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Chapter66
The
The Revised
Revised Simplex
Simplex Method
Method
This method is a modified version of the
Primal Simplex Method that we studied in
Chapter 5.
It is designed to exploit the fact that in
many practical applications the coefficient
matrix {aij} is very sparse, namely most of
its elements are equal to zero.
1).1
Bottom line:
– Don’t update all the columns of the
simplex tableau: update only those
columns that you need!
1).2
Standard
Standard Form
Form
n
max Z cj x j
• opt=max
x
j 1
1).3 x j 0 , j 1,...,n
More Convenient Form
max Z
x
s. t .
Z cx 0
Ax b
x0
1).4
Canonical Form
n
max z c j x j
j 1
x j 0 , j 1,...,n m
1).5 As in the standard format, bi≥0 for all i.
System
System PP
max Z
x
s.t.
(6.4)
Z cx 0
Sx b
x 0
1).6
Example
Example 6.1.1
6.1.1
max Z 4 x1 3 x2
x
2 x1 x2 x3 40
x1 x2 x4 30
x1 x5 15
x1 , x 2 , x3, x 4 , x 5 0
1).7
System P
2 1 1 0 0
S 1 1 0 1 0
1 0 0 0 1
b ( 40, 30, 15)
c ( 4, 3, 0, 0, 0 ) .
1).8
After
After aa number
number of
of Pivot
Pivot Operations
Operations
System P’
max Z'
x
s. t .
Z' c' x' z'
S' x' b'
x' 0
1).9
Observation
Observation
After any iteration of the simplex method the
columns of the m basic variables comprise
the columns of the mxm identity matrix.
The order in which these columns are
arranged for this purpose is important.
This order is specified in the BV column of
the simplex tableau.
1).10
Example 6.1.2
BV Eq. # x1 x2 x3 x4 x5 RHS
x3 1 0 1 1 0 -2 10
x4 2 0 1 0 1 -1 15
x1 3 1 0 0 0 1 15
Z Z 0 -3 0 0 4 60
0 1 1 0 2
S' 0 1 0 1
1
1 0 0 0
1
b' (10,1515
, )
c' (0, 3, 0, 0, 4)
1).11 Z'=60.
6.2
6.2 The
The Transformation
Transformation
How can we compute S’ from S ?
From Linear Algebra we know that any finite
sequence of pivot operations is equivalent to
(left) multiplication by a matrix.
In other words,
S’ = TS
The question is then:
T = ??????
1).12
What
What is
is T
T ???
???
Observation 1:
After any number of iterations of the simplex
method, the columns of the coefficient matrix
corresponding to the basic variables at that
iteration, comprise the identity matrix.
Observation 2:
S = [B,D]
where B is the matrix constructed from the columns
of the initial matrix corresponding to the current
basic variables.
1).14
Since S’ = TS, it follows that
S’ = [I,D’] = TS = [TB,TD]
hence
I = TB
from which we conclude that
T = B-1
1).15
Example 6.2.1
BV Eq. # x1 x2 x3 x4 x5 RHS
x3 1 2 1 1 0 0 40
x4 2 1 1 0 1 0 30
x5 3 1 0 0 0 1 15
Z Z -4 -3 0 0 0 0
2 1 1 0 0
S 1 1 0 1 0
1 0 0 0 1
1).16
BV Eq. # x1 x2 x3 x4 x5 RHS
x2 1 0 1 1 0 -2 10
x4 2 0 0 -1 1 1 5
x1 3 1 0 0 0 1 15
Z Z 0 0 3 0 -2 90
0 1 1 0 2
S (2)
0 0 1 1
1
1 0 0 0 1
1).17
1 0 0
I S.2 , S.4 ,S.1 0
(2) (2) (2)
1 0
0 0 1
1 2
D' S.3 ,S.5 1
(2) (2)
1
0 1
1).18
1 0 2
B S.I B S.2 , S.4 , S1 1 1 1
0 0 1
1 0
D S.I D S.3 ,S.5 0 0
0 1
1).19
1 0 2
1
B 1 1 1
0 0 1
S( 2) B 1S
1).20
Notation:
Notation:
IB = Indices of the basic elements (in
canonical form)
ID = indices of the nonbasic variables in
increasing order
cB = Initial cost vector of the basic variables
1).21
r = reduced costs vector
D = columns of the coefficient matrix in the
initial simplex tableau corresponding to the
current nonbasic variables.
1).22
Behind
Behind the
the Formula
Formula (NILN)
(NILN)
Each column of the coefficient matrix in the new
tableau is equal to B-1 times the corresponding
initial column, i.e
new column = B-1 initial column
This is also true for the right-hand-side vector, i.e
1).23
1
D' B D
1
b' B b
, ,
c' c B , cD , , , ,
(c B : c I ; cD : cI )
B D
,
c' 0, c D
1).24
1
z' cB B b
, 1
rD = (c ) c B B D cD
D
correction
C’B = (0,0,...,0)
1).25
(NILN)
(NILN)
But
But how
how do
do we
we compute
compute B
B-1??
-1
Bad news:
We have to compute it as we go along
Good News:
We do not have to compute it from scratch
Observation: