Chapter 3 Linear Programming: Computer Solution and Sensitivity Analysis

Computer Solution
Early linear programming used lengthy manual mathematical solution procedure called
the Simplex Method (See CD-!M Module A"#
Steps o$ the Simplex Method have %een programmed in so$t&are pac'ages designed $or
linear programming pro%lems#
Many such pac'ages availa%le currently#
(sed extensively in %usiness and government#
)ext $ocuses on Excel Spreadsheets and *M $or +indo&s#
Linear Programming Problem: Standard Form
Standard $orm re,uires all varia%les in the constraint e,uations to appear on the le$t o$
the ine,uality (or e,uality" and all numeric values to %e on the right-hand side#
Examples:
x- x. / x0 must %e converted to x- - x. - x0 1
x.2(x0 / x-" 0 %ecomes x. 0 (x0 / x-"
and then x. - 0x0 - 0x- 1
Sensitivity analysis (or post-optimality analysis" is used to determine ho& the optimal
solution is a$$ected %y changes3 &ithin speci$ied ranges3 in:
the o%4ective $unction coe$$icients
the right-hand side (5S" values
Sensitivity analysis is important to the manager &ho must operate in a dynamic
environment &ith imprecise estimates o$ the coe$$icients#
Sensitivity analysis allo&s him to as' certain &hat-i$ ,uestions a%out the pro%lem#
Objective Function Coefficients
Let us consider ho& changes in the o%4ective $unction coe$$icients might a$$ect the
optimal solution#
)he range o$ optimality $or each coe$$icient provides the range o$ values over &hich the
current solution &ill remain optimal#
Managers should $ocus on those o%4ective coe$$icients that have a narro& range o$
optimality and coe$$icients near the endpoints o$ the range#
Range of Optimality
6raphically3 the limits o$ a range o$ optimality are $ound %y changing the slope o$ the
o%4ective $unction line &ithin the limits o$ the slopes o$ the %inding constraint lines#
)he slope o$ an o%4ective $unction line3 Max c.x. / c0x03 is -c.2c03 and the slope o$ a
constraint3 a.x. / a0x0 7 b3 is -a.2a0#
0
-
8
9
:

Standard $orm re,uires all varia%les in the constraint e,uations to appear on the le$t o$ the
ine,uality (or e,uality" and all numeric values to %e on the right-hand side#
Examples:
x- x. / x0 must %e converted to x- - x. - x0 1
x.2(x0 / x-" 0 %ecomes x. 0 (x0 / x-"
and then x. - 0x0 - 0x- 1
;
<
=
.1
..
eaver Cree! Pottery "#ample Sensitivity $nalysis
Sensitivity analysis determines the effect on the optimal solution of changes in
parameter values of the objective function and constraint e%uations&
Changes may be reactions to anticipated uncertainties in the parameters or to ne'
or changed information concerning the model&
.0
.-

.8
Objective Function Coefficient Sensitivity Range
)he sensitivity range $or an o%4ective $unction coe$$icient is the range o$ values over &hich
the current optimal solution point &ill remain optimal#
)he sensitivity range $or the xi coe$$icient is designated as ci#
.9
.:
.;
.<
Changes in Constraint (uantity )alues Sensitivity Range
)he sensitivity range $or a right-hand-side value is the range o$ values over &hich the
,uantity>s value can change &ithout changing the solution varia%le mix3 including the
slac' varia%les#
.=
01
0.
Constraint (uantity )alue Ranges by Computer "#cel Sensitivity Range for
Constraints
00
Shado' Prices *+ual )ariable )alues,
De$ined as the marginal value o$ one additional unit o$ resource#
)he sensitivity range $or a constraint ,uantity value is also the range over
&hich the shado& price is valid#
Maximize Z = $40x
1
+ $50x
2
subject
to:
x
1
+ 2x
2
40 hr of labor
4x
1
+ 3x
2
120 lb of clay
x
1
x
2
0
0-
Problem "#ample
)&o airplane parts: no#. and no# 0#
)hree manu$acturing stages: stamping3 drilling3 milling#
Decision varia%les: x. (num%er o$ part no#. to produce"
x0 (num%er o$ part no#0 to produce"
Model: Maximi?e @ 7 A:91x. / =.1x0
su%4ect to:
8x. / ;#9x0 .19 (stamping3hr"
:#0x. / 8#=x0 =1 (drilling3 hr"
=#.x. / 8#.x0 ..1 ($inishing3 hr"
x.3 x0 1
08
09
"#ample -
!lympic Bi'e is introducing t&o ne& light&eight %icycle $rames3 the Deluxe and
the Pro$essional3 to %e made $rom special aluminum and steel alloys# )he
anticipated unit pro$its are A.1 $or the Deluxe and A.9 $or the Pro$essional# )he
num%er o$ pounds o$ each alloy needed per $rame is summari?ed %elo&# A supplier
delivers .11 pounds o$ the aluminum alloy and <1 pounds o$ the steel alloy
&ee'ly#
Aluminum Alloy Steel Alloy
Deluxe 0 -
Pro$essional 8 0
5o& many Deluxe and Pro$essional $rames should !lympic produce each &ee'C
Model Dormulation
Eer%al Statement o$ the !%4ective Dunction
Maximi?e total &ee'ly pro$it#
Eer%al Statement o$ the Constraints
)otal &ee'ly usage o$ aluminum alloy F .11 pounds#
)otal &ee'ly usage o$ steel alloy F <1 pounds#
De$inition o$ the Decision Earia%les
x. 7 num%er o$ Deluxe $rames produced &ee'ly#
x0 7 num%er o$ Pro$essional $rames produced &ee'ly#
Max .1x. / .9x0 ()otal +ee'ly Pro$it"

s#t# 0x. / 8x0 F .11 (Aluminum Availa%le"
-x. / 0x0 F <1 (Steel Availa%le"
x.3 x0 G 1
0:
!ptimal Solution
According to the output:
x. (Deluxe $rames" 7 .9
x0 (Pro$essional $rames" 7 .;#9
!%4ective $unction value 7 A8.0#91
ange o$ !ptimality
(uestion: Suppose the pro$it on deluxe $rames is increased to A01# Hs the a%ove solution
still optimalC +hat is the value o$ the o%4ective $unction &hen this unit pro$it is
increased to A01C
$ns'er: )he output states that the solution remains optimal as long as the o%4ective
$unction coe$$icient o$ x. is %et&een ;#9 and 00#9# Since 01 is &ithin this range3 the optimal
solution &ill not change# )he optimal pro$it &ill change: 01x. / .9x0 7 01(.9" / .9(.;#9" 7
A9:0#91#
(uestion: H$ the unit pro$it on deluxe $rames &ere A: instead o$ A.13 &ould the optimal
solution changeC
$ns'er: )he output states that the solution remains optimal as long as the o%4ective
$unction coe$$icient o$ x. is %et&een ;#9 and 00#9# Since : is outside this range3 the optimal
solution &ould change#
.//0 Rule
)he .11I rule states that simultaneous changes in o%4ective $unction coe$$icients &ill not
change the optimal solution as long as the sum o$ the percentages o$ the change divided
%y the corresponding maximum allo&a%le change in the range o$ optimality $or each
coe$$icient does not exceed .11I#
ange o$ !ptimality and .11I ule
(uestion
H$ simultaneously the pro$it on Deluxe $rames &as raised to A.: and the pro$it on
Pro$essional $rames &as raised to A.;3 &ould the current solution %e optimalC
$ns'er
H$ c. 7 .:3 the amount c. changed is .: - .1 7 : # )he maximum allo&a%le
increase is 00#9 - .1 7 .0#93 so this is a :2.0#9 7 8<I change# H$ c0 7 .;3 the amount that c0
changed is .; - .9 7 0# )he maximum allo&a%le increase is 01 - .9 7 9 so this is a 029 7 81I
change# )he sum o$ the change percentages is <<I# Since this does not exceed .11I3 the
optimal solution &ould not change#
)he .11I rule states that simultaneous changes in right-hand sides &ill not change the
dual prices as long as the sum o$ the percentages o$ the changes divided %y the
corresponding maximum allo&a%le change in the range o$ $easi%ility $or each right-hand
side does not exceed .11I#
ange o$ Deasi%ility and Sun' Costs
(uestion
6iven that aluminum is a sun' cost3 &hat is the maximum amount the company
should pay $or 91 extra pounds o$ aluminumC
ange o$ Deasi%ility and Sun' Costs
$ns'er: Since the cost $or aluminum is a sun' cost3 the shado& price provides the value
o$ extra aluminum# )he shado& price $or aluminum is the same as its dual price ($or a
maximi?ation pro%lem"# )he shado& price $or aluminum is A-#.09 per pound and the
0;
maximum allo&a%le increase is :1 pounds# Since 91 is in this range3 then the A-#.09 is
valid# )hus3 the value o$ 91 additional pounds is 7 91(A-#.09" 7 A.9:#09#
0<