1

Simplex Method for Bounded Variables

Linear programming problems with lower and upper bounds


Generalizing simplex algorithm for bounded variables


Reference: Chapter 5 in Bazaraa, Jarvis, and Sherali
2
LP Problems with Bounded Variables


In most practical Problems, variables are bounded from
below as well as above:








We can handle the upper bound constraints
implicitly and thus reduce the size of the basis matrix
substationally.
. .
Minimize cx
s t Ax b
l x u
=
s s
( )
x u s
3
Basic Feasible Solution

Consider the system:


Partition A into [B,N
1
,N
2
] such that B is an invertible matrix.
We call it a basis structure.

The basic solution corresponding to this basis structure is
determined in the following manner:






If for all , we say that the solution is a
basic feasible solution.
Ax b
l x u
=
s s
( )
1 2
1
2
1
1 2
j j
j j
B N N
x l for all j N
x u for all j N
x B b N l N u

= e
= e
=
j j j
l x u s s
j B e
4
Basic Feasible Solution (contd)


Consider the solution space given by:






Which is equivalent to:
1 2
1 2
1
2
5
2 4
0 4
1 4
x x
x x
x
x
+ s
+ s
s s
s s
1 2 3
1 2 4
1
2
3
4
5
2 4
0 4
1 4
0
0
+ + =
+ + =
s s
s s
s s
s s
x x x
x x x
x
x
x
x
5
Basic Feasible Solution (contd)

Suppose that x
2
and x
4
are made basic variables, then:





1) Suppose we set x
1
=0 and x
3
=0. Then x
2
=5 and x
4
=-6. The
resulting solution is not a basic feasible solution.

2) Suppose we set x
1
=4 and x
3
=0. Then x
2
=1 and x
4
=6, which is a
basic feasible solution.

In general, what is the maximum number of basic feasible
solutions we can have?
2 1 3
4 1 3
5
6 3 2
= +
= + +
x x x
x x x
6
Optimality Conditions for Minimization Problem


Basic Feasible Solution:







Optimality Conditions:
z x
B
x
N1
x
N2
RHS
z 1 0 c
B
B
-1
N
1
-c
N1
c
B
B
-1
N
2
-c
N2
z
x
B
0 I B
-1
N
1
B
-1
N
2
b
1
2
0
0
j j
j j
z c for all j N
z c for all j N
s e
> e
7
Handling Entering Variable


If the nonbasic variable entering the basis is at its lower
bound, then its value is increased.


If the nonbasic variable entering the basis is at its upper
bound, then its value is decreased.


The amount of increase or decrease is determined by the
constraint that the values of all basic (and nonbasic)
variables remains within their lower and upper bounds.
8
Example
1 2 3
1 2 3
1 2 3
1
2
3
2 4
. . 2 10
4
0 4
0 6
1 4

+ + s
+ s
s s
s s
s s
Minimize x x x
s t x x x
x x x
x
x
x
z x
1
x
2
x
3
x
4
x
5
RHS
z 1 2 4 1 0 0 -1
x
4
0 2 1 1 1 0 9
x
5
0 1 1 -1 0 1 5
The initial simplex tableau:






Entering variable: x
2
Leaving variable: x
5

9
Example (contd)
z x
1
x
2
x
3
x
4
x
5
RHS
z 1 -2 0 5 0 -4 -21
x
4
0 1 0 2 1 -1 4
x
2
0 1 1 -1 0 1 5
Next tableau:









Entering variable: x
3


Leaving variable: x
2

10
Example (contd)
z x
1
x
2
x
3
x
4
x
5
RHS
z 1 3 5 0 0 1 -26
x
4
0 3 2 0 1 1 2
x
3
0 -1 -1 1 0 -1 2
Next tableau:









Entering variable: x
1


Leaving variable: x
4

11
Example (contd)
z x
1
x
2
x
3
x
4
x
5
RHS
z 1 0 3 0 -1 0 -28
x
1
0 1 2/3 0 1/3 1/3 2/3
x
3
0 0 -1/3 1 1/3 -2/3 8/3










The current solution is an optimal solution.
Final tableau: