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Linear Programming

# Linear Programming

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10/19/2011

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LINEAR PROGRAMMING
A Concise IntroductionThomas S. FergusonContents
1. Introduction
..............................................................
3
The Standard Maximum and Minimum Problems
...........................
4The Diet Problem
..........................................................
5The Transportation Problem
...............................................
6The Activity Analysis Problem
.............................................
6The Optimal Assignment Problem
..........................................
7Terminology
...............................................................
8
2. Duality
...................................................................
10
Dual Linear Programming Problems
.......................................
10The Duality Theorem
.....................................................
11The Equilibrium Theorem
.................................................
12Interpretation of the Dual
.................................................
14
3. The Pivot Operation
....................................................
164. The Simplex Method
...................................................
20
The Simplex Tableau
......................................................
.................................................
21Pivot Rules for the Simplex Method
.......................................
23The Dual Simplex Method
................................................
26
5. Generalized Duality
.....................................................
28
The General Maximum and Minimum Problems
...........................
28Solving General Problems by the Simplex Method
.........................
29Solving Matrix Games by the Simplex Method
............................
301

6. Cycling
...................................................................
33
A Modiﬁcation of the Simplex Method That Avoids Cycling
...............
33
7. Four Problems with Nonlinear Objective Function
..................
36
Constrained Games
.......................................................
36The General Production Planning Problem
................................
36Minimizing the Sum of Absolute Values
...................................
37Minimizing the Maximum of Absolute Values
..............................
38Chebyshev Approximation
................................................
39Linear Fractional Programming
...........................................
39Activity Analysis to Maximize the Rate of Return
.........................
40
8. The Transportation Problem
...........................................
42
Finding a Basic Feasible Shipping Schedule
................................
44Checking for Optimality
...................................................
45The Improvement Routine
................................................
47
9. Solutions to the Exercises
..............................................
50Related Texts
...............................................................
65
2

LINEAR PROGRAMMING1. Introduction.
A linear programming problem may be deﬁned as the problem of
maximizing or min-imizing a linear function subject to linear constraints
. The constraints may be equalitiesor inequalities. Here is a simple example.Find numbers
x
1
and
x
2
that maximize the sum
x
1
+
x
2
subject to the constraints
x
1
0,
x
2
0, and
x
1
+ 2
x
2
44
x
1
+ 2
x
2
12
x
1
+
x
2
1In this problem there are two unknowns, and ﬁve constraints. All the constraints areinequalities and they are all linear in the sense that each involves an inequality in somelinear function of the variables. The ﬁrst two constraints,
x
1
0 and
x
2
0, are special.These are called
nonnegativity constraints
and are often found in linear programmingproblems. The other constraints are then called the
main constraints
. The function to bemaximized (or minimized) is called the
objective function
. Here, the objective function is
x
1
+
x
2
.Since there are only two variables, we can solve this problem by graphing the setof points in the plane that satisﬁes all the constraints (called the constraint set) andthen ﬁnding which point of this set maximizes the value of the objective function. Eachinequality constraint is satisﬁed by a half-plane of points, and the constraint set is theintersection of all the half-planes. In the present example, the constraint set is the ﬁve-sided ﬁgure shaded in Figure 1.We seek the point (
x
1
,x
2
), that achieves the maximum of
x
1
+
x
2
as (
x
1
,x
2
) rangesover this constraint set. The function
x
1
+
x
2
is constant on lines with slope
1, forexample the line
x
1
+
x
2
= 1, and as we move this line further from the origin up and tothe right, the value of
x
1
+
x
2
increases. Therefore, we seek the line of slope
1 that isfarthest from the origin and still touches the constraint set. This occurs at the intersectionof the lines
x
1
+2
x
2
= 4 and 4
x
1
+2
x
2
= 12, namely, (
x
1
,x
2
) = (8
/
3
,
2
/
3). The value of the objective function there is (8
/
3) +(2
/
3) = 10
/
3.Exercises 1 and 2 can be solved as above by graphing the feasible set.It is easy to see in general that the objective function, being linear, always takes onits maximum (or minimum) value at a corner point of the constraint set, provided the3