Artificial Variables, 2-Phase and Big M Methods

Facts: 1. To start, we need a canonical form 2. If we have a constraint with a nonnegative right-hand side, it will contain an obvious basic variable (which?) after introducing a slack var. 3. If we have an equality constraint, it contains no obvious basic variable 4. If we have a constraint with a nonnegative right-hand side, it contains no obvious basic variable even after introducing a surplus var.
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Compare!
2x + 3y 5 2x + 3y + s = 5, s 0 (s basic)
2x + 3y = 5 ??????? Infeasible if x=y=0!

2x + 3y 5 2x + 3y - s = 5, s 0 (??????) Infeasible if x=y=0! ??????????????????

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One Equality???
2x + 3y = 5 2x + 3y + a = 5, a = 0 (E) (a is basic, but it should be 0!)

How do we force a = 0? This is of course not feasible if x=y=0, as 0+0+0 5!

2008 MGS

One Equality???
2x + 3y = 5 2x + 3y + a = 5, a = 0 (E) (a basic, but it should be 0!) How do we force a = 0? This is of course not feasible if x=y=0, as 0+0+0 5

Idea: solve a first problem with Min {a | constraint (E) + a 0 + other constraints }!
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Artificial Variables
Notice: In an equality constraint, the extra variable is called an artificial variable. For instance, in 2x + 3y + a = 5, a = 0 a is an artificial variable.

(E)

2008 MGS

One Inequality ???

2x + 3y 5 2x + 3y - s = 5, s 0 (I) s could be the basic variable, but it should be 0 and for x=y=0, it is -5 ! How do we force s 0? ?
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One Inequality ???

2x + 3y 5 2x + 3y - s = 5, s 0 (I) s could be the basic variable, but it should be 0 and it is -5 for x=y=0! How do we force s 0? By making it 0! how?
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2008 MGS

One Inequality ???

2x + 3y 5 2x + 3y - s = 5, s 0 (E) s could be basic, but it should be 0 and it is -5 for x=y=0! How do we force s 0? By making it 0! But we have to start with a canonical form so

treat is as an equality constraint!

2x + 3y - s + a = 5, s 0, a 0 and Min a
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Artificial Variables
Notice: In a inequality constraint, the extra variable a is called an artificial variable. For instance, in 2x + 3y s + a = 5, s 0, a 0 (E) a is an artificial variable.

In a sense, we allow temporarily a small amount of cheating, but in the end we cannot allow it!
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What if we have many such = and constraints?

7x - 3y s1 + a1 = 6, s1,a1 0 (I) 2x + 3y + a2 = 5, a2 0 (II) a1 and a2 are artificial variables, s1 is a surplus variable. One minimizes their sum: Min {a1+a2 | a1, a2 0, (I), (II), other constraints} i.e., one minimizes the total amount of cheating!
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Then What?
We have two objectives: Get a feasible canonical form Maximize our original problem Two methods: 2-phase method (phase 1, then phase 2) big M method
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2-Phase Method
Phase I: find a BFS Minimize the sum of the artificial variables If min = 0, we have found a BFS If min > 0, then we cannot find a solution without cheating the original problem is infeasible Phase 2: solve original LP Start from the phase 1 BFS, and maximize the original objective function.
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Big-M Method
Combine both objectives : (1) Min i ai (2) Max j cj xj into a single one: (3) Max M i ai + j cj xj where M is a large number, larger than anything subtracted from it. If one minimizes j cj xj then the combined objective function is Min M i ai + j cj xj
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The Big M Method

The simplex method algorithm requires a starting bfs. Previous problems have found starting bfs by using the slack variables as our basic variables. If an LP have or = constraints, however, a starting bfs may not be readily apparent. In such a case, the Big M method may be used to solve the problem. Consider the following problem.

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2003 Brooks/Cole

Example
Bevco manufactures an orange-flavored soft drink called Oranj by combining orange soda and orange juice. Each orange soda contains

0.5 oz of sugar and 1 mg of vitamin C. Each ounce of orange juice

contains 0.25 oz of sugar and 3 mg of vitamin C. It costs Bevco 2 to produce an ounce of orange soda and 3 to produce an ounce of orange juice. Bevcos marketing department has decided that each 10oz bottle of Oranj must contain at least 30 mg of vitamin C and at most

4 oz of sugar. Use linear programming to determine how Bevco can

meet the marketing departments requirements at minimum cost.
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The Big M Method

Let x1 = number of ounces of orange soda in a bottle of Oranj x2 = number of ounces of orange juice in a bottle of Oranj

x1

x2

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The Big M Method

Letting x1 = number of ounces of orange soda in a bottle of Oranj x2 = number of ounces of orange juice in a bottle of Oranj The LP is: min z = 2x1 + st 3x2 4 (sugar constraint) (Vitamin C constraint) (10 oz in 1 bottle)

0.5x1 + 0.25x2 x1 + x1 + x1, 3x2 x2 x2

20 = 10 0

The LP in standard form is shown on the next slide.

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The Big M Method

The LP in standard form has z and s1 which could be used for BVs but row 2 would violate sign restrictions and row 3 no readily apparent basic variable. Row 1:-z + 2x1 + Row 2: Row 3: Row 4: 3x2 =0 = 4 0.5x1 + 0.25x2 + s1 x1 + x1 + 3x2 x2

- s2 = 20 = 10

In order to use the simplex method, a bfs is needed. To remedy the predicament, artificial variables are created. The variables will be labeled according to the row in which they are used as seen below. The basic variables are in red: Row 1:-z + 2x1 + 3x2 =0

Row 2:
Row 3: Row 4:
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0.5x1 + 0.25x2 + s1
x1 + x1 + 3x2 x2 - s2 + a2

= 4
= 20 + a3 = 10 2003 Brooks/Cole

The Big M Method

If all artificial variables in the optimal solution equal zero, the solution is optimal. If some artificial variables are positive in the optimal solution, the problem is infeasible.
The Bevco example continued: Initial Tableau

Row 0 1 2 3

z -1.00

x1 2.00 0.50 1.00 1.00

19

x2 3.00 0.25 3.00 1.00

s1 1.00

e2

a2 M 1.00

a3 M

-1.00

1.00

rhs 0.00 4.00 20.00 10.00

2003 Brooks/Cole

4.10 The Big M Method

Pivot 1 0 1 2 3 ero 1 0 1 2 3 ero 2 0 1 2 3 ero 3 0 1 2 3 ero 4 0 1 2 3 z 1.00 x1 2M- 2 0.50 1.00 1.00 x1 2M- 2 0.50 0.33 1.00 x1 (2M-3)/3 0.50 0.33 1.00 x1 (2M-3)/3 0.42 0.33 1.00 x1 (2M-3)/3 0.42 0.33 0.67 x2 4M -3 0.25 3 1.00 x2 4M -3 0.25 1 1.00 x2 0.25 1 1.00 x2 1.00 -1.00 s1 1.00 -0.33 s1 1.00 -0.33 s1 1.00 1 1.00 x2 0.33 1.00 a3 0.33 1.00 a3 e2 -M 1.00 a2 1.00 a3 s1 e2 -M a2 a3 rhs 30M 4.00 20.00 10.00 rhs 30M 4.00 6.67 10.00 rhs (60+10M)/3 4.00 6.67 10.00 rhs (60+10M)/3 2.33 6.67 10.00 rhs (60+10M)/3 2.33 6.67 3.33 16 6.67 10 ero ratio ero Row 0 + M(Row 2) + M(Row 3)

z 1.00

Row 2 divided by 3 ero Row 0 - (4M-3)*(Row 2)

z 1.00

e2 a2 (M-3)/3 (3-4M)/3

z 1.00

e2 a2 (M-3)/3 (3-4M)/3 0.08 -0.08 -0.33 0.33 e2 a2 (M-3)/3 (3-4M)/3 0.08 -0.08 -0.33 0.33 0.33 -0.33

ero Row 1 - 0.25*(Row 2)

z 1.00

s1 1.00

1.00 a3

ero

1.00

Row 3 - Row 2

The Big M Method

Pivot 2 0 1 2 3 ero 1 0 1 2 3 ero 2 0 1 2 3 ero 3 0 1 2 3 ero 4 0 1 2 3 z 1.00 x1 (2M-3)/3 0.42 0.33 0.67 x1 (2M-3)/3 0.42 0.33 1.00 x1 0.42 0.33 1.00 x1 x2 s1 1.00 1 x2 s1 1.00 1 x2 s1 1.00 1.00 x2 s1 1.00 0.33 1.00 x1 1.00 x2 s1 1.00 1.00 1.00 e2 (M-3)/3 0.08 -0.33 0.33 e2 (M-3)/3 0.08 -0.33 0.50 e2 -0.50 0.08 -0.33 0.50 e2 -0.50 -0.13 -0.33 0.50 e2 -0.50 -0.13 -0.50 0.50 a2 (3-4M)/3 -0.08 0.33 -0.33 a2 (3-4M)/3 -0.08 0.33 -0.50 a2 (1-2M)/2 -0.08 0.33 -0.50 a2 (1-2M)/2 0.13 0.33 -0.50 a2 (1-2M)/2 0.13 0.50 -0.50 rhs (60+10M)/3 2.33 6.67 1.00 3.33 a3 rhs (60+10M)/3 2.33 6.67 1.50 5.00 a3 rhs (3-2M)/2 25.00 2.33 6.67 1.50 5.00 a3 rhs (3-2M)/2 25.00 -0.63 0.25 6.67 1.50 5.00 a3 rhs (3-2M)/2 25.00 -0.63 0.25 -0.50 5.00 1.50 5.00 a3 ratio 5.60 20.00 5.00 ero

z 1.00

(Row 3)*(3/2) ero Row 0 + (3-2M)*(Row 3)/3

z 1.00

z 1.00

ero Row 1 - (5/12)*Row 3)

z 1.00

ero

Optimal Solution
Row 2 -(1/3)*Row 3