Professional Documents
Culture Documents
So far: find an optimium solution given certain constant parameters (costs, demand, etc) How well do we know these parameters?
Notes 4
Restrictions on supply of some resource Restriction on satisfying demand for some resource = Both supply restriction and demand requirement Variable-type constraints
Decision variable determine the levels of some activity Coefficients = per unit impact of activities
IE 312 2
Notes 4
Changing Constraints
Relaxing constraints:
Tightening constraints:
Original
Notes 4
Relaxed
IE 312
Tightened
3
Supply Restriction
Notes 4
IE 312
VARIABLE X1 X2
ROW 2) 3) 4) 5) 6) 7) 8)
Notes 4
Sensitivity
80 60 40 20 0
2 3 4 5 5 5 5 25 75 25 75 25 75 25 5 2. 3. 4. 2. 2. 3. 3. 4. 4. 5. 5. 5. 75 6
Crude Supply
Notes 4 IE 312 6
RHS Coefficients
Constraint RHS RHS Type Increase Decrease Supply (<) Relax Tighten Demand (>) Tighten Relax
Notes 4
IE 312
LHS Coefficients
Constraint LHS LHS Type Increase Decrease Supply (<) Tighten Relax Demand (>) Relax Tighten
Notes 4
IE 312
New Constraints
Notes 4
IE 312
Rate of Change
Supply
Optimal Value
Demand
Optimal Value
Maximize
RHS
RHS
Optimal Value
Optimal Value
Minimize
RHS
Notes 4 IE 312
RHS
10
Notes 4
IE 312
11
100
80
Cost
60 40 20 0 0 5 10 15 20 25 30 35 Coefficient
Notes 4
IE 312
12
Rate of Change
Maximize
Optimal Value
Minimize
Optimal Value
Coefficient.
Coefficient.
Notes 4
IE 312
13
New Activities
Adding activities
Removing activities
Notes 4
IE 312
14
Quantifying Effects
Changing RHS coefficients Changing LHS coefficients Changing objective function coefficients Adding/deleting constraints Adding/deleting activities
Notes 4
How much are we willing to pay to have one more barrel available?
Notes 4 IE 312 16
Notes 4
IE 312
17
LINDO Solution
LP OPTIMUM FOUND AT STEP 4
OBJECTIVE FUNCTION VALUE
1)
VARIABLE V1 V2 V3 V4 V5
92.50000
VALUE 20.000000 35.000000 0.000000 0.000000 0.000000 REDUCED COST 0.000000 0.000000 0.950000 0.000000 0.000000
Notes 4
IE 312
18
Interpretation
Our cost will be reduced by $20 or $ 35, respectively, if the demand for gasoline or jet fuel is one unit less. Smaller demand for lubricants has no effect on the objective We are not willing to pay anything for availability of more crude!
IE 312 19
Notes 4
The primal is the original optimization problem The dual is an LP defined on the same input parameters but characterizing the sensitivities of the primal There is one dual variable for each main constraint
Primal < constraint > constraint = constraint vi 0 vi 0 Minimize objective Unrestricted vi 0 Maximize objective vi 0 Unrestricted
Notes 4
IE 312
20
Interpretation
The dual variables provide implicit prices for marginal units of the resource modeled by the constraint
Zero unless active How much we are willing to pay for more of a resource (supply constraint) How much we benefit from not having to satisfy a requirement (demand constraint)
IE 312 21
Notes 4
What to Optimize?
a
All activities i
i, j
vj
Notes 4
IE 312
22
Dual Constraints
a
i
i, j i
v cj
Notes 4
Optimal Solution
c x b v
j * j j
* i i
Either the primal optimal makes a main inequality active or the corresponding dual is zero Either a nonnegative primal variable has optimal value xj = 0 or the corresponding dual price vj must make the j-th dual constraint active
IE 312 24
Notes 4
b v a
i i, j i
i i
v cj
for all activities j for all primal ' s i for all primal ' s i for all primal ' s i
vi 0 vi 0 vi URS
Notes 4
IE 312
25
b v a
i i, j i
i i
v cj
for all activities j for all primal ' s i for all primal ' s i for all primal ' s i
vi 0 vi 0 vi URS
Notes 4
IE 312
26
Top Brass
max 12 x1 9 x2 x1 1000 (brass footballs) s.t. x2 1500 (brasssoccerballs) x1 x2 1750 (brass plaques) 4 x1 2 x2 4800 (feet of wood) x1 , x2 0
Notes 4 IE 312 27
Graphical Solution
4 x1 2 x2 4800
2000
x1 1000
x2 1500
1500
Optimal Solution
1000
x1 0 x1 x2 1750
500
x2 0
500
1000
1500
2000
Notes 4
IE 312
28
Dual
min 1000v1 1500v2 1750v3 4800v4 v1 v3 4v4 12 s.t. v2 v3 2v4 9 v1 , v2 , v3 , v4 0
Notes 4
IE 312
29
Lindo Solution
OBJECTIVE FUNCTION VALUE
1) 17700.00
VARIABLE V1 V2 V3 V4
Notes 4
IE 312
30
Interpretation
We are willing to pay up to $6/each for additional brass Our objective is sensitive to these plaques estimates! We are willing to pay up to $1.5/foot for more wood We dont need any more brass footballs or soccer balls
IE 312 31
Notes 4
Formulating Duals
max 6 x1 x2 13x3 s.t. 3 x1 x2 2 x3 7 5 x1 x2 6 x2 x3 2 x1 0 x2 0
Notes 4 IE 312 32
Formulating Duals
min s.t. 7 x1 44 x3 2 x1 4 x2 x3 15 x1 4 x2 5 5 x1 x2 3 x3 11 x1 0 x2 0
Notes 4 IE 312 33