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CHAPTER 22
Additional Network
and LP Algorithms
The new model determines the flows that minimize the total cost while satisfying
the flow restrictions on the arcs and the supply and demand amounts at the nodes.We first
present the capacitated network flow model and its equivalent linear programming for-
mulation. The linear programming formulation is then used as the basis for the develop-
ment of a special capacitated simplex algorithm for solving the network flow model.
Figure 22.1 depicts these definitions on arc (i, j,). The label [fi] assumes a positive
(negative) value when a net supply (demand) is associated with node i.
22.1
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.2
[ fi] [ fj]
$ cij
i j
FIGURE 22.1 (lij, uij)
Capacitated arc with external flow xij
[150]
$1
[100] 1 4
(50, 80) $2
$1
$4
$3 [50] (70, 120) 6 [120]
$4
3 $2
$5 (100, 120)
$6
FIGURE 22.2 [200] 2 5
Capacitated network for Example 22.1-1 [80]
Example 22.1-1
GrainCo supplies corn from three silos to three poultry farms. The supply amounts at the three
silos are 100, 200, and 50 thousand bushels and the demands at the three farms are 150, 80, and
120 thousand bushels. GrainCo mostly uses railroads to transport the corn to the farms, with the
exception of three routes where trucks are used.
Figure 22.2 shows the available route between the silos and the farms. The silos are repre-
sented by nodes 1, 2, and 3 whose supply amounts are [100], [200], and [50], respectively.The farms
are represented by nodes 4, 5, and 6 whose demand amounts are [ -150], [ -80], and [ -120],
respectively. The routes allow transshipping between the silos. Arcs (1, 4), (3, 4), and (4, 6) are
truck routes. These routes have minimum and maximum capacities. For example, the capacity of
route (1, 4) is between 50 and 80 thousand bushels. All other routes use trainloads, whose
maximum capacity is practically unlimited. The transportation costs per bushel are indicated on
the respective arcs.
1 100 24 1
2 110 26 2
3 95 21 1
4 125 24 2
2. In Problem 1, suppose that back-ordering is allowed at a penalty of $1.50 per unit per
period. Formulate the problem as a network model.
3. In Problem 1, suppose that the production capacities of periods 1 to 4 are 110, 95, 125,
and 100 units, respectively, in which case the given demand cannot be satisfied without
back-ordering. Assuming that the penalty cost for back-ordering is $1.5 per unit per
period, formulate the problem as a network model.
4. Daw Chemical owns two plants that manufacture a basic chemical compound for two
customers at the rate of 660 and 800 tons per month. The monthly production capacity
of plant 1 is between 400 and 800 tons and that of plant 2 is between 450 and 900 tons.
The production costs per ton in plants 1 and 2 are $25 and $28, respectively. Raw
material for the plants is provided by two suppliers, who are contracted to ship at least
500 and 700 tons per month for plants 1 and 2 at the costs of $200 and $210 per ton,
respectively. Daw Chemical also pays for the transportation cost of both the raw
material and the final compound. The costs per ton of transporting the raw material
from supplier 1 to plants 1 and 2 are $10 and $12, respectively. Similar costs from
supplier 2 are $9 and $13, respectively. The transportation costs per ton from plant 1 to
clients 1 and 2 are $3 and $4, and from plant 2 are $5 and $2, respectively. Assuming
that 1 ton of raw material produces 1 ton of the final compound, formulate the
problem as a network model.
5. Two nonintegrated public schools are required to change the racial balance of their
enrollments by accepting minority students. Minority enrollment must be between 30%
and 40% in both schools. Nonminority students live in two communities, and minority
students live in three other communities. Traveled distances, in miles, from the five
communities to the two schools are summarized in the following table:
1 1500 20 12 10 4 5
2 2000 15 18 8 6 5
Student population 500 450 300 1000 1000
1 200 250
2 190 230
3 195 240
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.4
The maximum capacity of the silo is 800 tons. The owner has $100, 000 cash on hand
which can be used to purchase new crops. Also, initially, at the start of month 1, the silo
is half full. It is estimated that the storage cost per ton per month is $10. Surplus cash
earns 1% interest monthly. The objective is to determine the buy/sell policy the owner
must follow to maximize the total cash accumulation at the end of the three-month
season.
Formulate the problem as a network model.
Minimize z = a a cijxij
(i, j) HA
subject to
The new flow variable, xij , has an upper limit of uij - lij. Additionally, the net flow
at node i becomes fi - lij, and that at node j is fj + lij. Figure 22.3 shows the transforma-
tion of activity (i, j) after the lower bound is substituted out.
Example 22.1-2
Write the linear program for the network in Figure 22.2, before and after the lower bounds are
substituted out.
The main constraints of the linear program relate the input and output flow for each node,
which yields the following LP:
Minimize 3 4 1 5 6 1 2 2 4
Node 1 1 1 1 = 100
Node 2 -1 1 1 = 200
Node 3 -1 -1 1 1 = 50
Node 4 -1 -1 1 = -150
Node 5 -1 -1 1 = -80
Node 6 -1 -1 = -120
Note the arrangement of the constraints coefficients. The column associated with variable
xij has exactly one +1 in row i and one -1 in row j, a typical property of network models. The
rest of the coefficients are all 0. This structure is typical of network flow models.
The optimum solution is z = $1, 870, 000 with x13 = 20 (thousand bushels), x14 = 80 ,
x23 = 20, x25 = 180, x34 = 90, x46 = 20, and x56 = 100. All the remaining variables are zero.
The variables with lower bounds are substituted as
x14 = x14
+ 50
x34 = x34
+ 70
x56 = x56
+ 100
The substitution leads to the following LP:
Minimize 3 4 1 5 6 1 2 2 4
Node 1 1 1 1 = 50
Node 2 -1 1 1 = 200
Node 3 -1 -1 1 1 = -20
Node 4 -1 -1 1 = -30
Node 5 -1 -1 1 = -180
Node 6 -1 -1 = -20
Upper bounds q q 30 q q 50 q q 20
The corresponding network after substituting out the lower bounds is shown in
Figure 22.4. Note that the lower-bound substitution can be done directly from Figure 22.2
using the substitution in Figure 22.3 and without the need to express the problem as a linear
program first.
The optimum solution is z = $1, 350 thousand (or z = 1350 + 50 * 1 + 70 * 1 + 100 *
4 = $1870 thousand) with x13 = 20 (thousand bushels), x14
= 30 (or x14 = 30 + 50 = 80 ),
x25 = 180 , x34 = 20 (or x34 = 20 + 70 = 90 ), x46 = 20 , x56 = 0 (or x56 = 0 + 100 = 100 ),
[30]
$1
[50] 1 4
(30) $2
$1
$4
$3 [20] (50) 6 [20]
3 $2 $4
$5 (20)
FIGURE 22.4 $6
[200] 2 5
Network of Example 22.1-2 after substituting
out lower bounds [180]
Because of change in demand, it may be economical to retain more workers than needed in
a given month. The cost of recruiting and maintaining a worker depends on the length of the
employment period, as the following table shows:
Let
xij = number of workers hired at the start of month i
and terminated at the start of month j
For example, x12 gives the number of workers hired in January for 1 month only. To formulate the
problem as a linear program for the 4-month period, we add May as a dummy month (month 5),
so that x45 defines hiring in April for April.
The constraints recognize that the demand for period k can be satisfied by all xij such that
i k 6 j. Letting si 0 be the surplus number of workers in month i, the linear program is given as
x12 x13 x14 x15 x23 x24 x25 x34 x35 x45 s1 s2 s3 s4
Minimize 100 130 180 220 100 130 180 100 130 100
January 1 1 1 1 -1 = 100
February 1 1 1 1 1 1 -1 = 120
March 1 1 1 1 1 1 -1 = 80
April 1 1 1 1 -1 = 170
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.7
The preceding LP does not have the ( -1, +1) special structure of the network flow model
(see Example 22.1-2). Nevertheless, the given linear program can be converted into an equiva-
lent network flow model by using the following arithmetic manipulations:
1. In an n-equation linear program, create a new equation, n + 1, by multiplying equation
n by -1.
2. Leave Equation 1 unchanged.
3. For i = 2, 3, . . . , n, replace each equation i with (equation i) - (equation i - 1).
The application of these manipulations to the employment scheduling example yields the
following linear program, whose structure fits the network flow model:
x12 x13 x14 x15 x23 x24 x25 x34 x35 x45 s1 s2 s3 s4
Minimize 100 130 180 220 100 130 180 100 130 100
January 1 1 1 1 -1 = 100
February -1 1 1 1 1 -1 = 20
March -1 -1 1 1 1 -1 = -40
April -1 -1 -1 1 1 -1 = 90
May -1 -1 -1 -1 1 = -170
Using the preceding formulation, the employment scheduling model can be represented
equivalently by the minimum cost flow network shown in Figure 22.5. Actually, because the arcs
have no upper bounds, the problem can be solved also as a transshipment model (see Appendix
to this section).
The optimum solution is x15 = 100, x25 = 20, x45 = 50, and all the remaining variables are
zero. The following table summarizes the hiring and firing activities over the 4-month horizon.
The total cost is $30, 600.
FIGURE 22.5
Network representation of employment scheduling problem
x15
x14
x13 x35
Month 1 2 3 4 5
(b)
Month 1 2 3 4 5
$6 )
)
40
(0
,
0,
$4 (10, )
$1 $3
[50] 1 2 4 [30]
(0, ) (10, )
[40]
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.9
2
$1 $8
) (50
(60 )
[100] 1 4 [100]
$2 (50)
$4
( $1
) 0)
(9
FIGURE 22.7
3
Network for Problem 5, Set 22.1b
a fi = 0
i=1
The condition says that the total supply in the network equals the total demand.
We can always satisfy this requirement by adding a balancing dummy source or destina-
tion, which we connect to all other nodes in the network by arcs with zero unit cost and
infinite capacity. However, the balancing of the network does not guarantee feasibility,
as this depends on the capacities of the arcs.
We now present the steps of the capacitated algorithm. Familiarity with the sim-
plex method and duality theory (Chapters 3 and 4) is essential. Also, knowledge of the
upper-bounded simplex method (Section 7.3) is helpful.
Step 0. Determine a starting basic feasible solution (set of arcs) for the network. Go
to step 1.
Step 1. Determine an entering arc (variable) using the simplex method optimality
condition. If the solution is optimal, stop; otherwise, go to step 2.
Step 2. Determine the leaving arc (variable) using the simplex method feasibility
condition. Determine the new solution, then go to step 1.
Section 22.1.2, let wi be the dual variable associated with the constraint of node i, then
the dual problem (excluding the upper bounds) is given as
n
Maximize z = a fiwi
i=1
subject to
wi - wj cij, (i, j) H A
wi unrestricted in sign, i = 1, 2, , n
From the theory of linear programming, we have
wi - wj = cij, for basic arc (i, j)
Because the original linear program (Section 22.1.2) has one redundant constraint by
definition, we can assign an arbitrary value to one of the dual variables (compare with
the transportation algorithm, Section 5.3). For convenience, we will set w1 = 0. We
then solve the (basic) equations wi - wj = cij to determine the remaining dual values.
From Section 4.2.4, Formula 2, we know that the objective coefficient of nonbasic xij is
the difference between the left-hand side and the right-hand side of the associated dual
constraint, that is, wi - wj - cij. Letting
zij = wi - wj
the objective coefficient of the variable xij is computed as
zij - cij = wi - wj - cij
The only remaining detail is to show how the leaving variable is determined. The
following numeric example provides this detail.
Example 22.1-4
A network of pipelines connects two water desalination plants to two cities. The daily supply
amounts at the two plants are 40 and 50 million gallons, and the daily demand amounts at cities
1 and 2 are 30 and 60 million gallons, respectively. Nodes 1 and 2 represent plants 1 and 2, respec-
tively, and nodes 4 and 5 represent cities 1 and 2, respectively. Node 3 is a booster station between
the plants and the cities. The model is already balanced because the sum of the supply at nodes
1 and 2 equals the sum of the demand at nodes 4 and 5. Figure 22.8 gives the associated network.
Iteration 0
Step 0. Determination of a Starting Basic Feasible Solution: The starting basic solution must be
a spanning tree. The feasible spanning tree in Figure 22.9 (shown with solid arcs) is
obtained by inspection. Normally, we use an artificial-variable technique to find such a
solution (for details, see Bazaraa et al., 1990, pp. 440446).
In Figure 22.9, the basic feasible solution consists of (solid) arcs (1, 3), (1, 4),
(2, 3), and (3, 5) with the feasible flows of 30, 10, 50, and 60 units, respectively. The
remaining (dashed) arcs (1, 2), (2, 5), and (4, 5) represent the nonbasic variables.
The notation x(c) shown on the arcs indicates that a flow of x units is assigned to an
arc with capacity c. The default values for x and c are 0 and q, respectively.
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.11
$7 )
(1
0
$3 () 3 $4 ()
$8
(
(6 2
$
)
0)
$1 FIGURE 22.8
Plant 2 [50] 2 5 [60] City 2
(30) Network for Example 22.1-4
w1 0 w4 5
$5
[40] 1 4 [30] z12 c12 0 (5) 3 2
30(35)
z25 c25 5 (15) 1 9
z45 c45 5 (15) 4 6
$7 0)
10
(1
w3 7
$3 $4 () Arc (2, 5) reaches upper bound at 30.
3
$ Substitute x25 30 x52.
60 8
(
50 $2
0)
)
(6
FIGURE 22.9
Network for iteration 0
Iteration 1
Step 1. Determination of the entering arc: We obtain the dual values by solving the current
basic equations
w1 = 0
wi - wj = cij, for basic arc (i, j)
We thus get,
Arc(1, 3): w1 - w3 = 7, hence w3 = -7
Arc(1, 4): w1 - w4 = 5, hence w4 = -5
Arc(2, 3): w2 - w3 = 2, hence w2 = -5
Arc(3, 5): w3 - w5 = 8, hence w5 = -15
Now, we compute zij - cij for the nonbasic arcs as
Arc (1, 2): w1 - w2 - c12 = 0 - ( -5) - 3 = 2
Arc (2, 5): w2 - w5 - c25 = ( -5) - (-15) - 1 = 9
Arc (4, 5): w4 - w5 - c45 = ( -5) - (-15) - 4 = 6
Thus, arc (2, 5) enters the basic solution.
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.12
Step 2. Determination of the leaving arc: From Figure 22.9, arc (2, 5) forms a loop with basic
arcs (2, 3) and (3, 5). From the definition of the spanning tree, no other loop can be
formed. Because the flow in the new arc (2, 5) must be increased, we adjust the flow
in the arcs of the loop by an equal amount to maintain the feasibility of the new solu-
tion. To achieve this, we identify the positive ( + ) flow in the loop by the direction
of flow of the entering arc (i.e., from 2 to 5). We then assign ( + ) or ( - ) to the
remaining arcs of the loop, depending on whether the flow of each arc is with or
against the direction of flow of the entering arc. These sign conventions are shown in
Figure 22.9.
Determination of the maximum level of flow in the entering arc (2, 5) is based on
two conditions:
1. New flow in the current basic arcs of the loop cannot be negative.
2. New flow in the entering arc cannot exceed its capacity.
The application of condition 1 shows that the flows in arcs (2, 3) and (3, 5) cannot be
decreased by more than min{50, 60} = 50 units. By condition 2, the flow in arc (2, 5) can
be increased to at most the arc capacity ( = 30 units). Thus, the maximum flow change in
the loop is min{30, 50} = 30 units. The new flows in the loop are thus 30 units in arc (2,
5), 50 - 30 = 20 units in arc (2, 3), and 60 - 30 = 30 units in arc (3, 5).
Because none of the current basic arcs leave the basis at zero level, the new arc
(2, 5) must remain nonbasic at upper bound. However, to avoid dealing with nonbasic
arcs that are at capacity (or upper bound) level, we implement the substitution
x25 = 30 - x52, 0 x52 30
This substitution is effected in the flow equations associated with nodes 2 and 5 as
follows. Consider
The results of these changes are shown in Figure 22.10. The direction of flow in
arc (2, 5) is now reversed to 5 : 2 with x52 = 0 , as desired. The substitution also
requires changing the unit cost of arc (5, 2) to - $1. We will indicate this direction
reversal on the network by tagging the arc capacity with an asterisk.
Iteration 2. Figure 22.10 summarizes the new values of zij - cij (verify!) and shows that arc
(4, 5) enters the basic solution. It also defines the loop associated with the new
entering arc and assigns the signs to its arcs.
The flow in arc (4, 5) can be increased by the smallest of
w1 0 w4 5
$5
[40] 1 4 [30] z12 c12 0 (5) 3 2
30(35)
z52 c52 15 (5) (1) 9
z45 c45 5 (15) 4 6
$7 0)
10
w 7
(1
3
$3 $4 () Arc (4, 5) enters at level 5.
3
$ Arc (1, 4) leaves at upper bound.
30 8
(
20 $2
0)
) Substitute x14 35 x41.
(6 $1
[20] 2 5 [30] Reduce x13 and x35 each by 5.
(30)*
w2 5 w5 15
FIGURE 22.10
Network for iteration 1
Thus, the flow in arc (4, 5) can be increased to 5 units, which will make (4, 5)
basic and will force basic arc (1, 4) to be nonbasic at its upper bound ( = 35).
Using the substitution x14 = 35 - x41 , the network is changed as shown in
Figure 22.11, with arcs (1, 3), (2, 3), (3, 5), and (4, 5) forming the basic (spanning
tree) solution. The reversal of flow in arc (1, 4) changes its unit cost to - $5. Also,
convince yourself that the substitution in the flow equations of nodes 1 and 4 will
net 5 input units at each node.
Iteration 3. The computations of the new zij - cij for the nonbasic arcs (1, 2), (4, 1), and (5, 2)
are summarized in Figure 22.11, which shows that arc (1, 2) enters at level 5, and
arc (1, 3) becomes nonbasic at level 0. Figure 22.12 depicts the new solution.
Iteration 4. The new zij - cij in Figure 22.12 shows that the solution is optimum. Back-
substitution yields the values of the original variables, as shown in Figure 22.12.
FIGURE 22.11
Network for iteration 2
w1 0 w4 11
$5
[5] 1 4 [5] z12 c12 0 (5) 3 2
(35)*
z41 c41 11 0 (5) 6
z52 c52 15 (5) (1) 9
$7 0)
5(
1
w3 7
$3 $4 5() Arc (1, 2) enters at level 5.
3
$ Arc (1, 3) leaves at level 0.
25 8
(
20 $2
0)
)
(6
Increase x23 by 5.
$1
[20] 2 5 [30]
(30)*
w2 5 w5 15
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.14
w1 0 w4 9
$5 z13 c13 0 (5) 7 2
[5] 1 4 [5]
(35)* z41 c41 9 0 (5) 4
z52 c52 13 (3) (1) 9
$7 )
(1
w3 5
0
Optimum solution:
$3 5() $4 5() x12 5, x13 0
3
$ x14 35 0 35
25 8 x23 25
25 $2 (
0)
(6 ) x25 30 0 30
$1 x35 25, x45 5
[20] 2 5 [30] Total cost $490
(30)*
w2 3 w5 13
FIGURE 22.12
Network for iteration 3
Solver Moment
The basic idea of the Excel Solver minimum cost capacitated model is similar to the one detailed
in Example 6.3-6 for the shortest-route model. File solverEx22.1-4.xls provides the details.
AMPL Moment
File amplEx22.1-4.txt is a general model that can be used to solve the minimum cost capacitated
problem of any size. The idea of the model is similar to that of the shortest-route AMPL model
for Example 6.3-6.
1 $5 $8 $4 8
2 $6 $9 $12 10
3 $3 $1 $5 18
Demand 16 6 14
Determine the optimum shipping schedule.
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.15
5
2 5
2 11 6
8
10
1 4 7
4 3 7 9
1
3 6
FIGURE 22.13
Network for Problem 8, Set 22.1c
8. The network in Figure 22.13 gives the distances among seven cities. Use the capacitated
simplex algorithm to find the shortest distance between nodes 1 and 7. (Hint: Assume
that nodes 1 and 7 have net flows of [ +1] and [ -1], respectively. All the other nodes have
zero net flow.)
9. Show how the capacitated minimum-cost flow model can be specialized to represent
the maximum flow model of Section 6.4. Apply the transformation to the network in
Example 6.4-2. For convenience, assume that the flow capacity from 4 to 3 is zero. All
the remaining data are unchanged.
10. Solve the following problems using Excel Solver and AMPL:
(a) Problem 3, Set 22.1a.
(b) Problem 4, Set 22.1a.
(c) Problem 7, Set 22.1c.
(d) Problem 8, Set 22.1c.
Example 22.1.5
Two automobile plants, P1 and P2, are linked to three dealers, D1, D2, and D3, by way of two
transit centers, T1 and T2, according to the network shown in Figure 22.14. The supply amounts
at plants P1 and P2 are 1000 and 1200 cars, respectively, and the demand amounts at dealers
D1, D2, and D3, are 800, 900, and 500 cars, respectively. The shipping costs per car (in hundreds
of dollars) between pairs of nodes are shown on the connecting links (or arcs) of the network.
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.16
D1 800
8
3
1000 P1 T1 5
6
4
2 7 D2 900
4
5
1200 P2 T2 3
9
FIGURE 22.14
Transshipment network between plants
D3 500
and dealers
Transshipment occurs in the network in Figure 5.7 because the entire supply amount of 2200
(= 1000 + 1200) cars at nodes P1 and P2 could conceivably pass through any node of the net-
work before ultimately reaching their destinations at nodes D1, D2, and D3. In this regard, each
node of the network with both input and output arcs (T1, T2, D1, and D2) acts as both a source
and a destination and is referred to as a transshipment node. The remaining nodes are either
pure supply nodes (P1 and P2) or pure demand nodes (D3).
The transshipment model can be converted into a regular transportation model with
6 sources (P1, P2, T1, T2, D1, and D2) and five destinations (T1, T2, D1, D2, and D3). The
amounts of supply and demand at the different nodes are computed as
The buffer amount should be sufficiently large to allow all of the original supply (or
demand) units to pass through any of the transshipment nodes. Let B be the desired buffer
amount; then
B = Total supply (or demand)
= 1000 + 1200 (or 800 + 900 + 500)
= 2200 cars
Using the buffer B and the unit shipping costs given in the network, we construct the equivalent
regular transportation model as in the table below.
T1 T2 D1 D2 D3
P1 3 4 M M M 1000
P2 2 5 M M M 1200
T1 0 7 8 6 M B
T2 M 0 M 4 9 B
D1 M M 0 5 M B
D2 M M M 0 3 B
D1 800
800
1000 P1 T1
10 400
00
D2 900
00
0
12 100
1200 P2 T2 500
FIGURE 22.15
D3 500
Solution of the transshipment model
1 6 FIGURE 22.16
100 1 3 5 150
4 Network for Problem 1, Set 22.D
1 3 5 1
3
2 8
200 2 4 6 150
FIGURE 22.17
900 1 6 1100
1 .2 Network for Problem 3, Set 22.1D
.3
4 4.5
.8
6
1400 2 .5 7 1000
3
4.3
5 2.1
2
4.6 1.9
1000 3 8 1200
1
You are encouraged to use TORA, Excel Solver, or AMPL to solve the problems in this set.
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.18
Formulate the problem as a transshipment model, and find the optimum shipping
schedule.
3. The network in Figure 22.17 shows the routes for shipping cars from three plants
(nodes 1, 2, and 3) to three dealers (nodes 6 to 8) by way of two distribution
centers (nodes 4 and 5). The shipping costs per car (in $100) are shown on
the arcs.
(a) Solve the problem as a transshipment model.
(b) Find the new optimum solution assuming that distribution center 4 can sell 240 cars
directly to customers.
4. Consider the transportation problem in which two factories supply three stores with a
commodity. The numbers of supply units available at sources 1 and 2 are 200 and 300,
respectively; those demanded at stores 1, 2, and 3 are 100, 200, and 50, respectively. Units
may be transshipped among the factories and the stores before reaching their final desti-
nation. Find the optimal shipping schedule based on the unit costs in the following table.
Factory Store
1 2 1 2 3
1 $0 $6 $7 $8 $9
Factory
2 $6 $0 $5 $4 $3
1 $7 $2 $0 $5 $1
Store 2 $1 $5 $1 $0 $4
3 $8 $9 $7 $6 $0
5. Consider the oil pipeline network shown in Figure 22.18. The different nodes represent
pumping and receiving stations. Distances in miles between the stations are shown on the
network. The transportation cost per gallon between two nodes is directly proportional
to the length of the pipeline. Develop the associated transshipment model, and find the
optimum solution.
6. Shortest-Route Problem. Find the shortest route between nodes 1 and 7 of the network
in Figure 22.19 by formulating the problem as a transshipment model. The distances
between the different nodes are shown on the network. (Hint: Assume that node 1 has
a net supply of 1 unit, and node 7 has a net demand also of 1 unit.)
1 3
20 3 9 30
2 7 4
40
90,000 20,000
8 10 2
6 5
4
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.19
1 4
4
2 7 5 9 2
5
8
1 4 6 5 7
1
3
3 2 5 7
3
3 6
FIGURE 22.19
Network for Problem 6, Set 22.1D
7. In the transshipment model of Example 5.5-1, define xij as the amount shipped from
node i to node j. The problem can be formulated as a linear program in which each
node produces a constraint equation. Develop the linear program, and show that the
resulting formulation has the characteristic that the constraint coefficients, aij , of the
variable xij are
1, in constraint i
aij = -1, in constraint j
0, otherwise
8. An employment agency must provide the following laborers over the next
5 months:
Month 1 2 3 4 5
Because the cost of labor depends on the length of employment, it may be more
economical to keep more laborers than needed during some months of the 5-month
planning horizon. The following table estimates the labor cost as a function of the length
of employment:
Months of employment 1 2 3 4 5
subject to
D1X1 b1
D2X2 b2
o o
DnXn bn
Xj 0, j = 1, 2, , n
The slack and surplus variables are added as necessary to convert all the inequali-
ties into equations.
FIGURE 22.20
Layout of a decomposable linear Common constraints
program
Activity
1
Activity
Independent
2
constraints
Activity
n
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.21
kj
where b jk 0 for all k and a b jk = 1
k=1
We can reformulate the entire problem in terms of the extreme points to obtain
the following master problem:
K1 K2 Kn
N b +
Maximize = a C1X N N
a C2X2k b 2k + a CnXnk b nk
1k 1k
+
k=1 k=1 k=1
subject to
K1 K2 Kn
N N N
a A1X1k b 1k + a A2X2k b 2k + a AnXnk b nk b0
+
k=1 k=1 k=1
Kj
a b 1k = 1
k=1
Kj
a b 2k = 1
k=1
o o
Kj
a b nk = 1
k=1
The new variables in the master problem are bjk . Once their optimal values,
bj*k , are determined, we can find the optimal solution to the original problem by
back-substitution:
Kj
N ,
Xj = a b jkX j = 1, 2, , n
jk
k=1
It may appear that the solution of the master problem requires prior determination
of all the extreme points XN , a difficult task indeed! Fortunately, it is not so.
jk
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.22
To solve the master problem by the revised simplex method (Section 7.2), we need
to determine the entering and the leaving variables at each iteration. For the entering
variable, given CB and B-1 of the current basis of the master problem, then for nonbasic
b jk, we have
where
AjX N
jk
0
N and P
cjk = CjX =
o
jk jk
1
o
0
Now, to decide which, if any, of the nonbasic variables b jk should enter the
solution, we need to determine
The reason we are able to establish this identity is that each convex set {X|Dj
Xj bj, Xj 0} has its independent set of extreme points. In effect, what the identity
says is that we can determine zj*k* - cj*k* in two steps:
Step 1. For each convex set {X|DjXj bj, Xj 0}, determine the extreme point
N
Y jk* that yields the smallest zjk - cjkthat is, zjk* - cjk* = mink{zjk - cjk}.
From LP theory, we know that the optimum solution, when finite, must be asso-
ciated with an extreme point of the solution space. Because each of the sets
{X|DjXj bj, Xj 0} is bounded by definition, step 1 is mathematically equivalent
to solving n linear programs of the form
The determination of the entering variable b j*k* in the master problem reduces
to solving n (smaller) linear programs to determine the entering extreme point
N
Y j*k*. This approach precludes the need to determine all the extreme points of all n
convex sets. Once the desired extreme point is located, all the elements of the
column vector Pj*k* are defined. We can then determine the leaving variable, and
subsequently compute the next B-1 using the revised simplex method computations.
Example 22.2-1
Solve the following LP by the decomposition algorithm:
Maximize z = 3x1 + 5x2 + x3 + x4
subject to
x1 + x2 + x3 + x4 40
5x1 + x2 12
x3 + x4 5
x3 + 5x4 50
x1, x2, x3, x4 0
The problem has two subproblems that correspond to the following sets of variables:
Starting basic
Subproblem 1 Subproblem 2 solution
b 11 b 12 b 1K1 b 21 b 22 b 2K2 x5 x6 x7
N
C 1X N
C 1X N
C 1X N
C 2X N
C 2X N
C 2X 0 -M -M
11 12 1K1 21 22 2k2
A 1XN A 1XN N
A 1X A 2XN N
A 2X N
A 2X 1 0 0 = 40
11 12 1K1 21 22 2K2
1 1 1 0 0 0 0 1 0 = 1
0 0 0 1 1 1 0 0 1 = 1
C 1 = (3, 5) C 2 = (1, 1)
A 1 = (1, 1) A 2 = (1, 1)
Solution space, D1X 1 b1: Solution space, D2X 2 b2:
5x1 + x2 12 x3 + x4 5
x1, x2 0 x3 + 5x4 50
x3, x4 0
Notice that x5 is the slack variable that converts the common constraint to the following equation:
x1 + x2 + x3 + x4 + x5 = 40
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.24
Recall that subproblems 1 and 2 account for variables x1, x2, x3, and x4 only. This is the reason x5
must appear explicitly in the master problem. The remaining starting basic variables, x6 and x7,
are artificial.
Iteration 0
Iteration 1
A1X1
z1 - c1 = CBB-1 1 - C1X1
0
11, 12a b
x1
x2
= 10, -M, -M2 - 13, 52a b
x1
1
x2
0
= - 3x1 - 5x2 - M
A2X2
Minimize z2 - c2 = CBB-1 0 - C2X2
1
11, 12a b
x3
x4
= 10, -M, -M2 - 11, 12a b
x4
0
x5
1
= -x4 - x5 - M
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.25
subject to
x3 + x4 5
x3 + 5x4 50
x3, x4 0
Because the master problem is of the maximization type and z*1 - c*1 6 z*2 - c*2 and z*1 - c*1 6 0,
N enters the solution.
it follows that b 11 associated with extreme point X11
To determine the leaving variable,
11, 12a b
0
A1XN 12 12
11
P11 = 1 = 1 = 1
0 0 0
Thus, B-1P11 = (12, 1, 0)T. Given XB = (x5, x6, x7)T = (40, 1, 1)T , it follows that x6 (an artificial
variable) leaves the basic solution (permanently).
The new basis is determined by replacing the vector associated with x6 with the vector P11,
which gives (verify!)
1 12 0 1 -12 0
B = 0 1 0 Q B-1 = 0 1 0
0 0 1 0 0 1
Iteration 2
(verify!). The optimum solution yields z*1 - c*1 = w1 = 0, which means that none of the remain-
ing extreme points in subproblem 1 can improve the solution to the master problem.
Subproblem 2 (j = 2). The associated objective function is (coincidentally) the same as for j = 2
in iteration 1 (verify!). The optimum solution yields
Note that XN is actually the same extreme point as X N . The subscript 2 is used for notational
22 21
convenience to represent iteration 2.
N
From the results of the two subproblems, z2 - c2 6 0 indicates that b 22 associated with X 22
enters the basic solution.
To determine the leaving variable, consider
11, 12a b
50
A2XN 0 50
22
P22 = 0 = 0 = 0
1 1 1
Thus, B-1P22 = (50, 0, 1)T. Because XB = (x5, b 11, x7)T = (28, 1, 1)T, x5 leaves.
The new basis and its inverse are given as (verify!)
1
50 12 0 50 - 12
50 0
B = 0 1 0 Q B = 0
-1
1 0
1 12
1 0 1 - 50 50 1
Iteration 3
Subproblem 1 (j = 1). You should verify that the associated objective function is
Minimize w1 = AM
50 - 2 B x1 + A 50 - 4 B x2 -
M 12M
50 + 48
Minimize w2 = AM
50 B (x3 + x4) - M
N = 15, 02T, z - c = - 9M
X23 2 2 10
Nonbasic Variable x5 . From the definition of the master problem, zj - cj of x5 must be computed
and compared separately. Thus,
z5 - c5 = CBB-1P5 - c5
= A1 + M
50 , 48 - 12M
50 , - M B (1, 0, 0)T - 0
M
= 1 + 50
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.27
11, 12a b
5
A2XN 0 5
23
P23 = 0 = 0 = 0
1 1 1
Thus, B-1P23 = 1 10 1
2 . Given that XB = (b 22, b 11, x7)T = 1 14
9 T
, 0, 10 25 , 1, 25 2 , the artificial
11 T
Iteration 4
Subproblem 1 (j = 1). w1 = - 2x1 - 4x2 + 48. It yields z*1 - c*1 = w*1 = 0.
Subproblem 2 (j = 2). w2 = 0x4 + 0x5 + 48 + 48.
Nonbasic Variable x5: z5 - c5 = 1. The preceding information shows that iteration 3 is optimal.
We can compute the optimum solution of the original problem by back-substitution:
X1 = 1x1, x22T = b 11 X
N = 110, 122T = 10, 122T
11
X2 = 1x4, x52T = b 22 X
N + b X
22
N
23 23
= A 23
45 B A 50, 02 + A 45 B 15, 0 B
T 22 T
= 128, 02T
All the remaining variables are zero. The optimum value of the objective function can be
obtained by direct substitution.
(b)
2x1 + x2 2
3x1 + 4x2 12
x1, x2 0
*(c)
x1 - x2 10
2x1 40
x1, x2 0
*2. In Example 22.2-1, the feasible extreme points of subspaces D1X1 = b1, X1 0
and D2X2 = b2, X2 0 can be determined graphically. Use this information to express
the associated master problem explicitly in terms of the feasible extreme points. Then
show that the application of the simplex method to the master problem produces the
same entering variable b jk as that generated by solving subproblems 1 and 2. Hence,
convince yourself that the determination of the entering variable b jk is exactly
equivalent to solving the two minimization subproblems.
3. Consider the following linear program:
Maximize z = x1 + 3x2 + 5x3 + 2x4
subject to
x1 + 4x2 8
2x1 + x2 9
5x1 + 3x2 + 4x3 10
x3 - 5x4 4
x3 + x4 10
x1, x2, x3, x4 0
Construct the master problem explicitly by using the extreme points of the subspaces,
and then solve the resulting problem directly by the simplex method.
4. Solve Problem 3 using the decomposition algorithm, and compare the two procedures.
5. Apply the decomposition algorithm to the following problem:
Maximize z = 6x1 + 7x2 + 3x3 + 5x4 + x5 + x6
subject to
x1 + x2 + x3 + x4 + x5 + x6 50
x1 + x2 10
x2 8
5x3 + x4 12
x5 + x6 5
x5 + 5x6 50
x1, x2, x3, x4, x5, x6 0
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.29
*6. Indicate the necessary changes for applying the decomposition algorithm to minimization
LPs. Then solve the following problem:
subject to
x1 + x3 + x3 + x4 25
5x1 + x2 20
5x1 - x2 5
x3 + x4 = 20
x1, x2, x3, x4 0
subject to
y1 + 4y2 - y3 8
2y1 + y2 + y3 2
3y1 + y4 + y5 4
y1 + 2y4 - y5 10
y1, y2, y3, y4, y5 0
The vector R represents the first r columns of B-1, and Vr + j is its (r + j)th column.
FIGURE 22.21 x2
Illustration of the general idea
of Karmarkars algorithm
2
A
Gradient of z Maximize
z = x1
C
1
B x1
0 1 2
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.31
along the projected gradient will not overshoot the optimum point at B, and (2) in the
general n-dimensional case, the direction created by the projected gradient will not
cause an entrapment of the algorithm at a nonoptimum point. This, basically, is what
Karmarkars interior-point algorithm accomplishes.
1. X = A n1 , n1 , , n1 B satisfies AX = 0.
2. min z = 0.
Karmarkar provides modifications that allow solving the problem when the second
condition is not satisfied. These modifications will not be presented here.
The following example illustrates how a general LP can be made to satisfy the
two stipulated conditions.
Example 22.3-1
Consider the problem.
Maximize z = y1 + y2
subject to
y1 + 2y2 2
y1, y2 0
We start by defining the primal and dual problems of the LP:
Primal Dual
f Q w1 1
y1 + 2y2 2 w1 1
y1, y2 0 2w1 1
w1 0
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.32
Next, define a new variable s2. From (4) the following two equations hold if, and only if, the
condition s2 = 1 holds:
y1 + y2 + y3 + w1 + w2 + s1 - Ms2 = 0
y1 + y2 + y3 + w1 + w2 + s1 + s2 = M + 1 (5)
Now, given s2 = 1 as stipulated by (5), the primal and dual equations (1) can be written as
y1 + 2y2 + y3 - 2s2 = 0
w1 - w2 - 1s2 = 0 (6)
Now, define
yj = (M + 1)xj, j = 1, 2, 3
wj - 3 = (M + 1)xj, j = 4, 5
s1 = (M + 1)x6
s2 = (M + 1)x7
Substitution in equations (2), (5), and (6) will produce the following equations:
x1 + x2 - 2x4 = 0
x1 + x2 + x3 + x4 + x5 + x6 - Mx7 = 0
x1 + x2 + x3 + x4 + x5 + x6 + x7 = 1
x1 + 2x2 + x3 + - 2x7 = 1
x4 - x5 - x7 = 0
xj 0, j = 1, 2, , 7
The final step calls for augmenting the artificial variable y8 in the left-hand side of each
equation. The new objective function will call for minimizing y8, whose obvious minimum value
must be zero (assuming the primal is feasible). Note, however, that Karmarkars algorithm
requires the solution
X = A 18, 18, 18, 18, 18, 18, 18, 18 B T
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.33
to be feasible for AX = 0. This will be true for the homogeneous equations (with zero right-
hand side) if the associated coefficient of the artificial x8 equals the (algebraic) sum of all the
coefficients on the left-hand side. It thus follows that the transformed LP is given as
Minimize z = x8
subject to
x1 + x2 - 2x4 - 0x8 = 0
x1 + x2 + x3 + x4 + x5 + x6 - Mx7 - 16 - M2x8 = 0
x1 + 2x2 + x3 - 2x7 - 2x8 = 0
x4 - x5 - x7 + x8 = 0
x1 + x2 + x3 + x4 + x5 + x6 + x7 + x8 = 1
xj 0, j = 1, 2, , 8
Note that the solution of this problem automatically yields the optimum solutions of the primal
and dual problems through back-substitution.
Figure 22.22 provides a typical illustration of the solution space in three dimensions with the
homogeneous set AX = 0 consisting only of one equation. By definition, the solution space
consisting of the line segment AB lies entirely in the two-dimensional simplex 1X = 1 and
passes through the feasible interior point A 13 , 13 , 13 B .
Steps of the algorithm. Karmarkars algorithm starts from an interior point repre-
sented by the center of the simplex and then advances in the direction of the projected
gradient to determine a new solution point. The new point must be strictly interior,
meaning that all its coordinates must be positive. The validity of the algorithm rests on
this condition.
For the new solution point to be strictly interior, it must not lie on the boundaries
of the simplex. (In terms of Figure 22.22, points A and B must be excluded.) To
guarantee this result, a sphere with its center coinciding with that of the simplex is
inscribed tightly inside the simplex. In the n-dimensional case, the radius r of this
sphere equals n(n1 - 1). A smaller sphere with radius ar (0 6 a 6 1) will be a subset
3
of the sphere, and any point in the intersection of the smaller sphere with the homoge-
neous system AX = 0 will be an interior point, with strictly positive coordinates. Thus,
we can move as far as possible in this restricted space (intersection of AX = 0 and the
ar-sphere) along the projected gradient to determine the new (improved) solution
point.
The new solution point no longer will be at the center of the simplex. For the
procedure to be iterative, we need to find a way to bring the new solution point to the
center of a simplex. Karmarkar satisfies this requirement by proposing the following
intriguing idea, called projective transformation. Let
xi
xki
yi = n x , i = 1, 2, , n
a
i
xkj
j=1
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.34
x3
(0, 0, 1)
Simplex 1X 1
B
Intersection of
Center of
AX 0 and 1X 1
simplex
1,1,1
3 3 3
x1
(1, 0, 0)
(0, 1, 0)
x2
(a) Three dimensions
(0, 0, 0, 1)
Simplex 1X 1
Intersection of
AX 0 and 1X 1
C
Center of
simplex
1,1,1,1
A
4 4 4 4
(1, 0, 0, 0)
B
(0, 0, 1, 0)
(0, 1, 0, 0)
(b) Four dimensions
FIGURE 22.22
Illustrations of the simplex 1X = 1
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.35
where xki is the i th element of the current solution point Xk . The transformation
n
is valid, because all xki 7 0 by design. You will also notice that a i = 1yi = 1, or
1Y = 1, by definition. This transformation is equivalent to
Dk-1X
Y =
1Dk-1X
where Dk is a diagonal matrix whose ith diagonal elements equal xki. The transfor-
mation maps the X-space onto the Y-space uniquely because we can show that the
last equation yields
DkY
X =
1DkY
By definition, min CX = 0 . Because 1DkY is always positive, the original linear
program is equivalent to
Minimize z = CDkY
subject to
ADkY = 0
1Y = 1
Y 0
The transformed problem has the same format as the original problem. We can thus
start with the simplex center Y = A n1 , n1 , , n1 B and repeat the iterative step. After each
iteration, we can compute the values of the original X variables from the Y solution.
We show now how the new solution point can be determined for the transformed
problem. At any iteration k, the problem is given by
Minimize z = CDkY
subject to
ADkY = 0
Y lies in the ar-sphere
Because the ar-sphere is a subset of the space of the constraints 1X = 1 and X 0, these
two constraints can be dispensed with. As a result, the optimum solution of the preceding
problem lies along the projection of the gradient cp (minimization) and is given as
cp
Ynew = Y0 - ar
||cp||
1 t
where Y0 = a , , , b , and cp is the projected gradient, which can be shown to be
1 1
n n n
cp = [I - PT1PPT2-1P]1cDk2T
where
P = a b
ADk
1
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.36
Dk = diag{xk1, , xkn}
P = a b
ADk
1
and compute
1 T cp
Ynew = a , , b - ar
1
n n cp
DkYnew
Xk + 1 =
1DkYnew
where
cp = [I - PT(PPT)-1P](cDk)T
Example 22.3-2
The problem satisfies the two conditions imposed by the interior-point algorithmnamely,
and yields z = 0.
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.37
Iteration 0
A 13 , 13 , 13 B T, z0 = 13 , r =
1 2
X0 = ,a = 9
26
1
3 0 0
1
D0 = 0 3 0
1
0 0 3
Y0 = A 13 , 13 , 13 B T
Iteration 1
1
0 0
A 23, 23, -1 B
3
cD0 = 12, 2, -32 0 1
3 0 =
1
0 0 3
1
0 0
0 = A - 13, - 23, 1 B
3
AD0 = 1-1, -2, 32 0 1
3
1
0 0 3
- 13 1 -1
-1 - 23 9
1PPT2-1 = a 3 b - 3 1 = a 14 1 b
1 2 0
1 1 1 0 3
1 1
1 0 0 - 13 1 9
0 - 1 - 23
I - P 1PP 2 P = 0 0 - - 23 1 a 14 1 b a 3 b
T T -1 1
1
0 3 1 1 1
0 0 1 1 1
25 -20 -5
1
= 42 -20 16 4
-5 4 1
Thus,
2
25 -20 -5 3 25
cp = 1I - P 1PP 2 P21cD02 =
T T -1 T 1
42 -20 16 4 23 = 1
126 -20
-5 4 1 -1 -5
Thus,
1 1
1D0Ynew = 3 (1, 1, 1)(.263340, .389328, .347332)T = 3
Now,
1
D0Ynew 3 Ynew
X1 = = 1
= Ynew = (.263340, .389328, .347332)T
1D0Ynew 3
z1 = .26334
Iteration 2
.263340 0 0
cD1 = 12, 2, -32 0 .389328 0 = 1.526680, .778656, -1.0419962
0 0 .347332
.263340 0 0
AD1 = 1-1, -2, 32 0 .389328 0
0 0 .347332
-.263340 1 -1
1PPT2-1 = a b -.778656
-.26334 -.778656 1.041996
1
1 1 1
1.041996 1
= a b
.567727 0
0 .333333
I - PT1PPT2-1P
1 0 0 -.263340 1
1 a b
.567727 0
= 0 1 0 - -.778656
0 .333333
0 0 1 1.041996 1
a b
-.263340 -.778656 1.041996
1 1 1
.627296 -.449746 -.177550
= -.449746 .322451 .127295
-.177550 .127295 .050254
M22_TAHA5937_09_SE_C22.QXD 7/22/10 10:10 PM Page 22.39
Thus,
.526680
.778656
-1.041996
.165193
= -.118435
-.046757
Thus,
Ynew = ( 13 , 13 , 13 )T - 2
9 * 1
116 * 1
.208571 (.165193, - .118435, - .046757)T
Next,
1D1Ynew = .341531
Now,
= 1.201616
D1Ynew
X2 = .438707 .3596772T
1D1Ynew
z2 = .201615
Repeated application of the algorithm will move the solution closer to the optimum point
(0, .6, .4). Karmarkar does provide an additional step for rounding the optimal solution to the
optimum extreme point.
subject to
y1 - y2 2
2y1 + y2 4
y1, y2 0
3. Carry out one additional iteration in Example 22.3-3, and show that the solution is
moving toward the optimum z = 0.
4. Carry out two iterations of Karmarkars algorithm for the following linear program:
Maximize z = 2x1 + x2
subject to
x1 + x2 4
x1, x2 0
subject to
-2x1 + 2x2 + x3 - x4 = 0
x1 + x2 + x3 + x4 = 1
x1, x2, x3, x4 0
BIBLIOGRAPHY
Ahuja, R., T. Magnati, and J. Orlin, Network Flows: Theory, Algorithms, and Applications,
Prentice Hall, Upper Saddle River, NJ, 1993.
Bazaraa, M., J. Jarvis, and H. Sherali, Linear Programming and Network Flow, 4th ed., Wiley,
New York, 2009.
Charnes, A. and W. Cooper, Some Network Characterization for Mathematical Programming
and Accounting Applications to Planning and Control, The Accounting Review, Vol. 42,
No. 3, pp. 2452, 1967.
Hooker, J., Karmarkars Linear Programming Algorithm, Interfaces, Vol. 16, No. 4, pp. 7590,
1986.
Lasdon, L., Optimization for Large Systems, Macmillan, New York, 1970.