Tutorial Exercises (Sheet 4)

Two-Phase Algorithm and Goal Programming

Exercise 1 Solve the following LP problem:
max y = 4x1 + 3x2
subject to:
3x1
3x1
4x1

+ 4x2
+ 3x2
+ 2x2

12
10

and
x1 0, x2 0.
Solution

Standard Form:
min z = 4x1 3x2

subject to:
3x1
3x1
4x1

+ 4x2
+ 3x2
+ 2x2

+ x3
+

x4
+

x5

= 12
= 10
= 8

and
x1 0, x2 0x3 0, x4 0, x5 0.
Simplex Algorithm:
BV
z
x3
x4
x5
z

x1
4
3
3
4
0

x2
3
4
3
2
1

x3
0
1
0
0
0

x4
0
0
1
0
0

x5
0
0
0
1
1

RHS
0
12
10
8
8

x3

5
2
3
2
1
2

34

1
0
0
0
1
0

43
1
4
7
10
3
10
3
10
2
5

4
2

x4
x1
z
x2
x4
x1

0
1
0
0
0
1

0
0

0 25
2
1
5
0 35
0 15
1

10 25
2 25
2
5
4
5

The optimal BS is thus given by:


(x1 , x2 , x3 , x4 , x5 ) =


4 12
2
, , 0, , 0 .
5 5
5

and the optimal value (for the max problem) is 10.4.

Exercise 2 Consider the following LP problem:
max y = 4x1 + 3x2
subject to:
3x1
3x1
4x1
x1

+ 4x2
+ 3x2
+ 2x2
+
x2

12
10

and
x1 0, x2 0.
Solution

Standard Form:
min z = 4x1 3x2

subject to:
3x1
3x1
4x1
x1

+ 4x2
+ 3x2
+ 2x2
+
x2

x3
+

x4
+ x5
x6

= 12
= 10
= 8
= 1

and
x1 0, x2 0x3 0, x4 0, x5 0, x6 0.
Introducing artificial variables:
min 4x1 3x2
subject to:
3x1
3x1
4x1
x1

+ 4x2
+ 3x2
+ 2x2
+
x2

+ x3
+ x4
+

x5
x6

= 12
= 10
= 8
= 1

and
x1 0, x2 0x3 0, x4 0, x5 0, x6 0, 0.
Phase I: Introduce

x1
x1

x6
x6

+ x2
+ x2
2

= 0
= 1
= 1

min = 1 x1 x2 x6 .
Simplex Algorithm:
BV

x3
x4
x5

x3
x4
x5
x1

x1
1
3
3
4
1
0
0
0
0
1

x2 x3 x4
1
0
0
4
1
0
3
0
1
2
0
0
1
0
0
0
0
0
1
1
0
0
0
1
2
0
0
1
0
0

x5
0
0
0
1
0
0
0
0
1
0

x6
1
0
0
0
1
0
3
3
4
1

RHS
0
1
0
12
0
10
0
8
1
1
1
0
3
9
3
7
4
4
1
1

Found min = 0.
Phase II: Drop column for and replace row for by original objective
function.
We cannot take simply:
BV
z
x3
x4
x5
x1

x1
4
0
0
0
1

x2 x3 x4
3
0
0
1
1
0
0
0
1
2
0
0
1
0
0

x5
0
0
0
1
0

x6
0
3
3
4
1

RHS
0
9
7
4
1

as this is not a basic representation! Eliminate x1 (as it is basis for Phase I)

from z:
z + 4x1 + 3x2
= 0
x1 +
x2 x6 = 1 4
or better:
z
z

+ 4x1
4x1

3x2
4x2
x2

+ 4x6
+ 4x6

=
0
= 4
= 4

Proceed with Simplex Algorithm:

BV
z
x3
x4
x5
x1
z

x1
0
0
0
0
1
0

x2
1
1
0
2
1
1

x3

x4
x6
x1
z
x2
x4
x6
x1

0
0
1
0
0
0
0
1

5
2
3
2
12
1
2

x3 x4
0
0
1
0
0
1
0
0
0
0
0
0

RHS
4
9
7
4
1
8

34

0
0
0

1
0
0
0
0
1
0
0

34

0
1
0
0
0
0
1
0

4
1
2

25

0
1
0
0
0

x5 x6
0
4
0
3
0
3
1 4
0 1
1
0

2
5
35
1
5
15

1
4
1
4
7
10
3
10
3
10
1
10
2
5

10 52
2 25
2
5
2 15
4
5

As expected: The optimal BS is the same as before:



2
4 12
, , 0, , 0 .
(x1 , x2 , x3 , x4 , x5 ) =
5 5
5
and the optimal value (for the max problem) is 10.4.
Exercise 3 Solve the following LP problem:
max y = 4x1 + 3x2
subject to:
3x1
5x1
x1

+ 4x2
+ 2x2
+
x2

12

and
x1 0, x2 0.
Solution
min z = 4x1 3x2
subject to:
3x1
5x1
x1

+ 4x2
+ 2x2
+ x2

x3
+ x4
x5

=
=
=

and
x1 0, x2 0, x3 0, x4 0, x5 0, 0.
4

12
8
5

Two-Phase Simplex Algorithm:

= = x1 x2 + x5 + 5
BV

x3
x4

x1
1
3
5
1
0

x2

x4

x2
x1

1
0
0
0
1
0

x2
1
4
2
1
3
5
14
5
2
5
3
5

0
1
0
0

x3
0
1
0
0
0

x4
0
0
1
0

x5
1
0
0
1
1

1
5
53
1
5
1
5
1
14
3
14
2
7
1
14

1
0
0
3
14
5
14
71
3
14

RHS
0
5
0
12
0
8
1
5
17
0
5
0

0 0
1 1
1 0
0 0
0 0
1 1

36
5
8
5
17
5
13
7
18
7
4
7
13
7

After Phase I, we see: The minimum of reached is non-zero. Therefore

there is no feasible solution!
Exercise 4 (a) Write a linear program for finding x1 and x2 satisfying:
2x1 + x2 10
and
x1 0, x2 0
and having |x1 2x2 | + | 3x1 x2 | as small as possible (with |.| denoting the
absolute value).
(b) Solve the resulting linear program.
Solution (a) Since x 0: | 3x1 x2 | = 3x1 + x2 . Let x1 2x2 = u v with
u 0 and v 0. Then |x1 2x2 | = |u v| |u| + | v| = u + v. Therefore we
investigate the LP problem:
min u + v + 3x1 + x2
subject to:
2x1 + x2 + x3

10

u v x1 + 2x2

and
x1 , x2 , x3 , u, v 0.

(b) The simplex method results in the following:

x1
3
2
1
x1
4
2
1
x1
72
5
2
12

x2
1
1
2
x2
1
1
2
x2
0
0
1

x3
0
1
0
x3
0
1
0
x3
0
1
0

u
1
0
1

v RHS
1
0
10
0
1
0

u v
0 2
0 0
1 1
u
1
2
12
1
2

The optimum is thus x1 = 0 and x2 = 0.

v
23
1
2
21

RHS
0
10
0
RHS
0
10
0