Chapter 3

linear
programming

Simplex Method
 CONTENTS
❧
❧ Introduction

❧ Setting up Initial Simplex Solution

❧ Constructing Initial Simplex Tableau

❧ Simplex Method

❧ Interpretation of Optimal Simplex Tableau

❧ Shadow Price

❧ Special cases in LP

❧ The dual

❧ Solving minimization problem

 Introduction
❧
❧ In large LP problems, the feasible region cannot be
graphed since it has many dimensions

❧ Systematically examines corner points using

algebraic steps until optimal solution is found
  Example 3.1
❧
❧  
 1. Setting up initial simplex solution
1. Converting constraints to equations (Standard Form of LP Model)

Slack Variables Surplus Variables Artificial Variables

• added to a
constraint to convert
❧
• subtracted from a
constraint to convert
• has no physical
meaning in terms of
it to an equation (=). it to an equation (=). a real world LP
• represents an problem.
• represents the
amount of unused excess above a • An artificial variable
resources. constraint is not allowed to
requirement level. appear in the final
• contribute nothing solution to the
to the objective • contribute nothing
to the objective problem.
function value
function value. • Each artificial
variable is assigned
an extremely high
cost to ensure it
Whenever an artificial or surplus variable is added to one
does not appear in
of the constraints, it must also be included in the other
the final solution.
equations and in the objective function, just as what we
have done for slack variables.
 ❧
❧  
  Example 3.2
❧
Maximize Z=40x1+30x2+60x3
Subject to,
3x1+x2+3x3 ≤ 30
2x1+2x2+3x3 ≤ 40
x1, x2, x3 ≥ 0
 ❧
2. Finding an Initial Solution Algebraically

3. First Simplex Tableau

 Constructing First Simplex Tableau
(maximization problem)
❧
❧ Determine basic feasible solution (initial solution mix) by setting all
decision variables equal to zero
❧ Constraints equation (translate to table)
❧ Variables in solution mix are called basic variables
❧ Substitution rates (numbers in the body of simplex tableau)
❧ Cj row (above) Cj column (left most column) are contribution rates. Cj
column represent unit profit for each variable currently in solution mix
❧ Zj row = Sum (profit per unit Si ×substitution rate in ith column)
= gross profit
Cj-Zj row = net profit from introducing one unit of each variable
into solution
❧ Optimal solution is reached when Cj-Zj row has no positive number
 The Simplex Method
(Standard Form)
❧
To solve a linear programming problem in standard form, use the
following steps.

1. Create the initial simplex tableau.

2. Locate the most positive entry in the bottom row (maximization problem), the
most negative entry in the bottom row (minimization problem). The column
for this entry is called the pivot column. (If ties occur, any of the tied entries
can be used to determine the pivot column.)

3. Form the ratios of the entries in the “quantity” column with their corresponding
entries in the pivot column. The leaving row corresponds to the smallest
nonnegative ratio (If all entries in the pivot column are 0 or negative, then
there is no maximum (minimum) solution. For ties, choose either entry.) The
entry in the departing row and the entering column is called the pivot.
 ❧
4. Use elementary row operations so that the pivot is 1, and all other entries
in the pivot column are 0. This process is called pivoting.

5. If all entries in the bottom row (Cj-Zj) row are zero or positive, this is the
final tableau of maximization problem. If all entries in the bottom row
(Cj-Zj) row are zero or negative, this is the final tableau of minimization
problem.

If not, go back to Step 3.

6. If you obtain a final tableau, then the linear programming problem has a
maximum (minimum) solution, which is given by the entry in the
lower-right corner of the tableau.
 EXAMPLE 3.3
❧
Flair Furniture Company produces inexpensive tables and chairs.
The production process for each is similar in that both require a
certain number of hours of carpentry work and a certain
number of labour hours in the painting and varnishing
department. Each table takes 4 hours of carpentry and 2 hours in
the painting and varnishing. Each chair requires 3 hours in
carpentry and 1 hour in painting and varnishing. During the
current production period, 240 hours of carpentry time are
available and 100 hours in painting and varnishing time are
available. Each table sold yields a profit of USD70; each chair
produced is sold for a USD50 profit.
Flair Furniture’s problem is to determine the best possible
combination of tables and chairs to manufacture in order to
reach the maximum profit.
Initial tableau

Cj 70 50 0 0

Solution x1 x2 s1 s2 Quantity
mix
❧
0 s1 4 3 1 0 240

0 s2 2 1 0 1 100

Zj 0 0 0 0 0

Cj-Zj 70 50 0 0

matrix form
 Elementary row
operations
❧ involved
By looking at Cj-Zj row, the highest value is 70, by x1.
By finding the ratio, (Z/(element in pivot column)), the
lowest value is 50, by s2
Thus, x1 will be the entering variable, replacing s2, the
leaving variable.
The pivot entry is a21
Second tableau

Cj 70 50 0 0

Solution x1 x2 s1 s2 Quantity
mix

❧
0 s1 0 1 1 -2 40

70 x1 1 1/2 0 1/2 50

Zj 70 35 0 35 3500

Cj-Zj 0 15 0 -35

matrix form
 Elementary row
operations
❧ involved
By looking at Cj-Zj row, the highest value is 15, by x2.
By finding the ratio, (Z/(element in pivot column)), the
lowest value is 40, by s1
Thus, x2 will be the entering variable, replacing s1, the
leaving variable.
The pivot entry is a12
Third tableau

Cj 70 50 0 0

Solution x1 x2 s1 s2 Quantity
mix

❧
50 x2 0 1 1 -2 40

70 x1 1 0 -1/2 3/2 30

Zj 70 50 15 5 4100

Cj-Zj 0 0 -15 -5

matrix form
Optimal solution: ❧

Flair Furniture Company should produce 30 units of

tables and 40 units of chairs.

The maximum profit is USD4,100

Interpretation of Optimal
Simplex Tableau
❧
 Shadow price
(marginal value or dual value)
❧
❧ the change in value of the objective function for
every additional unit of a scarce resource.

❧ refer to maximum amount the firm should pay for

every additional unit of resource to make available.

❧ Provided by negatives of numbers in slack variable

( ) columns of row
 EXAMPLE
❧
Flair Furniture Company produces inexpensive tables and chairs.
The production process for each is similar in that both require a
certain number of hours of carpentry work and a certain
number of labour hours in the painting and varnishing
department. Each table takes 4 hours of carpentry and 2 hours in
the painting and varnishing. Each chair requires 3 hours in
carpentry and 1 hour in painting and varnishing. During the
current production period, 240 hours of carpentry time are
available and 100 hours in painting and varnishing time are
available. Each table sold yields a profit of USD70; each chair
produced is sold for a USD50 profit.
Flair Furniture’s problem is to determine the best possible
combination of tables and chairs to manufacture in order to
reach the maximum profit.
Third tableau

Cj 70 50 0 0

Solution x1 x2 s1 s2 Quantity
mix

❧
50 x2 0 1 1 -2 40

70 x1 1 0 -1/2 3/2 30

Zj 70 50 15 5 4100

Cj-Zj 0 0 -15 -5
 THE DUAL
❧
❧ Every LP primal (first way of stating a linear problem)
has a dual

❧ Provides useful economic information

❧ Dual variables represent the potential value of

resources
 Dual formulation
procedures
❧
1. If the primal is a maximization, the dual is a
minimization, and vice versa

2. The RHS values of the primal constraints become

the dual’s objective function coefficients

3. The primal objective function coefficients become

the RHS values of the dual constraints

4. The transpose of the primal constraint coefficients

become the dual constraint coefficients

5. Constraint inequality signs are reversed

 Special Cases in LP
❧
Infeasible Unbounded Alternate
Degeneracy
problem problem optimal solution

• LP problem • Objection value • More than one • Redundant

with no for optimal constraint that
feasible maximization solution does not effect
solution problem gets • Provide greater feasible
• May exist if the very large flexibility to solution
problem was without bound decision maker • Tied ratios in
formulated • When all • May exist if the simplex
improperly entries in pivot value of calculations
• When artificial column are equals to zero
variable still in non positive, for a variable
final solution thus no leaving not in the
mix variable (or solution mix
undefined
ratio)
 Cj 10 20 15 0 0 0

Solution x1 x2 x3 s1 s2 s3 Quantity
mix

❧
10 x1 1 0 1/2 3/4 0 -5/4 37.5

0 s2 0 0 0 -1/2 1 1/2 5

20 x2 0 1 1/2 -1/4 0 3/4 57.5

Zj 10 20 15 5/2 0 5/2 1,525

Cj-Zj 0 0 0 -5/2 0 -5/2

Example 3.4 (Alternate optimal solution)

 SENSITIVITY ANALYSIS
WITH SIMPLEX TABLEAU
❧
❧ Sensitivity analysis is the analysis of the parameter
changes on the optimal solution.

❧ Changes in Resources or RHS Values

❧ Making changes in the resources or the RHS values
result in changes in the feasible region and often the
optimal point. This would also affect the value of the
objective function.

❧ These changes lead to determining shadow price

 Example 3.5
❧
❧  
 Example 3.6
Cj Solution
❧ RHS
Mix
x1 x2 S1 S2 S3

S1 0 0 1 -16 0.6 20

x1 1 0 0 2 -0.1 10

x2 0 1 0 -1 0.1 10

Zj P

Cj-Zj
 cont...
❧
The final simplex tableau for the above problem is given below.

a) Complete the tableau.

(3 marks)
b) What is the value of P in the above tableau?

(1 marks)
c) State the optimal solution.
(2 marks)
d) Which resource is not fully utilized? State the unused value.
(2 marks)
e) Is it worthwhile to increase an additional labor hour for RM10?
Explain.
(2 marks)
f) Formulate the dual of this problem and give the solution of the
dual.
(4 marks)
Example 3.7
❧
 Solving minimization
problem
❧
To solve minimization linear programming problem in standard form, use the following steps.

1. Create the initial simplex tableau.

2. Locate the most negative entry in the bottom row (minimization problem). The column for this entry is called the pivot column.
(If ties occur, any of the tied entries can be used to determine the pivot column.)

3. Form the ratios of the entries in the “quantity” column with their corresponding entries in the pivot column. The leaving row
corresponds to the smallest nonnegative ratio (If all entries in the pivot column are 0 or negative, then there is no minimum
solution. For ties, choose either entry.) The entry in the departing row and the entering column is called the pivot.

4. Use elementary row operations so that the pivot is 1, and all other entries in the pivot column are 0. This process is called
pivoting.

5. If all entries in the bottom row (Cj-Zj) row are zero or negative, this is the final tableau of minimization problem.

If not, go back to Step 3.

6. If you obtain a final tableau, then the linear programming problem has a minimum solution, which is given by the entry in the
lower-right corner of the tableau.