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  • 6 LP Sensitivity

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    Maya Peleg
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    The document discusses how changing the right-hand-side coefficients of the constraints in a linear program affects the optimal solution. It shows that increasing the right-hand side of the binding constraints causes the objective function to increase slightly, while changing a non-binding constraint has no effect. The document concludes by noting that analyzing the final tableau defines the sensitivity of the optimal solution to changes in the right-hand side coefficients.

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    The document discusses how changing the right-hand-side coefficients of the constraints in a linear program affects the optimal solution. It shows that increasing the right-hand side of the binding constraints causes the objective function to increase slightly, while changing a non-binding constraint has no effect. The document concludes by noting that analyzing the final tableau defines the sensitivity of the optimal solution to changes in the right-hand side coefficients.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    17 views125 pages

    6 LP Sensitivity

    Uploaded by

    Maya Peleg
    The document discusses how changing the right-hand-side coefficients of the constraints in a linear program affects the optimal solution. It shows that increasing the right-hand side of the binding constraints causes the objective function to increase slightly, while changing a non-binding constraint has no effect. The document concludes by noting that analyzing the final tableau defines the sensitivity of the optimal solution to changes in the right-hand side coefficients.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 125

    Sensitivity

    Antonio J. Conejo, 2018


    What

    September 27, 2018 A. J. Conejo 2


    Sensitivity

    September 27, 2018 A. J. Conejo 3


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 4


    Changing the
    right-hand-side
    coefficients of the
    constraints

    September 27, 2018 A. J. Conejo 5


    Changing the right-hand-side coefficients of the constraints

    Standard
    form

    September 27, 2018 A. J. Conejo 6


    Changing the right-hand-side coefficients of the constraints

    Only xB because xN is zero

    September 27, 2018 A. J. Conejo 7


    Changing the right-hand-side coefficients of the constraints
    Remember

    September 27, 2018 A. J. Conejo 8


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 9


    !!!

    September 27, 2018 A. J. Conejo 10


    Changing the right-hand-side coefficients
    of the constraints

    September 27, 2018 A. J. Conejo 11


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 12


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 13


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 14


    Changing the right-hand-side coefficients of the constraints

    Example

    September 27, 2018 A. J. Conejo 15


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 16


    Changing the right-hand-side coefficients of the constraints
    Optimal solution

    Optimal basis: 1, 2, 4, 6

    September 27, 2018 A. J. Conejo 17


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 18


    Changing the right-hand-side coefficients of the constraints

    Order x1, x2 , x4, x6

    Order x1, x2 , x4, x6

    September 27, 2018 A. J. Conejo 19


    Changing the right-hand-side coefficients of the constraints

    !!!

    September 27, 2018 A. J. Conejo 20


    Changing the right-hand-side coefficients of the constraints

    Dz

    Db1 l1

    September 27, 2018 A. J. Conejo 21


    Changing the right-hand-side coefficients of the constraints
    variable z; variable z;
    positive variables x1, x2; positive variables x1, x2;
    equations of, eq1, eq2, eq3, eq4; equations of, eq1, eq2, eq3, eq4;
    of ..z=e=-x1-x2; of ..z=e=-x1-x2;
    eq1..(2/3)*x1+x2=l=18; eq1..(2/3)*x1+x2=l=18.1;
    eq2..2*x1+x2=g=8; eq2..2*x1+x2=g=8;
    eq3..x1=l=12; eq3..x1=l=12;
    eq4..x2=l=16; eq4..x2=l=16;
    model ep /all/; model ep /all/;
    solve ep using lp minimizing z; solve ep using lp minimizing z;

    LOWER LEVEL UPPER MARGINAL LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -22.000 +INF . ---- VAR z -INF -22.100 +INF .
    ---- VAR x1 . 12.000 +INF . ---- VAR x1 . 12.000 +INF .
    ---- VAR x2 . 10.000 +INF . ---- VAR x2 . 10.100 +INF .

    September 27, 2018 A. J. Conejo 22


    Changing the right-hand-side coefficients of the constraints

    Dz

    Db3 l3

    September 27, 2018 A. J. Conejo 23


    Changing the right-hand-side coefficients of the constraints
    variable z; variable z;
    positive variables x1, x2; positive variables x1, x2;
    equations of, eq1, eq2, eq3, eq4; equations of, eq1, eq2, eq3, eq4;
    of ..z=e=-x1-x2; of ..z=e=-x1-x2;
    eq1..(2/3)*x1+x2=l=18; eq1..(2/3)*x1+x2=l=18;
    eq2..2*x1+x2=g=8; eq2..2*x1+x2=g=8;
    eq3..x1=l=12; eq3..x1=l=12.1;
    eq4..x2=l=16; eq4..x2=l=16;
    model ep /all/; model ep /all/;
    solve ep using lp minimizing z; solve ep using lp minimizing z;

    LOWER LEVEL UPPER MARGINAL LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -22.000 +INF . ---- VAR z -INF -22.033 +INF .
    ---- VAR x1 . 12.000 +INF . ---- VAR x1 . 12.100 +INF .
    ---- VAR x2 . 10.000 +INF . ---- VAR x2 . 9.933 +INF .

    September 27, 2018 A. J. Conejo 24


    Changing the right-hand-side coefficients of the constraints

    Dz

    Db2 or Db4 l2 or l4

    September 27, 2018 A. J. Conejo 25


    Changing the right-hand-side coefficients of the constraints
    variable z; variable z;
    positive variables x1, x2; positive variables x1, x2;
    equations of, eq1, eq2, eq3, eq4; equations of, eq1, eq2, eq3, eq4;
    of ..z=e=-x1-x2; of ..z=e=-x1-x2;
    eq1..(2/3)*x1+x2=l=18; eq1..(2/3)*x1+x2=l=18;
    eq2..2*x1+x2=g=8; eq2..2*x1+x2=g=8.1;
    eq3..x1=l=12; eq3..x1=l=12;
    eq4..x2=l=16; eq4..x2=l=16.1;
    model ep /all/; model ep /all/;
    solve ep using lp minimizing z; solve ep using lp minimizing z;

    LOWER LEVEL UPPER MARGINAL LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -22.000 +INF . ---- VAR z -INF -22.000 +INF .
    ---- VAR x1 . 12.000 +INF . ---- VAR x1 . 12.100 +INF .
    ---- VAR x2 . 10.000 +INF . ---- VAR x2 . 9.933 +INF .

    September 27, 2018 A. J. Conejo 26


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 27


    Changing the right-hand-side coefficients of the constraints

    of variable z;
    positive variables x1, x2;
    equations of, eq1, eq2, eq3, eq4;
    eq1 of ..z=e=-x1-x2;
    eq1..(2/3)*x1+x2=l=18;
    eq2 eq2..2*x1+x2=g=8;
    eq3..x1=l=12;
    eq3 eq4..x2=l=16;
    eq4 model ep /all/;
    solve ep using lp minimizing z;

    September 27, 2018 A. J. Conejo 28


    Changing the right-hand-side coefficients of the constraints

    LOWER LEVEL UPPER MARGINAL

    ---- EQU of . . . 1.000


    ---- EQU eq1 -INF 18.000 18.000 -1.000
    ---- EQU eq2 8.000 34.000 +INF .
    ---- EQU eq3 -INF 12.000 12.000 -0.333
    ---- EQU eq4 -INF 10.000 16.000 .

    September 27, 2018 A. J. Conejo 29


    Changing the right-hand-side coefficients of the constraints

    !!!

    September 27, 2018 A. J. Conejo 30


    Changing the right-hand-side coefficients of the constraints

    This defines the final tableau

    September 27, 2018 A. J. Conejo 31


    Changing the right-hand-side coefficients of the constraints
    ^ is like ~ but after perturbation

    September 27, 2018 A. J. Conejo 32


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 33


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 34


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 35


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 36


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 37


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 38


    Changing the right-hand-side coefficients of the constraints

    Example

    September 27, 2018 A. J. Conejo 39


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 40


    Changing the right-hand-side coefficients of the constraints
    Optimal solution

    Optimal basis: 1, 2, 4, 6

    September 27, 2018 A. J. Conejo 41


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 42


    Changing the right-hand-side coefficients of the constraints

    Order x1, x2 , x4, x6

    Order x1, x2 , x4, x6

    September 27, 2018 A. J. Conejo 43


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 44


    Changing the right-hand-side coefficients of
    the constraints

    September 27, 2018 A. J. Conejo 45


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 46


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 47


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 48


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 49


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 50


    Changing the right-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 51


    Changing the right-hand-side coefficients of the constraints
    variable z; variable z;
    positive variables x1, x2; positive variables x1, x2;
    equations of, eq1, eq2, eq3, eq4; equations of, eq1, eq2, eq3, eq4;
    of ..z=e=-x1-x2; of ..z=e=-x1-x2;
    eq1..(2/3)*x1+x2=l=18; eq1..(2/3)*x1+x2=l=20;
    eq2..2*x1+x2=g=8; eq2..2*x1+x2=g=7;
    eq3..x1=l=12; eq3..x1=l=12;
    eq4..x2=l=16; eq4..x2=l=16;
    model ep /all/; model ep /all/;
    solve ep using lp minimizing z; solve ep using lp minimizing z;

    LOWER LEVEL UPPER MARGINAL LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -22.000 +INF . ---- VAR z -INF -24.000 +INF .
    ---- VAR x1 . 12.000 +INF . ---- VAR x1 . 12.000 +INF .
    ---- VAR x2 . 10.000 +INF . ---- VAR x2 . 12.000 +INF .

    September 27, 2018 A. J. Conejo 52


    Changing the Objective-Function Coefficients

    September 27, 2018 A. J. Conejo 53


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 54


    Changing the objective-function coefficients

    !!!

    September 27, 2018 A. J. Conejo 55


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 56


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 57


    Changing the objective-function coefficients
    Example

    September 27, 2018 A. J. Conejo 58


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 59


    Changing the objective-function coefficients
    Optimal solution

    Optimal basis: 2, 1, 4, 6

    September 27, 2018 A. J. Conejo 60


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 61


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 62


    Changing the objective-function coefficients

    Sensitivity

    September 27, 2018 A. J. Conejo


    Order x1, x2 , x4, x6 63
    Changing the objective-function coefficients
    variable z;
    positive variables x1, x2; variable z;
    equations of, eq1, eq2, eq3, eq4; positive variables x1, x2;
    of ..z=e=-1*x1-x2; equations of, eq1, eq2, eq3, eq4;
    eq1..(2/3)*x1+x2=l=18; of ..z=e=-0.9*x1-x2;
    eq2..2*x1+x2=g=8; eq1..(2/3)*x1+x2=l=18;
    eq3..x1=l=12; eq2..2*x1+x2=g=8;
    eq4..x2=l=16; eq3..x1=l=12;
    model ep /all/; eq4..x2=l=16;
    solve ep using lp minimizing z; model ep /all/;
    solve ep using lp minimizing z;

    LOWER LEVEL UPPER LOWER LEVEL UPPER

    ---- VAR z -INF -22.000 +INF ---- VAR z -INF -20.800 +INF
    ---- VAR x1 . 12.000 +INF ---- VAR x1 . 12.000 +INF
    ---- VAR x2 . 10.000 +INF ---- VAR x2 . 10.000 +INF

    September 27, 2018 A. J. Conejo 64


    Changing the objective-function coefficients

    !!!

    September 27, 2018 A. J. Conejo 65


    Changing the objective-function coefficients
    This define the final tableau

    September 27, 2018 A. J. Conejo 66


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 67


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 68


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 69


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 70


    Changing the objective-function coefficients
    tilde
    hat

    Component-wise
    September 27, 2018 A. J. Conejo 71
    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 72


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 73


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 74


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 75


    Changing the objective-function coefficients
    Example

    September 27, 2018 A. J. Conejo 76


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 77


    Changing the objective-function coefficients
    Optimal solution

    Optimal basis: 2, 1, 4, 6

    September 27, 2018 A. J. Conejo 78


    Changing the objective-function coefficients
    Order x3, x5

    Order x3, x5
    September 27, 2018 A. J. Conejo 79
    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 80


    Changing the objective-function coefficients
    Order x3, x5

    Order x2, x1 , x4, x6

    September 27, 2018 A. J. Conejo 81


    Changing the objective-function coefficients

    September 27, 2018 A. J. Conejo 82


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 83


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 84


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 85


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 86


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 87


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 88


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 89


    Changing the left-hand-side coefficients of the constraints

    This is approximate because B* changes, but


    we assume that it does not.

    September 27, 2018 A. J. Conejo 90


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 91


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 92


    Changing the left-hand-side coefficients of the constraints
    Example

    September 27, 2018 A. J. Conejo 93


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 94


    Changing the left-hand-side coefficients of the constraints
    Optimal solution

    Order: 2,1, 4, 6

    September 27, 2018 A. J. Conejo 95


    Changing the left-hand-side coefficients of the constraints

    !!!

    September 27, 2018 A. J. Conejo 96


    Example

    September 27, 2018 A. J. Conejo 97


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 98


    Changing the left-hand-side coefficients of the constraints
    variable z;
    positive variables x1, x2; variable z;
    equations of, eq1, eq2, eq3, eq4; positive variables x1, x2;
    of ..z=e=-x1-x2; equations of, eq1, eq2, eq3, eq4;
    eq1..(2/3)*x1+1*x2=l=18; of ..z=e=-x1-x2;
    eq2..2*x1+x2=g=8; eq1..(2/3)*x1+1.01*x2=l=18;
    eq3..x1=l=12; eq2..2*x1+x2=g=8;
    eq4..x2=l=16; eq3..x1=l=12;
    model ep /all/; eq4..x2=l=16;
    solve ep using lp minimizing z; model ep /all/;
    solve ep using lp minimizing z;

    LOWER LEVEL UPPER LOWER LEVEL UPPER

    ---- VAR z -INF -22.000 +INF ---- VAR z -INF -21.901 +INF
    ---- VAR x1 . 12.000 +INF ---- VAR x1 . 12.000 +INF
    ---- VAR x2 . 10.000 +INF ---- VAR x2 . 9.901 +INF

    September 27, 2018 A. J. Conejo 99


    Changing the left-hand-side coefficients of the constraints

    !!!

    September 27, 2018 A. J. Conejo 100


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 101


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 102


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 103


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 104


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 105


    Changing the left-hand-side coefficients of the constraints

    September 27, 2018 A. J. Conejo 106


    Summary

    September 27, 2018 A. J. Conejo 107


    Summary Problem

    September 27, 2018 A. J. Conejo 108


    Summary Solution

    September 27, 2018 A. J. Conejo 109


    Summary

    September 27, 2018 A. J. Conejo 110


    Summary
    1

    September 27, 2018 A. J. Conejo 111


    Summary
    2

    September 27, 2018 A. J. Conejo 112


    Summary
    3

    September 27, 2018 A. J. Conejo 113


    Summary: example

    September 27, 2018 A. J. Conejo 114


    Summary: example

    September 27, 2018 A. J. Conejo 115


    Summary: example

    September 27, 2018 A. J. Conejo 116


    Summary: example

    September 27, 2018 A. J. Conejo 117


    Summary: example
    LOWER LEVEL UPPER MARGINAL

    variable z; ---- VAR z -INF -22.000 +INF .


    ---- VAR x1 . 12.000 +INF .
    positive variables x1, x2;
    ---- VAR x2 . 10.000 +INF .
    equations of, eq1, eq2, eq3, eq4;
    of ..z=e=-x1-x2;
    eq1..(2/3)*x1+x2=l=18;
    eq2..2*x1+x2=g=8;
    eq3..x1=l=12;
    eq4..x2=l=16;
    LOWER LEVEL UPPER MARGINAL
    model ep /all/;
    solve ep using lp minimizing z; ---- EQU of . . . 1.000
    ---- EQU eq1 -INF 18.000 18.000 -1.000
    ---- EQU eq2 8.000 34.000 +INF .
    ---- EQU eq3 -INF 12.000 12.000 -0.333
    ---- EQU eq4 -INF 10.000 16.000 .

    September 27, 2018 A. J. Conejo 118


    Summary: example

    September 27, 2018 A. J. Conejo 119


    LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -22.000 +INF .


    Summary: example ---- VAR x1
    ---- VAR x2
    .
    .
    12.000
    10.000
    +INF
    +INF
    .
    .

    variable z;
    positive variables x1, x2;
    equations of, eq1, eq2, eq3, eq4;
    of ..z=e=-x1-x2;
    eq1..(2/3)*x1+x2=l=18.1;
    eq2..2*x1+x2=g=8;
    eq3..x1=l=12;
    eq4..x2=l=16;
    model ep /all/;
    solve ep using lp minimizing z;

    LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -22.100 +INF .


    ---- VAR x1 . 12.000 +INF .
    ---- VAR x2 . 10.100 +INF .

    September 27, 2018 A. J. Conejo 120


    Summary: example

    September 27, 2018 A. J. Conejo 121


    LOWER LEVEL UPPER MARGINAL

    Summary: example ---- VAR z


    ---- VAR x1
    -INF
    .
    -22.000
    12.000
    +INF
    +INF
    .
    .
    ---- VAR x2 . 10.000 +INF .

    variable z;
    positive variables x1, x2;
    equations of, eq1, eq2, eq3, eq4;
    of ..z=e=(-1+0.1)*x1-x2;
    eq1..(2/3)*x1+x2=l=18;
    eq2..2*x1+x2=g=8;
    eq3..x1=l=12;
    eq4..x2=l=16;
    model ep /all/;
    solve ep using lp minimizing z;

    LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -20.800 +INF .


    ---- VAR x1 . 12.000 +INF .
    ---- VAR x2 . 10.000 +INF .

    September 27, 2018 A. J. Conejo 122


    Summary: example

    September 27, 2018 A. J. Conejo 123


    LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -22.000 +INF .

    Summary: example ---- VAR x1


    ---- VAR x2
    .
    .
    12.000
    10.000
    +INF
    +INF
    .
    .

    variable z;
    positive variables x1, x2;
    equations of, eq1, eq2, eq3, eq4;
    of ..z=e=-x1-x2;
    eq1..(2/3)*x1+(1+0.1)*x2=l=18;
    eq2..2*x1+x2=g=8;
    eq3..x1=l=12;
    eq4..x2=l=16;
    model ep /all/;
    solve ep using lp minimizing z;

    LOWER LEVEL UPPER MARGINAL

    ---- VAR z -INF -21.091 +INF .


    ---- VAR x1 . 12.000 +INF .
    ---- VAR x2 . 9.091 +INF .

    September 27, 2018 A. J. Conejo 124


    This is it!

    September 27, 2018 A. J. Conejo 125

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