U.

PORTO
DE ENGENHARIA
FEUP FACULDADE
UNIVERSIDADE DO PORTO
INDUSTRIAL
DEPARTAMENTO DE ENGENHARIA E GESTAO

Optimization Techniques

Theme: Solving Linear Programs1

Learning Objectives
Canonical Form
Ability to transform any linear program to a canonical form:
with nonnegative variables
by replacing each decision variable unconstrained in sign by a difference between two nonnegative
variables. This replacement applies to all equations including the objective function.
with equality constraints
by changing inequalities to equalities by the introduction of slack and surplus variables. For
inequalities, let the nonnegative surplus variable represent the amount by which the lefthand side
exceeds the righthand side; for inequalities, let the nonnegative slack variable represent the
amount by which the righthand side exceeds the lefthand side.
with non-negative righthand-side coefficients
by multiplying equations with a negative righthand side coefficient by -1.
with one basic variable isolated in each constraint
by adding a (nonnegative) artificial variable to any equation that does not have an isolated variable
readily apparent, and construct the BIG M objective function.
Simplex Method
Ability to use the simplex method in tableau form to solve a linear program represented in the
Canonical Form, i.e.:
Ability to determine the starting point to initiate the simplex method.
Ability to write the linear program in tableau form.
Ability to use the improvement mechanism for moving from a point to another point with a better
value of the objective function.
Improvement Criterion
In a maximization (minimization) problem, choose the nonbasic variable that has the most
positive (negative) coefficient in the objective function of a canonical form. If that variable has
a positive coefficient in some constraint, then a new basic feasible solution may be obtained
by pivoting
Ratio and Pivoting Criterion
When improving a given canonical form by introducing variable xs into the basis, pivot in a
constraint that gives the minimum ratio of righthand-side coefficient to the corresponding xs
coefficient. Compute these ratios only for constraints that have a positive coefficient for xs .
Ability to detect termination criteria to indicate when a solution has been obtained.
by demonstrating that there is no feasible solution;
by demonstrating that the solution is optimal;
by demonstrating that the objective function is unbounded over the feasible region.
1

(http://web.mit.edu/15.053/www/)S.P. Bradley, A.C. Hax, and T.L. Magnanti, Applied mathematical programming,
Addison-Wesley, 1977.