An Introduction to

Anderson Sweeney Williams Camm Cochran Fry Ohlmann

Management Science,
15e
Quantitative Approaches to Decision
Making

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Chapter 18: Simplex-Based Sensitivity Analysis and Duality

18.1 – Sensitivity Analysis with the Simplex Tableau

18.2 – Duality

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 Sensitivity Analysis with the Simplex Tableau (1 of 43)

In Chapter 3 we defined sensitivity analysis as the study of how

the changes in the coefficients of a linear program affect the
optimal solution.

In this chapter we discuss how sensitivity analysis information

such as the ranges for the objective function coefficients, dual
prices, and the ranges for the right-hand-side values can be
obtained from the final simplex tableau.

The topic of duality is also introduced. We will see that associated

with every linear programming problem is a dual problem that has
an interesting economic interpretation.

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 Sensitivity Analysis with the Simplex Tableau (2 of 43)

Sensitivity analysis for an objective function coefficient involves

placing a range on the coefficient’s value. We call this range the
range of optimality.

As long as the actual value of the objective function coefficient is

within the range of optimality, the current basic feasible solution
will remain optimal.

The range of optimality for a basic variable defines the objective

function coefficient values for which that variable will remain part
of the current optimal basic feasible solution. The range of
optimality for a nonbasic variable defines the objective function
coefficient values for which that variable will remain nonbasic.

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 Sensitivity Analysis with the Simplex Tableau (3 of 43)

In computing the range of optimality for an objective function

coefficient, all other coefficients in the problem are assumed to
remain at their original values; in other words, only one
coefficient is allowed to change at a time.

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 Sensitivity Analysis with the Simplex Tableau (4 of 43)

To illustrate the process of computing ranges for objective

function coefficients, recall the HighTech Industries problem
introduced in Chapter 17. The linear program for this problem
is restated as follows:
Max 50 x1 + 40 x2
s.t.
3 x1 + 5 x2 ≤ 150 Assembly time
1x2 ≤ 20 Portable display
8 x1 + 5 x2 ≤ 300 Warehouse capacity
x1 , x 2 , ≥ 0
where
x1 = number of units of the Deskpro
x2 = number of units of the Portable
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 Sensitivity Analysis with the Simplex Tableau (5 of 43)

The final simplex tableau for the HighTech problem is as

follows:

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 Sensitivity Analysis with the Simplex Tableau (6 of 43)

Recall that when the simplex method is used to solve a linear

program, an optimal solution is recognized when all entries in
the net evaluation row (cj − zj) are ≤ 0. Because the preceding
simplex tableau satisfies this criterion, the solution shown is
optimal.

However, if a change in one of the objective function coefficients

were to cause one or more of the cj − zj values to become
positive, then the current solution would no longer be optimal; in
such a case, one or more additional simplex iterations would be
necessary to find the new optimal solution.

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 Sensitivity Analysis with the Simplex Tableau (7 of 43)

The range of optimality for an objective function coefficient is

determined by those coefficient values that maintain cj − zj ≤ 0
for all values of j.

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 Sensitivity Analysis with the Simplex Tableau (8 of 43)

Let us illustrate this approach by computing the range of

optimality for c1, the profit contribution per unit of the Deskpro.
Using c1 (instead of 50) as the objective function coefficient of
x1, the final simplex tableau is as follows:

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 Sensitivity Analysis with the Simplex Tableau (9 of 43)

This tableau is the same as the previous except that c1 replaces

50. Thus, we have a c1 in the objective function coefficient row
and the cB column, and the zj and cj − zj rows have been
recomputed using c1 instead of 50. The current solution will
remain optimal as long as the value of c1 results in all cj − zj ≤ 0.

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 Sensitivity Analysis with the Simplex Tableau (10 of 43)

From the s1 column we obtain c1 ≤ 64. From the second

inequality we obtain c1 ≥ 24.

Therefore the range of optimality is 24 ≤ c1 ≤ 64.

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 Sensitivity Analysis with the Simplex Tableau (11 of 43)

To see how management of HighTech can make use of this

sensitivity analysis information, suppose an increase in
material costs reduces the profit contribution per unit for the
Deskpro to $30. The range of optimality indicates that the
current solution (x1 = 30, x2 = 12, s1 = 0, s2 = 8, s3 = 0) is still
optimal.

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 Sensitivity Analysis with the Simplex Tableau (12 of 43)

To verify this solution, let us recompute the final simplex

tableau after reducing the value of c1 to 30.

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 Sensitivity Analysis with the Simplex Tableau (13 of 43)

Because cj − zj ≤ 0 for all variables, the solution with x1 = 30, x2 =

12, s1 = 0, s2 = 8, and s3 = 0 is still optimal. That is, the optimal
solution with c1 = 30 is the same as the optimal solution with c1 =
50. Note, however, that the decrease in profit contribution per unit
of the Deskpro has caused a reduction in total profit from $1980 to
$1380.

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 Sensitivity Analysis with the Simplex Tableau (14 of 43)

What if the profit contribution per unit were reduced even further—
say, to $20? Note that c1 = 20 is outside the range of optimality;
thus, we know that a change this large will cause a new basis to
be optimal. To verify this new basis, we have modified the final
simplex tableau by replacing c1 by 20.

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 Sensitivity Analysis with the Simplex Tableau (15 of 43)

As expected, the current solution (x1 = 30, x2 = 12, s1 = 0, s2 = 8,

and s3 = 0) is no longer optimal because the entry in the s3
column of the net evaluation row is greater than zero. This result
implies that at least one more simplex iteration must be performed
to reach the optimal solution.
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 Sensitivity Analysis with the Simplex Tableau (16 of 43)

The procedure we used to compute the range of optimality for c1

can be used for any basic variable.

The procedure for computing the range of optimality for nonbasic

variables is even easier because a change in the objective
function coefficient for a nonbasic variable causes only the
corresponding cj − zj entry to change in the final simplex tableau.

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 Sensitivity Analysis with the Simplex Tableau (17 of 43)

To illustrate the approach, we show the following final simplex

tableau for the original HighTech problem after replacing 0, the
objective function coefficient for s1, with the coefficient cs1:

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 Sensitivity Analysis with the Simplex Tableau (18 of 43)

Note that the only changes in the tableau are in the s1 column.
Computing the range of optimality, we get cs1 ≤ 14/5. As long as
the objective function coefficient for s1 is less than or equal to
14/5, the current solution will be optimal.

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 Sensitivity Analysis with the Simplex Tableau (19 of 43)

The same approach works for all nonbasic variables. In a

maximization problem, the range of optimality has no lower limit,
and the upper limit is given by zj. Thus, the range of optimality for
the objective function coefficient of any nonbasic variable is given
by
cj ≤ zj

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 Sensitivity Analysis with the Simplex Tableau (20 of 43)

Let us summarize the steps necessary to compute the range of

optimality for objective function coefficients.

In stating the following steps, we assume that computing the

range of optimality for ck, the coefficient of xk, in a maximization
problem is the desired goal.

Keep in mind that xk in this context may refer to one of the

original decision variables, a slack variable, or a surplus variable.

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 Sensitivity Analysis with the Simplex Tableau (21 of 43)

Steps to Compute the Range of Optimality

Step 1. Replace the numerical value of the objective function

coefficient for xk with ck everywhere it appears in the final
simplex tableau.
Step 2. Recompute cj − zj for each nonbasic variable (if xk is a
nonbasic variable, it is only necessary to recompute ck −
zk).

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 Sensitivity Analysis with the Simplex Tableau (22 of 43)

Steps to Compute the Range of Optimality

Step 3. Requiring that cj − zj ≤ 0, solve each inequality for any

upper or lower bounds on ck. If two or more upper bounds
are found for ck, the smallest of these is the upper bound
on the range of optimality. If two or more lower bounds are
found, the largest of these is the lower bound on the range
of optimality.
Step 4. If the original problem is a minimization problem that was
converted to a maximization problem in order to apply the
simplex method, multiply the inequalities obtained in step
3 by −1, and change the direction of the inequalities to
obtain the ranges of optimality for the original minimization
problem.
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 Sensitivity Analysis with the Simplex Tableau (23 of 43)

In many linear programming problems, we can interpret the right-

hand-side values (the bi’s) as the resources available.

For instance, in the HighTech Industries problem, the right-hand

side of constraint 1 represents the available assembly time, the
right-hand side of constraint 2 represents the available Portable
displays, and the right-hand side of constraint 3 represents the
available warehouse space.

Dual prices provide information on the value of additional

resources in these cases; the ranges over which these dual prices
are valid are given by the ranges for the right-hand-side values.

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 Sensitivity Analysis with the Simplex Tableau (24 of 43)

In Chapter 3 we stated that the improvement in the value of the

optimal solution per unit increase in a constraint’s right-hand-side
value is called a dual price.

When the simplex method is used to solve a linear programming

problem, the values of the dual prices are easy to obtain. They are
found in the zj row of the final simplex tableau.

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 Sensitivity Analysis with the Simplex Tableau (25 of 43)

The zj values for the three slack variables are 14/5, 0, and 26/5,
respectively. The dual prices for the assembly time constraint,
Portable display constraint, and warehouse capacity constraint
are, respectively, 14/5 = $2.80, 0.00, and 26/5 = $5.20. The dual
price of $5.20 shows that more warehouse space will have the
biggest positive impact on HighTech’s profit.

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 Sensitivity Analysis with the Simplex Tableau (26 of 43)

To see why the zj values for the slack variables in the final simplex
tableau are the dual prices, let us first consider the case for slack
variables that are part of the optimal basic feasible solution.

Each of these slack variables will have a zj value of zero, implying

a dual price of zero for the corresponding constraint.

For example, consider slack variable s2, a basic variable in the

HighTech problem. Because s2 = 8 in the optimal solution,
HighTech will have eight Portable display units unused.

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 Sensitivity Analysis with the Simplex Tableau (27 of 43)

Consequently, how much would management of HighTech

Industries be willing to pay to obtain additional Portable display
units?

Clearly the answer is nothing because at the optimal solution

HighTech has an excess of this particular component.

Additional amounts of this resource are of no value to the

company, and, consequently, the dual price for this constraint is
zero. In general, if a slack variable is a basic variable in the
optimal solution, the value of zj—and hence, the dual price of the
corresponding resource—is zero.

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29
 Sensitivity Analysis with the Simplex Tableau (28 of 43)

Consider now the nonbasic slack variables—for example, s1.

In the previous subsection we determined that the current solution

will remain optimal as long as the objective function coefficient for
s1 (denoted cs1) stays in the following range: cs1 ≤ 14/5.

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 Sensitivity Analysis with the Simplex Tableau (29 of 43)

It implies that the variable s1 should not be increased from its

current value of zero unless it is worth more than 14/5 = $2.80 to
do so.

We can conclude then that $2.80 is the marginal value to

HighTech of 1 hour of assembly time used in the production of
Deskpro and Portable computers.

Thus, if additional time can be obtained, HighTech should be

willing to pay up to $2.80 per hour for it. A similar interpretation
can be given to the zj value for each of the nonbasic slack
variables.

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 Sensitivity Analysis with the Simplex Tableau (30 of 43)

With a greater-than-or-equal-to constraint, the value of the dual

price will be less than or equal to zero because a one-unit
increase in the value of the right-hand side cannot be helpful; a
one-unit increase makes it more difficult to satisfy the constraint.

For a maximization problem, then, the optimal value can be

expected to decrease when the right-hand side of a greater-than-
or-equal-to constraint is increased. The dual price gives the
amount of the expected improvement—a negative number,
because we expect a decrease. As a result, the dual price for a
greater-than-or-equal-to constraint is given by the negative of the
zj entry for the corresponding surplus variable in the optimal
simplex tableau.

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32
 Sensitivity Analysis with the Simplex Tableau (31 of 43)

Finally, it is possible to compute dual prices for equality

constraints. They are given by the zj values for the corresponding
artificial variables.

We will not develop this case in detail here because we have

recommended dropping each artificial variable column from the
simplex tableau as soon as the corresponding artificial variable
leaves the basis.

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33
 Sensitivity Analysis with the Simplex Tableau (32 of 43)

To summarize, when the simplex method is used to solve a linear

programming problem, the dual prices for the constraints are
contained in the final simplex tableau.

Here are the rules for determining the dual prices for the various
constraint types in a maximization problem solved by the simplex
method.

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34
 Sensitivity Analysis with the Simplex Tableau (33 of 43)

To illustrate the approach for computing dual prices for a

minimization problem, recall the M&D Chemicals problem that we
solved in Section 17.7 as an equivalent maximization problem by
multiplying the objective function by −1. The linear programming
model for this problem and the final simplex tableau are restated
as follows, with x1 and x2 representing manufacturing quantities of
products A and B, respectively.

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 Sensitivity Analysis with the Simplex Tableau (34 of 43)

Constraint 1 is not binding, and its dual price is zero. The dual
price for constraint 2 shows that the marginal cost of increasing
the total production requirement is $4 per unit. Finally, the dual
price of one for the third constraint shows that the per-unit value of
additional processing time is $1.

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36
 Sensitivity Analysis with the Simplex Tableau (35 of 43)

Range of Feasibility
As we have just seen, the zj row in the final simplex tableau can
be used to determine the dual price and, as a result, predict the
change in the value of the objective function corresponding to a
unit change in a bi.

This interpretation is only valid, however, as long as the change in

bi is not large enough to make the current basic solution
infeasible. Thus, we will be interested in calculating a range of
values over which a particular bi can vary without any of the
current basic variables becoming infeasible (i.e., less than zero).
This range of values will be referred to as the range of feasibility.

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 Sensitivity Analysis with the Simplex Tableau (36 of 43)

To demonstrate the effect of changing a bi, consider increasing

the amount of assembly time available in the HighTech problem
from 150 to 160 hours. Will the current basis still yield a feasible
solution? If so, given the dual price of $2.80 for the assembly time
constraint, we can expect an increase in the value of the solution
of 10(2.80) = 28.

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 Sensitivity Analysis with the Simplex Tableau (37 of 43)

The same basis, consisting of the basic variables x2, s2, and x1, is
feasible because all the basic variables are nonnegative. Note
also that, just as we predicted using the dual price, the value of
the optimal solution has increased by 10($2.80) = $28, from
$1980 to $2008.
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39
 Sensitivity Analysis with the Simplex Tableau (38 of 43)

You may wonder whether we had to re-solve the problem

completely to find this new solution. The answer is no!

The only changes in the final simplex tableau (as compared with
the final simplex tableau with b1 = 150) are the differences in the
values of the basic variables and the value of the objective
function. That is, only the last column of the simplex tableau
changed.

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 Sensitivity Analysis with the Simplex Tableau (39 of 43)

The entries in this new last column of the simplex tableau were
obtained by adding 10 times the first four entries in the s1 column
to the last column in the previous tableau:

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41
 Sensitivity Analysis with the Simplex Tableau (40 of 43)

Let us now consider why this procedure can be used to find the
new solution.

First, recall that each of the coefficients in the s1 column indicates

the amount of decrease in a basic variable that would result from
increasing s1 by one unit.

In other words, these coefficients tell us how many units of each

of the current basic variables will be driven out of solution if one
unit of variable s1 is brought into solution.

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 Sensitivity Analysis with the Simplex Tableau (41 of 43)

Bringing one unit of s1 into solution, however, is the same as

reducing the availability of assembly time (decreasing b1) by one
unit; increasing b1, the available assembly time, by one unit has
just the opposite effect.

Therefore, the entries in the s1 column can also be interpreted as

the changes in the values of the current basic variables
corresponding to a one-unit increase in b1.

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43
 Sensitivity Analysis with the Simplex Tableau (42 of 43)

The change in the value of the objective function corresponding to

a one-unit increase in b1 is given by the value of zj in that column
(the dual price).

In the foregoing case, the availability of assembly time increased

by 10 units; thus, we multiplied the first four entries in the s1
column by 10 to obtain the change in the value of the basic
variables and the optimal value.

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44
 Sensitivity Analysis with the Simplex Tableau (43 of 43)

The change in the value of the objective function corresponding to

a one-unit increase in b1 is given by the value of zj in that column
(the dual price).

In the foregoing case, the availability of assembly time increased

by 10 units; thus, we multiplied the first four entries in the s1
column by 10 to obtain the change in the value of the basic
variables and the optimal value.

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45
 End of Presentation: Chapter 18

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46