""" Python implementation of the simplex algorithm for solving linear programs in tabular form with - `>=`, `<=`, and `=` constraints and - each variable `x1, x2, ...>= 0`. See https://gist.github.com/imengus/f9619a568f7da5bc74eaf20169a24d98 for how to convert linear programs to simplex tableaus, and the steps taken in the simplex algorithm. Resources: https://en.wikipedia.org/wiki/Simplex_algorithm https://tinyurl.com/simplex4beginners """ from typing import Any import numpy as np class Tableau: """Operate on simplex tableaus >>> Tableau(np.array([[-1,-1,0,0,1],[1,3,1,0,4],[3,1,0,1,4]]), 2, 2) Traceback (most recent call last): ... TypeError: Tableau must have type float64 >>> Tableau(np.array([[-1,-1,0,0,-1],[1,3,1,0,4],[3,1,0,1,4.]]), 2, 2) Traceback (most recent call last): ... ValueError: RHS must be > 0 >>> Tableau(np.array([[-1,-1,0,0,1],[1,3,1,0,4],[3,1,0,1,4.]]), -2, 2) Traceback (most recent call last): ... ValueError: number of (artificial) variables must be a natural number """ # Max iteration number to prevent cycling maxiter = 100 def __init__( self, tableau: np.ndarray, n_vars: int, n_artificial_vars: int ) -> None: if tableau.dtype != "float64": raise TypeError("Tableau must have type float64") # Check if RHS is negative if not (tableau[:, -1] >= 0).all(): raise ValueError("RHS must be > 0") if n_vars < 2 or n_artificial_vars < 0: raise ValueError( "number of (artificial) variables must be a natural number" ) self.tableau = tableau self.n_rows, n_cols = tableau.shape # Number of decision variables x1, x2, x3... self.n_vars, self.n_artificial_vars = n_vars, n_artificial_vars # 2 if there are >= or == constraints (nonstandard), 1 otherwise (std) self.n_stages = (self.n_artificial_vars > 0) + 1 # Number of slack variables added to make inequalities into equalities self.n_slack = n_cols - self.n_vars - self.n_artificial_vars - 1 # Objectives for each stage self.objectives = ["max"] # In two stage simplex, first minimise then maximise if self.n_artificial_vars: self.objectives.append("min") self.col_titles = self.generate_col_titles() # Index of current pivot row and column self.row_idx = None self.col_idx = None # Does objective row only contain (non)-negative values? self.stop_iter = False def generate_col_titles(self) -> list[str]: """Generate column titles for tableau of specific dimensions >>> Tableau(np.array([[-1,-1,0,0,1],[1,3,1,0,4],[3,1,0,1,4.]]), ... 2, 0).generate_col_titles() ['x1', 'x2', 's1', 's2', 'RHS'] >>> Tableau(np.array([[-1,-1,0,0,1],[1,3,1,0,4],[3,1,0,1,4.]]), ... 2, 2).generate_col_titles() ['x1', 'x2', 'RHS'] """ args = (self.n_vars, self.n_slack) # decision | slack string_starts = ["x", "s"] titles = [] for i in range(2): for j in range(args[i]): titles.append(string_starts[i] + str(j + 1)) titles.append("RHS") return titles def find_pivot(self) -> tuple[Any, Any]: """Finds the pivot row and column. >>> Tableau(np.array([[-2,1,0,0,0], [3,1,1,0,6], [1,2,0,1,7.]]), ... 2, 0).find_pivot() (1, 0) """ objective = self.objectives[-1] # Find entries of highest magnitude in objective rows sign = (objective == "min") - (objective == "max") col_idx = np.argmax(sign * self.tableau[0, :-1]) # Choice is only valid if below 0 for maximise, and above for minimise if sign * self.tableau[0, col_idx] <= 0: self.stop_iter = True return 0, 0 # Pivot row is chosen as having the lowest quotient when elements of # the pivot column divide the right-hand side # Slice excluding the objective rows s = slice(self.n_stages, self.n_rows) # RHS dividend = self.tableau[s, -1] # Elements of pivot column within slice divisor = self.tableau[s, col_idx] # Array filled with nans nans = np.full(self.n_rows - self.n_stages, np.nan) # If element in pivot column is greater than zero, return # quotient or nan otherwise quotients = np.divide(dividend, divisor, out=nans, where=divisor > 0) # Arg of minimum quotient excluding the nan values. n_stages is added # to compensate for earlier exclusion of objective columns row_idx = np.nanargmin(quotients) + self.n_stages return row_idx, col_idx def pivot(self, row_idx: int, col_idx: int) -> np.ndarray: """Pivots on value on the intersection of pivot row and column. >>> Tableau(np.array([[-2,-3,0,0,0],[1,3,1,0,4],[3,1,0,1,4.]]), ... 2, 2).pivot(1, 0).tolist() ... # doctest: +NORMALIZE_WHITESPACE [[0.0, 3.0, 2.0, 0.0, 8.0], [1.0, 3.0, 1.0, 0.0, 4.0], [0.0, -8.0, -3.0, 1.0, -8.0]] """ # Avoid changes to original tableau piv_row = self.tableau[row_idx].copy() piv_val = piv_row[col_idx] # Entry becomes 1 piv_row *= 1 / piv_val # Variable in pivot column becomes basic, ie the only non-zero entry for idx, coeff in enumerate(self.tableau[:, col_idx]): self.tableau[idx] += -coeff * piv_row self.tableau[row_idx] = piv_row return self.tableau def change_stage(self) -> np.ndarray: """Exits first phase of the two-stage method by deleting artificial rows and columns, or completes the algorithm if exiting the standard case. >>> Tableau(np.array([ ... [3, 3, -1, -1, 0, 0, 4], ... [2, 1, 0, 0, 0, 0, 0.], ... [1, 2, -1, 0, 1, 0, 2], ... [2, 1, 0, -1, 0, 1, 2] ... ]), 2, 2).change_stage().tolist() ... # doctest: +NORMALIZE_WHITESPACE [[2.0, 1.0, 0.0, 0.0, 0.0], [1.0, 2.0, -1.0, 0.0, 2.0], [2.0, 1.0, 0.0, -1.0, 2.0]] """ # Objective of original objective row remains self.objectives.pop() if not self.objectives: return self.tableau # Slice containing ids for artificial columns s = slice(-self.n_artificial_vars - 1, -1) # Delete the artificial variable columns self.tableau = np.delete(self.tableau, s, axis=1) # Delete the objective row of the first stage self.tableau = np.delete(self.tableau, 0, axis=0) self.n_stages = 1 self.n_rows -= 1 self.n_artificial_vars = 0 self.stop_iter = False return self.tableau def run_simplex(self) -> dict[Any, Any]: """Operate on tableau until objective function cannot be improved further. # Standard linear program: Max: x1 + x2 ST: x1 + 3x2 <= 4 3x1 + x2 <= 4 >>> Tableau(np.array([[-1,-1,0,0,0],[1,3,1,0,4],[3,1,0,1,4.]]), ... 2, 0).run_simplex() {'P': 2.0, 'x1': 1.0, 'x2': 1.0} # Standard linear program with 3 variables: Max: 3x1 + x2 + 3x3 ST: 2x1 + x2 + x3 ≤ 2 x1 + 2x2 + 3x3 ≤ 5 2x1 + 2x2 + x3 ≤ 6 >>> Tableau(np.array([ ... [-3,-1,-3,0,0,0,0], ... [2,1,1,1,0,0,2], ... [1,2,3,0,1,0,5], ... [2,2,1,0,0,1,6.] ... ]),3,0).run_simplex() # doctest: +ELLIPSIS {'P': 5.4, 'x1': 0.199..., 'x3': 1.6} # Optimal tableau input: >>> Tableau(np.array([ ... [0, 0, 0.25, 0.25, 2], ... [0, 1, 0.375, -0.125, 1], ... [1, 0, -0.125, 0.375, 1] ... ]), 2, 0).run_simplex() {'P': 2.0, 'x1': 1.0, 'x2': 1.0} # Non-standard: >= constraints Max: 2x1 + 3x2 + x3 ST: x1 + x2 + x3 <= 40 2x1 + x2 - x3 >= 10 - x2 + x3 >= 10 >>> Tableau(np.array([ ... [2, 0, 0, 0, -1, -1, 0, 0, 20], ... [-2, -3, -1, 0, 0, 0, 0, 0, 0], ... [1, 1, 1, 1, 0, 0, 0, 0, 40], ... [2, 1, -1, 0, -1, 0, 1, 0, 10], ... [0, -1, 1, 0, 0, -1, 0, 1, 10.] ... ]), 3, 2).run_simplex() {'P': 70.0, 'x1': 10.0, 'x2': 10.0, 'x3': 20.0} # Non standard: minimisation and equalities Min: x1 + x2 ST: 2x1 + x2 = 12 6x1 + 5x2 = 40 >>> Tableau(np.array([ ... [8, 6, 0, 0, 52], ... [1, 1, 0, 0, 0], ... [2, 1, 1, 0, 12], ... [6, 5, 0, 1, 40.], ... ]), 2, 2).run_simplex() {'P': 7.0, 'x1': 5.0, 'x2': 2.0} # Pivot on slack variables Max: 8x1 + 6x2 ST: x1 + 3x2 <= 33 4x1 + 2x2 <= 48 2x1 + 4x2 <= 48 x1 + x2 >= 10 x1 >= 2 >>> Tableau(np.array([ ... [2, 1, 0, 0, 0, -1, -1, 0, 0, 12.0], ... [-8, -6, 0, 0, 0, 0, 0, 0, 0, 0.0], ... [1, 3, 1, 0, 0, 0, 0, 0, 0, 33.0], ... [4, 2, 0, 1, 0, 0, 0, 0, 0, 60.0], ... [2, 4, 0, 0, 1, 0, 0, 0, 0, 48.0], ... [1, 1, 0, 0, 0, -1, 0, 1, 0, 10.0], ... [1, 0, 0, 0, 0, 0, -1, 0, 1, 2.0] ... ]), 2, 2).run_simplex() # doctest: +ELLIPSIS {'P': 132.0, 'x1': 12.000... 'x2': 5.999...} """ # Stop simplex algorithm from cycling. for _ in range(Tableau.maxiter): # Completion of each stage removes an objective. If both stages # are complete, then no objectives are left if not self.objectives: # Find the values of each variable at optimal solution return self.interpret_tableau() row_idx, col_idx = self.find_pivot() # If there are no more negative values in objective row if self.stop_iter: # Delete artificial variable columns and rows. Update attributes self.tableau = self.change_stage() else: self.tableau = self.pivot(row_idx, col_idx) return {} def interpret_tableau(self) -> dict[str, float]: """Given the final tableau, add the corresponding values of the basic decision variables to the `output_dict` >>> Tableau(np.array([ ... [0,0,0.875,0.375,5], ... [0,1,0.375,-0.125,1], ... [1,0,-0.125,0.375,1] ... ]),2, 0).interpret_tableau() {'P': 5.0, 'x1': 1.0, 'x2': 1.0} """ # P = RHS of final tableau output_dict = {"P": abs(self.tableau[0, -1])} for i in range(self.n_vars): # Gives indices of nonzero entries in the ith column nonzero = np.nonzero(self.tableau[:, i]) n_nonzero = len(nonzero[0]) # First entry in the nonzero indices nonzero_rowidx = nonzero[0][0] nonzero_val = self.tableau[nonzero_rowidx, i] # If there is only one nonzero value in column, which is one if n_nonzero == 1 and nonzero_val == 1: rhs_val = self.tableau[nonzero_rowidx, -1] output_dict[self.col_titles[i]] = rhs_val return output_dict if __name__ == "__main__": import doctest doctest.testmod()