M.Sc.

Mathematics with Computer Science, 4th Semester, 2022

Operations Research (MTM-4.5C2)

Linear Programming: Theory and Applications

Linear Programming
The linear programming method applied to such type of problem in which objective function
and the constraints can be expressed as linear functions of the decision variables.

Linear Programming is a special and useful technique to be applied in various problem like
resource allocation, transportation, investment, inventory, replacement, agriculture, military
etc. It is also useful in Hospital, Libraries, Airport etc.

Linear Programming Problem Formulation

The linear programming problem formulation is illustrated through a product mix problem.
The product mix problem occurs in an industry where it is possible to manufacture a variety
of products. A product has a certain margin of profit per unit, and uses a common pool of
limited resources. In this case, the linear programming technique identifies the products
combination, which will maximize the profit or minimize the cost which is subject to the
availability of limited resource constraints.

Decision Variables and Objective Function

Suppose a company manufacture two types of products A and B, profit per unit of A is Rs. 5.00
and for B is Rs. 7.00. The company decided to manufacture x number of products of type A and
y number of type B.

Decision Variables: The decision variables represent quantities that are, in some sense,
controllable inputs to the system being modelled.

In the present problem question is how much of type A and B products should be produced.
Suppose it is 𝑥 and 𝑦; thus, 𝑥 and 𝑦 are called the decision variables.

The profit (using simple mathematical calculation) is 5𝑥 + 7𝑦 (= 𝑍, say)

Now the next question is, profit is to be maximized or minimized. Of course, profit is to be
maximize, thus we can write
Maximize 𝑍 = 5𝑥 + 7𝑦
It is known as the objective function. If it was the case of profit, then no doubt about that, it
was the case of minimization.

An objective function represents some principal objective criterion or goal that measures the
effectiveness of the system such as maximizing profits or productivity, or minimizing cost or
consumption.

Constraints
In the above problem, the profit is to be minimize under some conditions, suppose

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M.Sc. Mathematics with Computer Science, 4th Semester, 2022
Operations Research (MTM-4.5C2)

Each unit of product A requires 4 hrs. on machine M and 3 hrs. on machine N and Each unit
of product B require 5 hrs. on machine M and 2 hr. on machine N. If total, time available on
machine M is 36 hrs. and on N is 28 hrs.

Mathematically,
On machine M: 4𝑥 + 3𝑦 ≤ 36
On machine N: 5𝑥 + 2𝑦 ≤ 28

These conditions are called constraints.

“The conditions of the problem expressed as simultaneous linear equations (or
inequalities) are referred as constraints”

Now the problem takes the form

Maximize 𝑍 = 5𝑥 + 7𝑦
subject to the constraints
4𝑥 + 3𝑦 ≤ 36
2𝑥 + 𝑦 ≤ 28

Non-Negative Restriction: The number of products to be manufactured is a non-negative

number. So that, we can say, 𝑥 ≥ 0 and 𝑦 ≥ 0.

Mathematical model of the problems can be represented as

Determine 𝒙, 𝒚 in order to maximize
𝒁 = 𝟓𝒙 + 𝟕𝒚
subject to the constraints
𝟒𝒙 + 𝟑𝒚 ≤ 𝟑𝟔
𝟐𝒙 + 𝒚 ≤ 𝟐𝟖
and 𝒙, 𝒚 ≥ 𝟎.
This is known as the primal form of linear programming problem.

General form of Linear Programming Problem

Determine 𝑛 decision variables
𝑥1 , 𝑥2 , 𝑥3 , … , 𝑥𝑛
in order to optimize (maximize or minimize) the objective function
𝑍 = 𝑐1 𝑥1 + 𝑐2 𝑥2 + ⋯ + 𝑐𝑛 𝑥𝑛
subject to the constraints
𝑎11 𝑥1 + 𝑎12 𝑥2 + ⋯ + 𝑎1𝑛 𝑥𝑛 >=< 𝑏1
𝑎21 𝑥1 + 𝑎22 𝑥2 + ⋯ + 𝑎2𝑛 𝑥𝑛 >=< 𝑏2
……………………………………………
𝑎𝑚1 𝑥1 + 𝑎𝑚2 𝑥2 + ⋯ + 𝑎𝑚𝑛 𝑥𝑛 >=< 𝑏𝑚
and non-negative restriction 𝑥1 , 𝑥2 , 𝑥3 , … , 𝑥𝑛 ≥ 0, where all 𝑎𝑖𝑗 and 𝑐𝑗 are constants and 𝑥𝑗
are variables.

Matrix form of Linear Programming Problem

The above linear programming problem may also be stated in matrix form as follows
Optimize 𝑍 = 𝐶 𝑇 𝑋
subject to the conditions
𝐴𝑋 > = < 𝑏
and 𝑋 ≥ 0.
where
𝑍 = is the objective function.

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M.Sc. Mathematics with Computer Science, 4th Semester, 2022
Operations Research (MTM-4.5C2)

𝐴 = [𝑎𝑖𝑗 ] is the coefficient matrix of order 𝑚 × 𝑛.

𝐶 𝑇 = [𝑐1 , 𝑐2 , … , 𝑐𝑛 ] is a row vector known as price vector.
𝑋 = [𝑥1 , 𝑥2 , … , 𝑥𝑛 ]𝑇 , is column vector known as decision variables.
𝑏 = [𝑏1 , 𝑏2 , … , 𝑏𝑚 ]𝑇 is column vector called the requirement vector and 0 is 𝑛 dimensional
null column vector.

Steps in Mathematical Formulation of a Linear Programming Problem

Step1: Investigate the decision variables.
Step2: Assign the 𝑥1 , 𝑥2 , … , 𝑥𝑛 to decision variables.
Step3: Construct the objective function of the problem.
Step4: Formulate the constraints.
Step5: Condition of non-negative restriction.

Solution: Let 𝑥1 and 𝑥2 denote the number of model-I and II produced. The objective is to
maximize the profit, then objective function is
Maximize 𝑍 = 120𝑥1 + 80𝑥2
subject to the
Wood constraint 2𝑥1 + 𝑥2 ≤ 6
Time constraint 7𝑥1 + 8𝑥2 ≤ 28
Also, it is clear that 𝑥1 ≥ 0, 𝑥2 ≥ 0.

Solution of a Linear Programming Problem

Solving a linear programming problem means determining actual values of the decision
variables 𝑥𝑗 (𝑗 = 1,2, . . , 𝑛) that optimize the objective function subject to the limitation
imposed by the constraints.

Basic Solution: Consider a system 𝐴𝑋 = 𝑏 of m equations in 𝑛 variables, (𝑛 > 𝑚) and

𝑟(𝑎) = 𝑟(𝐴𝐵) = 𝑚. If any 𝑚 × 𝑚 non-singular matrix is chosen from A and if all the (𝑛 −
𝑚) variables not associated with the columns of this matrix are set equal to zero, the solution
to resulting system of equation is called a basic solution. In other words, a solution obtained
by setting (𝑛 − 𝑚) variables to zero is called a basic solution, provided that the determinant
of the coefficient of the remaining 𝑚 variables is not zero.

Let 𝐴𝑋 = 𝑏, where 𝐴 = {𝑎𝑖𝑗 }𝑚×𝑛 (𝑛 > 𝑚)

𝐴 = (𝐵, 𝑁), 𝑋 = (𝑋𝐵 , 𝑋𝑁 )𝑇
then
𝑋
[𝐵, 𝑁] [ 𝐵 ] = 𝑏
𝑋𝑁
⇒ 𝐵𝑋𝐵 + 𝑁𝑋𝑁 = 𝑏
𝑋𝐵 = 𝐵 −1 (𝑏 − 𝑁𝑋𝑁 )

If 𝑋𝑁 = 0 then 𝑋𝐵 = 𝐵 −1 𝑏 is known as basic solution.

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M.Sc. Mathematics with Computer Science, 4th Semester, 2022
Operations Research (MTM-4.5C2)

Degenerate basic solution: A basic solution to the system is called degenerate if one or
more of the basic variables vanish i.e., if any of the basic variable has zero value then it is
called degenerate basic solution.

Non-degenerate basic solution: A basic solution the system is called non-degenerate if all
the basic variables are non-zero (either positive or negative)

Feasible Solution: A feasible solution to an LPP is the set of value of the variables
𝑥𝑗 (𝑗 = 1,2, . . , 𝑛), which satisfies the set of constraints and the non-negative restrictions
(𝑥𝑗 ≥ 0) of the problem.

Basic Feasible Solution: In an LPP a feasible solution which is also basic is called a basic
feasible solution (BFS).

Optimal Solution: A basic feasible solution to an LPP is said to be optimum (or optimal)
solution if it also optimizes the objective function 𝒁 of the problem.

Solution: The given system of equations can be expressed in matrix form as 𝐴𝑋 = 𝑏, where
𝐴 = (𝛼1 , 𝛼2 , 𝛼3 )
𝑥1
1 2 1 4
𝛼1 = [ ] , 𝛼2 = [ ] , 𝛼3 = [ ] , 𝑋 = [𝑥2 ] , 𝑏 = [ ]
2 1 5 𝑥3 5
Here, 𝑛 = number of variables = 3 and 𝑚 = number of equations = 2.

Hence there can be at most 3 𝐶2 = 3 basic solutions.

Three sets of two vectors out of 𝛼1 , 𝛼2 , 𝛼3 are as follows:
1 2 |𝐵 |
𝐵1 = [𝛼1 , 𝛼2 ] = [ ] , 1 = −3 ≠ 0
2 1
1 1 |𝐵 |
𝐵2 = [𝛼1 , 𝛼3 ] = [ ], 2 = 3 ≠ 0
2 5
2 1 |𝐵 |
𝐵3 = [𝛼2 , 𝛼3 ] = [ ], 3 = 9 ≠ 0
1 5

It follows that every set of two vectors of A is linearly independent. Hence, all the three basic
solutions exist. If 𝑋𝐵1 , 𝑋𝐵2 , 𝑋𝐵3 are the vectors of corresponding basic variables, then
1 1 −2 4 2
𝑋𝐵1 = 𝐵1−1 𝑏 = − [ ][ ] = [ ]
3 −2 1 5 1
−1
1 5 −1 4 5
𝑋𝐵2 = 𝐵2 𝑏 = [ ][ ] = [ ]
3 −2 1 5 −1
1 5 −1 4 5/3
𝑋𝐵3 = 𝐵3−1 𝑏 = [ ][ ] = [ ]
9 −1 2 5 2/3

Hence, three basic solutions of the system of linear equations are

5 2
(2,1,0), (5,0, −1), (0, , )
3 3
Since all the three basic solutions none of the basic variables is zero, hence they are non-
degenerate.