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Sensitivity Analysis

Reading: Chapter 9

Sensitivity Analysis:

Answering the What If Questions

After you have solved a given LP and found an optimal

solution:

1. What is the eect of a change in one or more parameters on the optimal tableau? current solution?

2. If the solution is no longer optimal, what needs to

be done in order to nd a new optimal solution?

3. What happens when we add a new variable? a new

constraint?

4. What if we want to test changes in parameters over

a range of possible parameter values?

Tableau

Suppose we start with a canonical max form tableau

z

0

0

..

0

1

x1

a11

a21

..

am1

c1

x2

a12

a22

..

am2

c2

. . . xn

. . . a1n

. . . a2n

..

. . . amn

. . . cn

s1

1

0

..

0

0

s2 . . .

0 ...

1 ...

...

0 ...

0 ...

sm rhs

0 b1

0 b2

..

1 bm

0 0

basis

xB1

xB2

..

xBm

z

z

0

0

..

0

1

x1

a11

a21

..

am1

c1

x2 . . .

a12 . . .

a22 . . .

..

am2 . . .

c2 . . .

xn

a1n

a2n

..

amn

cn

s1

s11

s21

..

sm1

y1

s2

s12

s22

..

sm2

y2

. . . sm

. . . s1m

. . . s2m

..

. . . smm

. . . ym

rhs

b1

b2

..

bm

z0

basis matrix B = [AB1 , . . . , ABm ], the basic costs cB =

[cB1 , . . . , cBm ], the inverse matrix S = B 1, and the

dual variables y = cB S .

Initial tableau

z x1 x 2 x 3

0

8 12 16

0

0 15 20

0

3

6

9

1 35 60 75

s1

1

0

0

0

s2

0

1

0

0

s3

0

0

1

0

rhs

120

60

48

0

Optimal tableau

basis

s2

x2

x1

z

z

0

0

0

1

x1

0

0

1

0

x2 x3

s1 s2 s3 rhs

0 10 15/4 1 10 30

1

2 1/4 0 2/3 2

0 1 1/2 0 1 12

0 10 5/2 0

5 540

15/4 1 10

1/4 0

2/3

S =

1/2 0 1

y = ( 5/2, 0, 5 )

and note that

cB = ( c5, c2, c1 ) = ( 0, 60, 35 )

4

Recall the matrix equations describing the nal tableau

derived in Lecture 4:

b = S b

(1)

A = S A

(2)

c = c cB S A

= c y A

(3)

= c cB A

(3)

z0 = cB S b

= y b

(4)

= cB b

(4)

In formulae:

(1) bi = si1b1 + si2b2 + . . . + simbm

i = 1, . . . , m

i = 1, . . . , m, j = 1, . . . , n

amj

j = 1, . . . , n

(3)

bm

(4)

5

The dual variables serve an important role as a mechanism for pricing the parameters of the LP. In particular,

The dual variable for the ith constraint represents the shadow price for that constraint,

and is the amount the objective function value

will increase per unit increase of bi. That is,

yi = z/bi.

Example: Suppose Woody has the opportunity to buy

additional amounts of either mahogany or pine at

$2 per linear foot. Which (if any) of these opportunities should he take advantage of?

Answer: The shadow price of pine is 5/2, which means

that each additional unit of pine obtained will result

in an increase of the in Woodys prots by $2.50.

Thus buying pine at $2 per linear foot results in a

prot of $.50 for each additional linear foot purchased. Mahogany has $0 shadow price (why?).

Thus there is no change in the objective per additional units of pine, and so there is no price attractive enough to convince Woody to buy more

mahogany.

6

Changes in a Resource

Suppose we want to change the values of one or more bk

values.

Eect on the optimal tableau: bk only appears in

Equations (1) and (4), i.e. only the right-handside column (b and z0) is aected

Eect on the current solution: All basic solution

values, as well as the objective function value, may

change. Dual solution remains the same (although its objective function value may change).

Eect on feasibility: Primal solution may become infeasible. Dual solution remains dual

feasible.

Reoptimization method: Dual Simplex Method.

Example

Suppose Woody wants to change the amount of pine he

uses each day, that is, he is changing b1 currently

120 to an amount b1 + = 120 + .

New tableau and

solution values:

b

2 1 15/4 1 10 120 +

s

xB = x2 = b2 = 1/4 0 2/3 60

b3 1/2 0 1 48

x1

30 + 15/4

2 1/4

12 + 1/2

120 +

60 = 540 + 5/2

z0 = ( 5/2, 0, 5 )

48

buys, he will make two more chairs and one less

table (and still no desks), with an additional prot

of $10. There is a limit here, however; if, say, Woody

buys 12 more linear feet of pine the RHS values will

be 75, -1, and 18 (and z0 = 570). In this case,

we would have to reoptimize by performing a dual

simplex pivot in Row 2, in particular, with x4

replacing x2 in the basis.

8

Suppose that we want to change the costs ck for one or

more variables that are nonbasic in the optimal

tableau.

Eect on the optimal tableau: ck only appears

in the Equation (3) and only for j = k, i.e. only

the entry ck is aected.

Eect on the current solution: Primal and dual

solution values and objective function value remain

the same.

Eect on feasibility: Primal solution remains feasible, but dual solution may become infeasible.

Reoptimization method: Primal Simplex Method

Example

Suppose that Woody wants to change the price for desks

so that the current value of c3 = 75 changes to an

amount 75 + .

New value of c3 :

16

c3 = (75 + ) ( 5/2, 0, 5 ) 20 = 10 +

The reduced cost of any nonbasic variable in the optimal tableau represents the minimum increase

allowed for the prot of that variable before it enters

the basis. (For a min problem, this represents the

minimum decrease in that cost.) Any less than

that increase will not aect the optimal solution for

either the primal or dual problem.

In our example, if the prots for desks stays below

75 + = $85 then there will be no change in the

optimal solution values for the problem. If prots

for desks exceed $85 then a pivot would be called for

in column 3, with desks (x3) replacing chairs (x2)

in the basis.

10

Suppose we want to analyze a change in the cost ck of

a basic variable in the optimal tableau.

Eect on the optimal tableau: ck appears in Equation (3) and (4), and aects the entire objective

function row (z0 and all cj )

Eect on the current solution: Primal solution

remains the same (although its objective function

may change) and dual solution values may change.

Eect on feasibility: Primal solution remains feasible, dual solution may become infeasible.

Reoptimization method: primal simplex method

11

Example

Suppose that Woody wants to analyze a change in the

price of chairs from its current value of c1 = 35 to

an amount 35 + .

(Negative of the) new tableau values: Using (3),

(4) with cB = (c5, c2, c1) = (0, 60, 35 + ) we get

c = ( 35 + , 60, 75, 0, 0, 0 )

0 0 10 15/4 1 10

2 1/4 0 2/3

( 0, 60, 35 + ) 0 1

1 0 1 1/2 0 1

= ( 0, 0, 10 + , 5/2 1/2, 0, 5 + )

30

z0 = ( 0, 60, 35 + ) 2

12

= 540 + 12.

Thus if c1 increases by = 5 the optimal solution value would not change, although its objective

function now becomes 600, and the dual solution

becomes y = (5, 0, 0). If prots decrease by, say,

= 10, though, then c4 becomes 5 (corresponding tableau value is 5) and so x4 enters the basis,

replacing x5.

12

Suppose we want to analyze a change in the value akl

of a nonbasic variable in the optimal tableau.

Eect on the optimal tableau: akl appears in Equations (2) and (3), and aects all values in Column l (and nothing else).

Eect on the current solution: Primal and dual

solution values and objective function value remain

the same.

Eect on feasibility: Primal solution remains feasible, but dual solution may become infeasible.

Reoptimization method: Primal Simplex Method

13

Example

Suppose that Woody wants to decrease the number of

carpenter-hours spent on making desks from its current value of a33 = 9 to value a33 = 9 , to

see when it becomes protable to make desks.

New tableau values:

16

10

+

10

a

15/4

1

10

13

20

2

2/3

2/3

=

23 = 1/4 0

1 +

a33

1/2 0 1 9

16

20 = 10 + 5

c3 = 75 ( 5/2, 0, 5 )

desks: Since the only change in the objective row

occurs at c3, then the tableau and hence current

solution will remain optimal as long as

c3 = 10 5 remains nonnegative.

In this case we need 10 5 < 0, i.e. > 2 (a33 < 7)

before it becomes preferable to pivot on Column 3,

that is, make desks. We would then make primal

simplex method pivot to reoptimize.

14

Adding a Variable

Suppose Woody wants to consider producing executive

desks, with each executive desk requiring 12 linear feet of

pine, 30 linear feet of mahogany, and 15 carpenter-hours,

with a prot of $175.

Eect on the optimal tableau: A new column (using

x4 = number of executive desks) is added, using Equations (2) and (3), as if the Revised Simplex Method

were being applied. Remaining values remain unchanged.

Eect on the current solution: Solution value and objective function value remain the same.

New tableau

values:

14

a

15/4 1 10 12

75

2/3

7

24 = 1/4 0

30 =

a34

1/2 0 1 15

9

12

c4 = 175 ( 5/2, 0, 5 ) 30 = 70

15

c4 = 70, so Woody should produce executive desks.

Reoptimization Method: Primal Simplex Method.

In this case the rst pivot would be in Row 2, that is,

Woody would replace table production with executive

desk production.

15

Suppose we want to analyze a change in the value akl

of a basic variable xl = xBr in the optimal tableau.

Eect on the optimal tableau: Again, akl appears

in Equations (2) and (3), and aects values in Column l. Unfortunately, Column l is a basic column, and hence the resulting tableau may stop

being basic.

Remedy: After substituting in the new column values, we pivot on the (r, l)th entry. The tableau

then becomes basic again, but all tableau entries can change. Tableau can become primal

infeasible, dual infeasible, or both.

Method of reoptimization: Depends upon tableau

status. If the tableau happens to remain primal

feasible apply the Phase II Simplex Method;

if the tableau happens to remain dual feasible apply the Dual Simplex Method. If it becomes

both primal and dual infeasible, then we would have

to apply some Phase I method.

16

Example

Suppose that Woody wants to analyze a change

in the amount of carpenter-hours spent on making

chairs (a31) from 3 to 2. Then the values in Column

1 become

a11

a21 =

a31

10

15/4 1 10 8

2

1/2 0 1 2

c1 = 35 ( 5/2, 0, 5 ) 0 = 5

pivot on entry (3, 1), to get new tableau

basis

s2

x2

x1

z

z

0

0

0

1

x1

0

0

1

0

x2

x3

s1 s2

s3 rhs

0 5

5/4 1 5 30

1 5/3 1/12 0 1/3 6

0 1/2

1/4 0 1/2 6

0 15/2 15/4 0 5/2 570

so we apply the dual simplex method to reoptimize,

pivoting on entry (1, 6). This again produces an

optimal tableau.

17

Adding a Constraint

Suppose we want to add a constraint of the type

am+1,1x1 + am+1,2x2 + . . . + am+1,nxn bm+1

1. Enter the corresponding equality constraint (including the slack variable) into the current tableau as the

(m + 1)st row.

2. Cost out the current basis by subtracting

am+1,Bi (Row i) from Row (m + 1). Equivalently,

use the formulae

Am+1, = Am+1 Am+1,B A

Sm+1, =

Am+1,B S

bm+1 = bm+1 Am+1,B b

where Am+1,B = (Am+1,B1 , . . . , Am+1,Bm ).

3. If bm+1 < 0, continue to apply the Dual Simplex

Method to reoptimize.

18

Example

Woody wants to limit himself to 10 pieces of furniture

each day, that is, he wants to add the constraint

x1 + x2 + x3 10

to his tableau. He can add this row directly to the

tableau and cost out the basic variables, or use the formulae:

A4, = A4 (A45, A42, A41)A

0 0 10

0 1

2

= ( 1, 1, 1 ) ( 0, 1, 1 )

1 0 1

= ( 0, 0, 0 )

15/4 1 10

= ( 0, 1, 1 ) 1/4 0 2/3

1/2 0 1

= ( 1/4, 0, 1/3 )

30

b4 = 10 ( 0, 1, 1 ) 2 = 4.

12

19

basis

s2

x2

x1

s4

z

z

0

0

0

0

1

x1

0

0

1

0

0

x2 x3

s1 s2 s3 s4

0 10 15/4 1 10 0

1

2 1/4 0 2/3 0

0 1 1/2 0 1 0

0

0 1/4 0 1/3 1

0 10 5/2 0

5 0

rhs

30

2

12

4

540

basis

x3

x2

x1

s1

z

z

0

0

0

0

1

x1

0

0

1

0

0

x2

0

1

0

0

0

x3

1

0

0

0

0

s1 s2

s3

s4 rhs

0 1/10 1/2 3/2 3

0 1/5 2/3 2

0

0 1/10 1/6 1/2 7

1

0

4/3 4 16

0

1

10/3 25 470

20

constraints: Negate the constraint and treat it as

a constraint.

Equality constraints: Add this constraint just as

you would a constraint, but without the slack

variable. Then do a dual simplex pivot on the

added row (ignore the sign of the RHS) to determine

a basic variable for that tableau. Then continue

with the Dual Simplex Method.

Example: Suppose Woody wanted to make exactly

10 pieces of furniture. The initial tableau will look

like

basis z x1 x2 x3

s1 s2 s3 rhs

s2 0 0 0 10 15/4 1 10 30

x2 0 0 1

2 1/4 0 2/3 2

x1 0 1 0 1

1/2 0 1 12

? 0 0 0

0 1/4 0 1/3 4

z 1 0 0 10

5/2 0

5 540

Pivot on the s1 column to put s1 into the basis in

Row 4. One more pivot gives the same optimal

tableau and solution as in the case, only without

the s4 column.

21

parameter

changed

relevant

equation(s)

parts of tableau

aected

method of

reoptimization

bi

dual simplex

nonbasic cj

(3)

a0j only

primal simplex

basic cj

nonbasic aij

entire j th column

primal simplex

basic aij

+ pivot

all entries

(depends upon

type of tableau)

added column

new column

primal simplex

added constraint

cost out

new row

dual simplex

22

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