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Dual Feasibility: The leaving variable xr is the basic variable having the most negative value.
If all the basic variables are nonnegative, the algorithm ends.
Dual Optimality: The entering variable is determined from among the nonbasic variables as
the one corresponding to
z c
min j j
, rj < 0
xj
rj
where rj is the constraint coefficient of the tableau associated with the row of leaving
variable xr and the column of the entering variable xj.
Example:
Primal:max 3x1+6x2+3x3 Dual: min 3y1+2y2
s.t. 3x1+4x2+x3 3 s.t. 3y1+ y2 3
x1+3x2+x3 2 4y1+3y2 6
x1, x2 0 y1+ y2 3
x3 0 y1, y2 0
min W
W-3y1-2y2 =0
3y1+ y2 y3 =3
4y1+3y2 - y4 =6
y1+y2 + y5 = 3
y1, y2, y3, y4, y5 0
1 Metin Turkay
INDR 262 Optimization Models and Mathematical Programming
y4 -4 -3 0 1 0 -6
y5 1 1 0 0 1 3
Variable y1 y2 y3 y4 y5
row 0 (zj-cj) -3 -2 0 0 0
row 2 (4j) -4 -3 0 1 0
z j c j
ratio 3/4 2/3 - - -
4 j
Entering variable
Iteration 1)
y1 y2 y3 y4 y5 RHS
-1/3 0 0 -2/3 0 4
Leaving variable
y3 -5/3 0 1 -1/3 0 -1
y2 4/3 1 0 -1/3 0 2
y5 -1/3 0 0 1/3 1 1
Ratio 1/5 - - 2 -
Iteration 2)
y1 y2 y3 y4 y5 RHS
0 0 -1/5 -3/5 0 21/5
y1 1 0 -3/5 1/5 0 3/5
y2 0 1 4/5 -3/5 0 6/5
y5 0 0 -1/5 2/5 1 6/5
2 Metin Turkay
INDR 262 Optimization Models and Mathematical Programming
It is possible to treat these bounds as constraints and obtain standard notation by defining
slack, ecxess and artificial varaibles before applying the traditional simplex method.
However, this approach is not very efficient since it would lead to a dramatic increase in the
total number of variables and constraints. Therefeore, it is necessary to modeify the simplex
algorithm to handle the bounds on variables more effectively.
Lower Bounds:
The lower bounds can be handled with a minor modification in the model by change of
variables.
since x j x Lj , replace x j by xj = x j + x Lj 0
Therefore, the simplex method can directly be applied to the linear programming problem
without any modification after this new definition.
Upper Bounds:
The upper bounds can be replaced by,
x j + y j = xUj
when xj=0, then y j = xUj . Here, yj is referred to as the complementary variable. At any point
in the iterations of the simplex method, it os possible to,
1. use xj when 0 x j xUj or
2. replace xj by xUj y j when 0 y j xUj
This choice is arbitrary, since the variables xj and yj are complementary to each other (i.e.,
when the value for xj is known, it is possible to determine the value of yj and vice versa).
The upper bound technique uses the following rulet o maket his choice:
Rule: Begin with choice 1 (i.e., use xj). Whenever xj=0, use xj as the nonbasic variable.
Whenever x j = xUj , use yj as the nonbasic variable.
Example 1:
max z= 2x1 + x2 + 2x3
s.t. 4x1 + x2 =12
-2x1 + x3 = 4
0x14, 0x214, 0x36
x1 = 4, x 2U = 14, x 3U = 6
U
3 Metin Turkay
INDR 262 Optimization Models and Mathematical Programming
replace x3=6-y3:
-2x1 + x3 = 4 becomes
-2x1 +6 - y3 = 4 rearranging
-2x1 - y3 = -2 converting to proper form
x1 +1/2 y3 = 1 can be inserted back into the simplex tableau
4 Metin Turkay