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OPERATIONS RESEARCH

Micha Kulej

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Articial Starting Solution

The Big M Method

The linear programming problem in which all constraints are () with nonnegative right-hand sides offers a all-slack starting basic feasible solution. Problems with (=) and/or () constraints need to use articial variables to the beginning of simplex algorithm. There are two methods: the M-method(also called the Big M-method) and the Two-Phase method.

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Articial Starting Solution

The Big M Method

Example

max Z = 2x1 + x2 3x3 x1 + x2 + x3 6 2x1 + x2 = 14 x1 , x2 , x3 0 After converting to standard form we have: max Z = 2x1 + x2 3x3 x1 + x2 + x3 s1 = 6 2x1 + x2 = 14 x1 , x2 , x3 , s1 0

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Articial Starting Solution

The Big M Method

Adding Articial Variables

The above system of equations is not in basic form - there is not a basic variable in each equation. If the equation i does not have a slack (or a variable that can play the role of a slack), an articial variable, ai , is added to form a starting solution similar to the all-slack basic solution. However, because the articial variables are not part of the original linear model, they are assigned a very high penalty in the objective function, thus forcing them (eventually) to equal zero in the optimal solution. In the considering example we add two articial variables a1 and a2 .

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Articial Starting Solution

The Big M Method

Penalty Rule for Articial Variables.


Given M , a sufciently large positive value (mathematically, M ), the objective coefcient of an articial variable represents an appropriate penalty if:
Articial variable objective coefcient = M , in maximization problems M , in minimization problems.

So we have: max Z = 2x1 + x2 3x3 Ma1 Ma2 a1 +x1 + x2 + x3 s1 = 6 a2 +2x1 + x2 = 14 x1 , x2 , x3 , s1 , a1 , a2 0

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Articial Starting Solution

The Big M Method

The Big M Method Calculations


First and second simplex tableau are as follows:
cB M M 2 M BV a1 a2 Z x1 a2 Z a1 1 0 0 1 2 3M + 2 a2 0 1 0 0 1 0 x1 1 2 3M 2 1 0 0 x2 1 1 2M 1 1 1 M+1 x3 1 0 M + 3 1 2 2M 1 s1 1 0 M 1 2 2M 2 Solution 6 14 20M 6 2 2M + 12 6/1 = 6 14/2 = 7 2/2 = 1

The optimal simplex tableau: cB BV 2 x1 0 s1 Z a1 a2 x1 x2 1 1 1 0 2 2 1 1 1 0 2 2 M M +1 0 0 x3 s1 Solution 0 0 7 1 1 1 3 0 14

Optimal solution is: x1 = 7, s1 = 1, x2 = x3 = 0 with Z = 14.


Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 6 / 41

Articial Starting Solution

The Big M Method

No Feasible Solution - an Example


The use of the penalty M will not force an articial variable to zero level in the nal simplex iteration if LPP does not have a feasible solution (i.e. the constraints are not consistent). In this case, the nal simplex tableau will include at least one articial variable at positive level. Solve the problem : max Z = 2x1 + 2x2 6x1 + 4x2 24 x1 5 x1 , x2 0 The standard form: max Z = 2x1 + 2x2 s1 +6x1 + 4x2 = 24 x1 s2 = 5 x1 , x2 , s1 , s2 0
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 7 / 41

Articial Starting Solution

The Big M Method

Using The Big M Method to Solve the Problem

It is enough to add only one articial variable : max Z = 2x1 + 2x2 Ma2 s1 +6x1 + 4x2 = 24 a2 +x1 s2 = 5 x1 , x2 , s1 , s2 0

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Articial Starting Solution

The Big M Method

The Big M Method Calculations

cB BV 0 s1 M a2 Z

x1 x2 s2 Solution s1 a2 1 0 6 4 0 24 24/6 = 4 0 1 1 0 1 5 5/1 = 5 0 0 M 2 2 M 5M s1


1 6 1 6

cB BV 2 x1 M a2 Z

1 6M

1 3

a2 x1 0 1 1 0 0 0

x2
2 3 2 3

2 3M

2 3

s2 Solution 0 4 1 1 M M + 8

The last simplex tableau is optimal - all Z - row coefcients are nonnegative. The articial variable a2 is basic variable with positive value so the problem is not consistent - it has no feasible solutions.

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Articial Starting Solution

The Two-Phase Method

The Essence of The Two-Phase Method


This method solves the linear programming problem in two phases: Phase I attempts to nd a starting feasible solution and, if one is found, Phase II is used to solve the original problem. Phase I Put the problem in equation form, and add the necessary articial variables to the constraints to get starting feasible basic solution. Next, nd a basic solution of the resulting equations that, regardless of whether the problem is maximization or minimization, always minimizes the sum of the articial variables. If minimum value of the sum is positive, the problem has no feasible solution, which ends the process. Otherwise, proceed to Phase II. Phase II Use the feasible solution from Phase I as starting feasible basic solution for original problem.

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Articial Starting Solution

The Two-Phase Method

Example
We use this method to solve the following problem: max Z = 4x1 + x2 3x1 + x2 = 3 4x1 + 3x2 6 x1 + 2x2 4 x1 , x2 0 Using s2 as a surplus in the second constraint and s3 as a slack in the third constraint, the standard form of the problem is given as: max Z = 4x1 + x2 3x1 + x2 = 3 4x1 + 3x2 s2 = 6 x1 + 2x2 + s3 = 4 x1 , x2 , s2 , s3 0
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 11 / 41

Articial Starting Solution

The Two-Phase Method

The Model with Aricial Variables - Phase I


The third equation has its basic variable (s3 ) but the rst and second do not. Thus we add the articial variables a1 and a2 and we minimize the sum of the articial variables a1 + a2 . The resulting model is given as: 3x1 + x2 4x1 + 3x2 x1 + 2x2 x1 , x2 , s2 , s3 , a1 , a2 0 min Z a = a1 + a2 +a1 s2 +a2 +s3 = 3 = 6 = 4

Taking a1 , a2 , s3 as a basic variables and using formula (2) for computing coefcients of Z a - row we obtain the rst simplex tableau: cB BV 1 a1 1 a2 0 s3 Za
Micha Kulej (Wroc Univ. of Techn.)

x1 x2 s2 a1 a2 s3 Solution 3 1 0 1 0 0 3 4 3 1 0 1 0 6 1 2 0 0 0 1 4 7 4 1 0 0 0 9
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Articial Starting Solution

The Two-Phase Method

The Optimal Simplex Tableau of Phase I


Now we use simplex algorithm for minimization problem and receive (after two iterations) the following optimum tableau: cB BV 0 x1 0 x2 0 s3 Za x1 x2 s2 1 1 0 5 3 0 1 5 0 0 1 0 0 0
3 5 4 5

s3 Solution 3 0 5 3 6 0 5 5 1 1 1 1 1 1 0 0

a1

a2 1 5

Because minimum Z a = 0. Phase I produces the basic feasible 6 3 , x2 = 5 , s3 = 1. We can eliminate columns for a1 and solution x1 = 5 a2 from tableau and move to Phase II.

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Articial Starting Solution

The Two-Phase Method

Phase II
After deleting the articial columns, we write the original problem as max Z = 4x1 + x2 3 = 5 x1 +1 5 s2 6 x2 3 = 5 5 s2 s2 +s3 = 1 x1 , x2 , s2 , s3 0 Now we can begin the simplex algorithm with the following simplex tableau: cB BV x1 x2 s2 s3 Solution 1 3 0 4 x1 1 0 5 5 6 3 1 x2 0 1 5 0 5 0 s2 0 0 1 1 1 1 18 0 Z 0 0 5 5 Because we are maximizing, this is the optimal tableau. The optimal 18 3 , x2 = 6 solution is x1 = 5 5 and Z = 5 .
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 14 / 41

Articial Starting Solution

The Two-Phase Method

Removal of Articial Variables after Phase I


The removal of the articial variables and their columns at the end of Phase I can take place only when they are all nonbasic. If one or more articial variables are basic (at zero level) at the end of Phase I, then the following additional steps must be undertaken to remove them prior to start of Phase II.

Step 1. Select a zero articial variable to leave the basic solution (choosing the leaving variable) and designate its row as the pivot row. The entering variable can be any nonbasic variable with a nonzero(positive or negative) coefcient in the pivot row. Perform the associated simplex iteration. Step 2. Remove the column of the (just-leaving) articial variable from the tableau. If all the zero articial variables have been removed, go to Phase II. Otherwise, go back to Step 1. Remark All commercial packages use the two-phase method to solve linear programming problems.
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 15 / 41

Sensitivity Analysis

Changes in Objective Coefcients

Changes in Objective Coefcients


The sensitivity analysis is concerned with how changes in an parameters of the linear programming model affect the optimal solution. Let us consider the following problem (described in the basic form) of manufacturing two products W1 and W2 from two row materials S1 , S2 : max Z = 3x1 + 2x2 s1 +2x1 + x2 = 100 s2 +x1 + x2 = 80 s3 +x1 = 40 x1 , x2 , s1 , s2 , s3 0 [Maximizing the revenue] [Limit on row material S1 ] [Limit on row material S2 ] [Demand on W1 ]

The optimal solution of the model is x1 = 20, x2 = 60 with Z = 180. We want to determine the range of values of parameter (i.e. coefcient of objective function - unit price of product W1 in our example ) over which the optimal solution remain unchanged.
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 16 / 41

Sensitivity Analysis

Changes in Objective Coefcients

The Optimal Simplex Tableau of the Problem


cB BV 3 x1 2 x2 0 s3 Z s1 s2 s3 x1 x2 Solution 1 -1 0 1 0 20 -1 2 0 0 1 60 -1 1 1 0 0 20 1 1 0 0 0 180

Let us assumed that unit price of W 1 equals 3 + . Then we have: cB BV 3 + x1 2 x2 0 s3 Z s1 s2 s3 x1 x2 Solution 1 1 0 1 0 20 1 2 0 0 1 60 1 1 1 0 0 20 1 + + 1 0 0 0 180

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Sensitivity Analysis

Changes in Objective Coefcients

Possibly Changes of Values of c1

The optimal solution remains optimal as long as all the Z row coefcients are nonnegative, so we get: 1+ 0 + 1 0 Solving these system inequalities we obtain that [1, 1]. Thus optimal solution will remain optimal for values of price of W1 belonging to the interval [2,4].

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Sensitivity Analysis

Changes in Right-Hand Side

Changes in Right-Hand Side


Now we examine how the optimal solution to linear problem will changes if the right-hand side of a constraint is changed. For example we consider the constraint for row material S1 (coefcient b1 = 100). Changing in bi will leave Z - row of simplex tableau unchanged but will change the the solution column of the simplex tableau. If at least one coefcient becomes negative, the current solution is no longer feasible. So we look for the value of for which the following system equalities is consistent: 2x1 + x2 = 100 + x1 + x2 = 80 s3 + x1 = 40 x1 , x2 , s1 , s2 , s3 0

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Sensitivity Analysis

Changes in Right-Hand Side

Matrix Form of System Equations


We describe this system in matrix form: 2 1 0 x1 100 + 1 1 0 x2 = 80 s3 1 0 1 40 Multiplying both sides of this equations by the inverse matrix of the coefcients matrix we get: 1 0 100 + 2 1 0 x1 0 x2 = 1 1 0 80 0 40 1 0 1 s3

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Sensitivity Analysis

Changes in Right-Hand Side

The Inverse Matrix of Basis

The inverse matrix we could obtain from the optimal simplex tableau. It is consisting of the columns in the optimal tableau that correspond to the initial basic variables BV = {s1 , s2 , s3 }(taking in the same order): 1 1 1 0 2 1 0 1 1 0 = 1 2 0 1 1 1 1 0 1

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Sensitivity Analysis

Changes in Right-Hand Side

Hence we get: 0 100 + 1 1 0 0 1 2 0 80 0 40 1 1 1 For the current set of basic variable (basis) to remain optimal we require that the following system of inequalities holds: 20 + 0 60 0 20 0 The solution remains optimal (basic variable x1 , x2 , s3 ) as long as [20, 20] or if between 80 and 120 row material S 1 (b1 [80, 120], where the current amount is b1 = 100) are available.

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Dual Problem

Denition Of the Dual Problem

Associated with any linear programming problem is another linear problem, called the dual problem (Dual in short). Now we explain how to nd the dual problem to the given LPP, we discuss the economic interpretation of the dual problem and we discuss the relation that exist between an LPP (called Primal) and its dual problem. We consider the LPP with normal (canonical) form : max Z = c1 x1 + c2 x2 + + cn xn a11 x1 a21 x1 . . . + + a12 x2 a22 x2 . . . + + + + a1n xn a2n xn . . . b1 b2

am1 x1 + am2 x2 +

+ amn xn bm

xj 0 (j = 1, 2, . . . , n) The original problem is called the primal.


Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 23 / 41

Dual Problem

Denition Of the Dual Problem

Dual Problem of LPP if Primal is in Canonical Form

The dual problem is dened as follows: min W = b1 y1 + b2 y2 + + bm ym a11 y1 + a21 y2 + a12 y1 + a22 y2 + . . . . . . a1n y1 + a2n y2 + + am1 ym c1 + am2 ym c2 . . . + amn ym cn

yi 0 (i = 1, 2, . . . , m)

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Dual Problem

Denition Of the Dual Problem

The Construction of the Dual Problem from the Primal Problem

min W (y1 0) (y2 0) . . . y1 y2 . . .

(ym 0) ym

max Z (x1 0) (x2 0) x1 x2 a11 a12 a21 a22 . . . . . . am 1 am 2 c1 c2

(xn 0) xn a1n a2n . . . amn cn

b1 b2 . . . bm

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Dual Problem

Denition Of the Dual Problem

Example
The Furniture Company STYLE manufactures tables and chairs. A table sells for $160, and chair sells for $200. The demand for tables and chairs is unlimited. The manufacture of each type of furniture require labor, lumber, and inventory space. The amount of each resource needed to make tables and chairs and daily limit of available resources is given in the following table:
Resource Labor(hours) Lumber((feet )3 ) Inventory space((feet )2 ) Resources needed Table Chair 2 4 18 18 24 12 Amount of resource available(hours) 40 216 240

STYLE wants to maximize total revenue.

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Dual Problem

Denition Of the Dual Problem

Primal and Dual of the Example Problem


Primal problem max z = 160x1 + 200x2 2x1 + 4x2 40 18x1 + 18x2 216 24x1 + 12x2 240 x1 , x2 0. Dual problem min w = 40y1 + 216y2 + 40y3 2y1 + 18y2 + 24y3 160 4y1 + 18y2 + 12y3 200 y1 , y2 , y3 0.
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 27 / 41

Dual Problem

Economic Interpretation of Duality

Interpretation of Dual for STYLE


Suppose there is an entrpreneur who wants to purchase all of Styles resourses i.e. 40 hours of labor, 210 (feet )3 of lumber and 240(feet )2 of inventory space. Then he must determine the price he is willing to pay for a unit of each of STYLEs resources. Let y1 , y2 i y3 be the price for one hour of labor, one cubic feet of lumber and one square feet of inventory space. We show that the resource prices should be determine by solving the dual problem. The total price the entrepreneur must pay for the resources is 40y1 + 216y2 + 240y3 and since he wish to minimize the cost of purchasing the resources he wants to: minimize W = 40y1 + 216y2 + 240y3 . But he must set resource prices high enough to induce STYLE to sell its resources.
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 28 / 41

Dual Problem

Economic Interpretation of Duality

Interpretation of Dual for STYLE


For example, he must offer STYLE at lest $160 for a combination of resources that includes 2 hours of labor, 18 cubic feet of lumber and 24 square feet of inventory space, because STYLE could use these resources to manufacture table that can be sold for $160. Since he is offering 2y1 + 18y2 + 24y3 for the resources used to produce table, he must choose y1 , y2 , y3 to satisfy 2y1 + 18y2 + 24y3 160. Similar reasoning for the chair gives: 4y1 + 18y2 + 12y3 200. The sign restrictions y1 , y2 , y3 0 must also hold. So we see that the solution to the dual of STYLE problem does yield prices for labor, lumber and inventory space.
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 29 / 41

Dual Problem

Economic Interpretation of Duality

Finding the Dual to any LPP

We illustrate how to nd the dual problem on the following example: max z = 2x1 + x2 x1 + x2 = 2 2x1 x2 3 x1 x2 1 x1 0 x2 Unrestricted min w = 2y1 + 3y2 + y3 y1 - Unrestricted y2 0 y3 0 y1 + 2y2 + y3 2 y1 y2 y3 = 1.

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Dual Problem

Economic Interpretation of Duality

Rules for Construction of Dual


The general conclusion from the preceding example is that the variables and constraints in the primal and dual problems are dened by rules in the following table: Maximization problem Constraints = Variables 0 0 Unrestricted Minimization problem Variables 0 0 Unrestricted Constraints =

Table: Rules for construction the Dual Problem

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Dual Problem

Primal-Dual Relationships

The Key Relationships between the Primal and Dual


Theorem
The dual of the dual problem yields the original primal problem.

Theorem (Weak duality property)


If we choose any feasible solution to the primal and any feasible solution to the dual, the W value for the feasible dual solution will be at least as large as the Z value for the feasible primal solution. Let x = [x1 , x2 , . . . , xn ]T be any feasible solution to the primal and y = [y1 , y2 , . . . , ym ] be any feasible solution to the dual. Then (Z value for x) (W value for y) From this theorem results two properties:
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 32 / 41

Dual Problem

Primal-Dual Relationships

Property
= (x = (y 1 , x 2 , . . . , x n ) and y 1 , y 2 , . . . , y m ) are feasible solutions of If x primal problem and dual problem respectively such that m = W , then x 2 + . . . + bm y 1 + b2 y n = b1 y 2 + . . . + cn x 1 + c2 x Z = c1 x must be optimal must be optimal solution for primal problem and y solution for dual problem.

Property
If the primal(dual) is unbounded, then the dual(primal) problem is infeasible.

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Dual Problem

Primal-Dual Relationships

Duality Theorem
Theorem
The following are only possible relations between the primal and dual problems:
1

If one problem has feasible solutions and a bounded objective function(and so has optimal solution), then so does the other problem. If one problem has feasible solutions and an unbounded objective function(and so no optimal solution), then the other problem has no feasible solutions. If one problem has no feasible solutions, then the other problem has either no feasible solution or an unbounded objective function.

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Dual Problem

Primal-Dual Relationships

Interpretation of Optimal Dual Decision Variables

Now we can give an interpretation of the dual problem for of primal maximization problem. We know that for optimal solutions x of dual problem the following equality holds: problem and y m = W 2 + . . . + bm y 1 + b2 y n = b1 y 2 + . . . + cn x 1 + c2 x Z = c1 x i can be interpreted as the contribution to prot by having So each bi y bi units of resource i available for the primal problem. Thus, the i (it is called shadow price) is interpreted as the optimal dual variable y contribution to prot per unit of resource i (i = 1, 2, . . . , m).

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Dual Problem

Reding the Optimal Dual Solution if Primal is a Maximum Problem

Reading Optimal Dual from Z-row of Optimal Simplex Tableau for STYLE
After solving primal problem by simplex method we could read the optimal dual solution from the optimal simplex tableau. Let us consider the LPP for rm STYLE. The optimal simplex tableau is as follows:
Table: Optimal simplex tableau

s1 200 160 0 x2 x1 s3 Z
1 2 1 2

s2 1 18
1 9

6 20

-2
20 3

s3 0 0 1 0

x1 0 1 0 0

x2 1 0 0 0

8 4 48 2240

The basic variables are ZB = {x2 , x1 , s3 } and the basis is 1 1 4 2 0 2 18 0 1 1 B = 18 18 0 . Inverse matrix for B is: B1 = 2 9 0 12 24 1 6 2 1
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Dual Problem

Reding the Optimal Dual Solution if Primal is a Maximum Problem

The Optimal Solution of Dual Problem

(y 1 , y 2 , y 3 ) we can compute using matrix B1 as follows: (y 1 , y 2 , y 3 ) = cB B1 = (200, 160, 0)


1 2 1 2 1 18

0 1 = (20, 20 , 0). 9 0 3 2 1

where the vector cB contains the coefcients of objective function corresponding the basic variables. The optimal dual solution are coefcients of variables s1 , s2 , s3 of Z row optimal simplex tableau.

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Dual Problem

Reding the Optimal Dual Solution if Primal is a Maximum Problem

Reding Dual Solution from Optimal Simplex Tableau


If the primal problem is any form , then the optimal dual solution may be read from Z row optimal simplex tableau by using the following rules: Optimal value of dual variable yi if constraint i is a () equal to coefcient of si in Z row optimal simplex tableau. Optimal value of dual variable yi if constraint i is a () equal to -(coefcient of ei in Z row optimal simplex tableau), where ei is surplus variable. Optimal value of dual variable yi if constraint i is an equality (=) equal to (coefcient of ai in Z row optimal simplex tableau)-M, where ai is articial variable.

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Dual Problem

Reding the Optimal Dual Solution if Primal is a Maximum Problem

Example
max z = 3x1 + 2x2 + 5x5 x1 + 3x2 + 2x3 15 2x2 x3 5 2x1 + x2 5x3 = 10 x1 , x2 , x3 0. To solve the problem we use the M method: max Z = 3x1 + 2x2 + 5x5 Ma2 Ma3 x1 + 3x2 + 2x3 + s1 = 15 2x2 x3 e2 + a2 = 5 2x1 + x2 5x3 + a3 = 10 x1 , x2 , x3 , s1 , a2 , a3 0.
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 39 / 41

Dual Problem

Reding the Optimal Dual Solution if Primal is a Maximum Problem

The Big-M Method, the Last Simplex Tableau


x1 x2 x3 s1 e2 5 4 0 0 1 23 23 9 2 23 0 1 0 23 17 9 1 0 0 23 23 58 0 0 0 51 23 23 a2 5 23 a3 2 23 1 23
7 23

5 x3 2 x2 3 x1 Z

9 23 17 23 58 M 23

M+

9 23

15 23 65 23 120 23 565 23

The dual problem has the following form: min W = 15y1 + 5y2 + 10y3 y1 + 2y3 3 3y1 + 2y2 + y3 2 2y1 y2 5y3 5 y1 0, y2 0, y3 Unrestricted.
Micha Kulej (Wroc Univ. of Techn.) OPERATIONS RESEARCH BIS 40 / 41

Dual Problem

Reding the Optimal Dual Solution if Primal is a Maximum Problem

Optimal Dual Solution

Reading optimal dual solution from optimal simplex tableau we get: The rst constraint is inequality so y1 = row for column s1 ).
51 23

(coefcient of Z

58 The second constraint is inequality so y2 = 23 (- coefcient of Z row for column e2 ).

The third constraint is equality = so y3 = row for column a3 minus M).

9 23

(coefcient of Z

Optimal value of objective function of dual problem is 9 565 51 + 5( 58 W = 15 23 23 ) + 10 23 = 23 and equals optimal value of objective function of the primal problem.

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