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ENGR62/MS&E111 Introduction to Optimization Dr. K.

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Handout 5 July 3, 2002 Page 1 of 4

AN EXAMPLE USING THE BIG-M METHOD

The original problem maximize x1 + 2x2 subject to x1 + x2 2 x1 + x2 1 x2 3 x1 0, x2 0 The problem initialized maximize x1 + 2x2 subject to x1 + x2 x4 x1 + x2 x5 x2 + x3 xj 0, j = 1, . . . , 5 The problem with modied objective maximize x1 + 2x2 M x6 M x7 subject to x1 + x2 x4 + x6 x1 + x2 x5 + x7 x2 + x3 xj 0, j = 1, . . . , 7 = = = = z 2 1 3 = = = = z 2 1 3

ENGR62/MS&E 111

Handout 5

-z z x6 x7 x3 1 0 0 0

x1 -1 1 -1 0

x2 2 1 1 1

x3 0 0 0 1

x4 0 -1 0 0

x5 0 0 -1 0

x6 -M 1 0 0

x7 -M 0 1 0

RHS 0 2 1 3

The current basic variables of this tableau are x3, x6, and x7. The system needs to be put into "canonical form" with respect to this basis: -z z x6 x7 x3 1 0 0 0 x1 -1 1 -1 0 x2 2+2M 1 1 1 x3 0 0 0 1 x4 -M -1 0 0 x5 -M 0 -1 0 x6 0 1 0 0 x7 0 0 1 0 RHS 3M 2 1 3 2 1 3 Ratio

As the coefficient of x2 is positive, we can decrease the value of z. Using the minimum ratio test, x2 will replace x7 as a basic variable. After pivoting we obtain...

ENGR62/MS&E 111

Handout 5

-z z x6 x2 x3 1 0 0 0

x1 1+2M 2 -1 1

x2 0 0 1 0

x3 0 0 0 1

x4 -M -1 0 0

x5 2+M 1 -1 1

x6 0 1 0 0

x7 -2-2M -1 1 -1

RHS -2+M 1 1 2

Ratio

1/2 * 2

Here we observe that z has decreased from 3M to M-2. Further decrease can be achieved by increasing either x1 or x5. We increase x1 as its coefficent is bigger than that of x5. Using the minimum ratio test, x1 will replace x6 as a basic variable. Pivoting leads to -z z x1 x2 x3 1 0 0 0 x1 0 1 0 0 x2 0 0 1 0 x3 0 0 0 1 x4 1/2 -1/2 -1/2 1/2 x5 3/2 1/2 -1/2 1/2 x6 -1/2-M 1/2 1/2 -1/2 x7 -3/2-M -1/2 1/2 -1/2 RHS -5/2 1/2 3/2 3/2 3 1 Ratio

The artificial variables have both been made nonbasic, and z is independent of M. Further decrease in the objective can be achieved by increasing either x4 or x5. We pick x5 as its coefficient is bigger than that of x4. Using the minimum ratio test, x5 replaces x1 as a basic variable. Pivoting gives ...

ENGR62/MS&E 111

Handout 5

-z z x5 x2 x3 1 0 0 0

x1 -3 2 1 -1

x2 0 0 1 0

x3 0 0 0 1

x4 2 -1 -1 1

x5 0 1 0 0

x6 -2-M 1 1 -1

x7 -M -1 0 0

RHS -4 1 2 1

Ratio

* * 1

The tableau reveals that the value of z can be increased further by increasing the value of x4. There is only one pivot choice since there is only one positive coefficient of x4 among the last 3 rows. We see that x4 will replace x3 as a basic variable. The corresponding pivot step yields -z z x5 x2 x4 1 0 0 0 x1 -1 1 0 -1 x2 0 0 1 0 x3 -2 1 1 1 x4 0 0 0 1 x5 0 1 0 0 x6 -M 0 0 -1 x7 -M -1 0 0 RHS -6 2 3 1

This final tableau indicates that an optimal basic feasible solution has been found. The optimal solution found is given by (x1,x2,x3,x4,x5) = (0,3,0,1,2), and the maximum value of the objective function is z = 6.