ECS716: Operations Research Pn Paezah Hamzah

Linear Programming Simplex: Big-M Method

Learning Outcomes Students should be able to:

Solve LP problems involving = or

constraints

Solve LP problems using the Big M Method

The Big M Method Recall that the simplex algorithm requires a starting basic feasible solution (bfs). So far, the problems we solved using the simplex method involved constraints, in which we added slack variables to convert the constraint into equality constraint. For problems involving equality(=) or greater-than-or-equal () constraints, the bfs may be hard to find. The Big M method can be used to cater to these situations. Case 1: Equality (=) Constraints [refer to Hillier & Lieberman textbook, Chp. 4, sec 4.6] Some LP problems may involve equality constraints. For equality constraint a11X1 +a12X2 +..+ a1nX3 = k, a nonnegative artificial variable A1 is added to the LHS of the equation as follows: a11X1 +a12X2 +..+ a1nX3 + A1= k
Artificial variable technique

The artificial variable A1 is just a dummy variable. It has no physical meaning. However, It is needed to set up the initial simplex tableau. Hence, it will become a basic variable for the initial solution. In the objective function, the artificial variable will be given an arbitrary coefficient value M if the problem is a maximization problem, and a coefficient value of +M if the problem is a minimization problem. M symbolically represents a very large positive number. (M=mammoth?). The objective function of the original LP must be modified to ensure that the artificial variables are all equal to 0. Hence, iterations of the simplex method will force the artificial variable out of tableau. In the optimal tableau the artificial variable will have zero value. Example: Wyndor Glass Co. Suppose Plant 3 is required to operate at full capacity. Hence the third constraint 3X1 +2X2 18 is rewritten as 3X1 2X2 =18. The new model for the real problem, and the artificial problem model in the standard form are shown below

The Real Problem

Max Z = 3X1 + 5X2 s.t. X1 4 2X2 12 3X1 +2X2 = 18 X1, X2 0 Max

The Artificial Problem

Z = 3X1 + 5X2 +0S1 + 0S2 MA1 s.t. X1 + S1 = 4 2X2 + S2 = 12 3X1 + 2X2 +A1 = 18 X1, X2, S1, S2, A1 0

The graphical solution to Wyndor Glass Co is as follows: X1 =4 3X1 +2X2 =18 (2, 6) (0,6) Max Z = 3X1 + 5X2 s.t. X1 4 2X2 12 3X1 +2X2 = 18 X1, X2 0

2X2 =12

(4,3)

(0,0)

(4,0) 6

Corner Point Feasible (CPF) solution CPF Z=3X1 + 5X2 (2,6) 36 (4,3) 27 X1 Optimal solution: Produce 2 batches of doors and 6 batches of windows to attain a maximum profit of $36,000

Converting the Objective Function to Proper Form To prepare for the simplex iterations, the standard form is augmented as follows: [z-row] Z - 3X1 - 5X2 X1 2X2 3X1 + 2X2 +MA1 = 0 = 4 = 12 + A1 = 18 (1) (2) (3) (4)

+ S1 + S2

In the above model, the objective function (z-row of simplex tableau) contains the artificial variable. This artificial variable will be in the starting basis for the initial simplex tableau. All artificial variables must be algebraically eliminated from the z-row before beginning the simplex. This is to ensure that we begin with a canonical 1 form. To eliminate the artificial variable from the z-row or equation (1), form the following system of linear equations. Z - 3X1 - 5X2 3X1 + 2X2 + MA1 = 0 + A1 = 18 (1) (4)

Multiply both sides of equation (3) by M we get: 3MX1 + 2MX2 + MA1 = 18M (4)

Next, subtract equation (4) from equation (1): Z3X1 - 5X2 3MX1 + 2MX2 + + MA1 = 0 MA1 = 18M 2MX2 = -18M (1) (4)

Z- 3X1 -3MX1 - 5X2 -

Canonical form: a system of linear equation in which each equation has variable with coefficient 1 in that equation, and coefficient 0 in all other equations.

The new equation gives the objective function in terms of just the nonbasic variables X1 and X2. Z - 3X1 -3MX1 5X2 2MX2 = -18M, or Z - (3 +3M)X1 (5+ 2M)X2 = -18M The new standard model (in a canonical form) is as follows: Z - (3 +3M)X1 (5+ 2M)X2 = -18M X1 + S1 = 4 2X2 + S2 = 12 3X1 + 2X2 + A1 = 18

Writing the z-row at the bottom gives: X1 + S1 = 4 + S2 = 12 + A1 = 18 = -18M

2X2 3X1 + 2X2 Z - (3 +3M)X1 (5+ 2M)X2

The initial simplex tableau (with z-row at the bottom) is shown below. Basic Var. S1 S2 S3 Z X1 1 0 3 -3M-3 X2 0 2 2 -2M-5 S1 1 0 0 0 S2 0 1 0 0 A1 0 0 1 0 RHS 4 12 18 -18M

Continue with the remaining iterations. Iteration 2 Basic Var. X1 S2 S3 Z Iteration 3 Basic Var. X1 S2 X2 Z X1 1 0 0 0 X2 0 0 1 0 S1 1 3 -3/2 -9/2 S2 0 1 0 0 A1 0 -1 1/2 M+5/2 RHS 4 6 3 27 X1 1 0 0 0 X2 0 2 2 -2M-5 S1 1 0 -3 3M+3 S2 0 1 0 0 A1 0 0 1 0 RHS 4 12 6 -6M+12

Iteration 4 Basic Var. X1 S1 X2 Z Z 0 0 0 1 X1 1 0 0 0 X2 0 0 1 0 S1 0 1 0 0 S2 -1/3 1/3 1/2 3/2 A1 1/3 -1/3 0 M+1 RHS 2 2 6 36

All z-row coefficients 0. Hence, the optimal solution is reached. Optimal solution: X1= 2, X2 = 6, S1 = 2, S2 =0, S3 =0, A1 =0 Optimal value=36 Case 2: Constraints of the form Refer to the text book [Radio Therapy Example] Min Z = 0.4X1 + 0.5X2 s.t. 0.3X1 + 0.1X2 2.7 0.5X1 + 0.5X2 = 6 0.6X1 + 0.4X2 6 X1, X2 0

[Demonstrated in class] Exercise: Solve the following LPs using the Big M method. 1. Min Z = 4X1 + 4X2 + X3 s.t. X1 + X2 + X 3 2X1 + X2 2X1 + X2 + 3X3 X1, X2,X3 2. 2 3 3 0 Max Z = 3X1 + X2 s.t. X1 + X2 2X1 + X2 X1 + X2 = X1 , X 2

3 4 3 0

3.

Min Z = 3X1 + X2 s.t. 2X1 + X2 6 3X1 + 2X2 = 4 X1, X2 0