4. Simplex method
The simplex method was developed by G. Dantzig (1947). It comprises two phases:
phase 1 – initialization: find a feasible basic solution (or detect the impossibility: );
phase 2 – progression: move from one vertex to a neighbouring vertex to increase the objective function F (or detect a non-major objective function F).
The terminology of the simplex method comes from the fact that we call n-simplex, or simply simplex, the convex envelope of a set of n + 1 points (n = 1: a segment, n = 2: a triangle, n = 3: a tetrahedron).
We'll start by describing phase 2, i.e....
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Simplex method
Bibliography
Software tools
GLPK – Gnu Linear Programming Kit (Linux version) [Software]
LPSOLVE, (multi-platform version under LGPL license)
IBM ILOG CPLEX Optimization Studio (multi-platform version)
MATLAB – Optimization toolbox
CMPL –
Websites
COIN-OR: COmputational INfrastructure for Operations Research
ROADEF: French Society for Operational Research and Decision Support
http://www.roadef.org/content/index.htm
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