Linear Programming –

Modelling
Contents
1. The general optimization problem
2. The LP model
3. LP assumptions
4. Model building tips
5. Examples of problems

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The general optimization problem
§ The general optimization problem can be mathematically
formulated as follows:
Max or Min F (X1, X2, ... , XN)
subject to:
g1(X1, X2, ... , XN) ≤ (or ≥ or =) 0
g2(X1, X2, ... , XN) ≤ (or ≥ or =) 0
...
gM(X1, X2, ... , XN) ≤ (or ≥ or =) 0

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The general optimization problem
§ The general optimization problems consists of the following
elements:
§ Decision variables X1, X2, ... , XN : the unknowns we wish to
determine;
§ Objective function F(X1, X2, ... , XN): the performance
measure we wish to optimize;
§ Constraints gi(X1, X2, ... , XN) ≤ (or ≥ or =) 0: a set of
restrictions on the possible values of the decision variables.

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The general optimization problem
§ A solution for an optimization problem is any set of values for
the decision variables.
§ A solution for which all the constraints are satisfied is called a
feasible solution.
§ On the other hand, a solution that violates at least one
constraint is called an infeasible solution.
§ An optimal solution is a feasible solution that has the most
favorable value of the objective function, that is, it optimizes
the objective function.
§ Thus, an optimal solution is the best of all feasible solutions.

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Problem classification
§ An optimization problem is a linear programming (LP) model if
and only if:
1. The objective function F(⋯) and all the constraints gi(⋯)
are linear functions;
2. All variables Xj are continuous.
§ If condition 1. is not true, we have a nonlinear programming or
optimization problem.
§ If condition 2. is not true, we have an integer programming or
optimization problem.
§ If both conditions are not true, we have a nonlinear integer
optimization problem.

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The canonical form of the LP model
§ The general LP model, in its canonical form, with N variables
and M constraints, is given by:
Max F = c1x1 + c2x2 + ... + cNxN
subject to:
a11x1 + a12x2 + ... + a1NxN ≤ b1
a21x1 + a22x2 + ... + a2NxN ≤ b2
…
aM1x1 + aM2x2 + ... + aMNxN ≤ bM
xj ³ 0, j = 1, 2, ..., N

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The canonical form of the LP model
§ The constraints ai1x1 + ai2x2 + ... + aiNxN ≤ bi are known as
functional constraints.
§ On the other hand, the constraints xj ³ 0 are designated by sign
constraints.
§ In the canonical form of the LP model, the sign constraints are
also known as nonnegativity constraints, since they state that
the variables cannot take negative values.

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The canonical form of the LP model
§ There are three types of parameters (constant values) in the
LP model:
§ Coefficients of the variables in the objective function: cj is
the coefficient of variable xj in the objective function;
§ Right-hand sides of the (functional) constraints: bi is the
right hand side of (functional) constraint i;
§ Coefficients of the variables in the (functional)
constraints: aij is the coefficient of variable xj in (functional)
constraint i.

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Other forms of the LP model
§ The LP model can be written in forms other than the
canonical.
§ All forms of the LP model are equivalent.
§ Other valid forms:
§ Different objective function (min);
§ Different functional constraint types (≥ or =);
§ Different sign constraints for the variables (xj ≤ 0;
unconstrained xj).

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LP assumptions
§ LP models have the following assumptions or properties:
1. Proportionality;
2. Additivity;
3. Continuity;
4. Certainty.

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Proportionality
§ The proportionality assumption states that the contribution of
each decision variable, both to the objective function and to
each constraint, is proportional to the value of that decision
variable.
Proportionality violated
case 1 case 2 case 3
0 !" = 0 3!",.+
!" 3!" $ 3!"".+
3!" − 1 !" > 0
0 0 0 0 0
1 3 2 3 3
2 6 5 8 4
3 9 8 16 5
4 12 11 24 6

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Additivity
§ The additivity assumption states that all functions (objective
and constraints) are the sum of the individual contributions
of each of the variables.

Additivity violated
case 1 case 2
!" , !$ 3!" + 5!$ 3!" + 5!$ + !" !$ 3!" + 5!$ − !" !$
(1, 0) 3 3 3
(0, 1) 5 5 5
(1, 1) 8 9 7

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Continuity and certainty
§ The continuity assumption states that the decision variables
may take any values, including noninteger values, that
satisfy the constraints.
§ Finally, the certainty assumption states that all the parameters
are equal to a known constant.

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Model building tips
§ The first step is usually to determine:
§ What is fixed and cannot be changed – these will be the
model parameters;
§ What needs to be answered, and what is under our control /
subject to our decision – these will lead to the decision
variables.
§ Then, we should:
§ Identify what limits our decisions – these will translate into
constraints…
§ … and represent those constraints as equalities or
inequalities involving the decision variables.

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Model building tips
§ Finally, we must:
§ Identify the objective(s) of the problem – this will lead to the
objective function…
§ … and represent such objective(s) as a function of the
decision variables, to be minimized or maximized.
§ Throughout this process, we must be careful to ensure that the
units of measure are kept consistent.

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Examples of problems
§ Some problems that can be modelled using LP:
§ Production planning;
§ Transportation / distribution;
§ Mix or diet;
§ Scheduling the work force;
§ …

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Exercises
§ Exercise 1.
§ Exercise 2.
§ Exercise 3.
§ Exercise 4.

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