Simplex Method

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Introduction

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Basic concepts

.

)(4.1

Ax = b

x n b m A
. (m < n)m n = A ) m = ( A,b
m A .

.
Iteration
) (
n m
Nonbasic variables m
.Basic variables

.

.
A
]A = [B, N

B m m N
) . m (n m
Bx B = b ) x = (x B , x N x B m
) x = (x B ,0 . Ax = b
Basic feasible solution
:
- -
1
) x = (xB , x N x N = 0, x B = B b
).(4.1
x B 0 x .
x B x N

. x B

.
x
:
--
:
x1 + x2 4
x2 2
x1 0
x2 0

x3 x4
:
)(4.2

x1 + x 2 + x 3 = 4
x2 + x4 = 2

x1 , x 2 , x 1 , x 4 0

:
1 1 1 0
= ] A = [a 1 , a 2 , a 3 , a 4

0 1 0 1

--
:
.
.

0
0

0
0

x3
= = xN
x4
x2
= = xN
x3

x1
2
= x B = = B 1b
x2
2
x1
4
= x B = = B 1b
x4
2

x1 0
= = xN
x 4 0
x1 0
= = xN
x 3 0

x2
2
= x B = = B 1b
x3
2
x2
4
= x B = = B 1b
x4
2

x1 0
= = xN
x 2 0

x3
4
= x B = = B 1b
x4
2

] B = [a 1 , a 2
] B = [a 1 , a 4

] B = [a 2 , a 3
] B = [a 2 , a 4
] B = [a 3 , a 4

.
:

)(4.3

2
4
0
0
2
0
2
0
= x 1 = , x 2 = , x 3 = , x 4
0
0
2
4




0
2
0
2

. 4
2
:
0
0

0
2

4
0

2
2

)(4.2

))(x04212,402

.


. A

4
!4
=6
=
! 2 2!2

.
a 1 , a 3
. .

)(4.4

!n
! )m !(n m

n
m

= .

.
x1 0 x1 x1 = 0
. x1 0 x1 + x2 4 x3
x1 + x2 4 = x3 = 0 . x1 + x2 4

.

x4 = 0
x2 = 0
.
.
Degenerate solution
--
:

4
2
6
0

x1 + x2
x2
x1 + 2 x2
x1

x2 0
x4 x3 x5

:
x1 + x 2 + x 3 = 4
x2 + x4 = 2
x1 + 2 x 2 + x5 = 6
x1 , x 2 , x1 , x 4 , x5 0

-- . x1 + 2 x2 6
.
x12
)(0,4

)(2,2

)(4,0

)(2,0

)(0,2

)(0,0

1 1 1 0 0
A = [a 1 , a 2 , a 3 , a 4 , a 5 ] = 0 1 0 1 0
1 2 0 0 1

] : B = [a 1 , a 2 , a 3
x 4 0
= = xN
x 5 0

x1
2

1
x B = x 2 = B b = 2
x 3
0

. x3 = 0

] B = [a 1 , a 2 , a 4
x 3 0
= = xN
x 5 0

x1
2

1
x B = x 2 = B b = 2
x 4
0

] B = [a 1 , a 2 , a 3
] B = [a 1 , a 2 , a 5
0
0

x3
= = xN
x4

x1
2

1
x B = x 2 = B b = 2
x 5
0

) ( x1 , x 2 , x 3 , x 4 , x 5 ) = (2 ,2 ,0,0,0

.


.

Degenerate

--
A m n . m K
x :
x0

)(4.5

Ax = b,

x K x
.
:
) x = ( x1 , x2 , , x m ,0, ,0 ) (4.5
:
x1a 1 + x 2 a 2 + + x m a m = b

) a 1 , a 2 , , a m ( A .
x
:
yz

y, z K

0< <1

x = y + (1 ) z

x, y, z
0 < < 1 ) y, z
( n m . :
y1 a 1 + y 2 a 2 + + y m a m = b
z1a 1 + z2 a 2 + + zm a m = b

+ ( y m z m )a m = 0

( y1 z1 )a 1 + ( y2 z2 )a 2 +

a 1 , a 2 , , a m
y i zi = 0

i = 1, , m

x = y = z x
. K
x . K
).(4.5
x x1 , x 2 , , x k
xi > 0 i = 1, , k

)(4.6

x1a 1 + x 2 a 2 + + x k a k = b,

x
a 1 , a 2 , , a k .
:
y1a 1 + y 2 a 2 + + y k a k = 0

)(4.7

yi . y
)y = ( y1 , y 2 , , y k ,0, ,0
1 i k

xi > 0 > 0 :
x + y 0,

x y0

) (4.6 ) (4.7

)
)a

(
+( x

)
y )a

( )
y )a + ( x

(x
(x

y1 a 1 + x 2 y 2 a 2 + + x k y k a k = b

=b

x + y K

+ yk

x y K ,

1
1
x y + x+ y
2
2

=x

x
. K x
) .(4.5 .


.--

.


.

. K
) (4.5
.
--
:
}K = {x: Ax = b, x 0

A m n . m
. .
.
.
:
. a 1 , a 2 ,, a n A ) x = ( x1 , x 2 , , x n
. :

x1 a 1 + x 2 a 2 + + x n a n = b

p
x1 , x 2 , , x p
x1 a 1 + x 2 a 2 + + x p a p = b

)(4.8

:
: a 1 , a 2 , , a p .
p = m . p < m
m p m .

.
: a 1 , a 2 , , a p .
y1 , y 2 , , y p :
y1 a 1 + y 2 a 2 + + y p a p = 0

)(4.9

)(4.8

) (4.9 :

y1 a 1 + x 2 y 2 a 1 + + x p y p a p = b

(x

yi
.

xi

, yi > 0
yi

= min

x y p 1 .

.
. .

Simplex algorithm

:
)(4.10

cTx
Ax = b
x0

min
s. t.

Ax = b
x 0
.
) (4.4 .
20
10

m = 10, n = 20 = 184756 :
. ) (4.10


.
x 0
.
)
( .
.
) -- (
: :

.
m A B
) ( N
] A = [B, N xB xN
c B c N
.
) (4.10 :
T

cB xB + cN xN

)(4.11

min
s. t.

Bx B + Nx N = b
xB , xN 0

B
x N = 0 Bx B = b
. x B = B 1b :
zo = c TB B 1b

x B
) (4.11 :
x B = B 1b B 1Nx N

z = c TB B 1b B 1 Nx N + c NT x N
)(4.12

z = c TB B 1b + c TN c TB B 1 N x N

rj x j
j

z = zo +

r j = c j u j
u j = (c BT B 1N) j = c BT B 1a j

)(4.12

z
) ( . rj = c j z j B
:

B 1N
I
B 1b

T 1
T 1
T
rN = c N c B B N 0 c B B b

) (4.12 .
a k xk
rk a k xk
) (
z :
z = zo + rk xk

--
rj 0

.
: xi 0
rj 0 z ) (4.12:
Optimality Condition

z z 0

* x rj 0
.
-- :

rj > 0
.
rj 0 rk = 0
xk
.
: :

. xi > 0, i = 1,, m a k k > m

. x 0
m ) (
a k : k = m + 1, , n
:
a 1 x1 + a 2 x 2 + + a m x m = b
a k = a 1 y1k + a 2 y 2 k + + a m y mk

0 :
+( x m y mk )a m + a k = b

( x1 y1k )a 1 + ( x2 y2 k )a 2 +

a k
a s a k
:
)(4.13

xi
x
, yik > 0 = s
yik
y sk

= min
i

.
i
.

yik

.
:
Ax = b
:

)(4.14

+ x1

= y1,0
= y 2 ,0

+ x2

+ x m = y m,0

y1,m+1 x m+1 + + y1,n x n

y 2 ,m+1 x m+1 + + y 2 ,n x n
y m,m+1 x m+1 + + y m,n x n

x1 , x2 , , xm
x m+1 , x m+ 2 , , x n:
:
y1,0
y 2 ,0

0
0

1 0
0 1

y1,n
y 2 ,n

y1,m+1
y 2 , m+ 1

y m,0

0 0

y m ,n

y m , m+ 1

,

m
: