Chapter 2

LINEAR PROGRAMMING – LP

Tuesday, September 09, 2014

 LINEAR PROGRAMMING
CONTENTS
• Introduction about LP
• Problem Formulation
• Solve LP using Graphical approach
• Four Special Cases
• Sensitivity Analysis
• Using Lingo
• The Simplex Method
• Two-Phase Method
• Simplex Method in Matrix Form

Tuesday, September 09, 2014

 INTRODUCTION
• Many decisions in management are related with the
best usage resources of organizations.
• Manager makes Decisions in order to satisfy
Objectives, Goals of organizations.
• Resources: Materials, Machines, Man, Money, Time,
Space.
• Linear Programming (LP) is a mathematical method
that helps managers to make decision related with
Resources Allocation. (references about Nobel
laureate: Kantorovich)
• Extensively using computer.
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 LP PROBLEM

• Problem: Maximize or Minimize some variables, usually

Profit/ Cost, called Objective function.
• Constraints: are functions show resources limitation of
companies/ organizations. The problem is to find s solution
that maximize profits (or minimize lost/cost) in given
constraints.
Form of constraint functions could be:
• Inequality (form  or )
• Equality

• All Objective function and Constraint functions are linear

functions.

Tuesday, September 09, 2014

Formulating LP Problems - the most important task
Example 1. WYNDOR GLASS CO.

• Glass products : windows and glass doors.

• Plant 1: Aluminum frames and hardware : Product 1
• Plant 2: Wood frame: Product 2
• Plant 3: The glass and assembles the products: Product 1 & 2.
• Product 1: An 8-foot glass door with aluminum framing
• Product 2: A 4x6 foot double-hung wood-framed window
• WYNDOR GLASS CO problem: Determine what the production rates
should be for the two products in order to maximize their total profit

The production rate = The number of batches of the

products to be produced / week 5
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WYNDOR GLASS CO Data

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 Formulation as a Linear Programming
Problem
• x1 = number of batches of product 1 produced per week
• x2 = number of batches of product 2 produced per week
• Z = total profit per week (in thousands of dollars) from producing
these two products

• The objective function is

Maximize profit Z = $3x1 + $5x2
Subject to the restrictions:
3x1 + 2x2  18
2x2 12
x1 4 Linear Programming
Problem
x1 0
x2 0.
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Graphical Solution

The graphical method works only when there are two decision variables, but it
provides valuable insight into how larger problems are structured

• Graphical Representation of Constraints

• Isoprofit-line method
• Corner points method

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 Graphical Representation of Constraints

x2

Fig 1. Shaded area shows values of 9

( x1 , x2 ) allowed by 8
x1  0, x2  0, x1  4, 2 x2  12 2 x2  12

Number of batches of product 2

7
6

x1  4
5
4
3
2
1

0 1 2 3 4 5 6 7 x1
Number of batches of product 1

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 Graphical Representation of Constraints
x2

Fig 2. Shaded area shows the set of

9 3x1  2 x2  18
permissible values of (x1, x2), called the 8
2 x2  12

Number of batches of product 2

feasible region. 7
6

x1  4
5
4
Feasible
Feasible
3 region
region
2
1

0 1 2 3 4 5 6 7 x1
Number of batches of product 1
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Solving LP graphically by Isoprofit- line method
Fig 3. The value of (x1 , x2 ) that x2
maximizes 3x1  5x2is (2, 6).
99
88
Z  36  3x1  5 x2
77
(2,6)
66
55
Z  20  3x1  5 x2 44
33
Z  10  3x1  5 x2 22
11

0 1 2 3 4 5 6 7 x1
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Tuesday, September 09, 2014
 Solving LP graphically by Isoprofit- line method

3 1 x2
x2   x1  Z Optimal solution
5 5
99
88
Z  36  3x1  5 x2 I  ( x1  2, x 2  6)
77
66
55
Max Profit: Z=3*2+5*6=36
Z  20  3x1  5 x2 44
33
Z  10  3x1  5 x2 22
11

0 1 2 3 4 5 6 7 x1
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 Optimal Solution Structure
x2

99 Binding constraints
A constraint is said to be 88
binding if it holds with equality 77
I  ( x1  2, x 2  6)
at the optimum solution. 66
55
Other constraints are non- 44 Z  3x1  5 x2
binding 33
22
11

0 1 2 3 4 5 6 7 x1
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 Remarks:

 Isoprofit lines (Z): parallel (same slope).

 Optimal solution (any points): intersected (touched) by the feasible

region and isoprofit line that defines the largest Z-value.

 Find the objective is to minimize Z: try Z-values tend to decrease

 Find the objective is to maximize Z: try Z-values tend to increase

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Solving LP problem by Corner-point method
Objective: Maximize Profit Z = 3X1 + 5X2
• The mathematical theory in LP shows that the
optimal solution must lie at one corner point, or
extreme point, of the feasible region

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 x2
• At A=(0,0): Profit = 0

• At B=(0,6): 99
88
Profit = 3(0) + 5(6) = 30
77
B=(0,6)
• At C=(2,6): 66 C=(2,6)
55
Profit = 3(2) + 5(6) = 36 44
33 D=(4,3)
• At D=(4,3):
22
Profit = 3(4) + 5(3) = 27 11
E=(4,0)
A=(0,0)
• The optimal solution is C = (2,6) 0 1 2 3 4 5 6 7 x1
which obtains profit of 36 16
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There are 04 special cases in LP:
• Infeasible solutions
• Unbounded solutions
• Redundant constraints
• Multiple optimal solutions

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 04 SPECIAL CASES
Case1: Infeasible
Infeasible solutions occurred when:
• Have conflicting constraints ; or
• No solution satisfy all constraints; or
• Can not build the feasible solutions region.

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Example: x2

Maximize Z = 3X1 + 5X2 99 3x1+5x2=50

St: 88
77
3X1 + 5X2  50 (2,6)

Number of batches of product 2

66
3X1 + 2X2  18 55
2X2  12 44
33
X1  4 22
X1 0 11
X2  0 0 1 2 3 4 5 6 7 x1
Number
Numberofofbatches
batchesofofproduct
product11

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Case 2: Unbounded solutions
• When value of Objective function approached to infinity
we said that the problem is unbounded or missing one or
more constraints;
• The LP did not provide a finite solutions, this implies the
objective function approaches to infinity without
violating any constraint.
•  Open ended problem

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 04 SPECIAL CASES
• Example: (4,∞ ), Z=∞
x2
Maximize Z = 3X1 + 5X2
St: 9
X1  0 8 (4,8), Z=52

Number of batches of product 2

X2 0 7
6 (4,6), Z=42
X1  4 5
4 (4,4), Z=32
3
2 (4,2), Z=22
1

0 1 2 3 4 5 6 7 x1
Number of batches of product 1

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Case 3: Redundancy of Constraints
• A redundant constraint is a constraint that will not affect
to the solution space
• In reality, this will usually happens when number of
constraints and umber of variables are very large.

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Example: x2

Maximize Z = 3X1 + 5X2 9

St: 8
7
3X1 + 2X2  18 (2,6)

Number of batches of product 2

6
2X2  12 5
X1  4 4
3 x1=7
X1  7 2
X1 0 1
X2  0 0 1 2 3 4 5 6 7 x1
Number of batches of product 1

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Case : Multiple solutions
• When objective function and one constraint have the same
slope we will faced with the case multiple optimal
solutions

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• Example:
Maximize Z = 3X1 + 2X2 x2
St: 3 X1 +2X2  18
2 X2  12 9
Z  18  3x1  2 x2
X1  0 8

Number of batches of product 2

7 3x1  2 x2  18
X2 0
6
X1  4 5
4 Every point in the darker
3
Feasible segment line is
region
2
Optimal, Z=18
1

0 1 2 3 4 5 6 7 x1
Number of batches of product 1 25

Tuesday, September 09, 2014

 Sensitivity Analysis
x2
Find sensitive parameters those
making small change in its value 9 3x1  2 x2  18
(adding Δ in this case) changes 8 Z  36  3x1  5 x2
the optimal solution 7
(2,6) 2 x2  12
6

Number of batches of product 2

5 x1  4
4
3
2
1

0 1 2 3 4 5 6 7 x1
Number of batches of product 1 26
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Sensitivity Analysis on the Contsraints
• On constraint 1:
If we increase RHS by 1: 3X1 + 2X2  18+1
The new optimal solution is: X1= 7/3 , X2 =6 and the
new Z’ = 37 . The net change in profit is is $1. This is
called shadow price (marginal value or dual price)
associated with constraint 1.
• On constraint 2:
If we increase RHS by 1: 2X2  13, X1= 5/3 ,
X2 =13/2
The net change in profit is is $1.5. The shadow price
associated with constraint 2 is $1.5.
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• On constrain 3:
X1  4 : not binding constraint x2

9 3x1  2 x2  18
8
Z  36  3x1  5 x2
7
(2,6) 2 x2  12

Number of batches of product 2

6
5 x1  4
4
3
Shadow price =0 2
1

0 1 2 3 4 5 6 7 x1
Number of batches of product 1 28
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 Remarks
- Consider binding constraints
- Slightly change RHS of each binding constraint
- Shadow price = Z(new)- Z(old):
- Shadow price > 0: if RHS changes, the optimal solution change,
that RHS is sensitive parameter
- Shadow price = 0: if RHS changes, the optimal solution does
not change. Thus that RHS is not sensitive parameter

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 Summary

• The Geometry of the Feasible Region

• Graphing the constraints
• Finding an optimal solution
• Graphical method
• Searching all the extreme points
• Sensitivity Analysis
• Changing the RHS

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MIT and James Orlin © 2003