1,1,1,1
A
4 4 4 4
(1, 0, 0, 0)
B
(0, 0, 1, 0)
(0, 1, 0, 0)
(b) Four dimensions
FIGURE 22.22
Illustrations of the simplex 1X = 1
where xki is the i th element of the current solution point Xk . The transformation
n
is valid, because all xki 7 0 by design. You will also notice that a i = 1yi = 1, or
1Y = 1, by definition. This transformation is equivalent to
Dk-1X
Y =
1Dk-1X
where Dk is a diagonal matrix whose ith diagonal elements equal xki. The transfor-
mation maps the X-space onto the Y-space uniquely because we can show that the
last equation yields
DkY
X =
1DkY
By definition, min CX = 0 . Because 1DkY is always positive, the original linear
program is equivalent to
Minimize z = CDkY
subject to
ADkY = 0
1Y = 1
Y 0
The transformed problem has the same format as the original problem. We can thus
start with the simplex center Y = A n1 , n1 , , n1 B and repeat the iterative step. After each
iteration, we can compute the values of the original X variables from the Y solution.
We show now how the new solution point can be determined for the transformed
problem. At any iteration k, the problem is given by
Minimize z = CDkY
subject to
ADkY = 0
Y lies in the ar-sphere
Because the ar-sphere is a subset of the space of the constraints 1X = 1 and X 0, these
two constraints can be dispensed with. As a result, the optimum solution of the preceding
problem lies along the projection of the gradient cp (minimization) and is given as
cp
Ynew = Y0 - ar
||cp||
1 t
where Y0 = a , , , b , and cp is the projected gradient, which can be shown to be
1 1
n n n
cp = [I - PT1PPT2-1P]1cDk2T
where
P = a b
ADk
1
The selection of a is crucial to enhancing the efficiency of the algorithm.

Normally, we would select a as large as possible to acquire large jumps in the solution.
However, if a is too large, we may come too close to the prohibited boundaries of the
simplex. There is no general answer to this problem, but Karmarkar suggests the use
of a = n 3n
- 1
.
The steps of Karmarkars algorithm are
Step 0. Start with the solution point X0 = A n1 , n1 , , n1 B , and compute r = 1

1n(n - 1)
and a = (n 3n
- 1)
General step k . Define
Dk = diag{xk1, , xkn}
P = a b
ADk
1
and compute
1 T cp
Ynew = a , , b - ar
1
n n cp
DkYnew
Xk + 1 =
1DkYnew
where
cp = [I - PT(PPT)-1P](cDk)T
Example 22.3-2
Minimize z = 2x1 + 2x2 - 3x3

subject to
-x1 - 2x2 + 3x3 = 0

x1 + x2 + x3 = 1
x1, x2, x3 0
The problem satisfies the two conditions imposed by the interior-point algorithmnamely,
X = (x1, x2, x3)T = A 13 , 13 , 13 B T,

satisfies both constraints and the optimum solution
X = (x1, x2, x3)T = (0, .6, .4)T,
and yields z = 0.
Iteration 0
c = (2, 2, -3), A = (-1, -2, 3)
A 13 , 13 , 13 B T, z0 = 13 , r =
1 2
X0 = ,a = 9
26
1
3 0 0
1
D0 = 0 3 0
1
0 0 3
Using projective transformation, we get
Y0 = A 13 , 13 , 13 B T
Iteration 1
1
0 0
A 23, 23, -1 B
3
cD0 = 12, 2, -32 0 1
3 0 =
1
0 0 3
1
0 0
0 = A - 13, - 23, 1 B
3
AD0 = 1-1, -2, 32 0 1
3
1
0 0 3
- 13 1 -1
-1 - 23 9
1PPT2-1 = a 3 b - 3 1 = a 14 1 b
1 2 0
1 1 1 0 3
1 1
1 0 0 - 13 1 9
0 - 1 - 23
I - P 1PP 2 P = 0 0 - - 23 1 a 14 1 b a 3 b
T T -1 1
1
0 3 1 1 1
0 0 1 1 1
25 -20 -5
1
= 42 -20 16 4
-5 4 1
Thus,
2
25 -20 -5 3 25
cp = 1I - P 1PP 2 P21cD02 =
T T -1 T 1
42 -20 16 4 23 = 1
126 -20
-5 4 1 -1 -5
It then follows that
252 + (-20)2 + (-5)2

cp = = .257172
C 1262
Thus,
Ynew = A 13, 13, 13 B T - 2

9 * 1
116 * 1
.257171 * 1
126 (25, - 20, - 5)T
= (.263340, .389328, .347332)T

Next,
1 1
1D0Ynew = 3 (1, 1, 1)(.263340, .389328, .347332)T = 3
Now,
1
D0Ynew 3 Ynew
X1 = = 1
= Ynew = (.263340, .389328, .347332)T
1D0Ynew 3
z1 = .26334
Iteration 2
.263340 0 0
cD1 = 12, 2, -32 0 .389328 0 = 1.526680, .778656, -1.0419962
0 0 .347332
.263340 0 0
AD1 = 1-1, -2, 32 0 .389328 0
0 0 .347332
= 1-.263340, -.778656, 1.0419962
-.263340 1 -1
1PPT2-1 = a b -.778656
-.26334 -.778656 1.041996
1
1 1 1
1.041996 1
= a b
.567727 0
0 .333333
I - PT1PPT2-1P
1 0 0 -.263340 1
1 a b
.567727 0
= 0 1 0 - -.778656
0 .333333
0 0 1 1.041996 1
a b
-.263340 -.778656 1.041996
1 1 1
.627296 -.449746 -.177550
= -.449746 .322451 .127295
-.177550 .127295 .050254
Thus,
.627296 -.449746 -.177550

cp = 1I - PT1PPT2-1P21cD12T = -.449746 .322451 .127295
-.177550 .127295 .050254
.526680
.778656
-1.041996
.165193
= -.118435
-.046757
It then follows that
||cp|| = 3.1651932 + (-.118435)2 + ( -.046757)2 = .208571
Thus,
Ynew = ( 13 , 13 , 13 )T - 2
9 * 1
116 * 1
.208571 (.165193, - .118435, - .046757)T
= (.261479, .384849, .353671)T
Next,
.263340 0 0 .261479 .068858

D1Ynew = 0 .389328 0 .384849 = .149832
0 0 .347332 .353671 .122841
1D1Ynew = .341531
Now,
= 1.201616
D1Ynew
X2 = .438707 .3596772T
1D1Ynew
z2 = .201615
Repeated application of the algorithm will move the solution closer to the optimum point
(0, .6, .4). Karmarkar does provide an additional step for rounding the optimal solution to the
optimum extreme point.
PROBLEM SET 22.3A

1. Use TORA to show that the solution of the transformed LP given at the end of
Example 22.3-1 does yield the optimal primal and dual solutions of the parent
problem. (Hint: Use M = 10, and make sure that TORAs output gives at least
5 decimal points accuracy.)
2. Transform the following LP to Karmarkars format.

Maximize z = y1 + 2y2
subject to
y1 - y2 2
2y1 + y2 4
y1, y2 0
3. Carry out one additional iteration in Example 22.3-3, and show that the solution is
moving toward the optimum z = 0.
4. Carry out two iterations of Karmarkars algorithm for the following linear program:
Maximize z = 2x1 + x2
subject to
x1 + x2 4
x1, x2 0
(Hint: The problem must be converted to Karmarkar format first.)

5. Carry out two iterations of Karmarkars algorithm for the following problem:
Maximize z = 4x1 + x3 + x4
subject to
-2x1 + 2x2 + x3 - x4 = 0
x1 + x2 + x3 + x4 = 1
x1, x2, x3, x4 0
(Hint: The problem must be converted to Karmarkar format first.)
BIBLIOGRAPHY
Ahuja, R., T. Magnati, and J. Orlin, Network Flows: Theory, Algorithms, and Applications,
Prentice Hall, Upper Saddle River, NJ, 1993.
Bazaraa, M., J. Jarvis, and H. Sherali, Linear Programming and Network Flow, 4th ed., Wiley,
New York, 2009.
Charnes, A. and W. Cooper, Some Network Characterization for Mathematical Programming
and Accounting Applications to Planning and Control, The Accounting Review, Vol. 42,
No. 3, pp. 2452, 1967.
Hooker, J., Karmarkars Linear Programming Algorithm, Interfaces, Vol. 16, No. 4, pp. 7590,
1986.
Lasdon, L., Optimization for Large Systems, Macmillan, New York, 1970.

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M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.

22.1 MINIMUM-COST CAPACITATED FLOW PROBLEM

1. All arcs are directional (one way).

22.1.1 Network Representation

xij = amount of flow from node i to node j

22.2 Chapter 22 Additional Network and LP Algorithms

PROBLEM SET 22.1A

Unit production Unit holding

Given that no back-ordering is allowed, represent the problem as a network model.

22.1 Minimum-Cost Capacitated Flow Problem 22.3

Round-trip miles from school to

Minority areas Nonminority areas

Formulate the problem as a network model to determine the number of minority

Purchasing cost Selling price

22.4 Chapter 22 Additional Network and LP Algorithms

22.1.2 Linear Programming Formulation

a xjk - a xij = fj, j H N

The equation for node j measures the net flow fj in node j as

(Outgoing flow from node j) - (Incoming flow into node j) = fj

Node j acts as a source if fj 7 0 and as a sink if fj 6 0.

xij = xij + lij

FIGURE 22.3 [ fi] [ fj] [ fi lij] [fj lij]

22.1 Minimum-Cost Capacitated Flow Problem 22.5

x12 x13 x14 x23 x25 x34 x35 x46 x56

Lower bounds 0 0 50 0 0 70 0 0 100

x12 x13 x14

which, of course, is the same solution given by the before-substitution solution.

22.6 Chapter 22 Additional Network and LP Algorithms

Example 22.1-3 (Employment Scheduling)

Month January February March April

No. of workers 100 120 80 170

Employment period (months) 1 2 3 4

Cost per worker ($) 100 130 180 220

22.1 Minimum-Cost Capacitated Flow Problem 22.7

Month Number of workers Number of workers Net number

January 100 0 100

x12 x34 x45

22.8 Chapter 22 Additional Network and LP Algorithms

PROBLEM SET 22.1B

Number of workers 300 180 90 170 200

Number of workers 200 220 300 50 240

5. Conversion of a capacitated network into an uncapacitated network. Show that an arc

FIGURE 22.6 [20]

22.1 Minimum-Cost Capacitated Flow Problem 22.9

22.1.3 Capacitated Network Simplex Algorithm

An n-node network with zero net flow (i.e., f1 + f2 + +fn = 0) consists of

22.10 Chapter 22 Additional Network and LP Algorithms

22.1 Minimum-Cost Capacitated Flow Problem 22.11

Unit cost Arc capacity

Reduce x23 and x35 each by 30.

22.12 Chapter 22 Additional Network and LP Algorithms

Current flow equation at node 2: 50 + x12 = x23 + x25

Then, the substitution x25 = 30 - x52 gives

New flow equation at node 2: 20 + x12 + x52 = x23

1. Maximum allowable increase in entering arc (4, 5) = q

22.1 Minimum-Cost Capacitated Flow Problem 22.13

3. Maximum allowable decrease in arc (1, 3) = 10 units

22.14 Chapter 22 Additional Network and LP Algorithms

PROBLEM SET 22.1C

22.1 Minimum-Cost Capacitated Flow Problem 22.15

APPENDIX: Transshipment Model

22.16 Chapter 22 Additional Network and LP Algorithms

zjk - cjk = min {zjk - cjk}

If zjk - cjk 7 0, then, according to the maximization optimality condition, b jk

Step 2. Determine zjk - cjk = min{zjk* - cjk*}