An Optimal Solution which Does Not Satisfy Optimality Condition

linear programmingsimplex method

I read this theorem in a book about Linear Optimization:

In the simplex method, for a minimization problem, a BFS is optimal if all of the reduced costs are negative, i.e. $\forall i \quad z_i-c_i \le 0$.

I am curious is the inverse of the above theorem also true? Or can we find an optimal solution such that $z_k-c_k>0$ for some $k$? The latter case means the simplex algorithm does not necessarily terminate when it reaches an optimal solution.

Any help is appreciated.

Best Answer

The only situation this would be true if there exists a constraint that causes degeneracy in a model where one of the basic variables has a zero as its right-hand-side value, and thus doesn’t contribute to a model upon a pivot. For example:

Suppose we have a model:

$$\text{min }z=-x_1+x_2-x_3$$

Subject to,

$$x_1+x_2\le 4$$ $$-x_2+x_3\le0$$ $$x_1,x_2,x_3 \ge0$$

Converting this to standard form, we get:

$$\text{min } z +x_1 - x_2 +x_3 = 0$$

Subject to: $$x_1+x_2+s_1=4$$ $$-x_2+x_3+s_2=0$$ $$x_1, x_2, x_3, s_1, s_2 \ge0$$

From here, lets put this in a tableau:

enter image description here

Let’s pivot the $x_1$ column to produce:

enter image description here

Then lets pivot the $x_3$ column to produce our final tableau: enter image description here

Notice that the solution produced in the second tableau is optimal, $(4,0,0)$, and is exactly the same as the solution produced by the third tableau. In addition, the second tableau produced an optimal solution, but had a $C^\pi_j > 0$, which shows that the simplex method doesn’t terminate right away.

Here’s a PowerPoint slide I found that explains more on Degeneracy in models.