Simultaneous equation and variable scaling

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Reductions in numerical disparity across the coefficients are made when equations and variables are simultaneously scaled.  If I scale all variables multiplying coefficients by SCj , all rows dividing coefficients by SRi and the objective dividing coefficients by SO then I get the following table from McCarl and Spreen applies.  In the resultant problem the coefficients after scaling are given by the formulae

eq013

 

and the relationships between solution items before and after scaling is given by

 

Item

Symbol

Before Scaling

Symbol

After Scaling

Unscaled Value

in Terms of

Scaled Value

Scaled Value

in Terms of

Unscaled Value

Variable levels

Xj

Xj'

Xj = Xj'* SCj

Xj' = X j /SCj

Slacks/equation levels

Si

Si'

Si= S i'*SRi

Si' = S i / SRi

Reduced costs/ variable marginals

zj- cj

zj '- cj'

zj - cj = (zj '- cj') * (SO/SCj)

zj '- cj ' = (zj - cj) /  (SO/SCj)

Shadow prices/equation marginals

Ui

Ui'

Ui = Ui' * (SO/SRi)

Ui '= Ui /  (SO/SRi)

Obj.Function vlue

Z

Z '

Z = Z' * SO

Z '= Z /  SO

 

Fortunately, GAMS and the GAMS solvers do this for us adjusting all solutions so they look as if they were never scaled. But this table does show the solutions are equivalent only differing by multiples of the scaling factors.

 

Example of scaling