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Presentation Lecture 1 INDU 6111|Views: 28|Likes: 0

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Course Introduction and Mathematical Modeling

Ivan Contreras

Mechanical and Industrial Engineering Department Concordia University Interuniversity Research Centre on Enterprise Networks, Logistics and Transportation (CIRRELT) Montreal, Canada

September 5th, 2012

Operations Research: The Science of Better

Operations Research (OR) is the discipline of applying advanced analytical methods to help make better decisions. By using techniques such as mathematical modeling to analyze complex situations, OR gives executives the power to make more eﬀective decisions and build productive systems based on:

The latest decision tools and techniques Consideration of all available options Careful predictions of outcomes and estimates of risk More complete data

Extracted from: http://www.scienceofbetter.org/

**Operations Research: The Science of Better
**

To achieve these results, OR professionals draw upon the latest analytical technologies, including: Simulation: giving the ability to try out approaches and test ideas for improvement Optimization: narrowing choices to the very best when there are virtually innumerable feasible options and comparing them is diﬃcult Probability and Statistics: helping measure risk, mine data to ﬁnd valuable connections and insights, test conclusions, and make reliable forecasts

Extracted from: http://www.scienceofbetter.org/

scienceofbetter.org/can do/success stories. and how much Optimizing a portfolio of investments Planting crops in the face of uncertainty about weather and consumer demand Forecasting sales for a new kind of product that has never been marketed before Figuring out the best way to run a call center For success stories in OR go to: http://www.Operations Research: The Science of Better OR can help executives with many challenges they face: Locating a warehouse or distributions center to deliver materials over shorter distances at reduced cost Solving complex scheduling problems Deciding when to discount.htm .

Operations Research: The Science of Better Operations Research encompasses a wide range of problem-solving methods and techniques such as: Optimization Simulation Game theory Queueing theory Stochastic processes Expert systems Decision analysis . ...

.. . There are other ﬁelds of knowledge in which OR can be employed: Economics Computer Science Statistics Mathematics Computational Biology .Applications in Operations Research Several areas within Industrial Engineering in which OR can be used: Design and analysis of manufacturing systems Production planning and inventory control Machine and personnel scheduling Transportation and logistics Product design and development Quality control ...

.. . There are other ﬁelds of knowledge in which OR can be employed: Economics Computer Science Statistics Mathematics Computational Biology ...Applications in Operations Research Several areas within Industrial Engineering in which OR can be used: Design and analysis of manufacturing systems Production planning and inventory control Machine and personnel scheduling Transportation and logistics Product design and development Quality control .

.Optimization Main ﬁelds in Optimization (or Mathematical Programming): Convex programming Linear programming Semideﬁnite programming Conic programming Quadratic programming Nonlinear programming Network optimization Integer and combinatorial optimization Stochastic programming Robust optimization Constraint programming Dynamic programming Semi-inﬁnite programming Multi-objective optimization Optimal control .. .

informs.cors.org/ Europe: The Association of European Operational Research Societies (EURO) http://www.org/ The Entire Globe: International Federation of Operational Research Societies (IFORS) http://ifors.org/ .OR Institutes and Associations Canada: Canadian Operational Research Society (CORS) http://www.euro-online.ca/ North America: Institute for Operations Research and Management Sciences (INFORMS) http://www.

In particular.Course Overview This course focuses on both the theory and applications of OR. it covers topics from: Mathematical Modeling Computational Complexity Convex Analysis Linear Programming Network Optimization .

max-ﬂow problems .Course Overview Mathematical Modeling Linear. polynomial-time algorithms Decision problems and classes N P and P Network Optimization Network simplex method Matching and assignment problems Min-cost. and integer programming models Convex Analysis Convex sets. nonlinear. polyhedral sets and polyhedral cones Extreme points and extreme directions Representation of polyhedral sets Linear Programming Motivation of the simplex method and the revised simplex method Farkas’ lemma and the Karush-Kuhn-Tucker optimality conditions Duality and sensitivity analysis Interior point methods Computational Complexity Theory Complexity issues.

ﬁco.com/support/docview.Optimization Solvers Linear and Integer Programming Software: CPLEX https://www-304.com/student-version-of-ﬁco-xpress.wss?uid=swg21419058 XPRESS http://optimization.gurobi.html GUROBI http://www.com/ .ibm.

scalar multiplication. linear independence Spanning set and basis Matrices.Linear Algebra Concepts in linear algebra that are assumed to be know are: Vectors: addition. partitioned matrices. inner product. inverse. and norms Vector spaces (in particular the Euclidean space) Linear and convex combinations. and transpose Elementary matrix operations Solving a system of linear equations Rank of a matrix .

and restructuring the model: examination of model solution and its sensitivity to system parameters. 2 3 4 5 The interested reader is referred to: Brown and Rosenthal. identiﬁcation of speciﬁc problem that needs to be analyzed. Interfaces. Solving the formulation: use/develop a proper technique that exploits any special structure of the model Testing.Mathematical Modeling in Optimization The modeling and analysis of models evolves though several stages: 1 Problem deﬁnition: study of the system. data collection. 2008. Implementation: development of a decision support system to aid in the decision-making process. 38(5). Optimization Tradecraft: Hard-Won Insights from Real-Worls Decision Support. analysis. Devising a mathematical formulation: construction of a model that satisfactorily represents the system while keeping the model tractable. enrich the model further or simplify the model. . study of various what-if types of scenarios.

1998. deﬁne an additional or alternative set of variables and iterate. Note: This modeling recipe has been provided by Lawrence Wolsey in Integer Programming.Mathematical Modeling in Optimization Translating a problem description into a formulation should be done systematically. Wiley. Important: A clear distinction should be made between the data of the problem and the decision variables used in the model. . 1 2 Deﬁne what appears to be the necessary decision variables Use these variables to deﬁne a set of constraints so that the feasible points correspond to the feasible solutions of the problem Use these variables to deﬁne the objective function 3 If diﬃculties arise.

Important: A clear distinction should be made between the data of the problem and the decision variables used in the model. deﬁne an additional or alternative set of variables and iterate. . 1998. Wiley. Note: This modeling recipe has been provided by Lawrence Wolsey in Integer Programming.Mathematical Modeling in Optimization Translating a problem description into a formulation should be done systematically. 1 2 Deﬁne what appears to be the necessary decision variables Use these variables to deﬁne a set of constraints so that the feasible points correspond to the feasible solutions of the problem Use these variables to deﬁne the objective function 3 If diﬃculties arise.

Note: This modeling recipe has been provided by Lawrence Wolsey in Integer Programming. . 1 2 Deﬁne what appears to be the necessary decision variables Use these variables to deﬁne a set of constraints so that the feasible points correspond to the feasible solutions of the problem Use these variables to deﬁne the objective function 3 If diﬃculties arise. Wiley. Important: A clear distinction should be made between the data of the problem and the decision variables used in the model.Mathematical Modeling in Optimization Translating a problem description into a formulation should be done systematically. deﬁne an additional or alternative set of variables and iterate. 1998.

Mathematical Modeling in Optimization We will ﬁrst study ﬁve classical problems in optimization: Transportation problem p-median problem Cutting stock problem Uncapacitated lot-sizing problem Traveling salesman problem .

Example 1: The Transportation Problem Plants a1 c11 b1 Warehouses Input: a2 b2 a3 b3 a4 b4 a5 b5 a6 c65 M : set of plants N : set of warehouses cij : cost between i and j bj : demand at warehouse j ai : capacity at plant i The transportation problem: Decide the production quantity at each plant Find a shipping pattern form plants to warehouses to satisfy demand Objective: Minimize the total shipping cost Unit shipping cost from plant i to warehouse j: cij .

Example 1: The Transportation Problem Production-shipping variables xij = amount of product produced at plant i shipped to warehouse j Plants a1 b1 a2 b2 a3 b3 a4 x54 a5 b5 a6 b4 Warehouses xij variables (continuous) .

j ∈ N .Example 1: The Transportation Problem The transportation problem can be formulated as the following linear program: minimize i∈M j∈N cij xij xij = bj i∈M subject to j∈N i∈M xij ≤ ai j∈N xij ≥ 0 i ∈ M.

Example 2: The p-Median Problem Input: J: set of customers I: set of candidate locations cij : cost between i and j dj : demand of customer j p: number of facilities to open The p-median problem: The location of p facilities The assignment of each customer to its closest facility Assume that each facility has unlimited capacity Objective: Minimize the total transportation cost Transportation cost from i to j: dj cij .

otherwise Allocation variables xij = 1 0 if customer j is assigned to facility located at node i. otherwise. .Example 2: The p-Median Problem Location variables zi = 1 0 if a facility is located at node i.

1} .Example 2: The p-Median Problem The p-median problem can be formulated as the following integer linear program: minimize i∈I j∈J dj cij xij zi = p i∈I subject to xij = 1 i∈I j∈J i ∈ I. xij ∈ {0. j ∈ J xij ≤ zi zi . j ∈ J i ∈ I.

Example 3: The Cutting Stock Problem Standard Metal Sheet Roll A cutting pattern l1 l2 Length (L) l2 l3 Width (W) Width (W) .

Example 3: The Cutting Stock Problem Input: M : set of sheet orders of diﬀerent size (|M | = m) L: standard length of sheet rolls bi : demand of sheets with length li The cutting stock problem: Cut the standard rolls in such a way as to satisfy the orders We assume that scrap pieces are useless Objective: Minimize the waste by minimizing number of rolls needed .

.. The jth cutting pattern is characterized by the vector: a1j a aj = 2j .Example 3: The Cutting Stock Problem Observe that given a standard sheet of length L. there are many ways of cutting it.. Note that aj denotes a feasible cutting pattern if and only if aij li ≤ L. amj where the ith component aij is a nonnegative integer denoting the number of sheets of length li in the jth pattern. Each such way is called a cutting pattern. . i∈M Let P denotes the set of feasible cutting patterns.

Example 3: The Cutting Stock Problem Cutting pattern variables: xj : number of standard rolls cut according to the jth pattern The cutting stock problem can be formulated as the following integer linear program: minimize j∈P xj aij xi ≥ bi j∈P subject to i∈M xj ∈ N+ j∈P .

Example 4: The Uncapacitated Lot-Sizing Problem Input: T : set of time periods dt : demand at period t pt : unit production cost at period t qt : ﬁxed production cost at period t ht : unit inventory cost at period t The uncapacitated lot-sizing problem: Decide the production lot size and inventory level in every period Capacity in each period is assumed to be unlimited We assume that demand must be satisﬁed in every time period Objective: Minimize total production. set-up and inventory cost .

Example 4: The Uncapacitated Lot-Sizing Problem Set-up variables yt = 1 0 if there is a positive production in period t. otherwise Production variables xj : production lot size in period t Inventory variables sj : inventory level at the end of period t .

denoting an upper bound on the maximum lot size in period t. . st ≥ 0 yt ∈ {0. 1} t∈T t∈T t ∈ T.Example 4: The Uncapacitated Lot-Sizing Problem The uncapacitated lot-sizing problem can be formulated as the following integer linear program: minimize t∈T (pt xt + qt yt + ht st ) st−1 + xt − st = dt xt ≤ M t yt xt . t∈T subject to where Mt is a large positive number.

Example 5: The Traveling Salesman Problem Input: N : set of cities (|N | = n) cij : travel time between i and j The traveling salesman problem (TSP): A salesman must visit each city exactly once and then return to his starting point Objective: Minimize the total travel time of the tour .

Example 5: The Traveling Salesman Problem Input: N : set of cities (|N | = n) cij : travel time between i and j The traveling salesman problem (TSP): A salesman must visit each city exactly once and then return to his starting point Objective: Minimize the total travel time of the tour .

otherwise Using these variables.Example 5: The Traveling Salesman Problem Routing variables xij = 1 0 if the salesman goes directly from city i to city j. 1} Is this enough to model the problem? . we could model the TSP as: minimize i∈N j∈N cij xij xij = 1 j∈N :j=i subject to j∈N i∈N i ∈ N. j ∈ N xij = 1 i∈N :i=j xij ∈ {0.

Example 5: The Traveling Salesman Problem We have to eliminate subtours = obtain one single connected component! .

we have at least two options: 1 Cut-set constraints: xij ≥ 1 i∈S j ∈S / ∀S ⊂ N. 2 ≤ |S| ≤ n − 1. . S = ∅. For that. 2 Subtour elimination constraints: xij ≤ |S| − 1 i∈S j∈S ∀S ⊂ N.Example 5: The Traveling Salesman Problem To achieve so we need additional constraints that guarantee connectivity.

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