IE 507

Mathematical Programming Ι

Chapter 1
Introduction

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Origin of Linear Programming

•LP was first introduced by George B.

Dantzig in 1947 –Programming in a
Linear Structure.

•
The simplex method was proposed by
Dantzig in 1949.

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 Basic Definitions of LP Problems

1.Optimization of a linear Function

→ Max or → Objective function or criterion
Min function
2.Subject to a set of linear constraints

Equalities ()
and/or
Inequalities (or )
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Notations of LP Problems
【In three different forms】

(1) Expanded Form：

Min c1 x1 c2 x2 cn xn

a11 x1   a1n xn b1
s.t.    
am1 x1   amn xn bm
x1 ,, xn 0

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Notations of LP Problems (cont)
(2) Summation Form： (3) Matrix Form：

n
Min c j x j Min CX
j
1
n s.t. AX b
s.t. a x
j 1
ij j bi , i 1, , m;
X 0
x j 0, j 1, , n.

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Assumptions of LP
1. Proportionality： ci xi , aij xi
 Each activity is introduced involving only ci
in the objective function and aij in the constraints.
 No setup cost for starting an activity and no economic
returns to scale or discount.

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 Assumptions of LP (cont)
2. Additivity： 
 The effects (contribution) of each activity
is considered individually, i. e. no interaction
or substitution e ffects among activities are consi dered.

3. Divisibility：Allow the non-integer values of xi.

4. Deterministic： ci , aij , bi
→ All coefficients are known and fixed.

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Problem Manipulation Techniques

1. Inequalities  Equalities:
 use of excess or slack variable.
a x
ij j bi  aij xi - xn i bi , xn i 0
a x
ij j bi  aij xi +xn i bi , xn i 0

2. Non-negativity of variables:
 For variables being unrestricted in sign.
e.g. x j unrestricted  x j x   
j - x j ; x j & x j 0

or if x j l j  x
j x j - l j 0

if x j u j  x
j u j - x j 0
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 Problem Manipulation
Technique (cont)
3. Max obj  Min obj
Max c x
j j
-Min
-c j 
xj
i.e. Convert a max problem objective function to a min one
by multiplying the coefficients by (-1).
To the end, multiply the objective function value
of the converted optimal solution by (-1) to obtain
the objective function value of the original problem.

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Standard Form
For simplex method,
all variables are non-negative

all constraints are equalities
b nonegative

e.g.
Max CX or Min CX
st AX b st AX b
X 0 X 0
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 Canonical Form
For exploiting duality relationship
all variables are non-negative
 For Min problem 
all " " type constraints
Min CX
st AX b
X 0
all variables are non-negative
 For Max problem 
all " " type constraints
Max CX
st AX b
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Example
Max - 5 x1 - 3 x2 7 x3 
st 2 x1 4 x2 6 x3 7 


3 x1 - 5 x2 3 x3 5 
- 4 x1 - 9 x2 4 x3 -4 

x1 -2 , 0 x2 4 , x3 free 


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Why Converts to Standard Form
•Converting to equalities allows us to use the
technique of elimination to manipulate and simplify
the constraints while maintaining the same
feasible region.
x1 1
e.g. The system 
x1 x2 2
x1 1
is not equivalent to the system of 
x2 1
x1 1
 For  , the feasible region is
x1 x2 2

x1 1
But for  , the feasible region has become
x2 1
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LP Modeling Procedure
•Problem formulation
Detailed study of the problem, data collection,
objective function & constraints identification
•LP model construction
•Solution derivation
•Model testing, analysis, and (possibly)
reconstructing
•Implementation

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 Definition of Terms
" Solution " in the following definitions refers only to the equality
constraints for the LP in the standard form and has no connection with
the value of the objective function.

(1) Feasible Solution: a set of variables satisfies all the constraints.

(2) Feasible Region(Space): a set consists of all feasible solutions.

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Definition of Terms (cont)

(3) Basic Solution(BS): a solution is obtained by letting (n-m) variables=0;
and then solve for the remaining m variables, provided that the
determinant of the coefficient of these m variables 0.
 These m variables are "Basic Variables" & the (n-m) variables are
"Non-basic Variables".

(4) Basic Feasible Solution(BFS): a basic solution also satisfies all

nonnegativity constraints.

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 Definition of Terms (cont)

(5) Non-degenerate Basic Feasible Solution: a BFS with exactly m positive

variables, i.e. all basic variables are positive.

(6) Optimal Basic Feasible Solution: a BS optimizes the objective function

and satisfies all constraints.

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Solution Types for a Min Problem

1. Unique Finite Optimal Solution: Occurs at a BFS(or an extreme point)

2. Alternative Finite Optimal Solution:

x1* x1*
x *2

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x *  x 1* (1 - ) x 2* x *is an optimal ray with x1* as the vertex

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 Solution Types (cont)
3. Unbounded Optimal Solution Values :
Both feasible region and the optimal solution values
are unbounded
Max  without bound
 no optimum exists 
Min  without bound

4. Empty Feasible Region:

No feasible solution exists.

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Requirement Space
RHS vector b usually reflects requirement to be satisfied.

1. Feasibility:
(a) for equality constraints: the LP model has a FS iff the vector b
belongs to the cone formed by a j 's
e.g. 2 x1 x2 x3 2 e.g. 2 x1 x2 x3 -1
- x1 3x2 x4 3 - x1 3 x2 x4 2
x1 , x2 , x3 , x4 0 x1 , x2 , x3 , x4 0
a2
a2
b
b
a4 a4
a3
a3
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a1

10
 Requirement Space (cont)
(b) for inequality constraints:
e.g. a x
ij j
b
if a FS exists, the cone formed by a j 's must intersect the collection
of vectors that are less than or equal to the b vector.
a2
a2
a3

a1 a3
b
b a1
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Requirement Space (cont)


x1 


2. Optimality: For a min problem, a solution x  is selected to satisfy

xn 
 
n
all the constraints and optimize the objective function c x
j
1
j j

LP model:
Min c x j j

c cn   z
st a x ij j bi 
After Re vision
 1 x1   xn 
a1  an   b
 
x 0 That is to find the smallest z value
c   c 
in the cone spanned by 1 , , n 
.
a2   an 
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 Requirement Space (cont)
e.g (1) Min - 2 x1 - 3x2

-3
st x1 2 x2 2  x1 2 x2 x3 2 
2
 

x1 , x2 0 z*=-4

0


-2   -3  0 
z 
-2 

1 

1

Revise   x1  x2 x3   

1  
 2   1 2

- Z*
(2) Min - 2 x1 - 3 x2 
-3

2
st x1 2 x2 2  x1 2 x2 - x3 2  

x1 , x2 0 
-2 

1 
 

-2   -3  0   z
Revise   x1  x2  x3 
1  
 2  -1  2 
0

-1
 
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