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Computational Methods for Management and Economics Carla Gomes

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##### Computational Methods for Management and Economics Carla Gomes

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**Computational Methods forManagement and EconomicsCarla Gomes**Module 6a Introduction to Simplex (Textbook – Hillier and Lieberman)**Algebraic Model for Wyndor Glass Co.**Let D = the number of doors to produce W = the number of windows to produce Maximize P = 3 D + 5 W subject to D ≤ 4 2W ≤ 12 3D + 2W ≤ 18 and D ≥ 0, W ≥ 0.**Wyndor Glass**Edge of Feasible region CPF**LP Concepts**• Corner point feasible solution (CPF solution) – intersection of n (or more; n - number of variables) constraint boundaries; • For any LP with n decision variables two CPF solutions are adjacent to each other if they share (n-1) constraint boundaries • Edge of feasible region – intersection of the (n-1) constraint boundaries shared by two adjacent CPF solutions • Optimality test – for any LP problem that possesses at least one optimal solution, if a CPF solution has no adjacent CPF solutions that are better (as measure by Z) then it must be an optimal solution**3D feasible region**Edge of feasible region between two CPFS’s the edge is the line that lies at the intersection of the common constraint boundaries of the two CPFS’s**Corner Point Solutions**• Corner-point feasible solution – special solution that plays a key role when the simplex method searches for an optimal solution. Relationship between optimal solutions and CPF solutions: • Any LP with feasible solutions and bounded feasible region • (1) the problem must possess CPF solutions and at least one optimal solution • (2) the best CPF solution must be an optimal solution If the problem has exactly one optimal solution it must be a CFP solution If the problem has multiple optimal solutions, at least two must be CPF solutions**Simplex Method**Iterative procedure involving the following steps: • Initialization – find initial CPF solution • Optimality test if optimal stop if not optimal go to next iteration • Iteration – find a better CPF solution; go to 2.**Geometric View Point of Simplex Method**Iterative procedure involving the following steps: • Initialization – find initial CPF solution Whenever possible pick (0,0) as initial solution • Optimality test – (check value of Z of adjacent CPF solutions) • Iteration – find a better CPF solution; go to 2. • Consider edges that emanate from current CPF solution and pick the one that increases Z at a faster rate • Stop at the first new constraint boundary**Wyndor Glass**Let D = the number of doors to produce W = the number of windows to produce Maximize P = 3 D + 5 W Z=30 1 2 Z=36 Edge of Feasible region 3 Z=27 Z=0 0 CPF**Simplex – Key Concepts**• Concept 1 – CPF solutions • Simplex methods focuses only on CPF solutions (finite set) • Concept 2 – Flow of simplex method Iterative procedure: • Initialization – find initial CPF solution • Optimality test if optimal stop if not optimal go to next iteration • Iteration – find a better CPF solution; go to 2. • Concept 3– Initialization • Whenever possible pick the origin; otherwise special procedure**Simplex – Key Concepts (cont.)**• Concept 4 – Path to optimal solution • Simplex methods always chooses a CPF solution adjacent to the current one • The entire path to the optimal solution is along the edges of the feasible solution • Concept 5 – Choice of new CPF solution • From a CPF solution consider all edges emanating from it but it does not solve for each adjacent CPF solution – it simply identifies the rate of improvement in Z along a given edge and than it picks the one with the largest improvement • Concept 6– Optimality Test • From a given CPF solution check if there is an edge that gives a positive rate of improvement in Z. If not, current CPF is optimal.**s1**0 4 • x1 Setting up Simplex Method for Algebraic Procedure • Algebraic procedure – solving systems of equations converting inequalities into equalities introduction of slack variables • Slack variables • x1 ≤ 4 x1 + s1 = 4 ; s1 = 4 - x1 • x1 ≤ 4 x1 + s1 = 4 and s1 ≥ 0 • Meaning of Slack variables • 0 – the solution lies on the constraint boundary • >0 – solution lies on the feasible region • <0 – solutions lies on the infeasible region • LP Augmented form – standard form + slack variables**Graphical Representation**Augmented solution – solution for original variables + slack variables Basic solution augmented corner point solution; Basic feasible solution augmented corner point feasible solution;**Simplex as an algebraic procedure**• System of functional constraints n (5) variables (5) and m (3) equations 2 degrees of freedom, (i.e., we can set those two variables to any arbitrary values); they are the nonbasic variables; the other variables are the basic variables; • Simplex chooses to set the non-basic variables to ZERO. • Simplex solves the simultaneous equations to set the values of the basic variables;**Properties of Basic Solutions**A basic solution is composed of: • Non-basic variables – • number of non-basic variables equals (total number of variables - number of functional constraints) • They are set to ZERO • Basic variables – • number of basic variables equals number of functional constraints • Their values results from solving the system of functional constraints (non-basic variables set to 0) • They form the Basic Feasible solution – it is a basic solution that satisfies the non-negativity constraints Adjacent basic feasible solutions – all but one of their basic (non-basic) variables are the same moving from one basic feasible solution to an adjacent one involves switching one variable from non-basic to basic and one variable from basic to non-basic (check graph)**Getting ready for the Simplex**• Standard form • <= constraints • Non-negativity constraints on all variables • Positive right hand sides (if these assumptions are not valid additional adjustments need to be done) • Transform the objective function and constraints into equalities (introduction of slack variables) What’s wrong with this format? maximize 3x1 + 2x2 - x3 + x4 x1 + 2x2 + x3 - x4 5; -2x1 - 4x2 + x3 + x4 -1; x1 0,x2 0 not equality not equality not equality/negative x3 may be negative**Simplex Procedure**• Initialization – origin whenever possible (decision variables 0) (okay if standard form with positive RHS’s; basic feasible solution (BFS): each equation has a basic variable with coefficient 1 (slack variable = RHS) and the variable does not appear in any other eq; the decision variables are the non-basic variables set to 0) • Optimality test – is current BFS optimal? (the coefficients of the objective function of the non-basic variables gives the rate of improvement in Z )**Simplex Procedure (cont.)**• Iteration – move to a better adjacent BFS a)Variable entering the basis • Consider non-basic variables (Graphically - Consider edges emanating from current CPF solution) • Pick the variable that increases Z at a faster rate b)Variable leaving the basis • One of the basic variables will become non-basic; write all the basic variables as a function of the entering variable; the most stringent value (i.e., smallest) will be the value for the new entering variable; the basic variable associated with the most stringent constraint will become non-basic, leaving the basis. (Graphically – where to stop? As much as possible without leaving the feasible region) c)Solving for the new BFS • Objective of this step: convert the system of equations into a more convenient form: (1) to perform optimality test and (2) to perform next iteration if necessary • New basic variable should have coefficient 1 in the equation of the leaving variable and 0 in all the other equations, including the objective function; • Valid operations: • Multiplication (or division) of an equation by a non-zero constant • Addition (or subtraction) of a multiple of an equation to (from) another eqution**Simplex Method in Tabular Form**• Tabular form – more compact form – it records only the essential information namely: • Coefficients of variables • The constants on the right hand sides • Basic variable in each equation Note: only xj vars are basic and non-basic – we can think of Z as the basic var. of objective function.**Simplex Method in Tabular Form**• Assumption: Standard form max; only <= functional constraints; all vars have non-negativity constraints; rhs are positive • Initialization • Introduce slack variables • Decision variables non-basic variables (set to 0) • Slack variables basic variables (set to corresponding rhs) • Transform the objective function and the constraints into equality constraints • Optimality Test • Current solution is optimal iff all the coefficients of objective function are non-negative**Simplex Method in Tabular Form (cont.)**• Iteration: Move to a better BFS • Step1 Entering Variable – non-basic variable with the most negative coefficient in the objective function. Mark that column as the pivot column. • Step2 Leaving basic variable – apply the minimum ratio test: • Consider in the pivot column only the coeffcients that are strictly positive • Divide each of theses coefficients into the rhs entry for the same row • Identify the row with the smallest of these ratios • The basic variable for that row is the leaving variable; mark that row as the pivot row; • The number in the intersection of the pivot row with the pivot column is the pivot number**Simplex Method in Tabular Form (cont.)**• Iteration: Move to a better BFS • Step3 Solve for the new BFS by using elementary row operations to construct a new simplex tableau in proper form • Divide pivot row by the pivot number • for each row (including objective function) that has a negative coefficient in the pivot column, add to this row the product of the absolute value of this coefficient and the new pivot row. • for each row that has a positive coefficient in the pivot column, add to this row the product the new pivot row.multiplied by the negative of the coefficient.**Wyndor Glass1st Simplex Tableau**Optimal? Entering Variable?**What variable will enter the basis? Why?**What variable will leave the basis? Why? What transformations do we need to perform to the tableau to get the new basic variable into the right format?**What operations did we perform?**1 – divide the pivot row by 2; 2 – multiplied the new pivot row by (-2) and added it to eq. 3 3 – multiplied the new pivot row by (5) and added it to eq. 0 What are the new basic / non-basic variables?**Optimal?**Entering Variable?**What operations did we perform?**1 – divide the pivot row by ; 2 – multiplied the new pivot row by ( ) and added it to eq. 1 3 – multiplied the new pivot row by ( ) and added it to eq. 0 What are the new basic / non-basic variables?