6s-1 Linear Programming

Two - phase Simplex Method

6s-2 Linear Programming

Preview
 When a basic feasible solution is not readily available, the
two-phase simplex method may be used as an alternative to
the big M method.
 In the two-phase simplex method, we add artificial variables
to the same constraints as we did in big M method. Then we
find a BFS to the original LP by solving the Phase I LP.
 In the Phase I LP, the objective function is to minimize the
sum of all artificial variables.
 At the completion of Phase I, we reintroduce the original LP’s
objective function and determine the optimal solution to the
original LP.
6s-3 Linear Programming

The Two-phase Simplex Method

 Step 1
Modify the constraints so that the right-hand side of each constraint is
nonnegative. This requires that each constraint with a negative right-
hand side be multiplied through by -1.
 Step 2
Identify each constraint that is now an = or ≥ constraint. In step 3, we
will add an artificial variable to each of these constraints.
 Step 3
Convert each inequality constraint to standard form.
For ≤ constraint i, we add a slack variable si;
For ≥ constraint i, we add an excess variable si;
6s-4 Linear Programming

The two-phase simplex method

 Step 4
For now, ignore the original LP’s objective function.
Instead solve an LP whose objective function is min
w =(sum of all the artificial variables). This is called
the Phase I LP. The act of solving the phase I LP
will force the artificial variables to be zero.
6s-5 Linear Programming

The two-phase simplex method

Since each ai≥0, solving the Phase I LP will result in one of the
following three cases:
 Case 1
The optimal value of w is greater than zero. In this case, the
original LP has no feasible solution.
 Case 2
The optimal value of w is equal to zero, and no artificial variables
are in the optimal Phase I basis. In this case, we drop all columns
in the optimal Phase I tableau that correspond to the artificial
variables. We now combine the original objective function with
the constraints from the optimal Phase I tableau. This yields the
Phase II LP. The optimal solution to the Phase II LP is the optimal
solution to the original LP.
6s-6 Linear Programming

The two-phase simplex method

 Case 3
The optimal value of w is equal to zero and at least
one artificial variable is in the optimal Phase I basis.
In this case, we can find the optimal solution to the
original LP if at the end of Phase I we drop from the
optimal Phase I tableau all nonbasic artificial
variables and any variable from the original problem
that has a negative coefficient in z-row of the optimal
Phase I tableau.
6s-7 Linear Programming

Phase I and II feasible solutions

 Suppose the original LP is infeasible. Then the only way to
obtain a feasible solution to the Phase I LP is to let at least one
artificial variable be positive. In this situation, w>0 will result.
 On the other hand, if the original LP has a feasible solution,
this feasible solution is feasible in the Phase I LP and yields
w=0. This means that if the original LP has a feasible solution,
the optimal Phase I solution will have w=0.
6s-8 Linear Programming

Example

min z=2x1+3x2
s.t. 1/2x1+1/4x2≤4 (sugar constraint)
x1+ 3x2≥20 (vitamin C constraint)
x1+ x2=10 (10 oz in bottle of Oranj)
x1,x2≥0
6s-9 Linear Programming

Example
 Solution
As in the Big M method, step 1-3 transform the
constraints into

1/2 x1+1/4x2+s1 =4
x1+ 3x2 -s2+A2 =20
x1 + x2 +A3 =10
6s-10 Linear Programming

Example
Step 4 yields the following Phase I LP:

min w = A2+A3
s.t. 1/2 x1+1/4x2+s1 =4
x1+ 3x2 -s2+A2 =20
x1+ x2 +A3 =10
This set of equations yields a starting BFS for Phase
I(s1=4,A2=20,A3=10).
6s-11 Linear Programming

Example
 Note:
The z-row for this tableau (w-A2-A3=0) contains the basic
variables A2 and A3. As in the Big M method, A2 and A3
must be eliminated from z-row before we can solve Phase
I.
To eliminate A2 and A3 from z-row,
z-Row : w -A2-A3 =0
+Row 2: x1+3x2-s2+A2 =20
+Row 3: x1+ x2 +A3=10
=New z-row : w +2x1+4x2-s2 =30
6s-12 Linear Programming

Example
Combining the new z-row with the Phase I
constraints yields the initial Phase I tableau:
Initial Phase I tableau
Basic
var x1 x2 s1 s2 A2 A3 rhs ratio
s1 ½ ¼ 1 0 0 0 4 16
A2 1 ③ 0 -1 1 0 20 20/3*
A3 1 1 0 0 0 1 10 10
w 2 4 0 -1 0 0 30

Note: Phase I problem is always a min problem, even if the

original LP is a max problem.
6s-13 Linear Programming

Example

After performing the necessary row operations, we

obtain the second tableau.

Phase I tableau after one iteration

Basic
Var x1 x2 s1 s2 A2 A3 rhs ratio
s1 5/12 0 1 1/12 -1/12 0 7/3 28/5

x2 1/3 1 0 -1/3 1/3 0 20/3 20

A3 2/3 0 0 1/3 -1/3 1 10/3 5*

w 2/3 0 0 1/3 -4/3 0 10/3

6s-14 Linear Programming

Example
After performing the necessary row operations, we
obtain the third tableau.

Phase I tableau after two iteration

Basic
var x1 x2 s1 s2 A2 A3 rhs
s1 0 0 1 -1/8 1/8 -5/8 ¼

x2 0 1 0 -1/2 ½ -1/2 5

x1 1 0 0 1/2 -1/2 3/2 5

w 0 0 0 0 -1 -1 0
6s-15 Linear Programming

Example
Since w=0, Phase I has been concluded. The basic
feasible solution s1=1/4,x2=5,x1=5 has been found.
Since no artificial variables are in the optimal Phase I
basis, the problem is an example of Case 2.
We now drop the columns for the artificial variables
A2 and A3 and reintroduce the original objective
function.
min z=2x1+3x2 or z-2x1-3x2=0
6s-16 Linear Programming

Example
Since x1 and x2 are both in the optimal Phase I basis, they must
be eliminated from the Phase II z-row .
Phase II z-row : z-2x1-3x2 =0
+3(row 2): 3x 2-3/2s2=15
+2(row 3): 2x1 +s2=10
= New Phase II row 0: z -1/2s2=25
We now begin Phase II with the following set of equations:
min z -1/2s2=25
s.t s1-1/8s2=1/4
x2 -1/2s2=5
x1 +1/2s2=5
This is optimal.
The optimal solution is z=25 x1=5 x2=5 s1=1/4 s2=0.
6s-17 Linear Programming

Example
 We modify the problem that 36 mg of vitamin C
are required. Then, we know that this problem is
infeasible. We begin with the original problem:
min z=2x1+3x2
s.t. 1/2x1+1/4x2≤4 (sugar constraint)
x1+ 3x2≥36 (vitamin C constraint)
x1+ x2=10 (10 oz in bottle of Oranj)
x1,x2≥0
6s-18 Linear Programming

Example
 Solution
After completing steps 1-4 of the two-phase simplex,
we obtain the following Phase I problem:
min w= A2+A3
s.t. 1/2 x1+1/4x2+s1 =4
x1+ 3x2 -s2+A2 =36
x1+ x2 +A3 =10
From this set of equations, we see that the initial Phase
I BFS is s1=4,A2=36 and A3=10.
6s-19 Linear Programming

Example
Since the basic variables A2 and A3 occur in the
Phase I objective function, they must be eliminated
from the Phase I z-row.
z-Row: w -A2-A3 =0
+Row 2: x1+3x2-s2+A2 =36
+Row 3: x1+ x2 +A3 =10
=New z-row: w +2x1+4x2-s2 =46
6s-20 Linear Programming

Example
With the new w-row, the initial Phase I tableau is:
Basic
var x1 x2 s1 s2 A2 A3 rhs ratio
s1 ½ ¼ 1 0 0 0 4 16

A2 1 3 0 -1 1 0 36 12

A3 1 ① 0 0 0 1 10 10*

w 2 4 0 -1 0 0 46

x2 to enter, A3 to leave the basis, the new tableau is:

W’ x1 x2 s1 s2 A2 A3 rhs

s1 ¼ 0 1 0 0 -1/4 3/2

A2 -2 0 0 -1 1 -3 6

x2 1 1 0 0 0 1 10

w -2 0 0 -1 0 -4 6
6s-21 Linear Programming

Example
 Since no variable in row w has a positive
coefficient, this is an optimal Phase I tableau.
 Since the optimal value of w is 6>0, the original
LP must have no feasible solution.
6s-22 Linear Programming

Remarks
 As with the Big M method, the column for any
artificial variable may be dropped from future
tableaus as soon as the artificial variable leaves the
basis.
 The Big M method and Phase I of the two-phase
method make the same sequence of pivots. The
two-phase method does not cause roundoff errors
and other computational difficulties.