Today, we consider the decomposition algorithm and we explain this decomposition algorithm

using this example.

This problem is the linear programming problem, maximization objective with four variables

and six constraints and all Xj greater than or equal to 0. We can solve this using any

of the techniques of linear programming that we have learnt till now, but we are going

to introduce a newer version of simplex or a new technique which is called the decomposition

of algorithm which is going to be used to solve this problem.

Let us take a closer look at this set of constraints. There are six constraints, but we observe

that the first two constraints involve only the first two variables. The next two constraints

involve the next two variables, X3 and X4, and these two constraints have all the variables.

One of the things we can do is that, if we relax the problem which means we remove some

of the constraints by relaxing the problem. If we relax these two constraints and look

at only the other four, though we realize that this problem can be split into two linear

programming problems: one of which will be maximize 6X1 plus 5X2 subject to these two

constraints; The other will be maximize 3X3 plus 4X4, subject to these two constraints,

by removal of certain number of constraints from the problem, or by relaxing the problem

by removing the constraints. The given problem can be decomposed into more

than one linear programming problem, more than one independent linear programming problem.

So, we exploit that idea. The first thing is that, if we remove these two and solve

the resultant linear programming problem and if it turns out that the optimum solution

to the resultant problem satisfies this, then it is also optimum to the original problem.

More often that will not happen. We will also have to consider these two constraints.

The method that we will adopt is first, remove these two constraints and treat them as two

independent problems and then ensure that the solution obtained to those independent

problems, also in some way or the other meet these constraints so that the optimum solution

can be obtained. Now, before we even proceed further, let us

see, why we are doing this? If we were to solve this as a linear programming

problem, every iteration of the simplex method, would involve all the six constraints, so

it would involve six basic variables and every iteration is to invert a 6 into 6 matrix.

But, if on the other hand, we remove these two and then decompose the problem into two

problems, each having two constraints then in each iteration in principle we are inverting

a 2 into 2 matrix. We are actually inverting two 2 into 2 matrices. We also have to have

some relationship between these constraints and the other one; therefore, there is one

more binding constraint that is added. Effectively, we will be looking at 2 plus

2 plus 3, original problem has 6, but then we will be looking at 2 plus 2 plus 3. We

also understand that inverting a 6 into 6 matrix is a little more computationally intensive

compared to inverting a 2 into 2, another 2 into 2 and another 3 into 3. So, computing

time required to solve this problem becomes lesser, particularly when we write computer

programs and solve. These two constraints which are taken out

are called the master problem constraints, so these are called master problem constrains.

These two are the sub problem constraints which we call as I and II. So, this is a sub

problem constraint, this is another sub problem constraint and so on. Now, the two sub problems

are maximizing 6X1 plus 5X2, subject to this and maximize 3X3 plus 4X4 subject to this.

Actually in every iteration we need to solve this as well as this. Instead, what we will

do to make our computation simpler, we will simply note down the corner points associated

with this and the corner point associated with this so that depending on the objective

function which we will see we will modify slightly depending on the objective function

by a simple substitution of the corner points. We can get the optimum solution quickly, because

we are illustrating this on the blackboard, in a classroom environment.

Ordinarily, every time the sub problem is solved, it should have been solved by the

simplex algorithm. Let us first identify the corner points associated with this and the

corner point associated with this because it is a 2 into 2 problem. We can actually

solve it by the graphical method and try to find out the corner points.

So, the first set of corner points. To do that, we have X1 plus X2, so this is X1 plus

X2 equal to 5. 3X1 plus 2X2 equal to 12 will look like this. This is the corner point (4,0),

this is the corner point (0,0), this is the corner point (0,5) and this will be the corner

point (2,3). These are the four corner points associated with this.

So, we will simply write the four corner points for our reference here; (0,0), (4,0), (0,5)

and (2,3) are the four corner points associated with this. Now, let us find out the corner

point associated with the second one.

This will be the X3 axis, this will be X4 axis, X3 plus 2X4 less than or equal to 8.

2X3 plus X4 less than or equal

to 10. This will be the point (5,0), this is the point (0,0), this is the point (0,4),

this will be the point (4,2).

The four corner point associated with this are: (0,0), (5,0), (0,4) and (4,2), so, these

are the corner points associated with. Now, let us understand one more principle before

we apply the decomposition algorithm.

Now, suppose we have a feasible region like this for a given problem, let us assume that

this is the feasible region. Now, if we add a constraint into this problem, the first

thing that can happen is the feasible region can reduce or the feasible region will remain

the same. These two things can happen. Let us assume that the feasible region reduces,

so let us say, the feasible region comes somewhere here, because of the additional constraint.

If this were the optimum solution before the introduction of the constraint and because

of the introduction of the constraint this optimum solution becomes infeasible. Once

again, it has to be in one of the corner points, now the new optimum solution has to be in

one of these corner points, in these 5 corner points now that we have.

Now, if this were the optimum solution, then this was not a corner point in the first case,

when the new constraint was not added, because the corner point was here. Now this point,

if it is the optimum solution can always be represented as a convex combination of this

point as well as this point because of the convexity property of the feasible region

to a linear programming problem. Any point on the feasible region can always be represented

as a convex combination of one or more corner points. If we expand it to higher dimension

then it becomes convex combination of one or more corner points.

For example, this point can always be represented as lambda1 into this plus lambda2 into this

where lambda1 plus lambda2 is equal to 1. Similarly, any point inside, can also be represented

as a convex combination of the given corner points. As we add more and more constraints

in the feasible region can reduce and the final optimum solution can even be a point

which is inside this need not be on the boundary. Since, any point inside the region can be

represented as a convex combination of corner points, it is enough to look at those corner

points and try to identify which of the corner points are finally going to be part of that

combination, which will eventually give the optimum solution.

What we can do is let us say, we kind of remove this; we get this feasible region, whose corner

points are known here. By the addition of these two, the optimum solution is going to

come into some point inside the feasible region, which is bounded by these corner points. But

please note that these corner points are given as X1, X2, X3 and X4, even though, the solution

to this each point has its own X1, X2, X3. X4. Fact is by the addition of these two,

if the optimum shifts and comes to a point inside the region, it still can be represented

as a combination of these corner points that we are going to have. That is another idea

we will use in the decomposition algorithm. Now, Let us look some little bit of theory

with respect to the decomposition and then we proceed to solve this problem.

Let us assume that the given problem is actually a minimization problem, minimize CX, our example

is maximization; we will see later how we modify this. But right now let us look at

a minimization problem which is of the form minimize CX subject to AX equal to b and X is an element of X. What do we mean

by that?

What we mean by this is if we take this example, this is the maximization problem, but this

can be written as a minimization problem by simply saying minimize minus 6X1 minus 5X2

minus 3X3 minus 4X4.

I have not even written X greater than or equal to 0, I also have to explain, what is

this x and what is this X. So, we could use, let us call this as some small x minimise

Cx, Ax equal to b, x belongs to X, let us use this notation that way. Now, when we apply

this to this the minimize Cx is intact, because that is the same as this, minimize minus 6X1

minus 5X2 minus 3X3 minus 4X4. Now, Ax equal to b or actually the master constraints so

these two are the ones that are associated with this Ax equal to b.

Now, x belongs to X, it simply means that this X represents the set of corner points

of these two. In some sense x belongs to X, comes out of this. If we consider this problem,

minimize Cx, subject to Ax equal to b, x belongs to X, this is the master problem constraints.

These are the corner points of the sub problems. Now, we have also said that, every point is

going to be represented as a convex combination of the corner points. What we are going to

do is this x will be written as some lambdaj Xj, where Xj are these corner points. When

we write this the problem will now reduce to minimize sigma Cj, lambdaj, Xj subject

to A lambdaj Xj less than or equal to b, sigma lambdaj is equal to 1, because it is represented

as a convex combination of the corner points.

For example here, when we said that this can be written as lambda1X1 plus lambda2X2, where

X1 and X2 are corner points, lambda1 plus lambda2 equal to 1. This can also be written

as lambda1X1 plus lambda2X2 plus lambda3X3, lambda1 plus lambda2 plus lambda3 equal to

1. When we start represent it, introduce the lambda and start representing it as the combination

of the corner points, we need the linking constraint which is sigma lambdaj equal to

1.

Since every point inside this region also has to satisfy the master constraints so the

point itself is lambdaj Xj, so it will satisfy the constraint sigma A lambdaj Xj less than

or equal to b or equal to b depending on how the problem is defined. When we say here,

it is equal to b, it means the inequalities have been converted to equations.

Here, we simply retain the inequalities as it is, we may say plus a slack variable equal

to b or plus a surplus variable if it were greater than or equal to constraint; Therefore,

the problem reduces to something like this. Now, for this problem, we are actually trying

to solve the only difference being all these Xjs are corner points, which are given here.

Any point X, inside this region, which actually satisfies this set of constraints, optimizes

this objective and has this lambda. Now, this is the solution to the problem.

The problem now becomes one of not solving for the Xjs, but solving for the lambdas.

The lambdas now become decision variables, because the Xjs are known corner points, these

are the corner points. So, the lambda has become the decision variables for this. Now,

this one I have written in a certain form, we may put a summation here in which case

we can put sigma aij lambdaj Xj is equal to bi. We can either write it as individual constraints

or keep the whole thing as the vector. In principle, what I am trying to explain

here is that these Xjs are the corner points, so at any point inside, which will be the

solution, is now represented as sigma lambdajXj and therefore this problem gets, rewritten

in this format. I have also explained this equation versus inequality.

When I write an equation here, I assume that the inequalities have been already converted

to an equation, where the addition of suitable slack variables or surplus variables. When

I write an inequality here, I assume that we are yet to add, the slack variable or the

surplus variable. If we want to be consistent with these two, we can even say that, Xj equal

to bi, which means, that we have added the slack variables and surplus variables associated

with this.

Now, as I said the focus now shifts on finding out the lambdaj which become the variables

or which are essentially the weights that are associated with each corner point.

Now, we can start solving this problem by doing a few things, if we are able to get

a feasible solution to the problem, for example, this is the convenient example, where all

these constraints are less than or equal to constraints. Therefore the point 0, 0, 0,

0 is basic feasible for this. Particularly, when we leave out both these, we have four

constraints on the point 0, 0, 0, 0 is basic feasible. We could start with lambda1 equal

to 0, 0, 0, 0, which is a corner point. So, we can start with lambda1 for this. Now, these

two are the master problem constraints and these two constraints are also less than or

equal to constraints. The corresponding slack variables can be added here. We can add an

S1 here and we can add an S2 here, so S1 and S2 automatically qualify to be basic variables.

So, we can start solving this problem, with the basis, which comprises of S1, S2 and lambda1.

The first basis we can have for this is as follows.

It is given by S1, S2, lambda1 still have S1, S2, lambda1 and right hand side we will

have the identity matrix 1 0 0, 0 1 0, 0 0 1, with values bi, bi are 7 and 17. The right

hand side values are 7 and 17 and for this constraint, the right hand side value is 1,

so it is 1.

We have also defined lambda1, this is our first starting point, it will be 0, 0, 0,

0, which comes out of these two. Now, because we have a basic feasible solution with 0,

0, 0, 0, we can start this, otherwise we may have to introduce an artificial variable for

this and then begin with the artificial variable. Right now, we are going to solve this numerical

example and the point 0, 0, 0, 0 is basic feasible. We simply start with the lambda1

which is 0, 0, 0, 0, which takes weight equal to 1. The current basic feasible solution

to the problem is actually the solution 0, 0, 0, 0.

We have to find out Cj minus Zj or Zj minus Cj, which will be 0 0 0 and 0 here. Now, this

is the starting basis as far as this problem is concerned, which means this basic feasible

solution has one corner point which is the point 0, 0, 0, 0. Right now, this has a solution

with Z equal to 0, so if we substitute 0, 0, 0, 0 here, we will get the solution Z equal

to 0. We need to verify whether this solution is

optimum. Now in order to verify whether this solution is optimum we need to find out whether

there is an entering variable. We have not written the entire table, we have written

only that part of the simplex table which contains the basis matrix b, the right hand

side and the Zj minus Cj under b which can always give us the dual variables. We know

by now, that Zj minus Cj the way the notation that we have used, particularly in the earlier

course on the fundamentals of O.R, where we covered linear programming extensively. We

also mentioned that if we use Zj minus Cj and if we do not have artificial variables,

exactly under the identity matrix, the beginning identity matrix we can always read the solution

to the dual of this problem. This helps us in reading the solution of the dual directly.

Now, several corner points are possible, in fact, right here, there are four here and

there are four here, sixteen corner points are possible. Now, we have to check for all

the sixteen Cj minus Zjs. If they cannot enter, then we have reached the optimal solution.

So, one way is to generate all the sixteen and then try and find out the Cj minuss Zj

associated with all the sixteen. For example, we had a much larger problem,

it was decomposed into three sub problems and let us say, there were five corner points

in each, then we are looking at 5 into 5 into 5, 125 variables. We do not want to store

all the corner points and then verify, whether these corner points can enter. Instead, what

we do is we try and follow the column generation idea that we saw in the cutting stock problem.

Then check that if there is a corner point that can enter the basis, if there is a lambda

that can enter the basis, because each corner point is associated with the lambda. If there

is a lambda that can enter the basis, we now generate that corner point and say that this

corner point can enter the basis with the certain lambda. We follow the column generation

idea and we do not explicitly store all the combinations of the corner points.

How do we generate, an entering corner point or entering lambda. In order to enter, we

have we need to make sure that Zj minus Cj, so, it is a minimization problem.

Zj minus Cj, since it is a minimization problem, a positive Zj minus Cj will enter the basis.

We have seen for maximization problem, a Positive Cj minus Zj will enter. For a minimization

problem, a positive Zj minus Cj will enter. Please remember, we have defined this problem

as the minimization problem. It is only incidental, our numerical illustration is a maximization,

but this problem is a minimization problem where a positive Zj minus Cj will enter. If

there is a j, if there is a corner point, whose Zj minus Cj is greater than 0, then

such a j can enter. Now, what is this Zj. Zj equal to yPj, Zj is always equal to CB

b inverse Pj, so that will be equal to yPj minus Cj is greater than 0 where y is the

associated dual variable.

Now, in this problem, if we look at this primal, here we have as many constraints as the master

constraints. In our illustration two constraints, this will give rise to two dual variables.

This is always a single constraint, so this will give rise to one dual variable. We will

now, instead of calling the dual variable by y which is the customary notation, we would

now introduce dual variables w and alpha where since there are two constraints here we will

have w1 and w2 and there is one constraint here we will have alpha.

What happens here is this y becomes (w, alpha). What is Pj? Pj is an entering column yPj,

CB b inverse Pj, so yPj is entering column.

The entering column right now, any entering column here, will be of the form, aXj, 1 because

the lambdaj is the variable. So you need to take this variable outside, so the entering

column will be of the type aXj, 1.

You will have w alpha into AXj, 1, minus Cj should be greater than 0 and this is Cj now

becomes CjXj from here, because lambdaj is the variable. So, Cj becomes Cj Xj greater

than 0. Let me explain this again. In order for a new variable to enter the basis, because

it is minimization problem, in general, Zj minus Cj should be greater than 0. In general

Zj is written as yPj minus Cj greater than equal to 0, where y is the dual variable,

Pj is the entering column and Cj is the objective function coefficient of the entering variable,

now, all these are general equations. We are adapting this to the problem on hand.

Now, because our problem is structured specifically this way there are as many constraints here

as in the master problem where we have to introduce dual variable w, this will be w1,

w2, w is the vector, this is always a single constraint, so introduce an alpha. So y becomes

w alpha. If there is an entering lambdaj, lambdaj is the variable, Xj is not, so if

there is an entering lambdaj, then the coefficient will be aXj 1, so we will get aXj 1.

Remember that, this is in matrix, this is the single thing so there will be two ws.

There will be two values coming here, there is 1 alpha, there is just a 1, minus Cj is

the objective function coefficient of the entering variable. The entering lambda will

have an objective function coefficient of CXj or CjXj greater than or equal to 0.

Now, this can be expanded to wA minus C into Xj plus alpha greater than 0. We also know

that this Xj is the corner point corresponding to this and this, because every X is written

as lambdajXj, where Xj is the corner point. Therefore, because Xj is the corner point,

Xj has to satisfy this and this, set of constraints. What we want to do now is if there is an Xj,

which satisfies this and this and has a value wA minus CXj plus alpha greater than 0, then

such a corner point can enter the basis with an associated lambdaj.

We do the usual thing of this being strictly greater than, we say that we now want to maximize

wA minus C into Xj, subject to Xj belongs to some X, where this X is the set of corner

points. Then, we find out such an Xj and then enter the corresponding lambdaj into the solution.

For a given objective function this is equivalent to solving the two sub problems. With this,

bit of theory, let us go back and see whether there is an entering corner point whose lambda

has to enter the basis.

To do that, we go back and now check. We want to find out wA minus C into Xj plus alpha.

So, let us write this wA minus cï¿½. Now, from this solution. We also said that this

being a simplex table and this being the identity matrix, there are no artificial variables

and we are computing Zj minus Cj, Zj minusminus Cj will automatically give us the values of

the dual. These two values will be w1 and w2, because they correspond to S1 and S2.

S1 and S2 were obtained from this and w is the dual variable for this, so w1 and w2 are

seen here, alpha is seen here, alpha corresponds to this. Alpha corresponds to this lambda1.

Alpha is seen here so from this right now, the ws are all 0.

We want to maximize this right now, the ws are all 0, so, wA minus C Xj, they are all

0, plus alpha. Right now, we will have maximize minus CXj. Alpha is also 0. Now, remember

the original problem is minimize Cx, this problem has to be written as minimize minus

6 minus 5 minus 3 minus 4. The C vector is minus 6 minus 5 so this is C. Because the

given maximization problem has to be written as a minimization problem, because the theory

this is derived for a minimization problem, so the C vector becomes minus 6 minus 5 minus

3 minus 4. Maximize minus CXj will now become maximize

6X1 plus 5X2 plus 3X3 plus 4X4, subject to X belonging to this. So, this is decomposed

into two problems. The first problem being maximized 6X1 plus 5X2, subject to this constraint

and the second one is to maximise 3X3 plus 4X4, subject to this constraint. So, we now

have to solve two linear programming problems. One is a 2 into 2 problem, the other is a

2 into 2 problem, to get the solution to this, subject to the condition, that Xj belongs

to corner point. Because these two are linear programming problems and we know the corner

points of the feasible region. Ordinarily, this is not the best way to solve this; each

one has to be solved as an LP as we go through iterates. Because we are solving a much smaller

problem and each of the sub problems has only two constraints and it is a 2 into 2, we have

simply stored the corner points, just to make the ease of computation possible for us.

In practice when we are actually solving a very large LP, we will not a priori compute

all the corner points and keep it. At every stage, we will be solving a linear programming

problem within the decomposition. Let me again repeat, only to make the computation simple,

I have just written down all the corner points. Since we know all the corner points, we can

go back and find out what is the best value. So (0, 0) will give 0. (4, 0) will give 24.

(0, 5) will give 25 (2, 3) will give 27, 6 into 2 is 12 plus 5 into 3 is 15. This gives

the optimum solution (2, 3). Second one is 3X3 plus 4X4, so 3X3 is 15, here it is 16,

now 4 into 3 is 12, plus 2 into 4 is 8, is 20. So, (4, 2) is optimal, this is 27, this

is 20, so Z equal to 47. So value of Z is equal to 47 and the corner point (2, 3, 4,

2) enters the basis. So, the first corner point that will enter the basis is lambda2

which is (2, 3, 4, 2).

We now know the entering corner point which is 2, 3, 4, 2, but we have to find out the

leaving variable.

In order to find out the leaving variable, we need to find out Pbarj. So, Pbarj is equal

to b inverse Pj and this is always b inverse, so Pbarj equal to b inverse Pj. Right now,

b inverse is I, so Pbarj equal to Pj. What is Pj? Any entering Pj is AXj, 1. So, this

is Pj, this is equal to AXj 1. Now we have to compute AXj and 1.

AXj is equal to, A comes from the master problems, please note this is the master constraint;

this is the AXj equal to b. So A is 1 1 1 1, 2 1 1 3, 1 1 1 1, 2 1 1 3 into Xj is 2

3 4 2 so this gives us 2 plus 3 is 5 plus 4 is 9 plus 2 is 11, 4 plus 3 is 7 plus 4

is 11 plus 6 is 17. So AXj 1 is 11 17 1.

We have found out the entering column, which is Pbarj, so we just write the entering column

here. This is our lambda2, which is 11 17 and 1 with value equal to 47. The positive

Zj minus Cj will enter the basis, so this lambda1 with lambda2 with 11 17 and 1 enters

the basis. Now, we have to find out the leaving variable and to find the leaving variable,

we will compute a theta. Note that, theta is right hand side divided by the entering

column. So, it is 7 divided by 11, 17 divided by 17 and 1 divided by 1, so minimum theta

leaves the basis. Therefore this will leave the basis and this is your pivot element.

We need to perform one simplex iteration. So we will go back here, to continue with

the simplex iteration. Now, the variable S1 is replaced by the variable lambda2, so you

have lambda2 S2 and lambda 1 with Zj minus minus Cj. Now, divide every element of the

pivot by the pivot element, so we need 1 0 0 here, so divide by the pivot element, you

get 1 by 11 0 0, 7 by 11, 1. Now we need a 0 here, so this minus 17 times

1 will give me 0. So 0 minus 17 into 1 by 11, is minus 17 by 11 1 0. This minus 17 times

this, 17 into 7 is 119. So, 17 minus 119 by 11, 17 into 11 is 187.

17 minus 17 into 7 by 11, this is 187 minus 119 by 11 which is 68 by 11.

We get 68 by 11 here. This will become 0 and we need another 0 here, so, this minus this

will give us 0. So, minus 1 by 11 0 1, 1 minus 7 by 11 is 4 by 11 and a 0 here. We also know

that, we can do the same kind of row operation to try and get a new Zj minus Cj, what we

need is a 0 here. This minus 47 times 1 is 0, so this minus 47 times, is minus 47 by

11 0 0. This minus 47 times, so 47 into 7, is 329. We get minus 329 by 11. This is the

solution.

Now, what is this basic feasible solution tell us, right now from 0 0 0 0, this has

moved to a new point, which is given by lambda1 is equal to 4 by 11, lambda2 is equal to 7

by 11, which, the present point that we are looking at is 4 by 11 into (0, 0, 0, 0) plus

7 by 11 into lambda2, which is (2, 3, 4, 2). This is all 0, so the point is 14 by 11, 21

by 11, 28 by 11 and 14 by 11. This is the point we are right now looking at. What is

the value of the objective of a function? 6X1, 14 into 6 is 84, 5X2, 155 plus 84 is

189, 28 into 3 is another 84, so, 189 plus 4, is 193, 273 plus 56 is 329. So we get 329

by 11, which is the value of the objective function, right now.

From here we have moved on to one iteration and which means from the corner point (0,

0, 0, 0), we have now moved to a corner point 14 by 11, 21 by 11, 28 by 11, 14 by 11, if

we look at the entire problem. But we have not look at the entire problem at a time,

we have arrived this corner point in a slightly different way, by getting this as a convex

combination of two corner points (0, 0, 0, 0) and (2, 3, 4, 2), with weights 4 by 11

and 7 by 11.

When we reached here, we have actually generated an entering column by solving a sub problem.

The sub problem turned out to be solving two independent linear programming problems in

this case. We will not store all the corner points now. We need to check whether this

corner point is optimum, in order to do that, we need to check whether any other lambda

can enter the basis. For any lambda to enter the basis, we again need to find out maximize

wA minus cXj plus alpha. Subject to these two sets of corner points or subject to the

Xj satisfying this and this, both means the same. We now go back and try to solve these

two sub problems. From this, we know that w is minus 47 by 11, 0. So, w is minus 47

by 11.

Then minus 47 by 11, 0 into A is 1 1 1 1, 2 1 1 3, so we are first finding out wA, this

is (minus 47 by 11, minus 47 by 11, minus 47 by 11, minus 47 by 11), this is wA because

0 into 2 1 1 3 is 0. Now, wA minus C equal to minus 47 by 11, minus 47 by 11, minus 47

by 11, 47 by 11, minus c is (minus 6, minus 5, minus 3, minus 4) plus alpha and alpha

is right now at 0. We go back and simplify this. So, this is

6 minus 47 by 11, this is 19 by 11, 66 minus 47 is 19. Now this is 5 minus 47 by 11, which

is 8 by 11. This is 3 minus 47 by 11, which is minus 14 by 11 and 4 minus 47 by 11 is

minus 3 by 11. We now have to solve a problem which maximizes 19 by 11 X1 plus 8 by 11 X2

minus 14 by 11 X3 minus 3 by 11 X4, subject to these two constraints. The sub problem

that we generate now is decomposed into two linear programming problems, which again have

to be solved separately by using the simplex algorithm. But as explained earlier, since

these are all small sized problems, we have stored the corner points and by substituting

the corner points into this, we can find out the objective function value and the optimum

solution. When we look at 19X1 plus 8X2 and minus 14X3

and minus 3 11X4, it is fairly obvious that (0, 0) is an optimum solution to this. You

are maximizing minus 14 by 11 X3 minus 3 by 11 X4, which is minimizing that, therefore

(0 0) is optimum here. For this is concerned, we look at 19X1 plus 8X2 to begin with. This

would give us 0, this is 19 into 4 which is 76, this is 8 into 5 is 40, this is 19 into

2 is 38. So, 38 plus 24 is 62. The point (4, 0) is optimal here. This has 76 by 11, this

is 0, so with Z equal to 76 by 11 we had. So the point 4 0 0 0 enters the basis with

Z equal to 76 by 11. What we do now here, is we enter this point 4 0 0 0 into the basis,

but before we enter that, we have to find out Pbarj and then we need to enter.

Pbarj equal to B inverse Pj and in order to find out Pj we need to do AXj 1, so Pj will be, so first

we do AXj, so AXj is 1 1 1 1, 2 1 1 3 into 4 0 0 0. 1 into 4, plus 1 into 0, plus 1 into

0, plus 1 into 0, is 4. 2 into 4 is 8, so we get 4 8. Now, AXj 1 which is Pj is 4 8

1. Now Pbarj equal to B inverse Pj.

Pbarj is equal to B inverse Pj. This is B inverse, can always be read from this, 1 by

11 minus 17 by 11 minus 1 by 11, 0 1 0, 0 0 1 into 4 8 1. This would give us 4 by 11,

minus 68 by 11 plus 8 which is 20 by 11, 88 minus 68 is 20 by 11. This is minus 4 by 11

plus 4, which is 40 by 11. So, minus 4 by 11 plus 0 plus 1 equal to plus

7 by 11. You get plus 7 by 11. Now, the corner points 4 0 0 0, which will take value lambda3,

will enter the basis with the entering column 4 by 11, 20 by 11, 7 by 11 and with Zj minus

Cj value of 76 by 11. Let us enter that, so what we do now is the kind of keep this column

as some kind of dynamic column, because what we got from here is already available here,

I will erase this as well and I will notionally say ,that another lambda3 is entering the

basis here.

Lambda3 is entering the basis, with values 4 by 11, 20 by 11, 7 by 11 and with a positive

Zj minus Cj value of 76 by 11. Now, we know that variable lambda3 are corner point 4 0

0 0, enters the basis using a variable lambda3. We now need to the find out the leaving variable,

where the leaving variable could any of these three, which is found out by the minimum theta

role. Minimum theta is right hand side divided by the entering column, so 7 by 11 divided

by 4 by 11 is 7 by 4. 68 by 11 divided by 20 by 11 is 68 by 20, which is 34 by 10, which

is 17 by 5 and this is 4 by 7. Now, clearly 4 by 7 is the minimum of the

three, because this is more than 1, this is more than 3 and this is less than 1 so this

variable leaves the basis. When this variable leaves the basis, we need to perform one,

more simplex iteration, where we replace lambda1 with lambda3 and continue with the simplex

algorithm. But before we continue with the simplex algorithm let us again take a very

quick recap of what actually has happened.

What we did was, in this we started with this large linear programming problem and we realised

that by leaving out a certain sets of constraints, the problem is decomposable into smaller size

problems. Those constraints that go out constitute what is called the master problem and the

other constitutes the sub problem. We also exploited the convex combination property

and then we re-wrote the formulation.

Now based on this formulation, we had been carrying out the simplex algorithm and we

have come up to the variable lambda3. We will continue the discussion in the next session.