Simplex Algorithm: Why does Phase I deliver a BFS immediately?

227 Views Asked by At

When trying to solve a Linear Program (I call it primary problem below) of the form

min $c^{T}x$

s.t. $ $ $Ax = b, x \geq 0, b \geq 0 $

The two phase simplex algorithm suggests to starts with the following auxiliary problem,

min $\sum y_{i}$

s.t. $Ax + y = b, x \geq 0, b \geq 0 , y \geq 0$

It is argued that a solution to the auxiliary problem which gives $\sum y_{i} = 0$, provides a basic solution to the primary optimization problem, from which we can initialize the simplex algorithm for the primary problem.

I understand that $\sum y_{i} = 0$ implies that we found a solution to $Ax = b$, and therefore a feasible solution to the primary problem, however I do not understand why this solution must be a basic feasible solution, which implies that at least $n - m$ of the original $n$ decision variables ($x_{i}, i \in \{1, ..., n\}$), are zero.

I would be very grateful if someone could illuminate this.