Discrete Mathematical Modeling

Math 381 Course Notes
University of Washington
Prof. Sara Billey
Winter Quarter, 2011
c R. J. LeVeque
2
Acknowledgments: These notes are based on many quarters of Math 381 at the University of
Washington. They have developed in a wiki fashion. The original notes were compiled by Randy
LeVeque in Applied Math at UW. Tim Chartier and Anne Greenbaum contributed significantly to the
current version in 2001-2002. Jim Burke contributed a portion of the chapter on linear programming.
Sara Billey contributed a portion of the chapter on Stochastic Processes. We thank them for their
efforts. Since this document is still evolving, we appreciate the input of our readers in improving the
text and its content.
Sara Billey adds:
I have gotten a lot of inspiration for this course from the following sources:
• ”Operations Research” by Wayne Winston.
• ”Mathematics in Service to the Community: Concepts and Models for Service-learning in the
Mathematical Sciences” (Maa Notes #66) edited by Charles R. Hadlock.
• ”Discrete Mathematical Models: With Applications to Social, Biological, and Environmental
Problems” by Fred Roberts.
• ”Freakonomics” by Steven Levitt and Stephen Dubner
• ”Three Cups of Tea: One Man’s Mission to Promote Peace . . . One School at a Time” by Greg
Mortenson and David Oliver Relin
• ”Mountains beyond mountains” by Tracy Kidder
• My friend Amy Smith: inventor of low-tech devices for use in developing countries. See
http://en.wikipedia.org/wiki/Amy_Smith
http://www.ted.com/index.php/talks/amy_smith_shares_simple_lifesaving_design.html
The following information is the bibtex citation for these notes if you want to cite them as a reference:
@Book{381notes,
author = {Sara Billey, James Burke,Tim Chartier, Anne Greenbaum and Randy LeVeque},
title = {Discrete Mathematical Modeling: Math 381 Course Notes},
year = {2010},
publisher = {University of Washington},
}
Math 381 Notes — University of Washington —Winter 2011
Contents
1 Introduction to Modeling 1
1.1 Lifeboats and life vests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 The modeling process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 The goals of 381 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2 Graph Theory, Network Flows and Algorithms 9
2.1 Graphs and networks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.2 The traveling salesman problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.2.1 Brute force search . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.2.2 Counting the possibilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.2.3 Enumerating all possibilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.2.4 Branch and bound algorithms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.3 Complexity theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.4 Shortest path problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.4.1 Word ladders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.4.2 Enumerating all paths and a branch and bound algorithm . . . . . . . . . . . . . 14
2.4.3 Dijkstra’s algorithm for shortest paths . . . . . . . . . . . . . . . . . . . . . . . . 14
2.5 Minimum spanning trees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.5.1 Kruskal’s algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.5.2 Prim’s algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.5.3 Minimum spanning trees and the Euclidean TSP . . . . . . . . . . . . . . . . . . 16
2.6 Eulerian closed chains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.7 P, NP, and NP-complete problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
3 Stochastic Processes 25
3.1 Basic Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
3.2 Probability Distributions and Random Variables . . . . . . . . . . . . . . . . . . . . . . 26
3.2.1 Expected Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.3 The Central Limit Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.4 Buffon’s Needle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
3.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
4 Monte Carlo Methods 33
4.1 A fish tank modeling problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
4.2 Monte Carlo simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
4.2.1 Comparison of strategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
4.3 A hybrid strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
4.4 Statistical analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
4.5 Fish tank simulation code . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
i
ii CONTENTS
4.6 Poisson processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
4.7 Queuing theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
4.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
5 Markov Chains and Related Models 55
5.1 A Markov chain model of a queuing problem . . . . . . . . . . . . . . . . . . . . . . . . 55
5.2 Review of eigenvalues and eigenvectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
5.3 Convergence to steady state . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
5.4 Other examples of Markov Chains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
5.4.1 Breakdown of machines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
5.4.2 Work schedules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
5.4.3 The fish tank inventory problem . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
5.4.4 Card shuffling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
5.5 General properties of transition matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
5.6 Ecological models and Leslie Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
5.6.1 Harvesting strategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
5.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
6 Linear Programming 73
6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
6.1.1 What is optimization? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
6.1.2 An Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
6.1.3 LPs in Standard Form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
6.2 A pig farming model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
6.2.1 Adding more constraints . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
6.2.2 Solving the problem by enumeration . . . . . . . . . . . . . . . . . . . . . . . . . 82
6.2.3 Adding a third decision variable . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
6.2.4 The simplex algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
6.3 Complexity and the simplex algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
7 Integer Programming 89
7.1 The lifeboat problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
7.2 Cargo plane loading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
7.3 Branch and bound algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
7.4 Traveling salesman problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
7.4.1 NP-completeness of integer programming . . . . . . . . . . . . . . . . . . . . . . 95
7.5 IP in Recreational Mathematics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
7.5.1 An Example Puzzle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
7.5.2 Formulation of the IP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
7.6 Recasting an IP as a 0-1 LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
7.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
8 Evolutionary Trees 101
8.1 The problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
8.2 Maximum parsimony . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
8.3 Maximum likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
8.4 Searching the forest for the optimal tree . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
9 Forest Resource Management 107
9.1 Timber harvest scheduling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
9.2 Spatial structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
9.3 Building roads . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
9.4 Some other issues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Math 381 Notes — University of Washington —Winter 2011
Chapter 1
Introduction to Modeling
1.1 Lifeboats and life vests
Recently there was an article in the Seattle Times about Washington State Ferries and the fact that
they do not carry enough lifeboats for all passengers. They do carry enough life vests to make up the
difference. It would be better to carry more lifeboats since your chances of surviving are better in a
lifeboat than in cold water. However, lifeboats take up much more space and so there is a tradeoff —
the capacity of the ferries would be greatly reduced if they had to carry enough lifeboats for everyone.
Suppose the XYZ Boat-builders have come to us with the following problem. They are designing a
new ferry boat and want to determine the number of lifeboats and life vests to equip it with. They give
us the following information:
• Each vest holds 1 person and requires 0.05 m
3
of space to store.
• Each boat holds 20 people and requires 2.1 m
3
of space to store.
• We must have capacity for 1000 people in one or the other.
• The total space to be devoted to this equipment is at most 85 m
3
.
How many of each should they install?
One might go through the following steps in determining a solution:
1. First see if it’s possible to accommodate everyone in lifeboats, which would be best. This would
require (1000/20) ×2.1 = 105m
3
of space, so the answer is no, we must use some combination.
2. Make sure there’s enough space for life vests for everyone, otherwise the problem is impossible:
1000 ×.05 = 50m
3
, so it would be possible to provide only life vests and have space left over. But
for the best solution we’d like to use more of the available space and provide as many boats as
possible.
3. Figure out how many boats and vests are used if we exactly use all the available space and provide
exactly the necessary capacity. We can set this up as a mathematical problem. There are two
unknowns
x
1
= number of vests
x
2
= number of boats
1
2 Introduction to Modeling
and two equations to be satisfied, one saying that the total capacity must be 1000 people and the
other saying that the total volume must be 85m
3
. This is a linear system of equations:
C
1
x
1
+C
2
x
2
= C
V
1
x
1
+V
2
x
2
= V
(1.1)
where
C
1
= 1 (capacity of each vest)
C
2
= 20 (capacity of each boat)
C = 1000 (total capacity needed)
V
1
= 0.05 (volume of each vest)
V
2
= 2.1 (volume of each boat)
V = 85 (total volume available)
4. Solve the mathematical problem. Equation (1.1) is just a 2 ×2 linear system so it’s easy to solve,
obtaining
x
1
= 363.6364 (number of vests)
x
2
= 31.8182 (number of boats)
5. Interpret the mathematical solution in terms of the real problem. Clearly we can’t actually provide
fractional vests or boats, so we’ll have to fix up these numbers. The only way to do this and keep
the volume from increasing is to reduce the number of boats to 31 and increase the number of
vests to keep the capacity at 1000. Since 31 ×20 = 620 this means we need 380 vests. The total
volume required is 84.1m
3
.
6. Present the answer to the XYZ Company. At which point they say: “You must be crazy. Every-
body knows that the lifeboats are arranged on symmetric racks on the two sides of the boat, and
so there must be an even number of lifeboats”. Fix up the solution using this new information.
There must be 30 boats and 400 vests.
7. Reconsider the solution to see if we’ve missed anything. Notice that the original mathematical
solution had x
2
almost equal to 32. This suggests that if we had just a little more space (85.2m
3
),
we could increase the number of boats to 32 instead of 30, a substantial improvement. Suggest
this to XYZ. They respond: “Well sure, the 85m
3
figure was just an approximation. We can easily
find another 0.2m
3
if it means we can fit in two more boats.
1.2 The modeling process
This simple example illustrates some of the issues involved in mathematical modeling:
• The problem is usually not presented as a standard mathematical problem, but must be worked
into this form.
• There may be many different ways to model the same problem mathematically. In the above
example we reduced it to a linear system. But for more complicated problems of this same type
this would not be possible and we would have to deal directly with the fact that we are given
inequality constraints (e.g., the total volume must be no more than 85m
3
) rather than equalities.
The problem is better set up as a linear programming problem, a type of discrete optimization
problem in which we try to maximize the number of boats subject to two sets of constraints (an
upper bound on volume and a lower bound on capacity). Actually it is an integer programming
problem since we also have the constraint that the solution must be a pair of integers. There are
standard methods for solving these types of problems.
1.3 The goals of 381 3
• Once the “mathematical problem” has been solved (e.g., the linear system above), we need to
interpret the answer to this problem in terms of the original problem. Does it make sense?
• Often the information presented is not complete or necessarily accurate. Here, for example, we
weren’t told to begin with the information that the number of boats had to be even, or that the
available volume was only approximate.
• Often the problem is far too hard to model in detail and solve exactly. This example was quite
straightforward in this regard, but typically one must make decisions about what aspects to
consider and which can be safely ignored (or must be ignored to get a solvable problem). Often
there is no “right answer”, though some answers are much better than others!
Mathematical modeling is an ongoing process of overcoming these issues described above. We
summarize the process with the following picture:
Real world
prediction
Mathematical
Solution/Prediction
Mathematical
Problem/Model
Identify a real world
collect real world
data
Translation
T
e
s
tin
g
P
r
e
d
ic
tio
n
Interpretation
goal. Collect
Figure 1.1: The Modeling Method
From the picture we see that the Modeling Method is a cyclic process. We can always continue to
improve our model when new information comes in. The most important step is “Testing”. Whenever
we create a mathematical model, we need to assess the validity of the predictions. Did the proposed
solution work better? If so, by how much? If not, revise the model.
1.3 The goals of 381
The goals of Math 381 are the following:
• Learn about the modeling process. How does one take an ill-defined “real world problem” and
reduce it to a mathematical problem that can be solved by standard techniques? What issues are
involved in dealing with real data and complex problems, where we can often only hope to model
some small piece of the total problem?
• In order to have any chance of making a model that reduces to a “standard mathematical problem”,
we must learn what some of these standard problems are. For example, in the above problem we
recognized early on that we could set it up as a linear system of equations, and we knew that this
would be a good thing to do since there are standard methods for solving such systems (such as
Gaussian elimination). We need some more tools in our tool bag in order to do modeling. We
will see a variety of standard problems and how each can arise in many different contexts. These
will be introduced in the course of looking at a number of modeling problems.
• In order to learn about the modeling process, we need to study real world problems that effect
real people. We will seek out and solve problems related to the community around us. The course
culminates in a final modeling project. Final projects can be inspired by some of the challenges
faced by non-profit organizations, government agencies, small businesses, or the university. This
4 Introduction to Modeling
is a service-learning course for which you can receive S credit on your transcript by satisfying the
requirements.
• The project also must be written up in an appropriate manner. This is an important part of any
real-world modeling project and an important skill to master. During the quarter you also will
read some papers written by others where modeling problems are presented and do some shorter
writing assignments. This will build your written communication skills. You will receive W credit
on your transcript for this course.
• Another goal of the course is to give you experience in working together with others on a mathe-
matical problem. Discussion will be encouraged in class and collaboration is encouraged outside
of class. The projects must be done in groups. This is the way most modeling is done in the real
world: by teams of mathematicians, or more commonly by a mathematician working together
with community members, scientists, engineers, or specialists in another discipline.
• Math 381 concentrates on discrete modeling, which means the mathematical problems typically
involve a discrete set of values or objects (e.g. the life vests, lifeboats, people, boxes, airplanes,
DNA sequences, dollars, fish tanks, etc.) Moreover there are typically a discrete set of possibilities
to choose between. Trying out all of the possibilities to see which is best might be one possible
approach, but is typically very inefficient. We want to use mathematical techniques to make the
job easier, cheaper, or more beneficial.
For example, it is clear that the solution to the problem above must consist of at most 1000 vests
(since this would accommodate everyone) and at most 40 lifeboats (since this would use all the
available space). One could try all possible combinations and find the right mix by trial and error,
but as mathematicians we recognize that it is much easier to simply solve a 2 ×2 linear system.
There are many standard mathematical problems and techniques which are useful in discrete
modeling. Some of these are:
– Linear programming and integer programming,
– Combinatorics and combinatorial optimization,
– Graph theory,
– Network flows and network optimization,
– Dynamic programming,
– Queuing theory,
– Stochastic processes and Markov chains,
– Monte Carlo simulation,
– Difference equations and recurrence relations,
– Discrete dynamical systems,
– Game theory,
– Decision analysis,
– Time series analysis and forecasting.
Many modeling problems are better solved with continuous models, in which case different mathe-
matical techniques are used, for example differential equations. Such models are studied in AMath
383.
• The main emphasis of this course will be on the modeling process, taking a problem and setting
it up as a mathematical problem, and interpreting the results of the model. Along the way we
also will learn something about techniques for solving some of the standard problems listed above,
e.g., solving a linear programming problem by the “Simplex Method”. This is necessary in order
1.3 The goals of 381 5
to solve the modeling problem, but the study of methods for solving these problems is not the
main emphasis of this course.
There are other courses which concentrate on understanding the mathematical aspects of these
problems and the methods which have been developed to solve them. Some of these are:
– Math 461: Combinatorics
– Math 462: Graph Theory
– Math 407: Linear optimization
– Math 408: Nonlinear optimization
– Math 409: Discrete optimization
– Math 491, 492: Stochastic processes
– CSE 373: Data structures and algorithms
– CSE 417: Algorithms and Complexity
– Industrial Engineering 324,5,6: Operations Research
This course will provide an introduction to many of these topics which might motivate you to
take some of these other courses and pursue the mathematics in more depth.
There are also other related courses in other departments, including Industrial Engineering and
Management Science. See the description of the Operations Research Option in the ACMS B.S.
Degree Program for a list of some of these:
http://www.ms.washington.edu/acms
6 Introduction to Modeling
1.4 Exercises
1. Describe three problems that arise in everyday life which could be attacked using discrete math-
ematical modeling. Consider recent events in the news, life on campus, games you like to play,
small business issues, and clubs that you belong to. Write approximately one paragraph for each
problem.
2. Consider the problem about “Lifeboats and Lifevests.” Practice breaking down a modeling prob-
lem into the 4-stages of the “Mathematical Modeling Cycle” by carefully describing each stage of
this modeling problem. In particular, state the goal in real world terms and translate that goal
into a mathematical goal stated in terms of variables and equations. Define all of your notation
and assumptions so that a reader who has not read our course notes would be able to follow your
description.
3. Farmer Jane is a local organic farmer. She owns 45 acres of land. She is going to plant each acre
with pumpkins or strawberries. Each acre planted with pumpkin yields $200 profit; each with
strawberries yields $300 profit. The labor and fertilizer used for each acre are given in the table
below:
Pumpkin Strawberry
Labor : 3 workers 2 workers
Fertilizer : 2 tons 4 tons
One hundred vollunteer workers and 120 tons of composted fertilizer are available.
(a) Help Jane decide how many acres of each crop to plant in order to maximize profit.
(b) Describe each step of the modeling cycle with regard to Jane’s farming situation.
(c) What new information might come to light during the testing phase of the modeling cycle?
4. Suppose we are trying to design a ferry schedule for a set of islands, similar to the San Juan
Islands in the Puget sound. There are 8 islands with different personalities. Some are big tourist
centers, others are “bedroom communities”, with many people commuting to mainland jobs each
day, and others are still fairly rural. What are some of the issues you would need to address in
designing a ferry schedule for this set of islands? Write down some questions you would need to
answer before starting, and some ideas as to how you might go about modeling this and what
sorts of strategies you might consider in designing a schedule. Can you identify any mathematical
problems that would naturally arise?
5. On our class website, you can find a network map of the United States from the Rand McNally
Road Atlas which shows distances and estimated driving times between various cities in the west.
(a) Suppose you want to drive from San Francisco to Denver. Using the data on the network
map, what is the best route to take? (First think about what “best” means!)
(b) Suppose you are planning your vacation for next summer and would like to visit a number
of different places:
• Reno, Nevada
• Yellowstone National Park
• Denver, Colorado
• Salt Lake City
• San Francisco, California
• Flagstaff, Arizona
Your trip will begin and end in Seattle. What is the best route to take? You don’t need to
find the answer, but think about what is involved in solving this problem and write down
some of your thoughts about translating this goal into a mathematical problem. Again, what
1.4 Exercises 7
is meant by “best”? Are there other constraints you might want to consider before trying to
answer the question?
6. Read “Decision Rules for the Academy Awards Versus Those for Elections” by William Gehrlein
and Hemant Kher. Interfaces Vol. 34, No. 3, May-June 2004, pp. 226-234. This paper is included
in the appendix of the course notes.
(a) You have been asked to evaluate the voting strategy used by the Academy Awards applied
to job applications reviewed by a committee. Write a one paragraph summary of the voting
strategy used for the Academy Awards. Write a second paragraph indicating the pros and
cons of the this strategy in evaluating applications.
(b) Explain in your own words why the most popular movie of the year is not chosen to receive
the “Best Picture” award by the Academy. Use the vocabulary you have learned from this
article.
8 Introduction to Modeling
Math 381 Notes — University of Washington —Winter 2011
Chapter 2
Graph Theory, Network Flows and
Algorithms
2.1 Graphs and networks
Imagine you are planning a trip around the United States based on a map showing distances between
various cities and points of interest. The map has a labeled point for each city and lines connecting
nearby cities are labeled by the distance between the two cities. One might ask a question like “How
should we drive if we want to visit every city on the map?” This is an example of a network flow problem
from graph theory. More generally, a graph is a collection of vertices or nodes which are connected by
edges.
A graph is connected if there is a way to get from any vertex to any other vertex by following edges.
Figure 2.1 shows a few types of (connected) graphs that arise in many different applications:
• A directed graph (or digraph) has arrows on edges indicating what direction one can move between
nodes.
• A network has weights on the edges, often indicating the cost of moving from one vertex to the
neighbor, e.g. the distance or driving time in the map example. A network could also be directed,
for example if some routes on the map are one-way streets.
• A tree is a connected graph which contains no circuits. A family tree is one familiar example.
Graph Directed graph Network Tree
2
3
6
4
12
3
6
4
2
8
5
10
Figure 2.1: Some common graphs.
The vertices and edges of a graph might represent any number of different things, depending on the
application. For example, the vertices in a digraph might represent legal positions in a game, with an
arrow from Vertex A to Vertex B if you can go from Position A to Position B by a single legal move.
Or the vertices could represent individuals in a hierarchical organization, with an edge from A to B if
Person A reports to Person B. These and other examples are discussed in [Rob76].
9
10 Graph Theory, Network Flows and Algorithms
2.2 The traveling salesman problem
A famous network flow problem is the traveling salesman problem (or TSP for short). This name comes
from one particular application, but the same mathematical problem arises in many contexts.
General formulation of TSP: Given a network with N + 1 vertices, having an edge between
every pair of vertices, what is the shortest path through the network which starts at a particular vertex,
visits every other node exactly once, and returns to the original vertex?
Studying the TSP gives a good introduction to the mathematical theory of combinatorics and
complexity of algorithms. Consider the TSP for a salesman who wants to start in Seattle, visit 4 other
cities, and end up back in Seattle. What is the optimal order in which to visit the other cities?
2.2.1 Brute force search
One way to solve this problem is to simply enumerate all the possible routes, determine the total length
of each, and choose the shortest. This is called the “brute force approach” since we aren’t using any
sophisticated ideas to do an intelligent search for the best route, we’re just doing the obvious thing. It
may still take some thought, however, to figure out how to systematically enumerate and check each
possibility without missing any routes.
2.2.2 Counting the possibilities
The first question is: how many possible routes are there? This will give us some guidance when
designing an algorithm to check them all, and also will tell us something about how long it will take
to do this brute force search. Counting questions like this are one aspect of the mathematical field of
combinatorics.
To do a count for this 4-city TSP, note that we must choose one city to visit first and there are 4
possibilities. Once we’ve chosen that city, we must choose which city to visit second and there are only
3 possibilities since this must be a different city. Then we have to choose the city to visit third and
there are only 2 unvisited cities left. Finally the fourth city is determined since there is only one city
left. This is illustrated as a decision tree in Figure 2.2, where the four cities are labeled A, B, C, D.
Starting from the city of origin O, we have 4 choices, then 3 choices, then 2 and 1. The total number
of distinct routes is
4! = 4 · 3 · 2 · 1 = 24.
Similarly, for the TSP with N cities (actually N +1 cities including Seattle), the number of possible
routes we must check is
N! = N · (N −1) · (N −2) · · · 3 · 2 · 1.
Note that what we have counted is the number of ways one can permute the N cities. In general for
any set of N distinct objects there are N! possible orderings, or permutations of the N objects.
With only 4 cities we could quickly compute the traveling salesman’s path length for all 24 permu-
tations by hand and determine the shortest route. But unfortunately N! grows very rapidly with N,
e.g.,
5! = 120
10! = 3, 628, 800
20! = 2, 432, 902, 008, 176, 640, 000
50! ≈ 3 ×10
64
.
For a TSP with 10 cities we would need to check about 3.6 million possibilities, still fairly easy on a
computer. To get an idea of how long this would take, consider a 500 MHz PC. This is a computer
which performs 500 million “instructions” or “cycles” every second. Here “instruction” means a low-
level machine operation and it typically takes many cycles to perform one arithmetic operation such
2.2 The traveling salesman problem 11
as an addition or multiplication. These are called floating point operations since scientific notation
is usually used to represent a large range of values on the computer. For computations of the sort
mathematicians, engineers and scientists do, a useful measure of a computer’s speed is the number
of floating point operations per second, called flops. Machine speed is often measured in megaflops
(millions of floating point operations per second). A 500 MHz machine might do about 40 megaflops.
Supercomputer speeds are often measured in gigaflops (billions of flops) or teraflops (trillions of flops).
Returning to the traveling salesman problem, note that to compute the length of a single route
requires about N additions, adding up the length between each pair of cities on the route, as well as
more work to keep track of which route to examine next, which route is shortest, etc. Let’s not worry
too much about the exact cost, but suppose that we are working on a machine that can examine ten
million routes per second. Then solving the 10-city TSP would take about 1/3 of a second. Not bad.
But already with 20 cities it would be difficult to find the answer using this brute force approach.
We now have about 2.4 × 10
18
routes to examine, and at a rate of 10 million per second this will take
2.4 × 10
11
seconds, which is about 7,715 years. Even if we move up to a supercomputer that is a
thousand times faster, it would take almost 8 years. For a TSP with 50 cities there is no conceivable
computer that could find the solution in our lifetimes, using the brute force approach.
Many simple problems suffer from this kind of combinatorial explosion of possible solutions as the
problem size increases, which makes it impossible to simply enumerate and check every possibility.
Nonetheless such problems are solved daily, using more sophisticated mathematical techniques.
2.2.3 Enumerating all possibilities
For an N-city TSP with N sufficiently small, we could solve by enumeration. This requires some
algorithm for systematically checking every possibility. Figure 2.2 shows one way to think about enu-
merating all the possible routes for the 4-city TSP. In the rightmost column is an enumeration of all 24
routes in the lexicographic order, so called because this is the order that would be obtained by putting
the 24 strings representing different routes into alphabetical order. Note that the 3! = 6 routes starting
with A come first, then the 6 routes starting with B, and so on. Within each set, the routes are grouped
by which city comes second, ordered from “lowest” to “highest” in lexicographic ordering.
2.2.4 Branch and bound algorithms
Instead of evaluating the cost of every path appearing in the tree of Figure 2.2, one might be able to
rule out some paths early if their cost exceeds that of the best path discovered so far. Consider, for
example, the network in Figure 2.3.
One might first try a greedy algorithm that takes the shortest edge to a new city at each step. This
leads to the path O-ADCB-O, which has a total cost of 15. After discovering this, any path in Figure 2.2
that uses edge BD (or, equivalently, DB) can be eliminated, since the cost of that edge alone is 16. By
continuing to check the other paths that start with O-A, one finds that the path O-ABCD-O has a cost
of only 14. Examining next the paths that begin with O-D, and discarding any partial paths whose
cost exceeds 14, one finds that O-DABC-O costs only 11, and this enables one to eliminate even more
possibilities. Paths beginning with O-C and O-B still must be checked, but as soon as the cost of a
partial path exceeds 11, that branch of the tree can be eliminated from further consideration. This type
of algorithm is sometimes called a branch and bound algorithm. The key idea is to obtain some sort of
bound on how good the shortest path within a given subtree could possibly be and, if a less costly path
has already been identified, to prune away those branches of the tree, thereby reducing the required
computation.
If we are unlucky then we might not be able to prune much of the tree and in the worst-case scenario
we have to examine the entire decision tree anyway, which is no improvement in running time. However
in practice a good branch and bound algorithm will typically be much faster than pure enumeration,
and problems are solved this way which would otherwise be intractable.
12 Graph Theory, Network Flows and Algorithms
ABCD
ABDC
ACBD
ACDB
BDCA
BDAC
BCDA
BCAD
BADC
BACD
ADBC
ADCB
ABC
ACB
ACD
ADB
ADC
ABD
AB
AC
AD
A
BAC
BAD
BCA
BCD
BDA
BDC
BA
BC
BD
CABD
CADB
CBAD
CBDA
CDAB
CDBA
DABC
DACB
DBAC
DBCA
DCAB
DCBA
CAB
CAD
CBA
CBD
CDA
CDB
DAB
DAC
DBA
DBC
DCA
DCB
CA
CB
DB
DC
DA
CD
C
B
O
D
Figure 2.2: Decision tree for enumerating all possible routes in a traveling salesman problem starting
from City O and visiting four other cities A, B, C, and D. The right column shows an enumeration of
all permutations of the 4 cities, in lexicographic order.
O
A B
C D
2
Seattle =
5
4
3
2
1
6
1
16
9
Figure 2.3: A traveling salesman network starting from Seattle and visiting four other cities A, B, C,
and D.
2.3 Complexity theory 13
Many other algorithms have been developed for the traveling salesman problem and for various
special cases of this problem. An introduction to many of these can be found in [LLAS90].
2.3 Complexity theory
For a particular mathematical problem, say the traveling salesman problem, there is often a parameter
N which measures the “size” of the problem, e.g., the number of vertices in the network. If we have
an algorithm for solving the problem, then we are interested in knowing how much work the algorithm
requires as a function of N. In particular we want to know how fast this grows as N increases. For
some algorithms the amount of work required (or time required on a computer) is linear in N, meaning
it is roughly cN where c is some constant. If we double the size of the problem then the amount of work
required roughly doubles. We say that such an algorithm requires O(N) work. The “big Oh” stands
for “order” — it takes order N work and we’re usually not too concerned about exactly what the size
of the constant c is.
For some algorithms the work required increases much faster with N. An O(N
2
) algorithm requires
work that is proportional to N
2
, which means that doubling N increases the work required by a factor
of 4. If an algorithm requires O(N
p
) work for some p then it is said to be a polynomial time algorithm.
The larger p is, the more rapidly the work grows with N. Here are some examples of polynomial time
algorithms:
• Finding the largest of N values. Checking the value of each item and keeping track of the largest
value seen takes O(N) operations.
• Solving a system of N linear equations in N unknowns using the Gaussian elimination algorithm
takes O(N
3
) operations.
• If the linear system is upper triangular, then it only takes O(N
2
) operations using “back substi-
tution”.
• Dijkstra’s algorithm for finding the shortest path between two vertices in a network (see below)
requires O(N
2
) work in general.
For most problems we will discuss with polynomial time algorithms, the value of p is typically fairly
small, like 1, 2, or 3 in the examples above. Such problems can generally be solved fairly easily on a
computer unless N is extremely large.
There are other problems which are essentially much harder, however, and which apparently require
an amount of work which grows exponentially with the size of N, like O(2
N
) or like O(N!). The traveling
salesman problem is in this category. While many algorithms have been developed which work very well
in practice, there is no algorithm known which is guaranteed to solve all TSP’s in less than exponential
time. (See Section 2.7 for more about this.)
2.4 Shortest path problems
A class of problems that arise in many applications are network flow problems in which we wish to find
the shortest path between two given vertices in a network. The problem of finding the shortest route
on a map is one obvious example, but many other problems can be put into this form even if they don’t
involve “distance” in the usual sense.
2.4.1 Word ladders
A word ladder is a sequence of valid English words, each of which is identical to the previous word in
all but one letter. It’s fun to try to construct word ladders to go from some word to a very different
word with as few intermediate words as possible. For example, we can make FLOUR into BREAD as
follows:
14 Graph Theory, Network Flows and Algorithms
FLOUR
FLOOR
FLOOD
BLOOD
BROOD
BROAD
BREAD
Given two English words with the same number of letters, how could we determine the shortest word
ladder between them? (Assuming there is one, or determine that none exists.) This can be set up as a
network flow problem.
Suppose we are considering N-letter words, then we could in principle construct a graph where the
vertices consist of all N-letter words in the English language. We draw an edge from one vertex to
another if those two words are simple mutations of each other in which only a single letter has been
changed. A word ladder then corresponds to a path through this graph from one word to the other.
In fact this graph (with nearly 6000 vertices) has been constructed for N = 5 by Don Knuth and
is available on the web (see the pointer from the class webpage). Word ladders and algorithms for
manipulating these graphs are discussed at length in [Knu93], which describes a general platform for
combinatorial computing. Finding the shortest word ladder is equivalent to the shortest-path problem
through a network if we assign every edge in the graph the weight 1.
Given a network and two specific vertices, how do we find the shortest path between them? For
small networks this is easy to do by trial and error, particularly if the graph is drawn in such a way
that the physical distance between the vertices roughly corresponds to the weight of the edge, as is the
case for a map. But the weights may have nothing to do with physical distance and at any rate if there
are thousands or millions of vertices and edges it may be impossible to even draw the graph.
2.4.2 Enumerating all paths and a branch and bound algorithm
One approach to solving a shortest-path problem would be to enumerate all possible paths between the
start and end vertices, compute the length of each path, and choose the shortest. To enumerate all
paths, we could build a “decision tree” similar to what was illustrated in Figure 2.2 for the TSP. The
problem with this approach is that for a graph with N vertices, there may be very many possible paths
to choose between. How many? In the worst case, there would be an edge connecting each vertex with
each of the N −1 other vertices. In this case we could visit any or all of the other vertices on the way
between the start and finish, and the number of possible paths would be exponential in N, just as for
the TSP.
The set of all possible paths could be searched more efficiently using a branch and bound algorithm,
similar to that described for the TSP. However, for this problem there turn out to be much more efficient
algorithms which are guaranteed to give the answer with relatively little work.
2.4.3 Dijkstra’s algorithm for shortest paths
Dijkstra’s algorithm is a systematic procedure for finding the shortest path between any two vertices.
Actually this algorithm solves the problem by embedding it into what appears to be a harder problem,
that of finding the shortest route to all other vertices from a given vertex. The set of all shortest routes
is built up in N steps, by finding the closest node in Step 1, the next closest node in Step 2, and so on.
By the end we know the best route to every other node and in particular to the destination node.
Each step requires examining the distance from the node that was “solved” in the previous step to
all unsolved nodes which can be reached from this node. This requires examining at most N −1 edges,
so the work required is O(N) in each of the N steps, and hence the total work is O(N
2
).
To implement it on a computer for a large network requires some suitable data structure for storing
the network with information about which vertices are connected to one another and the weight of each
edge. One way to represent a network or directed network on a computer is with a matrix. The rows
2.5 Minimum spanning trees 15
and columns correspond to the nodes of the network and the (i, j) entry of the matrix is the weight
on the edge from node i to node j (or, if there is no edge from i to j, that entry can be set to ∞). A
matrix representation of the network in Figure 2.3 is:
O A B C D
− − − − −
O | 0 2 5 4 3
A | 2 0 2 9 1
B | 5 2 0 1 16
C | 4 9 1 0 6
D | 3 1 16 6 0
We’ll go through some simple examples of Dijkstra’s algorithm in class. It is described in many
books, e.g., [HL95] and [Rob84]. A writing assignment will be to produce your own description of this
algorithm.
2.5 Minimum spanning trees
Another type of problem that arises in many applications is to connect a collection of vertices at
the lowest possible cost. Examples include highway construction and telephone line installation: the
vertices represent cities and the roads or phone lines correspond to edges constructed so that there is
some path between every pair of vertices. In graph theoretic terms, this is accomplished via a minimal
cost spanning tree.
Recall that a tree is a graph that is connected and has no circuits. If a group of vertices is connected
by edges that do contain a circuit, then it is not hard to see that one (or more) of the edges can be
removed without destroying the connectedness of the graph. This is illustrated in Figure 2.4. Since each
edge has a nonnegative cost associated with it, clearly the least expensive way to connect the vertices
will be via a graph with no circuits (i.e., a spanning tree).
Figure 2.4: Graphs with circuits and corresponding spanning trees
In a spanning tree, the number of edges is always one less than the number of vertices: e = N −1.
Each graph in Figure 2.4 has N = 5 vertices, and the two trees have e = 4 edges. There are two well-
known algorithms for finding a minimal cost spanning tree in a connected network: Kruskal’s algorithm
and Prim’s algorithm.
2.5.1 Kruskal’s algorithm
Kruskal’s algorithm begins by sorting the edges of the graph in order of increasing cost. For the network
shown in Figure 2.5 this order is: {AB}(8), {CD}(10), {CE}(12), {DE}(22), {BC}(53), {BE}(54),
{AD}(63), and {AE}(70). Each edge is then considered in turn and, if it does not form a circuit with
edges already in the good set, it is added to the good set. This is continued until the good set has N−1
edges. Since the good set has no circuits, it is a tree. If all edges have been examined and the good
set still does not have N − 1 edges, it means that the original graph must not have been connected,
and this fact can be reported to the user. The first edges added to the tree from Figure 2.5 are {AB},
16 Graph Theory, Network Flows and Algorithms
{CD}, and {CE}. Edge {DE} is then examined, but it is found to form a circuit with edges already
in the tree, so this edge is skipped and edge {BC} is added to the tree. Now the tree has N − 1 = 4
edges, so the algorithm is finished. The edges of the minimum spanning tree are: {AB}, {CD}, {CE},
and {BC}.
A B
C
22
D
E
8
53
10
63
70 54
12
Figure 2.5: Minimum spanning tree
2.5.2 Prim’s algorithm
Prim’s algorithm for finding a minimal cost spanning tree avoids the initial sorting phase of Kruskal’s
algorithm. The two algorithms generate the same result, however, when the minimal cost spanning tree
is unique.
Prim’s algorithm begins by choosing any vertex from the graph and including it in the tree T. For
the graph of Figure 2.5, we could choose, for instance, vertex D. It then finds that edge in the graph
joining a vertex in T to one not in T which has the lowest cost: {CD} in our example. This step is
repeated until the tree has N −1 edges or until there are no more edges joining vertices of T to vertices
not in T. In the latter case, it reports that the graph is not connected. In our example problem, the
next edge to be added is {CE}. We then search for the lowest cost edge joining C, D, or E to one of
the remaining nodes, and add edge {BC} to the tree. Finally the lowest cost edge between either B,
C, D, or E and A is added, namely, {AB}.
Exercise: Try using Prim’s algorithm with different starting vertices. Convince yourself that it generates
the same minimal cost spanning tree (or one with the same cost, if there is more than one minimal cost
spanning tree), no matter where you start. Do you see why Kruskal’s algorithm and Prim’s algorithm
generate the same result?
Both Kruskal’s algorithm and Prim’s algorithm are polynomial time algorithms. The best imple-
mentations of these algorithms run in O(E log
2
N) time, where N is the number of vertices and E the
number of edges in the original graph. The number of edges in a graph is at most
_
N
2
_
=
N(N−1)
2
,
so the work required is O(N
2
log
2
N).
2.5.3 Minimum spanning trees and the Euclidean TSP
Often the weights on the edges of a network represent actual distances between cities or other destination
points. In this case, the weight or cost of going from vertex A to vertex B is the same as that of going
from B to A, and the costs also satisfy the triangle inequality:
cost(AB) + cost(BC) ≥ cost(AC).
When the weights on a network for the traveling salesman problem represent actual distances between
points in a plane, the problem is called a Euclidean TSP.
2.6 Eulerian closed chains 17
While there is no known polynomial time algorithm for solving the Euclidean TSP, there is an easy
way to find a route whose cost is within a factor of two of the optimal: Construct a minimum spanning
tree. Starting at the origin node, move along edges of the minimum spanning tree until you can go no
further. Then backtrack along these edges until you reach a point from which you can traverse a new
edge to visit a new node or until all of the nodes have been visited and you can return to the origin.
This is illustrated in Figure 2.6, where the minimum spanning tree is marked and the suggested path
is ODOABCBAO. The total cost of this path is twice the cost of the minimum spanning tree. Another
possible path is OABCBAODO, which also traverses each edge of the minimum spanning tree twice.
5
8
7
C
9
5
7
13
11
12
10
O
A B
D
Figure 2.6: Euclidean TSP network with minimum spanning tree. Path OD-O-ABC-BA-O costs twice
as much as the minimum spanning tree, and tour ODABCO is within a factor of two of optimal.
The path constructed in this way is not a legitimate tour for the TSP, since it visits some nodes more
than once. But because the weights satisfy the triangle inequality, any path between nodes that visits
other nodes along the way that have already been visited can be replaced by a direct route between
the given nodes, and the cost will be no greater. Thus one arrives at a tour whose cost is at most twice
that of the minimum spanning tree. For the example in Figure 2.6, this tour is ODABCO and has a
total cost of 40. Had we chosen the other path, OABCBAODO, it would have been replaced by the
tour OABCDO, which has a total cost of 34 (and turns out to be the optimal tour for this problem).
Since the minimal cost spanning tree is the lowest cost set of edges that connects all of the vertices,
any traveling salesman tour that visits all of the vertices must cost at least as much as the minimal cost
spanning tree: 25 for our example. This gives a lower bound on the cost of the optimal tour, while the
tour derived above, whose cost is within a factor of two of this value, provides an upper bound. This
information can be used within a branch and bound algorithm to hone in on the actual optimal tour.
2.6 Eulerian closed chains
Still another type of graph thoeretic problem that arises in many applications is that of finding an
Eulerian closed chain: A path that starts at a given node, traverses each edge of the graph exactly once,
and returns to the starting point. This problem might arise, for example, in scheduling snowplows or
street sweepers. If the edges of the graph represent streets, then the object is to plow or sweep each
street once but, if possible, not to backtrack over streets that have already been serviced.
This type of problem is also popular in many mathematical games. In fact, it is said that graph
theory was invented by Euler in the process of settling the famous K¨onigsberg bridge problem. The
situation is pictured in Figure 2.7. There are seven bridges and the question is whether one can start
at a particular point, cross each bridge exactly once, and return to the starting point. If you try it for
a while, you can probably convince yourself that the answer is “No”.
To see this in a more formal way, let the land masses in the problem be represented by nodes and the
bridges by edges in a multigraph (a graph that can have more than one edge between a pair of nodes).
This multigraph is shown in Figure 2.8. Note that if we start at a particular node in the multigraph and
travel along one edge to a different node, then we must leave that node along a different edge. If there
is only one edge through the node then this will not be possible. Moreover, if there are three or five or
18 Graph Theory, Network Flows and Algorithms
D
A
B
C
Figure 2.7: The bridges of K¨onigsberg
D
A
B
C
Figure 2.8: Multigraph representing the bridges of K¨onigsberg
any odd number of edges through that node, then in order to traverse all of these edges, we will have
to enter then leave the node until there is only one unused edge remaining. But at that point we are
stuck, because we must enter the node in order to use that edge, but then we cannot leave. The same
holds for the starting node. If there is only one edge through it, then we can leave but never return,
and if there are an odd number of edges through it, then we can leave and return a certain number of
times but eventually we will be at the starting node with one unused edge remaining to traverse.
The degree of a vertex is defined as the number of edges through that vertex. Using the above sort
of reasoning Euler proved the following:
Theorem (Euler[1736]). A multigraph G has an Eulerian closed chain if and only if it is connected
up to isolated vertices and every vertex of G has even degree.
The condition that the graph be connected up to isolated vertices just means that there is no edge that
cannot be reached at all.
There is no Eulerian closed chain in Figure 2.8 since, for example, vertex D has degree 3. (In fact,
all of the vertices in this multigraph have odd degree.)
A good way to establish the sufficiency of Euler’s theorem is by describing an algorithmfor computing
an Eulerian closed chain in an even connected multigraph. Consider, for example, the multigraph in
Figure 2.9. Start at any vertex and travel to other vertices along unused edges until you can go no
further. For example, we might start at A, go to B, C, D, back to B, and then to A. For each of
the vertices visited we use an even number of edges — one to enter and one to leave — each time
we visit the vertex, so that the number of unused edges through each vertex remains even. Moreover,
once we leave the initial vertex, it is the only one with an odd number of unused edges through it; for
every other vertex, if we enter we can also leave. Therefore our path can end only back at the original
vertex. At this point, we may not have traversed all of the edges of the multigraph, so go to any vertex
that has some unused edges through it: vertex C, for example, and repeat. Take one of the unused
edges to a new vertex and again continue until you can go no further. For example, we might go from
C to E to F to G to E to C. This path can be combined with our previous one to form the chain:
2.7 P, NP, and NP-complete problems 19
A G
B
C
D
E
F
Figure 2.9: Multigraph with an Eulerian closed chain
ABC − EFGEC − DBA. There are still two unused edges in the multigraph, so we repeat by going
from D to F and back to D. Combining this with the previous chain gives an Eulerian closed chain:
ABCEFGECD −FD−BA.
The amount of work required to find an Eulerian closed chain is proportional to the number of edges
in the multigraph.
2.7 P, NP, and NP-complete problems
We have seen that some problems, such as the shortest path problem, the minimum spanning tree
problem, and the Eulerian closed chain problem, can be solved in a number of steps that is polynomial
in the size of the problem. Such problems are in the class P, the set of all problems that can be solved
in P-time.
Some problems, such as the traveling salesman problem, might lie in the class P but probably don’t.
If so, nobody has yet found the P-time algorithm. This problem does lie in a larger class called NP,
however. NP stands for nondeterministic polynomial, and the exact definition is a bit complicated. The
basic idea is that for a problem in this class it is at least possible to check one possible solution in
polynomial time, e.g., for the TSP it is possible to compute the length of any one possible path with
only O(N) operations. For such problems there is at least a chance one could find a P-time algorithm
to find the best path, if we could search efficiently enough.
A problem which is not in NP is more clearly hopeless. For example, suppose we consider a variant
of the TSP in which we specify a number B and we wish to find all tours on a given set of N cities which
have total length B or less. Then it is possible to construct examples in which there are exponentially
many paths in the solution set, so even writing down the solution if we knew it would take exponentially
long and clearly there’s no hope of a P-time algorithm to solve the problem.
Note that any problem in P is also in NP, so P is a subset of NP. Is it a proper subset? In other
words, are there problems in NP which are not in P? Or does P = NP? This is one of the great
unsolved problems of theoretical computer science.
Some progress was made toward this problem when Karp [Kar72] showed that many hard problems
lie in a set of problems within NP called the NP-complete problems, which have the following property:
if any one of them can be solved in P-time, then every problem in NP can be solved in P-time and so
in fact P = NP. The TSP is NP-complete, and so are many other famous and easy-to-state problems,
such as the Hamiltonian circuit problem and the integer programming problem. For more discussion of
such problems, see for example [GJ79], [Sip97].
20 Graph Theory, Network Flows and Algorithms
2.8 Exercises
1. As a mathematical modeler, you will often need to learn new math on your own from books at
the math library or at Odegard, from journal articles and from webpages. Here is a scavenger
hunt to get you started on this process. Note, you must submit all information requested for each
item below to receive full credit so read each problem carefully.
(a) Find a webpage which outlines standard format for a bibliography. Bookmark this page for
future reference. Print out the page specifying how to write the bibliography entry for a
book and submit this with your homework. Circle the webpage address on your printout or
write it on the printout.
(b) Go to the math library and find a textbook on “Graph Theory”. Read the first chapter
of the book. (Choose a different one if you don’t like the first one you open.) Submit the
bibliography entry for this textbook in the format found in (1a). Choose one exercise from
the first chapter. For the chosen exercise, copy the problem, solve it, and carefully write out
the solution; then submit this information.
(c) Find a journal article by Kruskal from 1956 that appeared in the Proceedings of the American
Mathematical Society. (The UW reference librarians can be very helpful looking up research
articles.) Read the first 3 pages of the article. Submit the full bibliography reference for this
article and a paragraph description of the main problems addressed in this paper.
2. An algorithm will be presented verbally to you in class for finding the shortest path between two
given nodes in a network.
Write a description of the algorithm aimed at students at your level, or other people with similar
background, who have not taken a course in graph theory algorithms (or this class). Explain what
the goal of the algorithm is, why it is important (perhaps in the context of a real problem), and
how it works. Explain it in such a way that someone reading only your document, with no other
books or lectures on the subject, could figure out the algorithm and apply it to solve a problem.
You will probably want to use illustrations and a specific example in order to make it clear, but
try also to be fairly concise (2 pages at most).
Write these up neatly enough that others can read them. We will exchange papers and have a
chance to comment on another person’s document, so please make it easy on each other!
3. The genetic code in a DNA molecule consists of a string of symbols, each of which is one of four
letters T,C,A and G.
(a) Count the number of all DNA words having length at most 3 by listing them all.
(b) Give a formula for computing the number of DNA words of length n and justify your formula
using the Basic Counting Principles discussed in class.
4. Suppose that there are n phone booths in a region and we wish to visit each of them twice, but not
in two consecutive times. Discuss the computational complexity of a naive algorithm for finding
an order of visits that minimizes the total travel time.
5. A house has been framed and now several jobs remain to be done. Electrical wiring must be
installed, a roof must be added, drywall must be put up and it must be painted, and flooring
must be installed. The electrical work must be done before the drywalling, and the drywall must
be installed before it can be painted. The roof must be on the house before either painting or
flooring work can be done. The electrical work requires 4 units of time, roofing requires 6 units
of time, and drywalling requires 3 units of time. Painting requires 5 units of time if flooring has
already been installed and 3 units of time otherwise. Flooring requires 3 units of time if the walls
have already been painted and 2 units of time otherwise. Draw a network showing the possible
scheduling orders for the different jobs.
2.8 Exercises 21
(a) Encode the constraints for this problem as the Hasse diagram for a partial order.
(b) Determine the fastest route from start to finish doing all jobs in series.
6. Below is a map of Oneway City, a poorly planned town with one-way streets as indicated. A
number of locations are also indicated on the map.
O
B
D
C
A
(a) Draw the complete directed graph with vertices corresponding to O, A, B, and C (ignore D
for now) and two edges between each pair of vertices, one in each direction. Label each with
the distance (number of blocks) one must travel to get from one location to the other. For
example, the distance from A to C is 1 block and from C to A is 11 blocks.
(b) Suppose a delivery van leaving from O must visit A, B, C, and D and return to O. Use the
branch and bound algorithm to find the best route. Show the portion of the tree that you
constructed in finding this route, indicating the partial distances computed and indicating
what parts of the tree you were able to prune off. (It is pretty obvious what the best route is
in this case; I constructed it to make the branch and bound algorithm fairly simple to apply.
You might want to experiment with similar problems where the answer isn’t so obvious.)
7. The following table shows distances (in km) between some major European cities:
London Paris Madrid Frankfurt Rome Vienna
London 343 1261 634 1444 1237
Paris 343 1050 471 1117 1037
Madrid 1261 1050 1434 1377 1812
Frankfurt 634 471 1434 960 604
Rome 1444 1117 1377 960 765
Vienna 1237 1037 1812 604 765
(a) Suppose a traveling salesman wishes to start in London, visit Paris, Madrid, Frankfurt,
Rome, and Vienna, (each exactly once) and return to London. How many possible routes
are there for him to take?
22 Graph Theory, Network Flows and Algorithms
(b) Construct a minimum spanning tree for the network that this table represents. Explain which
algorithm you are using, and indicate the order in which you consider edges for inclusion in
your tree. Draw a graph showing the minimum spanning tree.
(c) Determine a lower and upper bound on the distance the salesman must travel and explain
how you found these. Find a route that is within a factor of 2 of being optimal.
8. An upper-triangular linear system has the form
_
¸
¸
_
a
11
a
12
a
13
a
14
0 a
22
a
23
a
24
0 0 a
33
a
34
0 0 0 a
44
_
¸
¸
_
_
¸
¸
_
x
1
x
2
x
3
x
4
_
¸
¸
_
=
_
¸
¸
_
b
1
b
2
b
3
b
4
_
¸
¸
_
for example, in the case of a 4 × 4 system. Such systems are easily solved by back substitution
(solve the last equation for x
4
, then the previous equation for x
3
, etc.)
How many multiplication operations does this require? (Count a division the same as a multipli-
cation, so computing x
4
= b
4
/a
44
takes 1 “multiply”, for example.)
Exactly how many “multiplies” does it take to solve a general n ×n upper-triangular system? In
particular, how many to solve an upper-triangular system of 1000 equations?
9. Let G be the graph below. How many subgraphs does G have? (Give an exact answer.)
s s
s s
a b
c d

10. Suppose you own a summer rental property and at the beginning of the summer season, you
receive a number of requests for the property. For example, assume you rent out the property
for 10 weeks in total and you have received the following 6 requests specifying which week each
renter would like to start and how many weeks they want to stay (duration)
person start week duration
A 1 1
B 1 4
C 3 2
D 5 3
E 7 2
F 9 1
Say the rate of renting the property is $100 per week normally, but if anyone rents the property
for at least 4 weeks, then they are charged $70 per week.
How should you decide which requests to accept in order to maximize your income for the summer?
Formulate this type of problem in general using a graphical model and solve the problem for the
example above to demonstrate your method.
2.8 Exercises 23
11. The job scheduling problem arises in many industries. A shop has dozens of “jobs” that need
to be done each day. For example a print shop may need to print different sorts of posters and
pamphlets, each requiring different types of papers and types and colors of ink. Or a machine
shop at a large aerospace company may need to manufacture many different types of parts on the
same set of machines, each requiring a special set up. In each case there is a certain amount of
time required for each job, which might be independent of the order we do the jobs, but there
may also be substantial time required to switch from one job to another. The amount of time
spent switching might depend very much on what order they are done in. For example, switching
between two print jobs that require the same paper and ink colors might take much less time than
switching between two jobs that require cleaning out one color of ink and loading another.
(a) Formulate a general scheduling job in mathematical language and determine the optimal
order of jobs to minimize the total time spent on the entire task. For starters, suppose for
each pair of jobs i and j we know the time t
ij
required to switch from i to j. Then relate
this to a “traveling salesman problem” with t
ij
corresponding to the “distance” from Node
i to Node j. We could also specify an “origin” node corresponding to the clean state found
at the beginning of the day and required at the end of the day.
(b) For traveling salesman problems involving physical distances, one often has the “triangle
inequality”: If i, j, and k represent three cities, then the distance d
ij
from i to j naturally
satisfies
d
ij
≤ d
ik
+d
kj
.
The analogous inequality might not hold for t
ij
in job-scheduling problems. Try to come up
with a realistic scenario in which it would not hold.
12. Read “The Missouri Lottery Optimizes Its Scheduling and Routing to Improve Efficiency and
Balance” by Jang, Crowe, Raskin and Perkins. Interfaces, vol. 36, no. 4, July-Aug. 2006, pp
302-313. This paper is included in the appendix to the course notes and on the class web site.
(a) Write a one paragraph summary of the problem presented in “The Missouri Lottery . . . “
from Interfaces. Write a second paragraph summarizing the techniques and merits of the
mathematical model used. Be prepared to answer questions on the paper in class.
(b) Say you have been hired to evaluate the Missouri team who your company is considering
hiring. Write a critique (at most one page) of the paper. Include both positive and negative
aspects if any. Also, include your recommendation to your boss on hiring this team.
24 Graph Theory, Network Flows and Algorithms
Math 381 Notes — University of Washington —Winter 2011
Chapter 3
Stochastic Processes
So far we have studied deterministic processes, i.e. situations where the outcome is completely deter-
mined by our decisions. In real life however, there are many situations which are out of our control
or where things happen with a certain probability. These situations are called stochastic processes or
random processes or probabilistic processes. For example, the amount of time we have to wait for the
next bus to arrive is a stochastic process. Also, the number of salmon returning to spawn in the UW
Hatchery each year, the number of games won by the Husky volleyball team, and the daily Dow Jones
Industrial Average are other examples.
A thorough understanding of statistical modeling is beyond the scope of this course. Still, your
modeling capabilities can be enhanced by a brief introduction to some fundamental concepts from
probability and statistics including the mean, median and variance of a probability distribution, random
variables and the Central Limit Theorem.
3.1 Basic Statistics
In general terms, a statistic is a number that captures important information about a data set. If
we capture the right information, we can use the statistic to predict future outcomes. The primary
example of a statistic is the average or mean. For example, if we learn that bus number 43 comes
every 10 minutes on average during rush hour, then it helps us predict what time we will arrive at our
destination.
For the data set X = {x
i
: i = 1, 2, . . . , n}, the mean of X, denoted µ or E(X), is defined as
µ =

n
i=1
x
i
n
.
To find the median, order the values x
i
in ascending (or descending order). If n is odd, then the median
equals x
m
where m =
n+1
2
. Otherwise, the median equals the average of x
m
and x
m+1
where m =
n
2
.
To analyze the behavior of averages, consider the following data set. Let X be the number of minutes
we wait for the bus on the first 51 days of class.
3.759 1.939 6.273 7.165 1.146 5.973
0.099 9.048 6.991 5.113 6.649
4.199 5.692 3.972 7.764 3.654
7.537 6.318 4.136 4.893 1.400
7.939 2.344 6.552 1.859 5.668
9.200 5.488 8.376 7.006 8.230
8.447 9.316 3.716 9.827 6.739
3.678 3.352 4.253 8.066 9.994
6.208 6.555 5.947 7.036 9.616
25
26 Stochastic Processes
7.313 3.919 5.657 4.850 0.589
To aid in calculating the median, the following sorted list is also included.
0.099 3.716 5.488 6.555 7.939 9.994
0.589 3.759 5.657 6.649 8.066
1.146 3.919 5.668 6.739 8.230
1.400 3.972 5.692 6.991 8.376
1.859 4.136 5.947 7.006 8.447
1.939 4.199 5.973 7.036 9.048
2.344 4.253 6.208 7.165 9.200
3.352 4.850 6.273 7.313 9.316
3.654 4.893 6.318 7.537 9.616
3.678 5.113 6.552 7.764 9.827
The mean and median of X equal 5.715 and 5.973, respectively. Consider changing the largest value
of X from to 9.994 to 100. Now, the mean equals 7.483. Such a change in the mean is expected given
the large change in a value of the corresponding data set. On the other hand, the median remains
unchanged. Our change to X altered only the value of the largest element. Therefore, the value of the
middle element, which equals the median, remained unchanged.
Suppose instead, we had changed the largest value of X from 9.994 to another random number
between 0 and 10, say 5.484. Now, the mean and median equal 5.626 and 5.947, respectively. In such a
case, the mean still changes, albeit by a small amount. Take a moment and reflect on why the median
changes in this case. Larger data sets (say, of size 1,000 or 10,000) exhibit similar behavior although
the change in the mean is seen in less significant digits.
Another important statistic is the variance of the data set. The variance gives us information about
how close the data is centered around the mean µ. The variance of the data set X = {x
i
: i = 1, 2, . . . , n}
is defined as
1
Var(X) =
1
n −1
n

i=1
(x
i
−µ)
2
. (3.1)
The variance for the original data set above is 6.284. This tells us we would probably never have to
wait for the bus for more than 12 minutes. On the other hand, replacing 9.994 by 100 we get a variance
of 180.
3.2 Probability Distributions and Random Variables
In order to model stochastic processes, we first need a mathematical notation that can describe a wide
variety of situations. We will introduce the concepts of a probability distribution and a random variable
through examples.
Let Y denote any one of the six possible outcomes that can be observed when a fair die is rolled.
Since a fair die is equally likely to roll any of the values from 1 to 6, there is a 1/6
th
chance of rolling
a given number. We will write this as P(Y = y) =
1
6
for y = 1, 2, . . . , 6. Equivalently, we are defining
a probability distribution function p(y) = 1/6 for y = 1, 2, . . . , 6. Such a probability distribution can be
written as
y 1 2 3 4 5 6
p(y) 1/6 1/6 1/6 1/6 1/6 1/6
In this example, Y is a random variable; it is a variable that we cannot solve for explicitly but
instead one that takes on a different fixed value each time we run a trial by rolling the die. Random
1
Some authors defined the sample variance to be Var(X) =
1
n
P
n
i=1
(x
i
−µ)
2
instead.
3.2 Probability Distributions and Random Variables 27
1 2 3 4 5 6
0
0.05
0.1
0.15
0.2
0.25
0.3
y
p
(
y
)
1 2 3 4 5 6
0
0.05
0.1
0.15
0.2
0.25
0.3
y
p
(
y
)
(a) (b)
Figure 3.1: Probability histograms (a) for a uniform distribution and (b) a nonuniform distribution.
1 2 3 4 5 6
0
2
4
6
8
10
12
14
1 2 3 4 5 6
0
10
20
30
40
50
60
70
80
90
1 2 3 4 5 6
0
100
200
300
400
500
600
700
800
900
(a) (b) (c)
Figure 3.2: Histograms for tossing a fair die 50, 500 and 5000 times.
variables are very useful in probability because we can manipulate them just like ordinary variables in
equations. For example, one could write P(2 < Y ≤ 5) to mean the probability that a roll is among the
numbers {3, 4, 5}. A random variable Y is said to be discrete if it can assume only a finite or countably
infinite number of distinct values. Every discrete random variable comes with an associated probability
distribution function, P(Y = y) = p(y).
An experiment where every value is equally likely to occur is said to have a uniform distribution
as its underlying probability distribution. Figure 3.1 (a) depicts a probability histogram for a uniform
distribution. In contrast, Figure 3.1 (b) is an example of a probability histogram for a nonuniform
distribution.
Another way to recognize a uniform distribution is by noting the probability distribution has the
form
p(y) =
1
total # outcomes
.
Therefore, this type of probability is closely related to the study of counting methods known as combi-
natorics.
Back to our example, say we roll the die 100 times and construct a histogram of the data. In this
histogram, the height of column i is determined by the number of times we roll i in this experiment.
Each time we roll, we observe a different value of Y . Since Y has the uniform distribution, the histogram
we construct in this experiment should have 6 columns with similar heights. Yet, each roll of the die
is independent from the previous rolls. In other words, the die has no memory of its last roll. As any
gambler will attest, the uniform distribution does not imply that a streak of 4’s is impossible.
28 Stochastic Processes
To see this graphically, histograms of 50, 500, and 5000 such experiments are depicted in Figure
3.2 (a), (b) and (c), respectively. As the number of experiments increases, the histograms converge
toward the corresponding uniform distribution. Note that even 10,000 experiments will not produce
a histogram that exactly replicates the distribution in Figure 3.1 (a). Seen from the perspective of a
gambler, indeed, guessing the value of a single roll of a fair die is mere chance even with knowledge of
a previous outcome. Yet, from the perspective of a casino, the underlying distribution can place the
odds heavily in the “house’s” favor over many such experiments.
There are many additional probability distributions. The modeler’s challenge is to choose the one
that most closely approximates the data.
3.2.1 Expected Value
The expected value E of a discrete random variable Y with probability function p(y) is defined to be
E(Y ) =

y
yp(y).
Recall that the probability function for the rolling of a fair die is p(y) = 1/6 for y = 1, 2, . . . , 6.
Therefore, in the example E(Y ) equals

6
i=1
i/6 = 3.5.
3.3 The Central Limit Theorem
Let Y
1
, Y
2
, . . . , Y
n
be independent and identically distributed random variables. Then, Y = (1/n)(Y
1
+
Y
2
+ . . . + Y
n
) is the random variable measuring the mean over n trials. What can be said about the
distribution of Y ? The Central Limit Theorem answers this question.
Theorem 3.3.1 (Central Limit Theorem) Let Y
1
, Y
2
, . . . , Y
n
be independent and identically dis-
tributed random variables. Then the sample average Y tends to a normal distribution as the sample
size tends to infinity. The mean of this distribution will be the mean of the population and the variance
of this distribution will be the variance of the population divided by the sample size. (This all holds
providing the mean and variance of the population is finite and there is random sampling).
Take a moment and consider the power of this theorem. The theorem allows any population.
In fact, two populations may have widely differing underlying distributions such as the uniform and
nonuniform probability distributions in Figure 3.1. Yet, if multiple, independent experiments occur for
either population, the resulting distribution of the sample average tends toward a normal distribution
as sample size increases.
Let Y and X denote any one of the six possible outcomes available from tossing a fair and weighted
die, respectively. The probability function p(y) = 1/6 for y = 1, 2, . . . , 6. The probability distribution
for X is:
x 1 2 3 4 5 6
p(x) 1/8 1/3 1/12 5/24 1/12 1/6
Figure 3.1 (a) and (b) are the probability histograms for Y and X, respectively. Suppose we throw
the fair die 50 times and record the sample average of the 50 outcomes. Repeating this 1000 times and
plotting the results produces the histogram in Figure 3.3 (a). Repeating such an experiment with the
weighted die produces the histogram in Figure 3.3 (b). Both histograms reflect a normal distribution.
Should this be expected? Indeed, it is by the powerful Central Limit Theorem. If this is not readily
apparent, take a moment and compare our experiments to Theorem 3.3.1.
Note that convergence is slower for highly skewed distributions. That is, larger sample sizes are
needed for a histogram of sample averages to reflect the underlying normal distribution of such an
experiment. We will see more about convergence of histograms for different experiments modeled with
Monte Carlo methods in the next chapter.
3.4 Buffon’s Needle 29
2.8 3 3.2 3.4 3.6 3.8 4 4.2 4.4
0
50
100
150
200
250
300
2.4 2.6 2.8 3 3.2 3.4 3.6 3.8 4 4.2
0
50
100
150
200
250
(a) (b)
Figure 3.3: Histograms taken from sample averages (a) for a uniform distribution and (b) a nonuniform
distribution.
E
1 unit
T
c
1 unit
&
&
&
&
&
&
T
c
r
D
θ
1
2
sin θ
&
&
&
&
&
&
(a) (b)
Figure 3.4: Buffon’s Needle experiment; (a) depicts the experiment where a needle of unit length is
randomly dropped between two lines of unit length apart. In (b), D denotes the distance between the
needle’s midpoint and the closest line; θ is the angle of the needle to the horizontal.
3.4 Buffon’s Needle
In 1777, Comte de Buffon described an experiment that relates the real number π to a random event.
Specifically, a straight needle of unit length is dropped at random onto a plane ruled with straight lines
of unit length apart as depicted in Figure 3.4 (a). What is the probability p that the needle will intersect
one of the lines?
Before the time of digital computers, laptops and calculators, the term “computer” referred to a job
title. Parallel computing meant calculating with a large number of mathematicians. Comte de Buffon
performed the experiment repeatedly to determine p. Such hand computation limited the feasibility of
mathematical experiments before the advent of the digital computer.
Comte de Buffon also derived the value of p mathematically. Let D denote the distance between
the needle’s midpoint and the closest line, and let θ be the angle of the needle to the horizontal. (Refer
to Figure 3.4 (b).) Here both D and θ are random variables. The needle crosses a line if
D ≤
1
2
sin θ.
Consider the plot of
1
2
sin θ as seen in Figure 3.5. The probability of the needle intersecting a line
is the ratio of the area of the shaded region to the area of the rectangle. This is the continuous version
30 Stochastic Processes
0 3.14
0
0.5
1/2sinθ
θ
Figure 3.5: Plot of
1
2
sinθ aids in analysis of Buffon’s Needle.
of the uniform distribution. The area of the rectangle is clearly π/2. The area of the shaded region is
_
π
0
1
2
sin θ dθ = 1,
which implies that the probability of a hit is
p =
1
_
π
2
_ =
2
π
.
Hence, an estimate of π is
2
_
total number of drops
total number of hits
_
.
Just imagine, the next time that you drop a pencil, you have completed the first step in a Monte
Carlo experiment in estimating π. Yet, it takes heroic patience before an accurate estimate emerges.
We will see in class that Buffon’s Needle experiment indeed produces an estimate of π but is slow to
converge.
3.5 Exercises 31
3.5 Exercises
Recommended Reading Assignment: Pages 710-729 from ”Operations Research: Applications
and Algorithms” by Wayne Winston. This book is also on reserve in the Engineering Library for the
class.
1. Consider rolling two fair dice, one green and one red. Let R be the random variable which
determines the face value of the red die, and G be the random variable which determines the face
value of the green die.
(a) What is the population (possible values) for R, G, and R +G?
(b) What is the probability distribution for R, G, and R +G?
2. Consider the random variables R and G as in Problem 1. What is E(R), E(G), and E(R +G)?
3. In a horse race, the odds in favor of the first horse winning in an 8-horse race are 2 to 5. The
odds against the second horse winning are 7 to 3. What is the probability that one of these two
horses will win?
4. A card is drawn at random from an ordinary deck of 52 cards.
(a) What is the probability that it is a black ace or a red queen?
(b) What is the probability that it is a face card or a black card?
(c) What is the probability that it is neither a heart or a queen?
5. In a certain country, the probability is
49
50
that a randomly selected fighter plane returns from a
mission without mishap. Mia argues that this means there is one mission with a mishap in every
50 consecutive flights. She concludes that if fighter pilot Woody returns safely from 49 consecutive
missions, he should return home before the fiftieth mission. Is Mia right? Explain why or why
not.
6. In a lottery every week, 2,000,000 tickets are sold for $1 apiece. Say 4000 of these tickets pay off
$30 each, 500 pay off $800 each, and one ticket pays off $1,200,000, and no ticket pays off more
than one prize.
(a) What is the expected value of the winning amount for a player with a single ticket?
(b) What is the expected value of the winning amount for a player with five tickets?
7. The ages of subscribers to a certain mailing list are normally distributed with mean 35.5 years
and standard deviation 4.8. What is the probability that the ages of a random subscriber is
(a) more than 35.5 years?
(b) between 30 and 40 years?
8. To prepare an aircraft for departure, it takes a random amount of time between 20 and 27 minutes.
If the flight is scheduled to depart at 9:00am and preparation begins at 8:37am, find the probability
that the plane is prepared for departure on schedule. Explain any assumptions you need to make.
9. Prove that V AR(X +Y ) = V AR(X) +V AR(Y ) if X and Y are independent random variables.
32 Stochastic Processes
Math 381 Notes — University of Washington —Winter 2011
Chapter 4
Monte Carlo Methods
Monte Carlo methods model physical phenomenon through the repeated use of random numbers. It
can seem surprising that meaningful insights can be made from such results. Yet, Monte Carlo methods
are used effectively in a wide range of problems including physics, mechanics, and economics.
Buffon’s Needle is a classic example of Monte Carlo methods and the ability of random numbers to
generate meaningful results. Note that no essential link exists between such methods and a computer.
Yet, computers enormously enhance the methods’ effectiveness. Monte Carlo methods are essentially
carefully designed games of chance that enable research of interesting phenomenon.
While Monte Carlo methods have been used for centuries, important advancements in their use as
a research tool occurred during World War II with mathematicians including Neumann and Ulam and
the beginnings of the modern computer. Today, Monte Carlo methods are used in a wide variety of
fields to model the physical world.
With our knowledge of statistics and ideas regarding the use of random numbers in simulation, we
are ready to examine problems that we can model and study with Monte Carlo methods.
4.1 A fish tank modeling problem
The XYZ Tropical Fish Store has come to us for advice on the following problem. They carry 150 gallon
fish tanks which are quite large and take up a lot of shelf space in the store. They observe that on
average they only sell about 1 each week, so they don’t want to have too many in stock at any one time.
On the other hand, these are a high-profit item and if they don’t have one in stock when a customer
comes in, the customer will go elsewhere. Moreover, it takes 5 days for a new one to be delivered by
the distributor after they place an order.
They are trying to decide on the best strategy for ordering the 150 gallon tanks. They are considering
these two in particular:
1. Strategy 1: Order a new tank each time one is sold. Then they will never have more than one
in stock at a time, so they won’t waste much shelf space, but they may often be caught without
any.
2. Strategy 2: Order a new tank once a week, arriving 5 days later. Since they sell one a week on
average it may be good to have one arrive each week on average. There’s probably less chance of
being caught without one in stock, but if there aren’t any customers for several weeks in a row
they will accumulate.
The question is: which strategy is better, or is there another that is better yet?
Think about some of the questions that might naturally arise if you were going to try to determine
an answer. What questions should you ask the store owners before you even try to model it? What
33
34 Monte Carlo Methods
other information would you need to know before you could hope to evaluate the strategies? Thinking
about this should help to suggest what is important in a mathematical model.
Here are a few examples:
• How much is the profit on one of these fish tanks, relative to other items in the store that would
have to be eliminated in order to stock more fish tanks? (This is one thing we would need to
know in order to make any sort of quantitative comparison of different strategies.)
• What is the cost of having additional tanks in stock? What is the cost of losing a customer by
not having a tank available? (Besides the lost sale itself, there might be the cost of losing that
customers business in the future, if they decide to buy all their fish and supplies from the same
place they buy the tank.)
• What do you mean by “we sell one a week on average”? Is there one person in town who comes in
every Wednesday at noon and always buys one tank? Or are there 52 people in town who always
give a tank as a Christmas present, so there are lots of sales in the month of December and none
in other months? Either scenario would lead to “one a week on average” over the year, but would
lead to very different ordering strategies.
This is a classic example of an inventory problem. Variants of this problem are constantly being
solved by businesses, which often have to decide on an ordering strategy for many different products
simultaneously, even thousands for a grocery store, for example.
Here we consider the two simple strategies mentioned above, based on some simplified assumptions
of customer behavior. In particular, we’ll assume the sales are uniform over the year. We’ll also assume
that “an average of once a week” means that each day there is a 1/7 chance that a customer will come.
This isn’t completely realistic: surely there’s some chance that two customers will appear in the same
day. Later we’ll consider this further. Note in making these assumptions that we follow a primary rule
of model building:
It is best to start with a simple model and refine it incrementally. Trying to start with a
completely realistic model is usually hopeless.
4.2 Monte Carlo simulation
The approach we will consider at this stage is a simulation of how the competing strategies might work.
This means we write a computer program which simulates several weeks of how the store’s inventory
fluctuates assuming one strategy or the other, and see which pays off better. Of course we don’t know
exactly when customers arrive, but we can model the arrival of customers at random times by generating
random numbers on the computer and using these values to indicate whether a customer arrives on
each day or not. For example, in matlab, the command
rand(1)
generates 1 random number which is uniformly distributed between 0 and 1. If this number is less than
1/7 we can say that a customer comes, if it is greater than 1/7 we can say that a customer does not
come.
On the next page is a simple matlab program which simulates the strategy of ordering a new fish
tank only when the one in stock is sold. In this case there is always at most one tank in stock, which
simplifies the program. The program prints out information about what happens each day and keeps
track of statistics over the course of the simulation.
The parameters have been changed here to make it possible to see more action in a short simulation.
The probability of a customer each day is 1/3 and it only takes 2 days for a new tank to be delivered
after ordering. The program has been simplified by leaving out some commands to keep track of totals
and display results.
A more complete program which also allows comparison of different strategies can be found in
Section 4.5, and downloaded from the class webpage.
4.2 Monte Carlo simulation 35
a = 1/3; % probability of a customer each day
days_for_delivery = 2; % days from order to delivery of new tanks
stock = 1; % number of tanks in stock
deliv = -1; % number of days until delivery of tank on order
% -1 means none on order
total_cust = 0;
total_sold = 0;
total_lost = 0;
for week = 1:3
for weekday = 1:7
sold = 0;
lost = 0;
if deliv == 0
stock = stock+1; % a new tank is delivered
end
if deliv >= 0
deliv = deliv-1; % days till next delivery
end
random_num = rand(1); % generate random number
if random_num < a % use this number to tell if a customer arrived
customers = 1;
else
customers = 0;
end
if customers==1
if stock>0 % we have a tank to sell the customer
sold = sold+1;
stock = stock-1;
if deliv < 0
deliv = days_for_delivery; % we sold a tank and now order
% another one.
end
else
lost = lost+1; % we didn’t have a tank and lost a customer
end
end % if customers==1
% keep track of total statistics:
total_cust = total_cust + customers;
total_sold = total_sold + sold;
total_lost = total_lost + lost;
disp([week weekday stock customers sold lost]); % display results for
% this day
end % loop on weekday
end % loop on week
% output total statistics now....
Figure 4.1: First pass at a matlab program for Monte Carlo simulation of the fish tank modeling
problem.
36 Monte Carlo Methods
Here are the results of one sample simulation:
week day stock cust sold lost
1 1 1 0 0 0
1 2 1 0 0 0
1 3 1 0 0 0
1 4 0 1 1 0
1 5 0 0 0 0
1 6 0 0 0 0
1 7 0 1 1 0
2 1 0 1 0 1
2 2 0 0 0 0
2 3 0 1 1 0
2 4 0 0 0 0
2 5 0 1 0 1
2 6 1 0 0 0
2 7 1 0 0 0
3 1 0 1 1 0
3 2 0 1 0 1
3 3 0 0 0 0
3 4 1 0 0 0
3 5 1 0 0 0
3 6 1 0 0 0
3 7 1 0 0 0
total over entire simulation:
customers sold lost
7 4 3
It’s hard to come to any conclusion from this one short simulation. The fact that we could only
serve 4 of the 7 customers was due to the particular pattern in which they arrived. If they had appeared
differently, the numbers could have been very different.
To get a better feel for how this strategy works in the long run, we can run the simulation for many
more weeks. For example we might run it for 104 weeks (2 years) rather than only 3 weeks. We might
also run the simulation several times over to see if we get similar results even though the exact pattern
of customer arrivals will be different in each case. Here are the results of 10 different simulations, each
for 104 weeks:
customers sold lost fraction served
241 147 94 0.6100
223 135 88 0.6054
255 149 106 0.5843
266 158 108 0.5940
237 144 93 0.6076
235 144 91 0.6128
255 148 107 0.5804
250 147 103 0.5880
227 138 89 0.6079
249 152 97 0.6104
Notice that we expect roughly 104 × 7/3 = 243 customers to appear over this time period (since
we’re using the rate of 1 every 3 days). In all of the above results we have roughly this number. Much
4.2 Monte Carlo simulation 37
more interesting is the fact that in each simulation we end up being able to serve about 60% of these
customers. This might be one number we want to use in comparing different strategies.
Markov chains. By doing the above simulations we came to the conclusion that with this strategy
and particular set of parameters, we could serve about 60% of the customers who come looking for a
150 gallon tank. It turns out that we can predict this number using mathematics without doing any
simulations, if we use the theory of Markov chains. We will study this later in the quarter.
4.2.1 Comparison of strategies
Section 4.5 contains a more complex program for this Monte Carlo simulation which allows comparison
of different strategies. The variable order_when_out is a flag which determines whether to order a new
tank whenever we run out. The variable fixed_delivery determines whether there is a fixed schedule
of deliveries, once every so many days. Strategy 1 corresponds to
order_when_out = 1;
fixed_delivery = 0; % no standing order
while Strategy 2 uses
order_when_out = 0;
fixed_delivery = 7; % arrivals every 7th day
Percentage of customers served is one important number to compare. More important to the busi-
ness, however, might be the expected profit over time with different strategies. This depends not only
on how many customers we serve or lose, but also on the cost of any overstock. For Strategy 1 tested
above, there is never more than 1 tank in stock and so no overstock. Strategy 2 can easily lead to
overstock.
Here are the results of a few 104-week simulations with each strategy. We also compute the “profit”
for each simulation and the average profit over 100 simulations with each strategy. This profit is based
on the assumed profit per sale, cost of losing a customer, and cost per night of overstock as illustrated
in the program.
Strategy 1:
customers sold lost fraction_served overstock end_stock profit
106 63 43 0.594 0 1 830.00
100 61 39 0.610 0 1 830.00
104 58 46 0.558 0 1 700.00
104 60 44 0.577 0 0 760.00
94 55 39 0.585 0 1 710.00
90 59 31 0.656 0 0 870.00
etc...
108 58 50 0.537 0 1 660.00
101 59 42 0.584 0 0 760.00
94 54 40 0.574 0 0 680.00
99 61 38 0.616 0 1 840.00
98 55 43 0.561 0 1 670.00
average_profit = 787.9000
38 Monte Carlo Methods
Strategy 2:
customers sold lost fraction_served overstock end_stock profit
93 92 1 0.989 4795 13 -567.50
99 98 1 0.990 1802 7 1049.00
98 95 3 0.969 2716 10 512.00
96 96 0 1.000 3690 9 75.00
99 98 1 0.990 3098 7 401.00
87 87 0 1.000 6811 18 -1665.50
106 101 5 0.953 3450 4 245.00
etc...
94 94 0 1.000 2867 11 446.50
126 103 23 0.817 493 2 1583.50
106 101 5 0.953 2023 4 958.50
131 104 27 0.794 709 1 1455.50
109 104 5 0.954 637 1 1711.50
91 88 3 0.967 6135 17 -1337.50
91 90 1 0.989 4165 15 -292.50
101 101 0 1.000 3899 4 70.50
101 100 1 0.990 3755 5 112.50
average_profit = 342.7050
Note some interesting features of these simulations:
• The percentage of customers served is generally larger with Strategy 2, usually above 90%, while
with Strategy 1 the percentage is around 60%. However, the average profit is larger with Strategy
1. This is because Strategy 2 generally leads to an overstock. Customers are rarely lost but there’s
a large cost associated with this overstock which reduces profit.
• The results for Strategy 1 have much smaller variance than for Strategy 2. The profit for each
individual simulation is typically not too far from the average. For Strategy 2 the values are all
over the place. Some simulations give much higher profits than Strategy 1 while many simulations
resulted in negative profits (a net loss). This is seen more strikingly by plotting histograms of the
profits over each set of 100 simulations, as shown in Figure 4.2. If the business is lucky, profits
may be higher with Strategy 2, but there is a great risk of being unlucky.
• Note one problem with Strategy 2 as implemented so far: There is no mechanism to stop automatic
delivery if the stock goes too high. Since customers arrive at the same average rate as new tanks,
a high stock will tend to stay high. Figure 4.3 shows the stock of tanks as a function of day in
the course of one particular unlucky simulation. By the end of two years the stock has grown to
20 tanks.
4.3 A hybrid strategy
A better ordering strategy might be to have a standing order for a tank to arrive every N days, where
N is larger than 7, and then to also order a new tank whenever we run out. In the program N is
denoted by fixed_delivery. Figure 4.4 shows histograms of the performance of this strategy for two
different values of N, N = 9 and N = 14.
4.3 A hybrid strategy 39
−1500 −1000 −500 0 500 1000 1500 2000
0
5
10
15
20
25
30
Strategy 1
−3000 −2500 −2000 −1500 −1000 −500 0 500 1000 1500 2000
0
5
10
15
20
25
30
Strategy 2
Figure 4.2: Histograms of profit observed over 100 simulations with two different strategies.
0 100 200 300 400 500 600 700 800
0
5
10
15
20
25
Figure 4.3: History of number of tanks in stock each day for one particular simulation with Strategy 2.
−1500 −1000 −500 0 500 1000 1500 2000
0
5
10
15
20
25
30
Hybrid Strategy with $N=9$
−1500 −1000 −500 0 500 1000 1500 2000
0
5
10
15
20
25
30
Hybrid Strategy with $N=14$
Figure 4.4: Histograms of profit observed over 100 simulations with hybrid strategies.
40 Monte Carlo Methods
4.4 Statistical analysis
In comparing the results of simulations with different strategies, we need to be able to reach sensible
conclusions from a large quantity of “experimental data”. Typically we would also like to be able to
quantify how confident we are in the conclusions we reach, how sensitive these conclusions are to the
parameters we chose in the model, etc. This is the realm of statistics, and sensible analysis of Monte
Carlo simulations generally requires a good knowledge of this field.
One statistic we have already looked at is the average profit observed for each strategy. If one
strategy gives a larger average profit over many simulations than another strategy, it might be the
better strategy. On the other hand we have also observed that some strategies give results with much
greater variance between simulations than other strategies. In practice the owners of the store don’t
really care about the average behavior over hundreds of simulations, they care about what will happen
in the one real experience they will have with whatever strategy they adopt. The point of doing many
simulations is to get some experience with what range of different outcomes they might reasonably
expect to observe in practice. (Assuming of course that the model is good enough to match reality in
some sense.)
Looking at the histograms of Figure 4.2, we see that with Strategy 1 we might be able to predict
fairly confidently that the profit which will actually be observed (assuming the model is good enough
...) will lie somewhere between 600 and 1000. With Strategy 2, we can only predict that it will probably
lie somewhere between -2000 and 2000. Even if the average observed with Strategy 2 were higher than
the average profit observed with Strategy 1, the strategy with the smaller variance might be preferable
in practice because there would be less risk involved.
If we do N simulations and obtain N different values y
1
, y
2
, . . . , y
N
for the observed profit, then
the average (sample mean) is defined as
¯ y =
1
N
N

i=1
y
i
.
The sample variance is
s
2
=
1
N −1
N

i=1
(y
i
− ¯ y)
2
,
and the sample standard deviation is
s =

s
2
.
We can view the N values observed as N observations of a random variable chosen from some dis-
tribution. Typically we don’t know what this distribution is, and the point of doing a Monte Carlo
simulation is to gain some information about the distribution. With a large enough sample, the sample
mean should approximate the mean of the true distribution and the sample variance should approximate
its variance.
How big a sample is “large enough”? That depends on the distribution. Comparing the histograms
of Figure 4.2, for example, we see that 100 trials gives more information about the distribution of
results in Strategy 1 than with Strategy 2. To get a better idea of the underlying distributions, we
might repeat these experiments with many more simulations. Figure 4.5 shows histograms of the profits
observed when 5000 simulations are performed with each strategy. Here we get a much better sense of
the distributions.
For Strategy 1 we merely confirm what we already guessed from the 100 simulations of Figure 4.2.
The distribution has a fairly “Gaussian” shape with almost all results lying between 600 and 1000.
In fact it can be shown that the distribution of observed profits should be approximately normally
distributed (Gaussian). This follows from the Central Limit Theorem as we will be better able to
understand after studying the Markov Chain interpretation of this model.
The sample mean from this particular set of runs is about 783 and the standard deviation is about
83. For a normally distributed random variable, it can be shown that the value observed will be farther
than twice the standard deviation away from the mean only about 5% of the time. So if the profit with
4.5 Fish tank simulation code 41
300 400 500 600 700 800 900 1000 1100 1200 1300
0
50
100
150
200
250
300
350
400
450
500
Strategy 1
−6000 −5000 −4000 −3000 −2000 −1000 0 1000 2000 3000
0
50
100
150
200
250
300
350
Strategy 2
Figure 4.5: Histograms of profit observed over 5000 simulations with two different strategies.
Strategy 1 is essentially normally distributed then we expect that the profit observed should lie between
783 −2 · 83 = 617 and 783 + 2 · 83 = 949 about 95% of the time.
For Strategy 2 we see in Figure 4.5 that the distribution of profits is certainly not a normal distri-
bution. Note that the profit would not be expected to exceed about 104 · 20 = 2080 even with a perfect
strategy (why not?), which partly accounts for the sharp cut-off at the higher end. The fact that a very
large overstock can accumulate accounts for the wide spread to the left. The average profit observed is
439 and the standard deviation is 1020. In 26% of the simulations the observed profit was negative.
There are many other statistical questions that one might ask about the data obtained from these
simulations, and various ways that the model might be improved. We will discuss some of these in class.
4.5 Fish tank simulation code
% set parameters:
nsim = 100; % number of different simulations to do
nweeks = 104; % number of weeks in each simulation
ndays = 7*nweeks; % number of days in each simulation
a = 1/7; % probability of a customer each day
days_for_delivery = 5; % days from order to delivery of new tanks
order_when_out = 1; % = 1 ==> order a new tank when stock==0
% = 0 ==> don’t order when out of tanks
fixed_delivery = 12; % >0 ==> standing order for a new tank
% every so many days
% profits and losses:
saleprofit = 20; % profit from selling one tank
lostloss = 10; % loss from losing a customer
overstockloss = .50; % cost of each tank overstock per night
% initialize:
profit = zeros(nsim,1);
% print column headings:
42 Monte Carlo Methods
disp(’customers sold lost fraction_served overstock end_stock profit’)
for sim=1:nsim
% initialize:
random_nums = rand(ndays,1); % array of random numbers to use each day
total_cust = 0;
total_sold = 0;
total_lost = 0;
stock = 1; % number of tanks in stock
deliv = -1; % number of days until delivery of tank on order
% -1 means none on order
overstock = 0; % increment every night by number of excess tanks in stock
% main loop for a single simulation:
day = 0;
for week = 1:nweeks
for weekday = 1:7
day = day+1; % day in the simulation
sold = 0;
lost = 0;
if deliv == 0
stock = stock+1; % a new tank is delivered
% at the beginning of the day
end
if deliv >= 0
deliv = deliv-1; % days till next delivery
end
if (mod(7*week + day, fixed_delivery) == 0)
% A new tank is delivered every so many days regardless of stock
stock = stock+1;
end
% use random number to decide how many customers arrived
% Here assume 0 or 1:
if random_nums(day) < a
customers = 1;
else
customers = 0;
end
if customers==1
if stock>0 % we have a tank to sell the customer
sold = sold+1;
stock = stock-1;
else
lost = lost+1; % we didn’t have a tank and lost a customer
end
end
if (order_when_out & stock==0 & deliv < 0)
4.6 Poisson processes 43
% none in stock and none on order
deliv = days_for_delivery; % order another
end
if stock > 1
overstock = overstock + (stock - 1);
end
% keep track of total statistics:
total_cust = total_cust + customers;
total_sold = total_sold + sold;
total_lost = total_lost + lost;
stock_record(day) = stock; % keep track of stock on each day
end % loop on day
end % loop on week
fraction_served = total_sold / total_cust;
profit(sim) = total_sold*saleprofit ...
- total_lost*lostloss - overstock*overstockloss;
% output total statistics:
disp(sprintf(’%6.0f %6.0f %8.0f %12.3f %11.0f %8.0f %12.2f’, ...
total_cust, total_sold, total_lost, fraction_served, overstock, stock, ...
profit(sim)))
end % loop on sim
% compute and print average profit over all simulations:
average_profit = sum(profit) / nsim
disp(’ ’)
disp([’ average profit = ’ sprintf(’%10.2f’, average_profit)])
% standard deviation:
variance = sum((profit - average_profit).^2) / (nsim-1);
standard_deviation = sqrt(variance);
disp([’ standard deviation = ’ sprintf(’%10.2f’, standard_deviation)])
disp(’ ’)
% plot histogram of profits over all simulations:
hist(profit,-1500:50:2000)
axis([-1500 2000 0 30])
4.6 Poisson processes
In the Monte Carlo simulation of the fish tank inventory problem, we assumed that each day there was
a probability a of a customer coming in. The matlab code contained the following lines:
random_num = rand(1); % generate random number
if random_num < a % use this number to tell if a customer arrived
customers = 1;
44 Monte Carlo Methods
else
customers = 0;
end
This assumes that each day there is either 0 or 1 customers. This is not very realistic, since some
days we would expect 2 or even more to appear if they come at random times. Moreover, we might
want to simulate a situation in which there are typically many customers each day, instead of only one
customer every few days.
More generally let a represent the average number of customers per day. If a is very small then we
can interpret a as the probability that a customer comes on any given day, and ignore the possibility of
more than one customer. This isn’t very realistic if a is somewhat larger. If a > 1 then it is impossible
to interpret a as a probability, and clearly unrealistic to assume there will be either 0 or 1 customer.
It would be better if we could predict the probabilities p
k
that exactly k customers will appear in a
given day and then use something like:
random_num = rand(1); % generate random number
if random_num < p0
customers = 0;
else if random_num < p0+p1
customers = 1;
else if random_num < p0+p1+p2
customers = 2;
else
customers = 3; % assume negligible chance of more
end
end
end
Here we have assumed that a is small enough that the chance of more than 3 customers is negligible,
i.e., p
0
+p
1
+p
2
is very close to 1.
One way to estimate these probabilities would be to do a Monte Carlo simulation. We could split a
day up into N much smaller pieces (hours, minutes, seconds or even smaller) and assume that in each
small piece there is really no chance that more than one customer will appear, and that the probability
of one customer appearing is p = a/N. We could simulate many days and see what fraction of the days
there are k customers for each k. (Note that if N is large enough then p = a/N will be very small even
if a > 1, so it is valid to view this as a probability.)
Here are the results of a 10 trials with N = 20 and a = 1. (Generated using poisson.m from
the webpage.) Each string has 20 bits, with 0 representing “no customer during this interval” and 1
representing “a customer during this interval”. The first “day” two customers arrived, the second day
only one, etc.
4.6 Poisson processes 45
00000010001000000000
00000100000000000000
00010100000000000000
00000000000000000000
00000000000000000100
00000000000000000000
00000000000000000000
00000000100000000010
00110000000000000000
10100000000010000000
In this short simulation, 30% of the days no customer arrived, 20% had 1 customer, 40% had 2 customers,
and there was 1 day (10%) when 3 customers arrived. If we ran another 10-day simulation we’d probably
get different results. To estimate the probabilities more reliably we should do a simulation with many
more days. Below are the results of simulations with 10, 000 days. This was repeated 3 times and we
get slightly different results each time.
Run 1 Run 2 Run 3 Poisson
0 customers 0.3686 0.3580 0.3606 0.3679
1 customer 0.3722 0.3717 0.3767 0.3679
2 customers 0.1837 0.1911 0.1883 0.1839
3 customers 0.0575 0.0646 0.0596 0.0613
4 customers 0 0 0.0122 0.0153
5 customers 0.0151 0.0120 0.0021 0.0031
6 customers 0.0025 0.0024 0.0004 0.0005
7 customers 0.0004 0.0002 0.0001 0.0001
Note that by running the simulation 3 times we get some reassurance that the value of 10,000 is
large enough to give values that don’t change much when we rerun the simulation. If we had run it for
only 100 days each we would see quite a bit of variation from run to run and would know that we don’t
have reliable values. Here it seems fairly clear that p
0
≈ 0.36, p
1
≈ 0.37, p
2
≈ 0.18, etc.
Poisson distribution. In fact we can compute these values without doing a simulation. It can be
shown mathematically that probabilities follow a Poisson distribution, and that for any value of a, the
average number of customers per day, the probability of observing exactly k customers in a single day
is
p
k
=
a
k
e
−a
k!
.
In particular,
p
0
= e
−a
p
1
= ae
−a
p
2
=
1
2
a
2
e
−a
p
3
=
1
6
a
3
e
−a
The values for the case a = 1 are shown in the last column of the table above, and they compare well
with the values obtained from the three 10,000-day simulations.
Note that

k=1
p
k
= e
−a
_
1 +a +
a
2
2!
+
a
3
3!
+· · ·
_
= e
−a
e
a
= 1.
46 Monte Carlo Methods
The probabilities all add up to one as we should expect.
The formulas for the Poisson distribution can be derived by using a combinatorial argument based on
the probability of the event occurring in each small time period, and the number of ways it is possible
to have 0, 1, 2, . . . events occurring over the entire day. For this to be valid we must assume that
customers appear randomly with probability a/N in any small increment of 1/N day, without regard
to the past history. The arrival of customers is then said to be a Poisson process. The sequence of tests
to see whether there is a customer in each interval also called a series of Bernoulli trials.
To see how these values arise, first consider a simpler case where we look at a sequence of only 3
Bernoulli trials, with a probability p of “success” in each trial (denoted by 1) and probability 1 − p of
“failure” (denoted by 0). There are 2
3
= 8 possible strings that can arise from these 3 independent
trials. These are listed below along with the probability of observing each:
000 (1 −p)
3
001 (1 −p)
2
p
010 (1 −p)
2
p
011 (1 −p)p
2
100 (1 −p)
2
p
101 (1 −p)p
2
110 (1 −p)p
2
111 p
3
(4.1)
Note that there are 3 ways to observe 1 customer during the entire day, and 3 ways to observe 2
customers, but only 1 way to observe 0 or 3 customers. Adding up the probabilities we find the
following values for p
(3)
k
, the probability of observing k customers when N = 3:
0 customers (1 −p)
3
= p
(3)
0
1 customers 3(1 −p)
2
p = p
(3)
1
2 customers 3(1 −p)p
2
= p
(3)
2
3 customers p
3
= p
(3)
3
(4.2)
Note that these probabilities sum to 1. We can see this easily using the fact that
(x +y)
3
= x
3
+ 3x
2
y + 3xy
2
+y
3
with x = 1 − p and y = p. In fact we can use this type of binomial expansion to easily compute the
probabilities p
(N)
k
when N is larger without enumerating all 2
N
possible strings and counting things up.
We have
(x +y)
N
= x
N
+
_
N
1
_
x
N−1
y +
_
N
2
_
x
N−2
y
2
+· · · +
_
N
N −1
_
xy
N−1
+y
N
. (4.3)
The values
_
N
k
_
(“N choose k”) are often called the binomial coefficients. The probabilities we seek
are
p
(N)
0
= (1 −p)
N
p
(N)
1
=
_
N
1
_
(1 −p)
N−1
p = N(1 −p)
N−1
p
p
(N)
2
=
_
N
2
_
(1 −p)
N−2
p
2
=
1
2
(N
2
− N)(1 −p)
N−2
p
2
etc.
(4.4)
4.7 Queuing theory 47
This is called the binomial distribution for the total number of “successes” in N Bernoulli trials.
To relate this to the Poisson distribution, recall that we want to determine the probability of
observing k customers in the case where N is very large and p = a/N, where a is a fixed value
representing the average number of customers per day. The probability p
0
is given by
p
0
= lim
N→∞
p
(N)
0
= lim
N→∞
_
1 −
a
N
_
N
= e
−a
. (4.5)
Similarly,
p
1
= lim
N→∞
N
_
1 −
a
N
_
N−1
_
a
N
_
= a lim
N→∞
_
1 −
a
N
_
N−1
= ae
−a
.
(4.6)
4.7 Queuing theory
As another example of Monte Carlo simulation, we will look at an example from queuing theory. Suppose
customers arrive at a service center or cashier and have to line up to wait for service. Queuing theory
is the study of how such lines are expected to behave, and the comparison of different strategies. For
example, if there are multiple servers we might want to compare the strategy of having independent
lines for each (as is common in grocery stores) or have a single line with the next customer going to the
first available server (as is common in banks and airport check-in counters). Which approach minimizes
the average time a customer has to wait, for example?
There is a large literature on this subject, see for example [HL95]. Here we will look at the simplest
example of a single server and discuss how Monte Carlo simulation might be used to study the expected
length of the line.
The matlab code in Figure 4.6 shows a simple simulation of a queue. Customer arrivals are modeled
with a Poisson process with average rate a per minute. They must wait in the queue until the single
server is free. The amount of time required to serve them is also random, with average rate of b people
per minute. In this simulation this is also assumed to be Poisson process with probability of roughly
b/N that they will be finished in any small subunit of time 1/N. (This may not be very realistic. A
better model might be that there is some minimal service time plus a random length of time after that,
or some other distribution of service times.)
One could model this by splitting each minute up into N subunits and generating a random number
to determine whether a new customer arrives, and a second random number to determine whether the
customer currently being served finishes.
Instead, this simulation works by first generating a set of arrival times and service times for each
customer, and then computing the total time that each customer must wait on the basis of these times.
The times are generated using an exponential distribution:
Probability that inter-arrival time is larger than T = e
−aT
.
This can be shown to be the proper distribution of service times for a Poisson distribution in the
following manner. Suppose we split up the time since the last arrival into units T, 2T, 3T, . . . rather
than minutes. Then in each unit the expected number of arrivals is aT. According to the Poisson
distribution, the probability of exactly 0 arrivals in the first of these periods is thus e
−aT
, but this is
exactly the probability that the next arrival time is more than T units later.
To generate random numbers from an exponential distribution with parameter a, we can first gener-
ate a random number r uniformly distributed in the interval [0, 1] (using rand in matlab, for example)
and then compute

1
a
log(r).
48 Monte Carlo Methods
Note that log is the natural logarithm command in matlab.
Figure 4.7 shows the results of three simulations using the parameters a = 1 and b = 1.5, for 1000
customers each. Two plots are shown for each simulation: on the left is the length of the queue as a
function of time, and on the right is a histogram of the total time spent by each customer (including
both the time in line and the time being served). While the 3 simulations show variation in details,
some similarities are observed. Note that although the server can handle 50% more customers than
are arriving on average, the queue length can grow quite long due to the randomness of arrivals. In all
three simulations the queue length is more than 10 at times. Also, looking at the histogram we see that
there are some customers who have to wait as long as 10 or 12 minutes in each simulation, though the
average total time is more like 2 minutes.
Figure 4.8 shows another set of simulations in which the parameter b = 1.1 is used instead, in which
case the average service time 1/b ≈ 0.91 is even closer to the average interarrival time. Again the details
vary between simulations, but it is clear that now the queues will typically grow to be of length greater
than 20 at times and the average waiting time is much longer. There are now typically some customers
who have to wait more than 20 minutes.
From comparing these sets of results it should be clear that such simulations can be effectively used
to predict how badly queues may behave if the proper parameters are estimated. One can also use
Markov chain ideas to study the expected behavior of such systems and determine expected values for
quantities such as the total waiting time. In fact it can be shown that for arbitrary parameters a < b,
the expected total waiting time is 1/(b −a). Note that this is consistent with what is observed in these
simulations.
We have only looked at the simplest situation of a single queue and a single server. This model is
called an M/M/1 queue. The first M indicates that the arrival times are exponentially distributed (or
Markovian), the second M indicates that the service times are also Markovian, and the 1 indicates there
is a single server. More complicated models would be required to model a bank or super market with
multiple lines and servers, for example.
Various modifications of this model are possible. For example, we could assume a maximum queue
length beyond which customers go away rather than joining the queue. In this case there are a finite
set of states possible (different queue lengths) and it is possible to derive a Markov chain model of
transitions, as we will look at later.
4.7 Queuing theory 49
% Simple queuing theory simulation, M/M/1 queue
% Single server, single queue:
a = 1; % average number of arrivals per minute
b = 1.5; % average number of people served per minute
ncust = 1000;
% Notation:
% at = arrival time of a person joining the queue
% st = service time once they reach the front
% ft = finish time after waiting and being served.
%
% initialize arrays:
at = zeros(ncust,1);
ft = zeros(ncust,1);
% Generate random arrival times assuming Poisson process:
r = rand(ncust,1);
iat = -1/a * log(r); % Generate inter-arrival times, exponential distribution
at(1) = iat(1); % Arrival time of first customer
for i=2:ncust
at(i) = at(i-1) + iat(i); % arrival times of other customers
end
% Generate random service times for each customer:
r = rand(ncust,1);
st = -1/b * log(r); % service times for each
% Compute time each customer finishes:
ft(1) = at(1)+st(1); % finish time for first customer
for i=2:ncust
% compute finish time for each customer as the larger of
% arrival time plus service time (if no wait)
% finish time of previous customer plus service time (if wait)
ft(i) = max(at(i)+st(i), ft(i-1)+st(i));
end
total_time = ft - at; % total time spent by each customer
wait_time = total_time - st; % time spent waiting before being served
ave_service_time = sum(st)/ncust
ave_wait_time = sum(wait_time)/ncust
ave_total_time = sum(total_time)/ncust
% Plot histogram of waiting times:
hist(total_time,0:.5:20)
Figure 4.6: Queuing theory simulation. The code shown here is simplified and doesn’t show the com-
putation of the queue length which is plotted here. See the Handouts webpage for the full m-file.
50 Monte Carlo Methods
0 200 400 600 800 1000 1200
0
2
4
6
8
10
12
14
16
18
queue length vs. time
0 2 4 6 8 10 12 14 16 18 20
0
50
100
150
200
250
300
350
400
histogram of waiting times
a =1
b =1.5
average total time =2.1487
average service time =0.6786
0 100 200 300 400 500 600 700 800 900 1000
0
2
4
6
8
10
12
14
16
queue length vs. time
0 2 4 6 8 10 12 14 16 18 20
0
50
100
150
200
250
300
350
400
histogram of waiting times
a =1
b =1.5
average total time =2.2084
average service time =0.6693
0 200 400 600 800 1000 1200
0
5
10
15
queue length vs. time
0 2 4 6 8 10 12 14 16 18 20
0
50
100
150
200
250
300
350
400
histogram of waiting times
a =1
b =1.5
average total time =2.1234
average service time =0.67806
Figure 4.7:
4.7 Queuing theory 51
0 200 400 600 800 1000 1200
0
5
10
15
20
25
30
queue length vs. time
0 5 10 15 20 25 30 35 40
0
20
40
60
80
100
120
140
160
180
200
histogram of waiting times
a =1
b =1.1
average total time =6.2679
average service time =0.91675
0 100 200 300 400 500 600 700 800 900 1000
0
5
10
15
20
25
30
35
queue length vs. time
0 5 10 15 20 25 30 35 40
0
20
40
60
80
100
120
140
160
180
200
histogram of waiting times
a =1
b =1.1
average total time =11.3831
average service time =0.88394
0 200 400 600 800 1000 1200
0
5
10
15
20
25
queue length vs. time
0 5 10 15 20 25 30 35 40
0
20
40
60
80
100
120
140
160
180
200
histogram of waiting times
a =1
b =1.1
average total time =4.77
average service time =0.87122
Figure 4.8:
52 Monte Carlo Methods
4.8 Exercises
1. The following data yield the arrival times and service times that each customer will require for
the first 13 customers at a single server system. Upon arrival, a customer either enters service if
the server is free or joins the waiting line. When the server completes work on a customer, the
next one in line (i.e. the one who has been waiting the longest) enters service.
Arrival Times: 12 31 63 95 99 154 198 221 304 346 411 455 537
Service Times: 40 32 55 48 18 50 47 18 28 54 40 72 12
(a) Determine the departure times of these 13 customers.
(b) Repeat (a) when there are two servers and a customer can be served by either one.
(c) Repeat (a) under the new assumption that when the server completes a service, the next
customer to enter service is the one that has been waiting the least time.
2. Customers arrive at the post office at a rate of approximately three per minute. What is the
probability that the next customer does not arrive during the next 3 minutes? Explain your
assumptions.
3. Mr. Obama is waiting to make a phone call at the office. There are two phone lines available and
both are being used by the VP and the secretary of state. If the duration of each telephone call
is an exponential random variable with λ = 1/8, what is the probability that among the three
people, Mr. Obama, the VP and the secretary, that Mr. Obama will not be the last to finish his
call?
4. Suppose that 3% of families in a large city have an annual income of over 80, 000. What is the
probability that of 60 random families, at most three have an annual income of over 80, 000?
5. Cabs carrying passengers to an airport terminal arrive according to a Poisson process with 25
arrivals per hour on average. Assume for simplicity that each cab brings exactly one passenger
who is either a man or a woman with probabilities p = .55 and q = 1 − p = .45 respectively.
What is the distribution of N
W
(t) = the number of women arriving during the time interval [0, t]?
What assumptions must one make to answer this question?
6. Consider the Bernoulli process with a fair coin. A run is a sequence of trials in a row all coming up
heads or all coming up tails. Let M
n
be the random variable that counts the maximum length of
any run of heads in n trials. For example, M
16
(HTTHHTTHHHTTTTTH) = 3 corresponding
to the run of three heads starting in position 8. What is the expected value and variance of M
n
for 1 ≤ n ≤ 64? An exact formula would be best but a good approximation from a simulation
will suffice.
7. Read ”America West Airlines Develops Efficient Boarding Strategies” by van den Briel, Villalobos,
Hogg, Lindemann and Mule. Interfaces, vol. 35, No. 3, May-June 2005, pp. 191-201.
(a) In terms of our 4-stage modeling process, which sections of this paper correspond with each
stage and each edge of the modeling cycle?
(b) Describe strategies BF5 and OI5 in words. What does BF and OI stand for?
(c) How was OI5 found? How was BF5 found?
(d) Given a single half row of an airplane with 3 seats per side, what is the expected number of
times someone gets up to let another passenger into their seat? For example, if the people
in seats B and C are already seated when the passenger in seat A arrives, then 2 people get
up. Discussed on page 193 and again on page 199.
4.8 Exercises 53
(e) Discuss the entries in Table 1 and Table 2. What does the number 69 in the row labeled
“Economy class[xxx]” represent in words? What should we compare 69 to in Table 2?
(f) Discuss Tables 3 and 4. What conclusions can you make from this data?
(g) What is the strategy that the authors recommend and what evidence did they give that it
is best? Quote from the paper.
(h) Is the recommended strategy optimal? If not, what do you think would be better?
54 Monte Carlo Methods
Math 381 Notes — University of Washington —Winter 2011
Chapter 5
Markov Chains and Related Models
5.1 A Markov chain model of a queuing problem
To introduce the theory of Markov chains, let’s consider a simple queuing theory model in which there
is a single server and there are only three “states” which the queue can be in at any given time:
State 1: No customers are present
State 2: A customer is being served
State 3: A customer is being served and another is waiting.
Assume that the queue is never longer: if a customer arrives when the queue is in State 3 then that
customer disappears.
Suppose that arrivals and service are Poisson processes, and over a given short time interval there
is a probability p of a new customer arriving and a probability q that any customer currently being
served will finish. If the time interval is very short then these are very small and we can assume there
is negligible chance of more than one customer arriving or finishing, and also negligible chance of both
one customer finishing and another arriving in the same period.
We could perform a Monte Carlo simulation of this queue by keeping track of what state it is in,
and each time period either staying in this state or moving to a different state depending on the value
of some random number:
random_num = rand(1);
if random_num < p
# a new customer arrives:
if state<3
state = state + 1;
end
end
if random_num > 1-q
# a customer finishes:
if state>1
state = state - 1;
end
end
Note that we’ve done the tests in such a way that if p and q are both very small then we can’t have
both happen.
Figure 5.1 shows the transition diagram between the three states. For example, if we are in State 2,
then with probability p we move to State 3 (if a customer arrives), with probability q we move to State
1 (if a customer finishes), and with probability 1 −p −q we stay in State 2 (if neither happens).
55
56 Markov Chains and Related Models
p
q
p
q
0
0
1-q
1-p-q
1-p
state 1
state 3
state 2
Figure 5.1: Transition diagram for a simple queuing theory model with three states.
If we do a single simulation then we will move around between the three states. We might be
interested in determining what percentage of the time we are in each of the three states over the long
term. We could determine this for many different simulations and collect some statistics. If we do this
with p = 0.05 and q = 0.08, for example, we will observe that about 50% of the time we are in state 1,
about 31% in State 2, and about 19% in State 3.
Another way to get these number is to run lots of simulations simultaneously and keep track of what
percentage of the simulations are in each state at each time period. After a while we might expect to
see the same percentages as reported above (why??).
Here’s what we observe if we do 10,000 simulations, all starting in State 1, and print out how many
of the simulations are in each of the three states at each time:
time period State 1 State 2 State 3
0 10000 0 0
1 9519 481 0
2 9073 891 36
3 8685 1240 75
4 8379 1491 130
5 8096 1702 202
6 7812 1914 274
etc...
95 4949 3134 1917
96 4913 3166 1921
97 4920 3161 1919
98 4958 3148 1894
99 4982 3072 1946
100 4995 3038 1967
etc...
Initially all simulations were in State 1. After one time period a customer had arrived in 481 of the
simulations, or 4.81% of the simulations, about what we’d expect since p = 0.05. Since it’s impossible
for 2 customers to arrive in a single period, there are still no simulations in State 3 after one period.
5.1 A Markov chain model of a queuing problem 57
After 2 periods, however, it is possible to be in State 3, and in fact 36 of the simulations reached this
state. How does this agree with the number you should expect?
Notice that after many time periods, for n around 100, we appear to have reached a sort of “steady
state”, with roughly 50% of the simulations in State 1, 31% in State 2, and 19% in State 3. Of course
each individual simulation keeps moving around between states, but the number in each stays roughly
constant. Note that these are the same percentages quoted above.
What we now want to explore is whether we can determine these values without having to do
thousands of simulations. In fact we can by using the theory of Markov chains. Let v
(n)
k
be the fraction
of simulations which are in State k after n steps (for k = 1, 2, 3), and let v
(n)
be the vector with these
three components. If all simulations start in State 1 then we have
v
(0)
=
_
_
1
0
0
_
_
. (5.1)
What fractions do we expect for v
(1)
? Since each simulation moves to State 2 with probability
p = 0.05, or stays in State 1 with probability 1 −p = 0.95, we expect
v
(1)
=
_
_
0.95
0.05
0
_
_
.
Now consider the general case. Suppose we know v
(n)
and we want to determine v
(n+1)
. From the
transition diagram of Figure 5.1 we expect
v
(n+1)
1
= (1 −p)v
(n)
1
+qv
(n)
2
+ 0 · v
(n)
3
v
(n+1)
2
= pv
(n)
1
+ (1 −p −q)v
(n)
2
+qv
(n)
3
v
(n+1)
3
= 0 · v
(n)
1
+pv
(n)
2
+ (1 −q)v
(n)
3
.
(5.2)
We can write this in matrix-vector notation as
v
(n+1)
= Av
(n)
, (5.3)
where the transition matrix A is
A =
_
_
1 −p q 0
p 1 −p −q q
0 p 1 −q
_
_
=
_
_
0.95 .08 0
0.05 0.87 0.08
0 0.05 0.92
_
_
. (5.4)
The right-most matrix above is for the specific values p = 0.05 and q = 0.08. From the relation (5.3)
we can compute
v
(1)
=
_
_
.95
.05
0
_
_
, v
(2)
=
_
_
.9065
.0910
.0025
_
_
, v
(3)
=
_
_
.8685
.1247
.0069
_
_
, etc. (5.5)
Note that these values agree reasonably well with what is seen in the simulation after 1, 2, and 3 steps.
To predict the percentages seen later, we need only multiply repeatedly by the matrix A. Alternatively,
note that v
(2)
= A
2
v
(0)
and in general v
(n)
= A
n
v
(0)
. We can compute
v
(99)
= A
99
v
(0)
=
_
_
0.496525
0.309994
0.193481
_
_
, v
(100)
= A
100
v
(0)
=
_
_
0.496498
0.309999
0.193502
_
_
.
Note that again the values in the simulation are close to these values. Also notice that these two values
are very close to each other. Just as we conjectured from the simulation, we have reached a steady
58 Markov Chains and Related Models
state in which the percentages do not change very much from one time period to the next. If we kept
applying A we would find little change in future steps, even after thousands of steps, e.g.,
v
(1000)
= A
1000
v
(0)
=
_
_
0.4961240310077407
0.3100775193798381
0.1937984496123990
_
_
, v
(10000)
= A
10000
v
(0)
=
_
_
0.4961240310076444
0.3100775193797780
0.1937984496123613
_
_
.
As n increases, the vectors v
(n)
are converging to a special vector ˆ v which has the property that
Aˆ v = ˆ v, (5.6)
so that a step leaves the percentages unchanged. Note that the relation (5.6) means that this vector is
an eigenvector of the matrix A, with eigenvalue λ = 1.
5.2 Review of eigenvalues and eigenvectors
Let A be a square m×m matrix with real elements. Recall from linear algebra that a scalar value λ is
an eigenvalue of the matrix A if there is a nonzero vector r (the corresponding eigenvector) for which
Ar = λr. (5.7)
If r is an eigenvector, then so is αr for any scalar value α. The set of all eigenvectors corresponding to
a given eigenvalue forms a linear subspace of lR
m
.
In general A has m eigenvalues λ
1
, . . . , λ
m
, which can be determined by finding the roots of a
polynomial of degree m in λ. This arises from the fact that if (5.7) holds, then
(A −λI)r = 0
where I is the m×m identity matrix. Since r is a nonzero null-vector of this matrix, it must be singular.
Hence its determinant is zero,
det(A −λI) = 0.
Computing the determinant gives the polynomial.
If the eigenvalues are distinct then the eigenvectors r
i
(corresponding to the different λ
i
) will be
linearly independent and so we can form a matrix R with these vectors as columns which will be a
nonsingular matrix. Then Ar
i
= λ
i
r
i
leads to
AR = RΛ (5.8)
where Λ is the diagonal matrix with the values λ
i
on the diagonal. (Note that the order is important!
In general AR = RA and RΛ = ΛR since matrix multiplication is not commutative.)
Since R is nonsingular, it has an inverse R
−1
and we can rewrite (5.8) as
A = RΛR
−1
. (5.9)
(We might be able to do all this even if the eigenvalues are not distinct, but this case is a bit more
subtle.)
One use of the decomposition (5.9) is to compute powers of the matrix A. Note that
A
2
= (RΛR
−1
)(RΛR
−1
)
= RΛ(R
−1
R)ΛR
−1
= RΛΛR
−1
= R(Λ
2
)R
−1
(5.10)
5.3 Convergence to steady state 59
and similarly,
A
n
= RΛ
n
R
−1
(5.11)
for any n. This is easy to work with because Λ
n
is just the diagonal matrix with the values λ
n
i
on the
diagonal.
In matlab it is easy to compute eigenvalues and eigenvectors. For example, for the matrix A of
(5.4), we can find the eigenvalues by doing:
>> p = .05; q = .08;
>> A = [ 1-p q 0; ...
p 1-p-q q; ...
0 p 1-q];
>> eig(A)
ans =
1.0000
0.8068
0.9332
If we also want to find the eigenvectors, we can do
>> [R,Lambda] = eig(A)
R =
-0.8050 0.4550 0.7741
-0.5031 -0.8146 -0.1621
-0.3144 0.3597 -0.6120
Lambda =
1.0000 0 0
0 0.8068 0
0 0 0.9332
This returns the matrices R and Λ.
5.3 Convergence to steady state
Note that one of the eigenvalues of A computed above is equal to 1 and the others are both smaller
than 1 in magnitude. As we will see, this means the Markov process converges to a steady state. Recall
that

n
| →0 as n →∞ if |λ| < 1,

n
| = 1 for all n if |λ| = 1,

n
| →∞ as n →∞ if |λ| > 1,
(5.12)
So as n →∞, the matrix A
n
approaches
60 Markov Chains and Related Models
>> R * [1 0 0; 0 0 0; 0 0 0] * inv(R)
ans =
0.4961 0.4961 0.4961
0.3101 0.3101 0.3101
0.1938 0.1938 0.1938
as we can easily confirm, e.g.,
>> A^100
ans =
0.4965 0.4960 0.4954
0.3100 0.3101 0.3102
0.1935 0.1939 0.1944
Now recall that when we multiply a matrix A by a vector v, we are forming a new vector which is
a linear combination of the columns of the matrix. The elements of v give the weights applied to each
column. If a
j
is the j’th column of A and v
j
is the j’th element of v, then the vector Av is
Av = a
1
v
1
+a
2
v
2
+a
3
v
3
.
In particular, if v
(0)
= [1 0 0]

, then Av
(0)
is just the first column of A. Similarly, A
100
v
(0)
is the first
column of the matrix A
100
.
Note that for the example we have been considering, all three columns of A
100
are nearly the same,
and for larger n the three columns of A
n
would be even more similar. This has an important consequence:
Suppose we started with different “initial conditions” v
(0)
instead of v
(0)
= [1 0 0]

, which corresponded
to all simulations being in State 1 to start. For example we might start with v
(0)
= [0.5 0.3 0.2]

if half
the simulations start in State 1, 30% in State 2, and 20% in State 3. Then what would distribution of
states would we see in the long run?
After n steps the expected distribution is given by A
n
v
(0)
. After 100 steps,
>> v100 = A^100 * [.5 .3 .2]’
v100 =
0.4961
0.3101
0.1938
The same steady state as before. Since all three columns of A
100
are essentially the same, and the
elements of v
(0)
add up to 1, we expect A
100
v
(0)
to be essentially the same for any choice of v
(0)
.
Even though the steady state behavior is the same no matter how we start, the transient behavior
over the first few days will be quite different depending on how we start. For example, starting with
v
(0)
= [0.5 0.3 0.2]

instead of (5.1) gives
v
(1)
=
_
_
.499
.302
.199
_
_
, v
(2)
=
_
_
.4982
.3036
.1982
_
_
, v
(3)
=
_
_
.4976
.3049
.1975
_
_
, etc. (5.13)
5.4 Other examples of Markov Chains 61
instead of (5.5).
Another way to look at the behavior of v as we multiply repeatedly by A is to decompose the initial
vector v
(0)
as a linear combination of the eigenvectors of A:
v
(0)
= c
1
r
1
+c
2
r
2
+c
3
r
3
. (5.14)
Since the vectors r
1
, r
2
and r
3
are linearly independent, this can always be done for any v
(0)
and the
solution c = [c
1
c
2
c
3
]

is unique. In fact the vector c is the solution of the linear system
Rc = v
(0)
,
since this is exactly what (5.14) states, writing the matrix-vector multiply as a linear combination of
the columns.
Now consider what happens if we multiply v
(0)
from (5.14) by the matrix A:
v
(1)
= Av
(0)
= c
1
Ar
1
+c
2
Ar
2
+c
3
Ar
3
= c
1
λ
1
r
1
+c
2
λ
2
r
2
+c
3
λ
3
r
3
.
(5.15)
Multiplying by A again gives
v
(2)
= Av
(1)
= c
1
λ
1
Ar
1
+c
2
λ
2
Ar
2
+c
3
λ
3
Ar
3
= c
1

1
)
2
r
1
+c
2

2
)
2
r
2
+c
3

3
)
2
r
3
.
(5.16)
In general we have
v
(n)
= A
n
v
(0)
= c
1

1
)
n
r
1
+c
2

2
)
n
r
2
+c
3

3
)
n
r
3
. (5.17)
Again recall from (5.12), that as n gets large, (λ
j
)
n
→ 0 for any eigenvalue that is smaller than one in
magnitude. For this particular problem λ
1
= 1 while the others are smaller, and so
v
(n)
→c
1
r
1
for large n. This means the steady state is a multiple of r
1
, which is again an eigenvector of A, as we
already knew.
Note that the smaller |λ| is, the faster λ
n
goes to zero. So from (5.17) we can see how quickly we
expect to approximately reach a steady state. This depends also on how large the values c
j
are, which
depends on the particular initial data chosen. If v
(0)
happens to be a steady state already, a multiple
of r
1
, then c
2
= c
3
= 0.
5.4 Other examples of Markov Chains
5.4.1 Breakdown of machines
A certain office machine has three states: Working, Temporarily Broken, and Permanently Broken. Each
day it is in one of these states. The transition diagram between the states is shown in Figure 5.2. If the
machine is working on Day 1, what is the probability that it is still functional (i.e., not permanently
broken) a year from now? (In this example we will consider at a single machine and talk about the
probability that this machine is in each state. Alternatively we could consider a pool of many machines
and consider what fraction of the machines are in each state on a given day.)
We can answer this question by computing the 365’th power of the transition matrix:
>> A = [.90 .6 0; ...
.095 .4 0; ...
.005 0 1];
62 Markov Chains and Related Models
0.9
0.4
0
0.6
0.005 0
0
1
0.095
state 1
state 3
state 2
Figure 5.2: Transition diagram for the modeling machine breakdown. The three states are: State 1:
Working, State 2: Temporarily Broken, and State 3: Permanently Broken.
>> A^365
ans =
0.1779 0.1792 0
0.0284 0.0286 0
0.7937 0.7922 1.0000
The first column of this matrix gives the probability of being in each state on Day 366 (with our
assumption that it is working on Day 1, so v
(0)
= [1 0 0]). We see that the probability that the machine
is permanently broken in 0.7937 and so there is about a 21% chance that the machine is still functional.
Note that the probabilities would be about the same if we’d started in the Temporarily Broken state
on Day 1 (by looking at the second column of this matrix). Why does this make sense? Why is the
third column so different?
How about after 5 years, or 1825 days? We find
>> A^1825
ans =
0.0003 0.0003 0
0.0001 0.0001 0
0.9996 0.9996 1.0000
so by this time the machine is almost surely dead whatever state we started in.
For this Markov chain the steady state solution is the vector [0 0 1]

, as we can see by computing
the eigenvalues and eigenvectors:
>> [R, Lambda] = eig(A)
5.4 Other examples of Markov Chains 63
R =
0 0.7096 -0.6496
0 -0.7045 -0.1036
1.0000 -0.0051 0.7532
Lambda =
1.0000 0 0
0 0.3043 0
0 0 0.9957
State 3 (Permanently Broken) is called an absorbing state. No matter what state we start in, we
will eventually end up in State 3 with probability 1, and once in State 3 we can never leave.
5.4.2 Work schedules
Suppose the XYZ Factory is operating every day and has a work schedule where each employee works
every other day. Say that an employee is in State 1 on work days and in State 2 on off days. Then the
transition diagram is simply
0
1
1
0
state 1 state 2
since with probability 1 the employee switches states each day. In this case the transition matrix is
A =
_
0 1
1 0
_
.
If 70% of the employees are working the first day then we have
v
(0)
=
_
0.7
0.3
_
, v
(1)
=
_
0.3
0.7
_
, v
(2)
=
_
0.7
0.3
_
, v
(3)
=
_
0.3
0.7
_
,
and so on. In this case we do not reach a single steady state, but we do have a very regular pattern of
cycling back and forth between two states. This can again be understood by looking at the eigenvalues
and eigenvectors of the matrix:
>> A = [0 1; ...
1 0];
64 Markov Chains and Related Models
>> [R, Lambda] = eig(A)
R =
0.7071 0.7071
-0.7071 0.7071
Lambda =
-1 0
0 1
Both eigenvalues have magnitude 1. If we decompose v
(0)
in terms of the eigenvectors,
v
(0)
= c
1
r
1
+c
2
r
2
then we have
v
(n)
= c
1
(−1)
n
r
1
+c
2
r
2
.
The first terms flips sign every day and accounts for the oscillation.
In the special case where v
(0)
is a multiple of r
2
, we would expect c
1
= 0 and in this case the solution
should be truly steady. Since the elements of v must sum to 1, the only multiple of r
2
we can consider
is
v
(0)
=
_
0.5
0.5
_
.
This makes sense: if the factory starts with 50% of employees working on the first day then 50% will
be working every day.
5.4.3 The fish tank inventory problem
The Monte Carlo simulation shown in Figure 4.1 gave results indicating that with this particular ordering
strategy and set of parameters, we could serve about 60% of the customers who come looking for a 150
gallon fish tank. We can derive this using a Markov chain. For the situation modeled in this program
the store can be assumed to always be in one of six states each day:
1. A customer arrives and there’s a tank in stock,
2. A customer arrives, there’s none in stock but one due to arrive the next day,
3. A customer arrives, there’s none in stock but one due to arrive in two days.
4. No customer arrives, but there’s a tank in stock,
5. No customer arrives, there’s none in stock but one due to arrive the next day,
6. No customer arrives, there’s none in stock but one due to arrive in two days.
Working out the probabilities of moving from each state to each of the others, we find the transition
matrix
A =
_
¸
¸
¸
¸
¸
¸
_
0 p 0 p p 0
0 0 p 0 0 p
p 0 0 0 0 0
0 1 −p 0 1 −p 1 −p 0
0 0 1 −p 0 0 1 − p
1 −p 0 0 0 0 0
_
¸
¸
¸
¸
¸
¸
_
(5.18)
5.4 Other examples of Markov Chains 65
where p = 1/3 is the probability of a customer arriving on any given day. This matrix has three non-zero
eigenvalues including λ = 1. The eigenvector corresponding to λ = 1, when normalized so the elements
sum to 1, is found to be
ˆ v =
1
15
_
¸
¸
¸
¸
¸
¸
_
3
1
1
6
2
2
_
¸
¸
¸
¸
¸
¸
_
=
_
¸
¸
¸
¸
¸
¸
_
0.2000
0.0667
0.0667
0.4000
0.1333
0.1333
_
¸
¸
¸
¸
¸
¸
_
The components of this vector are the expected fraction of days that the store is in each of the six
possible states, in the long term steady state. From this we can see that the fraction of time a customer
arrives and is served can be computed from the components of ˆ v as
fraction served = ˆ v
1
/(ˆ v
1
+ ˆ v
2
+ ˆ v
3
) =
3
3 + 1 + 1
= 0.6.
Exactly 60%, as observed in the Monte Carlo simulation.
5.4.4 Card shuffling
Another sort of application of Markov chains is to model a riffle shuffle of a deck of cards. This
application received a great deal of attention some years back when it was used to determine how many
shuffles are necessary to randomize a deck of cards [Kol90]. The answer turns out to be 7.
The model was developed by Gilbert[Gil55], Shannon and by Reeds [Ree81], and it was used by
Bayer and Diaconis [BD92] to answer the question about randomizing an initially sorted deck of cards.
The riffle shuffle is modeled as follows: A deck of n cards is divided into two heaps, with the probability
of a heap containing k cards being given by a binomial distribution,
_
n
k
_
/2
n
. The heaps are then
riffled together into a single pile, with the probability of dropping the next card from a particular heap
being proportional to the number of cards in that heap.
This is generally considered to be a reasonable model of the way humans perform a riffle shuffle,
although this has been debated. With this model, the process of card shuffling is represented as a
Markov chain. Given the current ordering of the cards, one can write down the probability of achieving
any other ordering after the next shuffle. Unfortunately, with a deck of 52 cards there are 52! possible
orderings, and this would seem to render the problem intractable from a computational point of view.
The great contribution of Bayer and Diaconis was to notice that the number of “states” of this
system could be drastically reduced. Given only the number of rising sequences in the current ordering,
one could determine the probability of any given number of rising sequences after the next shuffle.
A rising sequence is defined as a maximal sequence of consecutively numbered cards found (perhaps
interspersed with other cards) during one pass through the deck. For example, the ordering 146253
has three rising sequences: 123, 45, and 6. With this observation the number of states of the system
is reduced from n! to n, and for a deck of n = 52 cards it now becomes an easy problem to solve
numerically.
An excellent description of the problem and solution from more of a linear algebra point of view
can be found in J´onsson and Trefethen [JT98], where they also supply a MATLAB code that forms the
probability transition matrix P and a related matrix A = P −P

whose kth power gives the difference
between the state of the system after k shuffles and that after infinitely many shuffles. A version of
their code is available on the class web page. The entries of the probability transition matrix are
P
ji
= 2
−n
_
n + 1
2i −j
_
α
j
α
i
,
66 Markov Chains and Related Models
5 10 15 20 25 30 35 40 45 50
0
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
0.18
0.2
Number of rising sequences
p
r
o
b
a
b
i
l
i
t
y
Steady−State Distribution of Rising Sequences
Figure 5.3: Steady-state distribution of number of rising sequences
where α
j
denotes the number of permutations of {1, . . . , n} that have exactly j rising sequences. The
α
j
’s are known as Eulerian numbers, and they satisfy the recurrence:
A
r,k
= kA
r−1,k
+ (r −k + 1)A
r−1,k−1
,
where A
11
= 1, A
1k
= 0 for k = 1, and α
j
= A
nj
. See [Slo00] for more details on this sequence.
The eigenvalues of the probability transition matrix are known to be 2
−j
, j = 0, 1, . . . , n − 1, and
the eigenvector corresponding to eigenvalue 1 is known as well:
v = (α
1
, . . . , α
n
)
T
/n!
The entries of this vector are the probabilities of each possible number of rising sequences after the deck
has been shuffled infinitely many times. The vector v is plotted in Figure 5.3. It can be determined
from the entries of v that, for example, with probability .9999 a well-shuffled deck has between 19 and
34 rising sequences.
This begins to give us a clue as to why the system behaves as it does. If the deck is initially sorted in
increasing order — so that there is one rising sequence and the initial state vector is s
0
= (1, 0, . . . , 0)
T
— then after one shuffle there will be at most two rising sequences. Do you see why? When you take a
deck with two rising sequences, cut it in two and riffle the two portions together, the resulting ordering
can have at most four rising sequences, etc. After j shuffles there are at most 2
j
rising sequences, so
that for j ≤ 4 it is easy to determine that the ordering is not random. Try the experiment. Shuffle a
deck of cards four times and count the number of rising sequences. It will be no more than 16. Then
shuffle several more times (at least three more times) and with very high probability you will count at
least 19 rising sequences.
Figure 5.4 shows a plot of the difference between the state vector after k shuffles and that after
infinitely many shuffles:
1
2

n
i=1
|v
i
− (P
k
s
0
)
i
|. This is called the total variation norm and is the
measure used by Bayer and Diaconis. The deck is deemed to be sufficiently well shuffled when this
difference drops below .5. Notice that this happens after k = 7 shuffles.
5.5 General properties of transition matrices
Transition matrices are special types of matrices which have some general properties which we summa-
rize here:
• Every element in a transition matrix must lie between 0 and 1 since it is a probability.
5.5 General properties of transition matrices 67
0 1 2 3 4 5 6 7 8 9 10
0
0.2
0.4
0.6
0.8
1
1.2
1.4
Number of shuffles
D
i
s
t
a
n
c
e

f
r
o
m

r
a
n
d
o
m

(
i
n

t
o
t
a
l

v
a
r
i
a
t
i
o
n

n
o
r
m
)
Figure 5.4: Convergence toward the steady-state in total variation norm
• Each column of a transition matrix sums to 1. This is because the elements in the j’th column
represent the probabilities of moving from State j to each of the other states. Since we must move
somewhere, all of these probabilities must add up to 1.
• On the other hand the rows do not need to sum to 1. (Note: In many books transition matrices
are defined differently, with a
ij
being the probability of moving from State i to State j instead of
being the probability of moving from State j to State i as we have used. In this case the transition
matrix is the transpose of ours, and the rows sum to 1 instead of the columns.)
• If w is the row vector with all components equal to 1, then wA = w. This is just a restatement
of the fact that all columns must sum to 1. But this also shows that w is a left eigenvector of A
with eigenvalue λ = 1. This proves that λ = 1 is always an eigenvalue of any transition matrix.
(Recall that in general the left eigenvectors of A, row vectors ℓ for which ℓA = λℓ, are different
from the right eigenvectors, but the eigenvalues are the same. In fact the left eigenvectors ℓ are
the rows of the matrix R
−1
, the inverse of the matrix of right eigenvectors.)
• It can also be shown that all eigenvalues of a transition matrix satisfy |λ| ≤ 1, so some components
of an eigen-expansion such as (5.14) decay while others have constant magnitude, but none can
grow exponentially.
• If λ
j
= 1 then the eigenvector r
j
can be used to find a potential steady state of the system.
Since the elements of v must sum to 1, we must normalize r
j
to have this sum. Recall that
any scalar multiple c
j
r
j
is also an eigenvector, so we choose c
j
= 1/

i
r
ij
where r
ij
are the
elements of the vector r
j
. For example, if we use Matlab and obtain an eigenvector such as
r
1
= [−0.8050 −0.5031 −0.3144]

, we can compute the normalized eigenvector as
ˆ v =
r
1
−0.8050 −0.5031 −0.3144
=
_
_
0.4961
0.3101
0.1938
_
_
This is the expected steady state.
• Note that normalizing an eigenvector gives a reasonable result only if all the elements of the
eigenvector have the same sign. What can you hypothesize about eigenvectors of A corresponding
to eigenvalues λ
j
with |λ
j
| < 1?
68 Markov Chains and Related Models
5.6 Ecological models and Leslie Matrices
Similar matrix techniques can be used in other situations that are not exactly “Markov chains”. As an
example, suppose we want to study the population of a certain species of bird. These birds are born
in the spring and live at most 3 years, and we will keep track of the population just before breeding.
There will be 3 types of birds: Age 0 (born the previous spring), Age 1, and Age 2. Let v
(n)
0
, v
(n)
1
and
v
(n)
2
represent the number of females in each age class just before breeding in Year n. To model how
the population changes we need to know:
• Survival rates. Suppose 20% of Age 0 birds survive to the next spring, and 50% of Age 1 birds
survive to become Age 2.
• Fecundity rates. Suppose females that are 1 year old produce a clutch of a certain size, of which
3 females are expected to survive to the next breeding season. Females that are 2 years old lay
more eggs and suppose 6 females are expected to survive to the next spring.
Then we have the following model:
v
(n+1)
0
= 3v
(n)
1
+ 6v
(n)
2
v
(n+1)
1
= 0.2v
(n)
0
v
(n+1)
2
= 0.5v
(n)
1
(5.19)
In matrix-vector form:
v
(n+1)
=
_
_
0 3 6
0.2 0 0
0 0.5 0
_
_
_
¸
_
v
(n)
0
v
(n)
1
v
(n)
2
_
¸
_. (5.20)
Note that in this case the columns of the matrix do not sum to 1, and some of the entries do not
represent probabilities.
However, we can predict the future population by iterating with this matrix just as we did using
transition matrices for a Markov chain, and the eigenvalues and eigenvectors will give useful information
about what we expect to see in the long run. This form of matrix, based on survival rates and fecundities,
is called a Leslie matrix. (See [Jef78, SK87] for more discussion.)
Suppose we start with a population of 3000 females, 1000 of each age. Then we find
v
(0)
=
_
_
1000
1000
1000
_
_
, v
(1)
=
_
_
9000
200
500
_
_
, v
(2)
=
_
_
3600
1800
100
_
_
, v
(3)
=
_
_
6000
720
900
_
_
,
and so on. If we plot the population in each age group as a function of Year, we see what is shown in
Figure 5.5(a). Clearly the population is growing exponentially. Figure 5.5(b) shows the fraction of the
population which is in each age class as a function of year. This settles down to a steady state.
After 20 years the population is v
(20)
= [20833 3873 1797]

while the percentage in each age class is
[0.7861 0.1461 0.0678]

. We can compute that between the last two years the total population grew by
a factor of 1.0760.
Since v
(20)
= A
20
v
(0)
, we can predict all this from the eigenvalues and eigenvectors of A. We find
A =
0 3.0000 6.0000
0.2000 0 0
0 0.5000 0
5.6 Ecological models and Leslie Matrices 69
0 5 10 15 20 25
0
0.5
1
1.5
2
2.5
x 10
4
population of each age group
Age 0
Age 1
Age 2
0 5 10 15 20 25
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
fraction of population in each age group
Figure 5.5: Bird population with a
32
= 0.5 and initial data v
(0)
= [1000 1000 1000]

.
>> [R,Lambda] = eig(A)
R =
0.9796 -0.6990 - 0.6459i -0.6990 + 0.6459i
0.1821 0.0149 + 0.2545i 0.0149 - 0.2545i
0.0846 0.1110 - 0.1297i 0.1110 + 0.1297i
Lambda =
1.0759 0 0
0 -0.5380 + 0.5179i 0
0 0 -0.5380 - 0.5179i
>> R(:,1)/sum(R(:,1))
ans =
0.7860
0.1461
0.0679
We see that λ
1
= 1.0759 is greater than 1 and accurately predicts the growth rate of the total
population. The other two eigenvalues are complex and have magnitude 0.7468, so the corresponding
components in the initial vector v
(0)
die out. This transient behavior which results from the fact that
the initial population distribution (equal number of each age) is not the steady state distribution. The
first eigenvector r
1
, normalized to have sum 1, gives the fraction expected in each age class in the steady
state. If we had started with a population that was distributed this way, then we would see smooth
behavior from the beginning with no transient. (See the example in the next section.)
70 Markov Chains and Related Models
5.6.1 Harvesting strategies
We can use this model to investigate questions such as the following. Suppose we want to harvest a
certain fraction of this population, either to control the exponential growth or as a food source (or
both). How much should we harvest to control the growth without causing extinction?
Harvesting will decrease the survival rates. We might like to decrease the rates to a point where the
dominant eigenvalue is very close to 1 in value. If we decrease the rate too much, then all eigenvalues
will be less than 1 and the population size will decrease exponentially to extinction.
For example, suppose we harvest an additional 20% of the 1-year olds, so the survival rate a
32
falls
from 0.5 to 0.3. Then we find that the largest eigenvalue of A is 0.9830, giving the graphs shown in
Figure 5.6.
0 5 10 15 20 25
0
1000
2000
3000
4000
5000
6000
7000
8000
9000
population of each age group
Age 0
Age 1
Age 2
0 5 10 15 20 25
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
fraction of population in each age group
Figure 5.6: Bird population with a
32
= 0.3 and initial data v
(0)
= [1000 1000 1000]

.
Of course it might be more reasonable to assume the population starts out with a steady-state
distribution of ages. For the new matrix the relevant scaled eigenvector is r
1
= [.7902 0.1608 0.0491]

and for a population of 3000 birds this suggests we should take v
(0)
= 3000r
1
= [2371 482 147]

. Then
we obtain the boring graphs shown in Figure 5.7.
Note that we now have exponential decay of the population and eventual extinction. However, over
the 20-year span shown here the total population is predicted to decrease from 3000 to 3000(0.983)
20
=
2129 and probably our model is not even accurate out this far. (Assuming it’s accurate at all!) To
judge this, one would have to investigate what assumptions the model is based on and how far in the
future these assumptions will be valid.
0 5 10 15 20 25
0
500
1000
1500
2000
2500
population of each age group
0 5 10 15 20 25
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
fraction of population in each age group
Figure 5.7: Bird population with a
32
= 0.3 and initial data having the expected steady-state distribution
of ages.
5.7 Exercises 71
5.7 Exercises
1. (Adapted from Ecological Simulation Primer by Swartzman and Kaluzny)
The fire danger during the summer in Mount Baker National Forest is classified into one of three
danger levels. These are 1 =low, 2 =moderate, 3 =high. The probability of daily transitions
between these states is given by the following flow diagram:
state 1
state 2
state 3
.4
.3
.5
.2
.5
.1
0
.5
.5
(a) Write the model in matrix form to project the fire danger probability from one day to the
next.
(b) If we are in State 1 today, what is the probability that we will be in State 2 the day after
tomorrow?
(c) If the matrix you found is correct, then it has eigenvalues and eigenvectors given by
Lambda =
1.0000 0 0
0 0.0697 0
0 0 0.4303
R =
-0.4699 -0.5551 -0.7801
-0.7832 0.7961 0.1813
-0.4072 -0.2410 0.5988
Based on these, what is the equilibrium probability of being in each state?
2. (Adapted from Finite Mathematics by R. F. Brown and B. W. Brown)
In an automobile-leasing company’s study of its customers who lease a new car every year, it is
found that 30% of those who leased sedans the preceding year changed to minivans, whereas 40%
of those who had leased minivans changed to sedans. The rest of the customers repeated the type
of vehicle they had before.
(a) Sketch the transition diagram.
(b) If 20% of the cars leased to customers last year were minivans, what percentage of customers
will lease minivans this year?
(c) Write the Markov chain in matrix form and determine the 2 ×2 transition matrix A.
72 Markov Chains and Related Models
(d) Determine the eigenvalues and eigenvectors of A by hand, based on the determinant of A−λI.
(Hint: you know what one of the eigenvalues should be.)
(e) What is the equilibrium distribution of sedan and minivan leases?
3. A certain 2-year college considers students to be either “freshmen” or “sophmores” each year
depending on how many credits they have at the start of the year. The administration has
determined that 60% of the freshmen each year go on to be sophmores the next year, while 15%
remain freshmen and 25% do not return. Each year 80% of sophmores graduate, while 15% remain
sophmores and 5% drop out. This might be modeled as a 4-state Markov chain.
(a) Peter is a freshman. What is the probability that he will ever graduate?
(b) Mary is a sophmore. What is the probability that she will ever graduate?
(c) Do you think a 4-state Markov chain model really makes sense in this case? Recall that we
must assume the transition probabilities depend only on the state a student is currently in,
not their past history. Comment on whether this is realistic. How might you improve the
model by adding more states?
4. Continuing the previous problem, suppose the admissions office is setting a new policy for the
number of students to admit. They keep track of how many students graduate in Year n, call this
G
n
, and plan to admit βG
n
new freshmen in Year n+1, where β is some parameter. They might
like to take β = 1 and admit as many new students as graduate, but since not all students ever
graduate, this would lead to a decline in enrollment. Instead they plan to use this strategy with
β = 2, admitting twice as many new students as there are graduates.
(a) With this strategy, do you expect the enrollment to rise or decline in the long run?
(b) Can you find a better value of β to use if the goal is to have a steady enrollment? (It’s ok to
use trial and error combined with matlab to find the “right” value.)
(c) With this strategy, about what percentage of students will be freshmen each year?
Note: the matrix you want to look at in this case is similar to a Leslie matrix rather than a
Markov chain transition matrix.
Math 381 Notes — University of Washington —Winter 2011
Chapter 6
Linear Programming
6.1 Introduction
Section 6.1 of the notes is adapted from an introduction to linear programming written by Professor J.
Burke for Math 407. Some of the discussion in the original notes which introduces duality theory and
sensitivity analysis has been eliminated. Burke’s original notes can be found on the webpage
http://www.math.washington.edu/~burke/crs/407/HTML/notes.html
Other introductions to linear programming can be found in many references, including [HL95] and
[Chv83].
6.1.1 What is optimization?
A mathematical optimization problem is one in which some function is either maximized or minimized
relative to a given set of alternatives. The function to be minimized or maximized is called the objective
function and the set of alternatives is called the feasible region (or constraint region). In this course,
the feasible region is always taken to be a subset of lR
n
(real n-dimensional space) and the objective
function is a function from lR
n
to lR.
We further restrict the class of optimization problems that we consider to linear programming
problems (or LPs). An LP is an optimization problem over lR
n
wherein the objective function is a
linear function, that is, the objective has the form
c
1
x
1
+c
2
x
2
+· · · +c
n
x
n
for some c
i
∈ lR i = 1, . . . , n, and the feasible region is the set of solutions to a finite number of linear
inequality and equality constraints, of the form
a
i1
x
1
+a
i2
x
2
+· · · +a
in
x
n
≤ b
i
i = 1, . . . , s
and
a
i1
x
1
+a
i2
x
2
+· · · + a
in
x
n
= b
i
i = s + 1, . . . , m.
Linear programming is an extremely powerful tool for addressing a wide range of applied optimization
problems. A short list of application areas is resource allocation, production scheduling, warehousing,
layout, transportation scheduling, facility location, flight crew scheduling, parameter estimation, . . . .
6.1.2 An Example
To illustrate some of the basic features of LP, we begin with a simple two-dimensional example. In
modeling this example, we will review the four basic steps in the development of an LP model:
1. Determine and label the decision variables.
73
74 Linear Programming
2. Determine the objective and use the decision variables to write an expression for the objective
function.
3. Determine the explicit constraints and write a functional expression for each of them.
4. Determine the implicit constraints.
PLASTIC CUP FACTORY
A local family-owned plastic cup manufacturer wants to optimize their production mix in
order to maximize their profit. They produce personalized beer mugs and champaign glasses.
The profit on a case of beer mugs is $25 while the profit on a case of champaign glasses
is $20. The cups are manufactured with a machine called a plastic extruder which feeds
on plastic resins. Each case of beer mugs requires 20 lbs. of plastic resins to produce while
champaign glasses require 12 lbs. per case. The daily supply of plastic resins is limited to
at most 1800 pounds. About 15 cases of either product can be produced per hour. At the
moment the family wants to limit their work day to 8 hours.
We will model the problem of maximizing the profit for this company as an LP. The first step in
our modeling process is to determine the decision variables. These are the variables that represent the
quantifiable decisions that must be made in order to determine the daily production schedule. That is,
we need to specify those quantities whose values completely determine a production schedule and its
associated profit. In order to determine these quantities, one can ask the question “If I were the plant
manager for this factory, what must I know in order to implement a production schedule?” The best
way to determine the decision variables is to put oneself in the shoes of the decision maker and then
ask the question “What do I need to know in order to make this thing work?” In the case of the plastic
cup factory, everything is determined once it is known how many cases of beer mugs and champaign
glasses are to be produced each day.
Decision Variables:
B = # of cases of beer mugs to be produced daily.
C = # of cases of champaign glasses to be produced daily.
You will soon discover that the most difficult part of any modeling problem is the determination of
decision variables. Once these variables are correctly determined then the remainder of the modeling
process usually goes smoothly.
After specifying the decision variables, one can now specify the problem objective. That is, one can
write an expression for the objective function.
Objective Function:
Maximize profit where profit = 25B + 20C
The next step in the modeling process is to express the feasible region as the solution set of a finite
collection of linear inequality and equality constraints. We separate this process into two steps:
1. determine the explicit constraints, and
2. determine the implicit constraints.
The explicit constraints are those that are explicitly given in the problem statement. In the problem
under consideration, there are explicit constraints on the amount of resin and the number of work hours
that are available on a daily basis.
Explicit Constraints:
resin constraint: 20B + 12C ≤ 1800
6.1 Introduction 75
work hours constraint:
1
15
B +
1
15
C ≤ 8.
This problem also has other constraints called implicit constraints. These are constraints that are
not explicitly given in the problem statement but are present nonetheless. Typically these constraints
are associated with “natural” or “common sense” restrictions on the decision variable. In the cup
factory problem it is clear that one cannot have negative cases of beer mugs and champaign glasses.
That is, both B and C must be non-negative quantities.
Implicit Constraints:
0 ≤ B, 0 ≤ C.
The entire model for the cup factory problem can now be succinctly stated as
P : max 25B + 20C
subject to 20B + 12C ≤ 1800
1
15
B +
1
15
C ≤ 8
0 ≤ B, C
Since this problem is two dimensional it is possible to provide a graphical solution. The first step
toward a graphical solution is to graph the feasible region. To do this, first graph
the line associated with each of the linear inequality constraints. Then determine on which side of each
of these lines the feasible region must lie (don’t forget the implicit constraints!). Once the correct side
is determined it is helpful to put little arrows on the line to remind yourself of the correct side. Then
shade in the resulting feasible region.
The next step is to draw in the vector representing the gradient of the objective function at the
origin. Since the objective function has the form
f(x
1
, x
2
) = c
1
x
1
+c
2
x
2
,
the gradient of f is the same at every point in lR
2
;
∇f(x
1
, x
2
) =
_
c
1
c
2
_
.
Recall from calculus that the gradient always points in the direction of increasing function values.
Moreover, since the gradient is constant on the whole space, the level sets of f associated with different
function values are given by the lines perpendicular to the gradient. Consequently, to obtain the location
of the point at which the objective is maximized we simply set a ruler perpendicular to the gradient and
then move the ruler in the direction of the gradient until we reach the last point (or points) at which
the line determined by the ruler intersects the feasible region. In the case of the cup factory problem
this gives the solution to the LP as
_
B
C
_
=
_
45
75
_
We now recap the steps followed in the solution procedure given above:
Step 1: Graph each of the linear constraints and indicate on which side of the constraint the feasible
region must lie. Don’t forget the implicit constraints!
Step 2: Shade in the feasible region.
Step 3: Draw the gradient vector of the objective function.
Step 4: Place a straightedge perpendicular to the gradient vector and move the straightedge either in
the direction of the gradient vector for maximization, or in the opposite direction of the gradient
vector for minimization to the last point for which the straightedge intersects the feasible region.
The set of points of intersection between the straightedge and the feasible region is the set of
solutions to the LP.
76 Linear Programming
feasible region
B
optimal value = $2625
20B+12C=1800
[B C] = [45 75]
B/15 + C/15 = 8
C
objective normal n=[25 20]’
14
15
13
12
1 4
11
10
9
8
5
6
7
4
3
2
1
2 3 5 6 7 8 9 10 11 12 13 14 15
Figure 6.1:
6.1 Introduction 77
The solution procedure described above for two dimensional problems reveals a great deal about the
geometric structure of LPs that remains true in n dimensions. We will explore this geometric structure
more fully as the course evolves. But for the moment, we continue to study this 2 dimensional LP to
see what else can be revealed about the structure of this problem.
Before leaving this section, we make a final comment on the modeling process described above. We
emphasize that there is not one and only one way to model the Cup Factory problem, or any problem
for that matter. In particular, there are many ways to choose the decision variables for this problem.
Clearly, it is sufficient for the shop manager to know how many hours each days should be devoted
to the manufacture of beer mugs and how many hours to champaign glasses. From this information
everything else can be determined. For example, the number of cases of beer mugs that get produced is
15 times the number of hours devoted to the production of beer mugs. Therefore, as you can see there
are many ways to model a given problem. But in the end, they should all point to the same optimal
process.
6.1.3 LPs in Standard Form
Recall that a linear program is a problem of maximization or minimization of a linear function subject
to a finite number of linear inequality and equality constraints. This general definition leads to an
enormous variety of possible formulations. In this section we propose one fixed formulation for the
purposes of developing an algorithmic solution procedure. We then show that every LP can be recast
in this form. We say that an LP is in standard form if it has the form
P : maximize c
1
x
1
+c
2
x
2
+· · · +c
n
x
n
subject to a
i1
x
1
+a
i2
x
2
+· · · +a
in
x
n
≤ b
i
for i = 1, 2, . . . , m
0 ≤ x
j
for j = 1, 2, . . . , n .
Using matrix notation, we can rewrite this LP as
P : maximize c
T
x
subject to Ax ≤ b
0 ≤ x ,
where the inequalities Ax ≤ b and 0 ≤ x are to be interpreted componentwise.
Transformation to Standard Form
Every LP can be transformed to an LP in standard form. This process usually requires a transformation
of variables and occasionally the addition of new variables. In this section we provide a step-by-step
procedure for transforming any LP to one in standard form.
minimization → maximization
To transform a minimization problem to a maximization problem just multiply the objective
function by −1.
linear inequalities
If an LP has an inequality constraint of the form
a
i1
x
1
+a
i2
x
2
+· · · +a
in
x
n
≥ b
i
.
This inequality can be transformed to one in standard form by multiplying the inequality through
by −1 to get
−a
i1
x
1
−a
i2
x
2
−· · · −a
in
x
n
≤ −b
i
.
linear equation
78 Linear Programming
The linear equation
a
i1
x
1
+· · · +a
in
x
n
= b
i
can be written as two linear inequalities
a
i1
x
1
+· · · +a
in
x
n
≤ b
i
and
a
i1
x
1
+· · · +a
in
x
n
≥ b
i
.
The second of these inequalities can be transformed to standard form by multiplying through by
−1.
variables with lower bounds
If a variable x
i
has lower bound l
i
which is not zero (l
i
≤ x
i
), one obtains a non-negative variable
w
i
with the substitution
x
i
= w
i
+l
i
.
In this case, the bound l
i
≤ x
i
is equivalent to the bound 0 ≤ w
i
.
variables with upper bounds
If a variable x
i
has an upper bound u
i
(x
i
≤ u
i
) one obtains a non-negative variable w
i
with the
substitution
x
i
= u
i
−w
i
.
In this case, the bound x
i
≤ u
i
is equivalent to the bound 0 ≤ w
i
.
variables with interval bounds
An interval bound of the form l
i
≤ x
i
≤ u
i
can be transformed into one non-negativity constraint
and one linear inequality constraint in standard form by making the substitution
x
i
= w
i
+l
i
.
In this case, the bounds l
i
≤ x
i
≤ u
i
are equivalent to the constraints
0 ≤ w
i
and w
i
≤ u
i
−l
i
.
free variables
Sometimes a variable is given without any bounds. Such variables are called free variables. To
obtain standard form every free variable must be replaced by the difference of two non-negative
variables. That is, if x
i
is free, then we get
x
i
= u
i
−v
i
with 0 ≤ u
i
and 0 ≤ v
i
.
To illustrate the ideas given above, we put the following LP into standard form.
minimize 3x
1
− x
2
subject to −x
1
+ 6x
2
− x
3
+ x
4
≥ −3
7x
2
+ x
4
= 5
x
3
+ x
4
≤ 2
−1 ≤ x
2
, x
3
≤ 5, −2 ≤ x
4
≤ 2.
6.1 Introduction 79
First, we rewrite the objective as
maximize −3x
1
+x
2
.
Next we replace the first inequality constraint by the constraint
x
1
−6x
2
+x
3
−x
4
≤ 3.
The equality constraint is replaced by the two inequality constraints
7x
2
+ x
4
≤ 5
−7x
2
− x
4
≤ −5.
Observe that the variable x
1
is free, so we replace it by
x
1
= y
1
−y
2
with 0 ≤ y
1
, 0 ≤ y
2
.
The variable x
2
has a non-zero lower bound so we replace it by
x
2
= y
3
−1 with 0 ≤ y
3
.
The variable x
3
is bounded above, so we replace it by
x
3
= 5 −y
4
with 0 ≤ y
4
.
The variable x
4
is bounded below and above so we replace it by
x
4
= y
5
−2 with 0 ≤ y
5
and y
5
≤ 4.
Putting it all together we get the following LP in standard form:
maximize −3y
1
+ 3y
2
+ y
3
subject to y
1
− y
2
− 6y
3
− y
4
− y
5
≤ −10
7y
3
+ y
5
≤ 14
− 7y
3
− y
5
≤ −14
− y
4
+ y
5
≤ −1
y
5
≤ 4
0 ≤ y
1
, y
2
, y
3
, y
4
, y
5
.
80 Linear Programming
6.2 A pig farming model
Suppose a pig farmer can choose between two different kinds of feed for his pigs: corn or alfalfa. He can
feed them all of one or the other or some mixture. The pigs must get at least 200 units of carbohydrates
and at least 180 units of protein in their daily diet. The farmer knows that:
• corn has 100 units/kg of carbohydrate and 30 units/kg of protein
• alfalfa has 40 units/kg of carbohydrate and 60 units/kg of protein.
Here are a few questions the farmer might be faced with in choosing a good diet for the pigs:
1. If the farmer uses only corn, how many kg/day does he need for each pig?
2. If the farmer uses only alfalfa, how many kg/day does he need for each pig?
3. Suppose corn and alfalfa each cost 30 cents / kg. How expensive would each of the above diets
be?
4. With these prices, is there some mixture of the two grains that would satisfy the dietary require-
ments and be cheaper?
5. What is the best mix if the price of alfalfa goes up to $1/kg? What if it goes up only to 60 cents
/ kg?
The problem of choosing the mix which minimizes cost can be set up as a linear programming
problem
minimize c
1
x
1
+c
2
x
2
subject to
100x
1
+ 40x
2
≥ 200
30x
1
+ 60x
2
≥ 180
x
1
, x
2
≥ 0.
(6.1)
where x
1
and x
2
are the quantity of corn and alfalfa to use (in kilograms) and c
1
and c
2
are the cost
per kilogram of each. Multiplying the objective function and constraints by −1 would allow us to put
this in the standard form discussed above.
Linear programming problems can be solved in matlab, which requires a slightly different standard
form, since it solves a minimization problem rather than a maximization problem:
>> help linprog
LINPROG Linear programming.
X=LINPROG(f,A,b) solves the linear programming problem:
min f’*x subject to: A*x <= b
x
X=LINPROG(f,A,b,Aeq,beq) solves the problem above while additionally
satisfying the equality constraints Aeq*x = beq.
X=LINPROG(f,A,b,Aeq,beq,LB,UB) defines a set of lower and upper
bounds on the design variables, X, so that the solution is in
the range LB <= X <= UB. Use empty matrices for LB and UB
if no bounds exist. Set LB(i) = -Inf if X(i) is unbounded below;
6.2 A pig farming model 81
set UB(i) = Inf if X(i) is unbounded above.
X=LINPROG(f,A,b,Aeq,beq,LB,UB,X0) sets the starting point to X0. This
option is only available with the active-set algorithm. The default
interior point algorithm will ignore any non-empty starting point.
X=LINPROG(f,A,b,Aeq,Beq,LB,UB,X0,OPTIONS) minimizes with the default
optimization parameters replaced by values in the structure OPTIONS, an
argument created with the OPTIMSET function. See OPTIMSET for details.
Use options are Display, Diagnostics, TolFun, LargeScale, MaxIter.
Currently, only ’final’ and ’off’ are valid values for the parameter
Display when LargeScale is ’off’ (’iter’ is valid when LargeScale is ’on’).
[X,FVAL]=LINPROG(f,A,b) returns the value of the objective function at X:
FVAL = f’*X.
[X,FVAL,EXITFLAG] = LINPROG(f,A,b) returns EXITFLAG that
describes the exit condition of LINPROG.
If EXITFLAG is:
> 0 then LINPROG converged with a solution X.
0 then LINPROG reached the maximum number of iterations without converging.
< 0 then the problem was infeasible or LINPROG failed.
[X,FVAL,EXITFLAG,OUTPUT] = LINPROG(f,A,b) returns a structure
OUTPUT with the number of iterations taken in OUTPUT.iterations, the type
of algorithm used in OUTPUT.algorithm, the number of conjugate gradient
iterations (if used) in OUTPUT.cgiterations.
[X,FVAL,EXITFLAG,OUTPUT,LAMBDA]=LINPROG(f,A,b) returns the set of
Lagrangian multipliers LAMBDA, at the solution: LAMBDA.ineqlin for the
linear inequalities A, LAMBDA.eqlin for the linear equalities Aeq,
LAMBDA.lower for LB, and LAMBDA.upper for UB.
NOTE: the LargeScale (the default) version of LINPROG uses a primal-dual
method. Both the primal problem and the dual problem must be feasible
for convergence. Infeasibility messages of either the primal or dual,
or both, are given as appropriate. The primal problem in standard
form is
min f’*x such that A*x = b, x >= 0.
The dual problem is
max b’*y such that A’*y + s = f, s >= 0.
82 Linear Programming
To solve the optimization problem with costs c
1
= c
2
= 30, we can do the following:
>> f = [30;30];
>> A = -[100 40; 30 60]
>> b = -[200;180];
>> vlb = [0;0];
>> linprog(f,A,b,[],[],vlb)
Optimization terminated successfully.
ans =
1.0000
2.5000
This solution is illustrated graphically in Figure 6.2(a). If the cost of alfalfa goes up to $1.00/kg:
>> f=[30;100];
>> linprog(f,A,b,[],[],vlb)
Optimization terminated successfully.
ans =
6.0000
0
This solution is illustrated graphically in Figure 6.2(b). In class we will study the graphical interpreta-
tion of these and other related problems.
6.2.1 Adding more constraints
Suppose we add some new constraints to the problem. For example, the farmer might want to keep
the pigs from getting too fat by requiring that the total daily diet should be at most 5 kg, adding the
constraint x
1
+ x
2
≤ 5. In addition, suppose pigs should eat at most 3 kg of any particular grain, so
that x
1
≤ 3 and x
2
≤ 3. This problem can be solved as follows:
>> A = -[100 40; 30 60; -1 -1];
>> b = -[200; 180; -5];
>> vlb = [0; 0];
>> vub = [3; 3];
>> linprog(f,A,b,[],[],vlb,vub)
Optimization terminated successfully.
ans =
3.0000
1.5000
This solution is illustrated graphically in Figure 6.3.
6.2.2 Solving the problem by enumeration
Each constraint corresponds to a straight line, so the feasible set is a convex polygon. The objective
function we are minimizing is also linear, so the solution is at one of the corners of the feasible set.
Corners correspond to points where two constraints are satisfied simultaneously, and can be found by
solving a linear system of two equations (from these two constraints) in two unknowns x
1
and x
2
.
If we knew which two constraints were binding at the solution, we could easily solve the problem.
Unfortunately we don’t generally know this in advance.
6.2 A pig farming model 83
(a)
−1 0 1 2 3 4 5 6 7 8
−1
0
1
2
3
4
5
6
7
8
(b)
−1 0 1 2 3 4 5 6 7 8
−1
0
1
2
3
4
5
6
7
8
Figure 6.2: Graphical solution of the pig-farming problems in the x
1
-x
2
plane. In each case the solid
lines show constraints and the dashed line is the iso-cost line passing through the optimal solution,
which is one of the corners of the feasible region. Shade in the feasible region in each figure!
−1 0 1 2 3 4 5 6 7 8
−1
0
1
2
3
4
5
6
7
8
Figure 6.3: Graphical solution of the pig-farming problem with more constraints. The solid lines show
constraints and the dashed line is the iso-cost line passing through the optimal solution, which is one
of the corners of the feasible region. Shade in the feasible region!
84 Linear Programming
One approach to solving the problem would be to consider all possible corners by solving all possible
sets of 2 equations selected from the various constraints. For each choice of 2 equations we could:
• Solve the linear system for these two constraints,
• Check to see if the resulting solution is feasible (it might violate other constraints!),
• If it is feasible, compute and record the value of the objective function at this point.
After doing this for all choices of two constraints, the best value of the objective function found gives
the solution.
The problem with this, for larger problems anyway, is that there is a combinatorial explosion of
possible choices. If there are m constraints and two decision variables, then there are
_
m
2
_
=
1
2
m(m−1) = O(m
2
) possible choices.
6.2.3 Adding a third decision variable
If there are more decision variables, then the problem is even worse. For example, if we consider 3
grains instead of only 2, then we would have three variables x
1
, x
2
, and x
3
to consider. In this case the
pictures are harder to draw. Each constraint corresponds to a plane in 3-space and the feasible set is a
convex body with planar sides. Changing the value of the objective function sweeps out another set of
planes, and again the optimal solution occurs at a corner of the feasible set.
These corners are points where 3 of the constraints are simultaneously satisfied, so we can find all
possible corners by considering all choices of 3 constraints from the set of m constraints. There are now
_
m
3
_
= O(m
3
) ways to do this.
6.2.4 The simplex algorithm
Practical linear programming problems often require solving for hundreds of variables with thousands
of constraints. In this case it is impossible to enumerate and check all possible “corners” of the feasible
set, which is now an object in a linear space with dimension in the hundreds.
The simplex algorithm is a method that has proved exceedingly effective at finding solutions in much
less time (though, like branch and bound algorithms, in the worst case it can still have exponential
running time). The basic idea is to start by identifying one corner of the feasible region and then
systematically move to “adjacent” corners until the optimal value of the objective function is obtained.
To gain a basic understanding of the simplex method, consider the following LP
max 2x
1
−3x
2
subject to 2x
1
+x
2
≤ 12
x
1
−3x
2
≤ 5
0 ≤ x
1
, x
2
(6.2)
The corresponding feasible region is depicted in Figure 6.4.
The simplex method uses a series of elementary matrix operations. Therefore, the system of lin-
ear equalities in LP (6.2) must be reformulated into a system of linear equalities constraints. The
introduction of slack variables facilitates such a conversion of the constraints.
For instance, the inequality, 2x
1
+x
2
≤ 12, becomes 2x
1
+x
2
+x
3
= 12 with the addition of the slack
variable x
3
≥ 0. Loosely speaking, x
3
makes up the slack in the inequality constraint 2x
1
+ x
2
≤ 12.
Take a moment and verify that the equality and inequality constraints are equivalent. Such verification
is an important part of mathematical modeling.
6.2 A pig farming model 85
0 1 2 3 4 5 6 7
0
2
4
6
8
10
12
x1
x
2
2x1 + x2 ≤ 12
x1 − 3x2 ≤ 5
Figure 6.4: Feasible region for LP.
The constraint x
1
−3x
2
≤ 5 still remains to be converted into a linear equality with a slack variable.
In an attempt to reduce decision variables, one may be tempted to use x
3
again as a slack variable,
which would form the linear equality x
1
− 3x
2
+ x
3
≤ 5. Note that our linear system (6.2) does not
imply that 2x
1
+x
2
−12 = x
1
−3x
2
−5, or loosely speaking that there are equal amounts of “slack” in
each constraint. Forcing the same slack variable in each constraint changes the problem we are solving!
Take a moment and consider the implications of using x
3
for each constraint in (6.2)!
Therefore, another slack variable x
4
≥ 0 is introduced into the second constraint, which becomes
x
1
−3x
2
+x
4
= 5. In general, each inequality constraint should use a unique slack variable.
Therefore, LP (6.2) becomes
max z = 2x
1
−3x
2
subject to 2x
1
+x
2
+x
3
= 12
x
1
−3x
2
+x
4
= 5
0 ≤ x
i
, i = 1, 2, 3, 4
(6.3)
Notice, z equals the optimum of the objective function.
Having obtained a system of linear equality constraints, our system is prepared for matrix compu-
tation. Traditionally, the simplex method forms tableaux, which are equivalent to matrices. The initial
simplex tableau for LP (6.3) is
z x
1
x
2
x
3
x
4
RHS
1 -2 3 0 0 0 ←− (z −2x
1
+ 3x
3
= 0)
0 2 1 1 0 12 ←− (2x
1
+x
2
+x
3
= 12)
0 1 -3 0 1 5 ←− (x
1
−3x
2
+x
4
= 5)
Solutions can be read directly from the tableau. Since the column associated with variable x
1
contains more than 1 nonzero value, x
1
= 0. In contrast, the column associated with x
3
contains only
one nonzero value, which implies that x
3
= 12/1 = 12. Therefore, this tableau leads to the solution
86 Linear Programming
x
1
= x
2
= 0, x
3
= 12, x
4
= 5 and z = 0. Considering more details of the method requires that we
establish additional terminology regarding a simplex tableau.
z x
1
x
2
x
3
x
4
RHS
1 -2 3 0 0 0 ←− indicators
0 2 1 1 0 12
0 1 -3 0 1 5
Basic variables are nonzero variables in the tableau and correspond to a corner point of the feasible
region. In the current tableau, x
3
and x
4
are basic variables associated with the corner point (0,0) (since
x
1
= 0 and x
2
= 0). The basic idea of the simplex algorithm is to change which variables in the system
are basic variables in order to improve the value of z. The numbers in shaded boxes in the top row of
the tableau are called indicators. Let α
i
denote the indicator in the column associated with variable
x
i
. Therefore, the algorithmic steps for the simplex algorithm as applied to the simplex tableau are as
follows:
1. Check the indicators for possible improvement – If all the indicators are nonnegative, then the
solution is optimal else go to Step 2.
2. Check for unboundedness – If α
i
< 0 and no positive element in the column associated with variable
x
i
exists, then the problem has an unbounded objective value. Otherwise, finite improvement in
the objective function is possible; go to Step 3.
3. Select the entering variable – The most negative indicator identifies the entering variable. That
is, select α
i
such that α
i
< 0, and α
i
is the most negative indicator. The entering variable is x
i
and will be made nonzero. The column associated with x
i
is called the pivot column.
4. Select the departing variable – This step determines which basic variable will become zero. Find
a quotient for each row by dividing each number from the right side of the tableau by the corre-
sponding number from the pivot column. The pivot row is the row corresponding to the smallest
quotient. The pivot element is the element in the pivot row and pivot column.
5. Pivot creating a new tableau - Use elementary row operations on the old tableau so the column
associated with x
i
contains a zero in every entry except for a 1 in the pivot position. Go to Step
1.
Applying these steps to our tableau, we find the following:
z x
1
x
2
x
3
x
4
RHS
1 -2 3 0 0 0 Quotients
0 2 1 1 0 12 12/2 = 6
0 1 -3 0 1 5 5/1 = 1 ⇒ pivot row

pivot column
Verify these results. Note that x
1
is the entering variable and x
4
, the departing variable. For x
1
to
become nonzero, we apply elementary row calculations to form the following tableau:
z x
1
x
2
x
3
x
4
RHS
1 0 -3 0 2 10
0 0 7 1 -2 2
0 1 -3 0 1 5
6.3 Complexity and the simplex algorithm 87
This tableau leads to the solution x
1
= 5, x
2
= 0, x
3
= 2, x
4
= 0 and z = 10. The basic variables are
indeed x
1
and x
3
. Refer to Figure 6.4 to verify that our solution is a corner point of the feasible solution.
Moreover, the current tableau represents an increase in the optimal value! Yet, the indicators identify
that possible improvement still exists by selecting x
2
as an entering variable. The step of selecting the
departing variable is left to the reader. Elementary row operations produce the following tableau:
z x
1
x
2
x
3
x
4
RHS
1 0 0 3/7 8/7 76/7
0 0 1 1/7 -2/7 2/7
0 1 0 3/7 1/7 41/7
This tableau leads to the solution x
1
=
41
7
, x
2
=
2
7
, x
3
= x
4
= 0 and z =
76
7
. The indicators are all
positive, which represents that the optimal value z cannot be improved. Therefore, the solution has
been found.
Implementation of the simplex algorithm requires a great deal of linear algebra and bookkeeping.
Imagine performing elementary row operations on a simplex tableau with thousands of decision vari-
ables. Fortunately, software packages exist that are aimed specifically at solving linear programming
and related problems. One popular package is lindo, which is available on some campus computers.
The matlab function linprog implements the simplex algorithm. Program packages such as lindo
and matlab demonstrate the need for effective computation in the field of optimization.
6.3 Complexity and the simplex algorithm
The simplex algorithm was invented by George Dantzig in 1947 [Dan63]. Klee (from UW) and Minty
[KM72] proved that the simplex algorithm is exponential in the worst case, but is very efficient in prac-
tice. Khachian [Kha79] invented the “ellipsoid” algorithm for finding solutions to linear programming
problems in 1979 that he showed runs in polynomial time. Another more efficient algorithm due to
Karmarkar[Kar84] uses an interior-point method instead of walking around the boundary. This algo-
rithm appeared in 1984. In 2001, Spielman and Teng [ST02] introduced a new complexity class they
call polynomial smoothed complexity and they showed that the simplex algorithm is the classic example
in this class. Their work attempts to identify algorithms which are exponential in the worst case but
which work efficiently in practice like the simplex algorithm.
88 Linear Programming
Math 381 Notes — University of Washington —Winter 2011
Chapter 7
Integer Programming
7.1 The lifeboat problem
Many linear programming problems arising from real problems have the additional complication that
the desired solution must have integer values. For example, in the lifeboat problem considered in
Chapter 1, we must determine how best to equip a ferry with lifeboats and life vests, maximizing the
number of lifeboats subject to certain constraints. The solution to the resulting linear programming
problem will typically require some fractional number of lifeboats and life vests, which is not possible.
Instead we must find the best integer solution.
Our first guess at how to solve such a problem might be to simply round off the values that come
from the LP solution. This usually does not work, however. For example, for the values considered in
Chapter 1, the LP solution was
x
1
= 363.6364 (number of vests)
x
2
= 31.8182 (number of boats)
Trying to round this to x
1
= 364, x
2
= 32 would give an infeasible solution (requiring too much volume).
The best integer solution was found to be x
1
= 381, x
2
= 31. We had to reduce x
2
to 31 and then the
number of vests x
1
went up substantially.
Figure 7.1 shows the graphical solution to this problem with a different set of parameters:
C
1
= 1 (capacity of each vest)
C
2
= 2 (capacity of each boat)
C = 11 (total capacity needed)
V
1
= 1 (volume of each vest)
V
2
= 3.1 (volume of each boat)
V = 15 (total volume available)
The dashed line x
2
= 3.636 shows the maximum value of the objective function x
2
obtained at the
LP solution x
1
= 3.727, x
2
= 3.636. The feasible integer points are indicated by the dark dots, and
we see that the best integer solution is x
1
= 8, x
2
= 2. In this case we can’t even use the approach of
Chapter 1, of reducing the x
2
to the nearest integer and increasing x
1
as needed.
For most IP (integer programming) problems, there is no direct way to find the solution. Recall that
for the LP problem we know the optimum occurs at a corner of the feasible set, and the corners can be
found by solving an appropriate linear system of equations corresponding to the binding constraints.
For the IP problem typically none of the inequality constraints are exactly binding at the solution.
In simple cases one might be able to enumerate all integer points in the feasible set and check each,
but for problems with many variables and with a large range of possible integer values for each, this is
usually out of the question.
89
90 Integer Programming
0 2 4 6 8 10 12 14 16 18 20
−1
0
1
2
3
4
5
6
7
8
Figure 7.1: Graphical solution of the lifeboat problem in the x
1
-x
2
plane. The solid lines show con-
straints and the dashed line is the objective function contour line passing through the optimal solution,
which is one of the corners of the feasible region. When integer constraints are added, only the points
marked by dots are feasible.
7.2 Cargo plane loading 91
Some IP problems have a sufficiently special form that the solution is easily found. For example,
certain transportation problems, such as in the example we considered of canneries and warehouses, have
the property that the LP solution can be shown to be integer-valued. For other classes of IP problems
there are special techniques which are effective.
For many problems a branch and bound approach must be used, in which linear programming
problems are used to obtain bounds. This is illustrated in the next section for a relatively simple class
of problems called zero-one integer programming, since each decision variable is restricted to take only
the values 0 or 1. Many practical problems can be put in this form. Often each value represents a
yes-no decision that must be made.
7.2 Cargo plane loading
Suppose you have a cargo plane with 1000 cubic meters of space available, and you can choose from
the following sets of cargos to load the plane:
Cargo Volume Profit
1 410 200
2 600 60
3 220 20
4 450 40
5 330 30
For each cargo the volume and profit expected from shipping this cargo are listed. There are two
possible scenarios:
• We are allowed to take any amount of each cargo up to the total volume, with the profit adjusted
accordingly. (E.g., taking half the cargo yields half the profit.)
• We must take all of the cargo or none of it.
The second scenario is more realistic and gives a zero-one integer programming problem. The first
scenario gives a linear programming problem with continuous variables, and is easier to solve, using the
simplex method for example. It will be useful to consider problems of the first type in the process of
solving the integer programming problem, as discussed in the next section.
Let V
j
be the volume of the j’th cargo, P
j
the profit, and V = 1000 the total volume available in
the cargo plane. Introduce the decision variable x
j
to represent the fraction of the j’th cargo that we
decide to take. In the first scenario above, x
j
can take any value between 0 and 1, while for the actual
problem each x
j
must be either 0 or 1.
The integer programming problem then has the form
maximize

j
P
j
x
j
(7.1)
subject to

j
V
j
x
j
≤ V (7.2)
0 ≤ x
j
≤ 1 (7.3)
x
j
integer (7.4)
If we drop constraint (7.4) then we have the linear programming problem corresponding to the first
scenario again.
For this small problem we can easily solve the integer programming problem by simply enumerating
all possible choices of cargos. If we have k cargos to choose from, then for each cargo the value x
j
can
take one of two values and so there are 2
k
possible combinations of cargo. In this case k = 5 and there
92 Integer Programming
are 32 possibilities to consider. Not all will be feasible since the volume constraint may be exceeded.
Here is the enumeration of all 32 possibilities, with the profit arising from each (which is set to zero for
infeasible combinations):
cargo choice profit
1 2 3 4 5
0 0 0 0 0 0
0 0 0 0 1 30
0 0 0 1 0 40
0 0 0 1 1 70
0 0 1 0 0 20
0 0 1 0 1 50
0 0 1 1 0 60
0 0 1 1 1 90
0 1 0 0 0 60
0 1 0 0 1 90
0 1 0 1 0 0
0 1 0 1 1 0
0 1 1 0 0 80
0 1 1 0 1 0
0 1 1 1 0 0
0 1 1 1 1 0
1 0 0 0 0 200
1 0 0 0 1 230
1 0 0 1 0 240
1 0 0 1 1 0
1 0 1 0 0 220
1 0 1 0 1 250
1 0 1 1 0 0
1 0 1 1 1 0
1 1 0 0 0 0
1 1 0 0 1 0
1 1 0 1 0 0
1 1 0 1 1 0
1 1 1 0 0 0
1 1 1 0 1 0
1 1 1 1 0 0
1 1 1 1 1 0
The best combination is 10101, meaning we should take Cargos 1, 3, and 5. For a larger problem it
might not be possible to enumerate and check all possibilities. Moreover the real problem might be
more complicated, for example a shipping company might have many planes and different sets of cargos
and want to choose the optimal way to split them up between planes.
7.3 Branch and bound algorithm
Integer programming problems are often solved using branch and bound algorithms. This is easily
illustrated for the cargo plane problem since this is a particularly simple form of integer programming,
a 0-1 integer program in which each decision variable can take only the values 0 or 1. This suggests
building up a binary tree by considering each cargo in turn. Part of such a tree is shown in Figure 7.2.
7.3 Branch and bound algorithm 93
cargo: ?????
UB: 259
cargo: 1????
UB: 259
cargo: 0????
UB: 96.4
cargo: 11???
UB 0
cargo: 10???
UB 253.6
cargo: 101??
UB 253.6
cargo: 100??
UB 253.1
cargo: 1011?
UB 0
cargo: 1010?
UB 250
cargo: 10101
profit 250
cargo: 10100
profit 220
cargo: 1001?
UB 252.7
cargo: 10011
profit 0
cargo: 10010
profit 240
cargo: 1000?
UB 230
Figure 7.2: Illustration of the branch and bound algorithm for solving the cargo-loading problem. In
each box the values of some 0-1 integer values are specified and then the linear programming problem is
solved with the other variables allowed to take any value between 0 and 1. This gives an upper bound
UB on the best that could be obtained with this partial cargo. If UB is 0 then this choice is infeasible.
The root is to the left, where the cargo is represented as ????? meaning all five decision variables are
unspecified. From here we branch to 1???? and 0????, in which we either take or do not take Cargo
1. Each of these has two branches depending on whether we take or do not take Cargo 2. Continuing
in this way we could build up a full tree whose leaves would be the 32 possible choices of cargos.
The goal of the branch and bound algorithm is to avoid having to build up the entire tree by
obtaining a bound at each branching point for the best possible solution we could find down that branch
of the tree. In this case we want an upper bound on the best profit we could possibly find with any
selection that contains the pattern of zeroes and ones already specified, along with any possible choice
of zeroes and ones for the cargos which are still denoted by ?. It is exactly these selections which lie
further down the tree on this branch.
We want to obtain this bound by doing something simpler than enumerating all possibilities down
this branch and computing each profit — this is what we want to avoid. The essential idea is to instead
solve a linear programming problem in which the variables still denoted by ? are allowed to take any
value between 0 and 1. This is more easily solved than the integer programming problem. The solution
to this problem may involve non-integer values of some x
j
, but whatever profit it determines (perhaps
with these partial cargos) is an upper bound on the profit that could be obtained with the integer
constraints imposed. Make sure you understand why!
For example, at the root node ?????, we obtain an upper bound on the profit of any selection
of cargos by solving the linear programming problem (7.1) with the constraints (7.2) and (7.3) only,
dropping all integer constraints. The solution is x
1
= 1, x
2
= 0.9833 and x
3
= x
4
= x
5
= 0, with a
profit of 259. This isn’t a valid solution to the integer problem, but any valid selection must have a
profit that is no larger than this.
At the node 1???? we solve the linear programming problem (7.1) with the constraints (7.2) and
(7.3) and also the constraint x
1
= 1, by changing the bounds on x
1
to 1 ≤ x
1
≤ 1. (Or simply reduce
the number of decision variables and modify the objective function appropriately.) The solution is the
same as found at the root node, since the solution there had x
1
= 1.
At the node 0???? we solve the linear programming problem (7.1) with the constraints (7.2) and
(7.3) and also the constraint x
1
= 0. This gives an upper bound on the profit of only 96.36 if Cargo 1
is not taken. Again this requires taking fractional cargos and any integer selection with x
1
= 0 will be
even worse.
94 Integer Programming
It looks more promising to take Cargo 1 than to not take it, and so we explore down this branch
first. We next try 11???, taking Cargo 1 and Cargo 2 and solving a linear programming problem for
the other variables, but we find this is infeasible since Cargo 1 and 2 together require too much volume.
At this point we can prune off this branch of the tree since every selection which lies down path must
be infeasible.
Continuing this way, we eventually work down to a leaf and find an actual integer selection with an
associated profit. From this point on we can also prune off any branches for which the upper bound on
the profit is smaller than the actual profit which can be obtained by a valid selection. So, for example,
all of the tree lying beyond the node 0???? can be pruned off without further work since the upper
bound of 96.36 is smaller than leaf values we have already found.
7.4 Traveling salesman problem
We now return to the Traveling Salesman Problem (TSP) of Chapter 2, and see how this can be set up
as an integer programming problem. Consider a graph with N vertices labeled 1 through N, and let d
ij
be the “distance” from i to j. Recall that we wish to find the path through all nodes which minimizes
the total distance traveled. To set this up as an IP problem, let x
ij
be 1 if the edge from Node i to
Node j is used and 0 otherwise. For example, with N = 5 the path 1 →2 → 3 →5 →4 →1 would be
encoded by setting
x
12
= x
23
= x
35
= x
54
= x
41
= 1
and the other 15 x
ij
values to 0. (For a graph with N nodes there will be N(N −1) decision variables.)
Now we wish to
minimize
N

i=1
N

j=1
d
ij
x
ij
(7.5)
subject to various constraints. One constraint is that we must use exactly one edge out of each node.
This leads to
N

j=1
x
ij
= 1. (7.6)
for each i = 1, 2, . . . , N. Also, we must use exactly one edge into each node, so
N

i=1
x
ij
= 1. (7.7)
for each j = 1, 2, . . . , N.
This is not enough, for the constraints would allow things like
x
12
= x
23
= x
31
= 1 and x
45
= x
54
= 1 (7.8)
with all the other x
ij
= 0. This is not a single TSP tour, but rather two disconnected tours. To
rule out the possibility of subtours, we must add other constraints. This can be done in various ways.
One possibility is to introduce a new set of decision variables u
1
, . . . , u
N
which do not appear in the
objective function but which have the (N −1)
2
constraints
u
i
−u
j
+Nx
ij
≤ N −1, for i, j = 2, 3, . . . , N. (7.9)
Note that u
1
does not appear in these constraints.
The idea is that if we have a set of x
ij
which correspond to a valid TSP tour, then it should be
possible to choose some values u
i
so that these constraints are satisfied, so that all such tours are still
feasible. On the other hand for a set of x
ij
that contain subtours, such as (7.8), it should be impossible
to find a set of u
i
satisfying (7.9) and hence such sets will no longer be feasible.
7.5 IP in Recreational Mathematics 95
To see why it is impossible to satisfy these constraints if there are subtours, consider (7.8), for
example. The second subtour defined by x
45
= x
54
= 1 does not involve Node 1. The constraints (7.9)
for i = 4, j = 5 and for i = 5, j = 4 yield
u
4
−u
5
+ 5 ≤ 4
u
5
−u
4
+ 5 ≤ 4
Adding these together gives
10 ≤ 8
which cannot be satisfied no matter what values we assign to u
4
and u
5
. So we cannot possibly
satisfy both of the constraints above simultaneously. A similar argument works more generally: If
there are subtours then there is always a subtour that doesn’t involve Node 1 and writing down the
constraints (7.9) for each (i, j) in this subtour gives a set of equations that, when added together, leads
to cancellation of all the u
i
values and an inequality that can never be satisfied.
On the other hand, we wish to show that if we consider a valid TSP tour (with no subtours) then we
can find an assignment of u
i
values that satisfies all these constraints. The basic idea is to set u
1
= 0
and then follow the tour starting at Node 1, setting the u
i
variables according to the order in which we
visit the nodes. This is best illustrated with an example:
1 →2 →5 → 4 →3 →1
yields
u
1
= 0, u
2
= 1, u
5
= 2, u
4
= 3, u
3
= 4.
We can show that this satisfies all the constraints in (7.9).
First, consider the pairs (i, j) for which x
ij
= 0. In this case (7.9) reads
u
i
−u
j
≤ N −1
This will certainly be true since all the values we assigned to u variables lie between 0 and N −1.
Next, consider the pairs (i, j) for which x
ij
= 1. This means we use the edge from Node i to j in
our tour, Node j is visited immediately after Node i, and hence u
j
= u
i
+ 1. So we can compute that
u
i
−u
j
+Nx
ij
= −1 +N = N −1
and hence the inequality in (7.9) is satisfied (with equality in this case).
7.4.1 NP-completeness of integer programming
We just showed that it is possible to reformulate any traveling salesman problem as an integer program-
ming problem. This can be used to prove that the general integer programming problem is NP-complete.
For if there were a polynomial-time algorithm to solve the general integer programming problem, then
we could use it to solve the TSP, and hence have a polynomial-time algorithm for the TSP.
7.5 IP in Recreational Mathematics
Integer Programming also applies to problems in recreational math such as the challenging brain teasers
found in puzzle books available at bookstores or on the World Wide Web at sites such as rec.puzzles.
Whether tinkering with such problems in your mind or applying IP, these problems offer fun challenges.
96 Integer Programming
castle
x x x x
x
x
x x x x
x
x
castle
x
1
x
2
x
3
x
4
x
5
x
6
x
7
x
8
T
North
(a) (b)
Figure 7.3: The well-guarded castle puzzle involves 12 guards posted around a square castle. (a) Each
guard is depicted with a solid dot. Note that 1 soldier is posted at each corner of the castle and 2
soldiers on each wall. (b) The associated IP can be formulated with 8 decision variables.
7.5.1 An Example Puzzle
To illustrate IP’s in recreational math, we begin with a simple brain teaser based on a puzzle from the
book, The Moscow Puzzles, by B. A. Kordemsky. [Kor92]
The Well-guarded Castle
There is unrest in the land, and King Husky declares that the castle be guarded on every
side. Guards will be posted along a wall or at a corner of the square castle. When posted
on a corner, a soldier can watch 2 walls. Other soldiers are posted along the face of a wall
and watch only 1 side of the castle. The king orders 12 of his bravest soldiers to guard
the stone fortress and initially plans to post 2 guards on each wall and 1 soldier on each
corner as depicted in Figure 7.5.1 (a). Aid King Husky in securing the kingdom by finding
an arrangement of the soldiers such that there are 5 soldiers watching each wall.
Since the problem serves as a brain teaser, you may be able to derive an answer by inspection or
trial and error. Imagine a much larger problem with thousands of soldiers. In such cases, the process
needed to find a solution could easily move beyond the scope of mental calculation. Therefore, this
puzzle serves as an illustrative example of formulating such problems as integer programming problems.
7.5.2 Formulation of the IP
The solution process begins by determining the decision variables. As in linear programming, the best
way to determine these variables is to put oneself in the shoes of the decision maker and ask the question
“What do I need to know in order to fully determine the solution?” In the case of the well-guarded
castle, we must know the number of soldiers positioned along each wall and at each corner. Hence,
we define 8 decision variables x
i
for i = 1, 2, . . . , 8, where x
i
equals the number of soldiers posted at
position i. The positions are numbered counterclockwise beginning at the southwest corner as seen in
Figure 7.5.1 (b).
Recall, the king declared that 5 soldiers watch each wall. Again, a soldier on a corner can watch 2
walls while a soldier along a wall watches only 1. This leads to the following constraints:
southern wall constraint: x
1
+x
2
+x
3
= 5
eastern wall constraint: x
3
+x
4
+x
5
= 5
northern wall constraint: x
5
+x
6
+x
7
= 5
western wall constraint: x
7
+x
8
+x
1
= 5
7.6 Recasting an IP as a 0-1 LP 97
What is the puzzle’s objective? That is, what is a suitable objective function? As you may have
noticed, there are several solutions to this puzzle. For instance, the guards can be positioned such that
x
1
= x
5
= 4 and x
2
= x
4
= x
6
= x
8
= 1, or by symmetry, x
3
= x
7
= 4 and x
2
= x
4
= x
6
= x
8
= 1.
Objective functions to maximize x
1
+ x
5
or x
3
+ x
7
could produce these answers, respectively. It is
also possible to reduce the number of guards on the corners such that x
1
= x
5
= x
3
= x
7
= 2, and
x
2
= x
4
= x
6
= x
8
= 1. Take a moment and consider what objective function could produce this
answer. As we see, the choice of an objective function determines which of such solutions is optimal! It
should be noted that in some cases, if you desire a particular solution, then additional constraints may
be needed.
Suppose King Husky wants the total number of soldiers watching the corners to be at a minimum.
Then, our objective function becomes: minx
1
+x
3
+x
5
+x
7
.
One constraint remains. The king issues 12 guards, which implies

8
i=1
x
i
= 12.
The entire model for the well-guarded castle puzzle can now be succinctly stated as
P : min x
1
+x
3
+x
5
+x
7
subject to x
1
+x
2
+x
3
= 5
x
3
+x
4
+x
5
= 5
x
5
+x
6
+x
7
= 5
x
7
+x
8
+x
1
= 5

8
i=1
x
i
= 12
0 ≤ x
i
≤ 5, i = 1, 2, . . . , 8
In class, we will look at other puzzles and pose the problems as IP problems. The interested reader
is encouraged to visit the web site, “Puzzles: Integer Programming in Recreational Mathematics”
(http://www.chlond.demon.co.uk/academic/puzzles.html) to find additional puzzles.
7.6 Recasting an IP as a 0-1 LP
In the last section, P posed the well-guarded castle puzzle as an IP. Yet, posing an IP does not imply
that it is solved. King Husky (like an executive of a company who hires a consulting firm to model
a phenomenon) demands an answer from a model that he can trust. Presenting King Husky with a
properly posed IP and no solution might result in one’s being thrown over that mighty wall!
Solving P as an LP allows variables in the solution to contain nonzero decimal values. Such a
solution relaxes the constraint that the decision variables are integers. Hence, an IP that does not
enforce integral solutions is called a relaxed LP. Imagine presenting King Husky with the solution that
1.1 soldiers be posted on the southern wall. Even a cruel leader would recognize the foolishness of such
an action. Still, solving an IP as a relaxed LP can yield intuition on the final solution. Yet, deciphering
the optimal or even near optimal integer solution from a real numbered solution is often a difficult, if
not impossible, task.
A 0-1 LP (also called a 0-1 IP) is a linear programming problem where decision variables can be
considered as boolean variables attaining only the values 0 or 1. Moreover, every IP can be recast as a
0-1 LP. Techniques such as branch and bound can be applied to solve a 0-1 LP. Our solution can then
be recast from the 0-1 LP back to the integer solution of the corresponding IP.
Assume Q is an IP, and x
i
is an integer decision variable of Q. We introduce the decision variables
98 Integer Programming
d
i1
, d
i2
, . . . d
ik
and let
x
i
=
k

j=1
2
j−1
d
ij
= d
i1
+ 2d
i2
+. . . + 2
k−1
d
ik
,
where d
ij
= 0 or 1, j = 1, 2, . . . , k.
(7.10)
For P, the decision variables are bounded below by 0 and above by 5. Therefore, it is suitable to
let x
1
= d
11
+ 2d
12
+ 4d
13
. Note that if d
11
= d
13
= 1 and d
12
= 0 then x
1
= 3. Similarly, every
possible value of x
1
can be determined by a suitable linear combination of d
11
, d
12
, and d
13
. Note that
the decision variables d
ij
can also be viewed as the binary representation of the associated value of x
i
.
Completing similar substitutions for each decision variable in P, the corresponding 0-1 LP becomes:
min d
11
+ 2d
12
+ 4d
13
+d
31
+ 2d
32
+ 4d
33
+d
51
+ 2d
52
+ 4d
73
+d
71
+ 2d
72
+ 4d
73
subject to

8
i=1

3
j=1
2
j−1
d
ij
= 12
d
11
+ 2d
12
+ 4d
13
+d
21
+ 2d
22
+ 4d
23
+d
31
+ 2d
32
+ 4d
33
= 5
d
31
+ 2d
32
+ 4d
33
+d
41
+ 2d
42
+ 4d
43
+d
51
+ 2d
52
+ 4d
53
= 5
d
51
+ 2d
52
+ 4d
53
+d
61
+ 2d
62
+ 4d
63
+d
71
+ 2d
72
+ 4d
73
= 5
d
71
+ 2d
72
+ 4d
73
+d
81
+ 2d
82
+ 4d
83
+d
11
+ 2d
12
+ 4d
13
= 5
0 ≤ d
ij
≤ 1, i = 1, 2, . . . , 8, j = 1, 2, 3.
Such a problem can be solved using a branch and bound algorithm or linear programming software.
What if our problem did not have an upper bound on the decision variables? In such cases, the IP
is recast to a 0-1 LP with a large bound on each decision variable. Then, the bound is incremented by
a fixed value (say, between 10 and 50) until the solution no longer changes at which point, the solution
is found.
Integer programming can model a diverse range of problems. In this chapter, you learned techniques
and some of the difficulties of solving IP problems.
7.7 Exercises 99
7.7 Exercises
1. Complete the formulation of Model 3: Toll Booth Scheduling.
2. Complete the formulation of Model 11: A Packing Problem.
3. Read ”UPS Optimizes Its Air Network” by Armacost, Barnhart, Ware, Wilson. Interfaces Vol.
34, No.1., Jan-Feb 2004, pp. 15-25. Give a short answer (1-2 sentences) for each question below.
(a) What sort of mathematical model is being used in the software they call VOLCANO?
(b) How can VOLCANO save money for UPS?
(c) What is the biggest factor in this savings?
(d) What sort of improvements on the routes did VOLCANO find that the planners didn’t see?
Why?
(e) How has UPS actually used the suggested solution to their problem?
(f) Look at the appendix. Explain at least one equation on the conventional side and on the
composite variables side.
(g) Is this a good modeling paper? Why or why not?
(h) Which section did you find most informative?
100 Integer Programming
Math 381 Notes — University of Washington —Winter 2011
Chapter 8
Evolutionary Trees
8.1 The problem
There are many important problems in modern genetics which require statistical and discrete mathe-
matical modeling and algorithms. We will look at just one of these, the construction of phylogenies, or
evolutionary trees, that show which species gave rise to others.
We start with a very superficial (and not completely accurate) introduction to molecular biology.
The genetic material of all living organisms consist of molecules of DNA, deoxyribonucleic acid. For
our purposes, these can be viewed simply as long chains of four types of molecules strung together.
The four basic molecules (called bases) are: adenine (A), thymine (T), cytosine (C), and guanine (G).
So a gene can be represented as a sequence of these letters, e.g., AAGCGA, but typically consisting of
hundreds or thousands of bases. (Actually base pairs, since DNA is a double strand, or double helix,
which is important in the replication mechanism.)
Each gene is a blueprint for creating a particular protein. A protein is a complex molecule made
by stringing together a different set of building blocks, the 20 amino acids, in various orders. A gene,
one strand of DNA, is a code which tells how to assemble one particular protein. Each set of three
bases determines one amino acid. For example, AAG is code for “Lysine”, while “CGA” is code for
“Arginine”, so the string AAGCGA codes for these two amino acids. Note that there are 4
3
= 64
distinct strings of 3 bases, and only 20 different amino acids, so typically several different triples (or
codons) code for the same amino acid. Some codons mean different things, like “stop” at the end of a
protein.
When DNA is replicated from one generation to the next, mistakes are sometimes made. These
mutations may cause resulting proteins to not function properly. Some mutations are fatal for the
offspring, but many are not and will simply be carried down to future generations. Some random
mutations lead to changes which are beneficial and drive the evolutionary process. By comparing
similar sequences of DNA from different species it is often possible to deduce information about how
the species are related and how they evolved.
To get a feel for this, let’s first look at how some strings might evolve if random perturbations occur
in each generation (with small probability). We consider only one type of mutation, substitutions in
which one base is replaced by another. Other mutations, such as insertion or deletion of several bases
in a sequence, are also important but harder to deal with. (One important and difficult problem in
this connection is the sequence alignment problem, trying to figure out how sequences from different
organisms are best matched up.)
Consider two species starting to diverge, which start with identical sequences for some particular
piece of DNA:
Species 1 TAGCTTCATCGTTGACTTCTACTAAAAGCA
Species 2 TAGCTTCATCGTTGACTTCTACTAAAAGCA
101
102 Evolutionary Trees
Now suppose these species diverge, reproducing independently, with some small chance of mutation at
each site in each generation. This can be modeled by Monte Carlo simulation (see evolution.m on the
webpage). After 100 generations with a 0.1% chance of mutation of each base in each generation, these
have become
Species 1 CAGCTTCATCGTTGACTTCTACTAAAAGCA
Species 2 TAGCTTCATCGTTGACTTCCACTAAAAGCA
Suppose that at this point we split off another species, replicating Species 2 to obtain Species 3:
Species 1 CAGCTTCATCGTTGACTTCTACTAAAAGCA
Species 2 TAGCTTCATCGTTGACTTCCACTAAAAGCA
Species 3 TAGCTTCATCGTTGACTTCCACTAAAAGCA
and now evolve each independently for 100 generations to obtain
Species 1 CAGCTTCATCGTTGACTTCTACTAAAAGTA
Species 2 TAGCTTCATCGTTGACTTGCACTAAAAGCT
Species 3 TAGCTTCATCGTTGACCTCCACTAAAAGCA
At this point all three are different, though we expect more similarity between 2 and 3 than between
these and Species 1. Repeat this process, replicating Species 3 as Species 4 and then evolving again to
obtain
Species 1 CAGCTTCATCGTTGACTTCTACTAAAAGTA
Species 2 TTGCTTCATCGTTGAATTGGACTAAAAGCT
Species 3 TAGATTCATCGTTGACCTCCGCTAAAAGCA
Species 4 TAGCTTCATAGTTGACCTCCTCTAAAAGCA
Finally, suppose we now replicate Species 1 as Species 5,
Species 1 CAGCTTCATCGTTGACTTCTACTAAAAGTA
Species 2 TTGCTTCATCGTTGAATTGGACTAAAAGCT
Species 3 TAGATTCATCGTTGACCTCCGCTAAAAGCA
Species 4 TAGCTTCATAGTTGACCTCCTCTAAAAGCA
Species 5 CAGCTTCATCGTTGACTTCTACTAAAAGTA
and evolve again to obtain
Species 1 CAGCTTAATCGTTCACTTCTACTAAAAGTA
Species 2 TTGCTCCAACGTTGAATTCGACTAAAGGCT
Species 3 TAGATTCATCGTTGACCTCCGCCAAAAGCG
Species 4 TAGCTTCATAGTTGACCTCCTCTTAAAGCA
Species 5 CAGCTTCATCGTTGACTTCTTATATAAGTA
The relationship between these five species is illustrated in Figure 8.1.
The basic question in determining phylogenies is the following. Given a set of DNA sequences such
as the ones above (but often much longer in practice, and usually many different sequences are used),
can we infer the relationship between the species, and construct the proper evolutionary tree?
For a given set of species there are many possible trees. The basic idea is that we need a way to
compare two possible trees with one another, and say that which one is a better fit to the given data.
This requires some sort of goodness measure that we can apply to a given tree T to obtain a value f(T).
We are looking for the tree with the best value, so we must solve an optimization problem to maximize
this function, which is defined over all possible trees.
8.2 Maximum parsimony 103
(a) (b)
1 5 3 4 2 1 2 3 4 5
Figure 8.1: (a) The true phylogeny for the example in the text. (b) A distinct tree.
(a) (b)
1 5 3 4 2
C C T T T
C
T
T
T
1 2 3 4 5
C T T C T
T
T
T
T
Figure 8.2: Possible assignments of bases at each branch point for the first site, shown for two distinct
potential trees. The tree shown in figure (a) requires only 2 mutations to explain the bases observed at
this site, while the tree shown in (b) requires 2 mutations.
There are three basic steps in finding the “optimal” tree:
1. Decide how we should measure the goodness of one tree against another, which defines the function
f(T). Below we will briefly consider two possibilities, parsimony and likelihood.
2. Once we have a specific measure, we need an efficient algorithm to compute a goodness value f(T)
for any potential tree T.
3. Finally, we need to efficiently search through all possible trees to locate the best. In general we
cannot simply enumerate them all because the number of possible trees grows exponentially in
the number of species. The problem of finding the best is typically NP-complete.
8.2 Maximum parsimony
“Maximum parsimony” is a term used by geneticists when constructing ancestral trees. Parsimony
means frugality or simplicity, and the idea here is to find the tree which requires the least number of
mutations to explain the given data. As an example, suppose we want to compare the two possible
trees shown in Figure 8.1(a) and (b) for the five species above. Consider the first base in each of the five
DNA strings. The bases seen can be explained, for example, by the histories indicated in Figure 8.2.
Using the tree of Figure 8.2(a), only one mutation is required to explain this data, as shown by the line
cutting one branch of the tree. (This is in fact the true history of this site from the simulation that
generated these species.)
104 Evolutionary Trees
(a) (b)
1 5 3 4 2
{C} {C} {T} {T}
{T}
{T}
{C}
{T}
{C,T}
1 2 3 4 5
{C} {C} {T} {T} {T}
{T}
{T}
{C,T}
{C,T}
Figure 8.3: Illustration of Fitch’s algorithm applied to the first site using two different trees.
Using the tree of Figure 8.2(b), on the other hand, there must have been at least two mutations
to produce this pattern of bases. (Perhaps more, if we assign letters to the branch points differently,
but never less.) We can define the parsimony of a tree to be the (minimum) total number of mutations
required to explain all of the variation seen. To compute the parsimony we must consider each base in
turn (all 30 of them in our example) and find the assignment of bases to branch points which gives the
least number of mutations, and hence the parsimony.
There is an efficient algorithm for doing this, Fitch’s Algorithm, which is illustrated in Figure 8.3.
This algorithm will be discussed in class, but here’s the basic idea. Keep a counter called parsimony
which is initialized to zero. For each site in the DNA sequence, we perform the following algorithm.
At each node on the tree we determine a set S of possible bases, working our way up from the leaves
toward the root. The set at each leaf consists simply of the base observed in the corresponding species.
At each node further up we compute the set S based on the sets S
1
and S
2
of its two children according
to these rules:
• If S
1
∩ S
2
= ∅ then we set S = S
1
∩ S
2
. In other words, we take the intersection of the two sets
whenever this is nonempty.
• If S
1
∩ S
2
= ∅, then we set S = S
1
∪ S
2
, the union of the two sets. In this case we also increment
parsimony by 1, since the evolutionary tree must have a mutation along one branch or the other
below this node.
While the idea of parsimony seems attractive. it has some limitations. Note in particular that it
does not give any information on the order in which branching occurred, or the time scale between
branchings. As far as the parsimony measure is concerned, the tree in Figure 8.1(a) is equivalent to
the tree shown in Figure 8.4(a). More generally it is impossible to say where the root of the tree is, so
maximizing parsimony gives only an unrooted tree. This same tree could just as well be drawn as shown
in Figure 8.4(b). All of these trees have the same parsimony. (Note all of these trees are fundamentally
distinct from the tree in Figure 8.1, which has a different parsimony.)
Maximizing parsimony can be shown to fail in some cases, in the sense that it may converge to
the wrong tree as we include more data, by increasing the number of sequences considered from each
species. In particular, it is fallible if different sites evolve with different mutation rates.
8.3 Maximum likelihood
Parsimony makes no assumptions about the rates of mutations or about the time elapsed between
branching of species. The maximum likelihood approach is more closely tied to probability and the
statistical nature of the data.
8.3 Maximum likelihood 105
(a) (b)
2 1
3
4 5
1
5
2
3
4
Figure 8.4: Two trees which are equivalent to the tree shown in Figure 8.1(a) in terms of parsimony.
Maximum likelihood estimation is a standard statistical tool used in many fields, not just genetics.
The basic idea is easily explained by a standard example from coin tossing. Suppose we are given a
trick coin which has a probability p of coming up heads, but we don’t know what p is. We flip the coin
100 times and observe 62 heads. What is the “most likely” value of p? The obvious answer is 0.62. We
want to derive this mathematically.
Recall that, if the true probability of heads is p, then the probability of observing exactly 62 heads
in 100 tosses is obtained from the binomial distribution as
L(p) =
_
100
62
_
p
62
(1 −p)
38
. (8.1)
We can now ask, what value of p will maximize this expression? In other words, what value of p makes
the observed data most likely to have arisen from 100 flips of the coin? In this context L is called the
likelihood. We can compare the value of L with one value of p against the value of L with some other
value of p. The value of p for which L is larger is “more likely” to be correct.
For example, evaluating L from (8.1) for p = 0.62 gives L(0.62) = 0.082. This is the probability of
getting exactly 62 heads in 100 tosses with a coin which is biased to land on heads 62% of the time. This
may seem like a small likelihood, but we can’t judge this without comparing it to the likelihood of getting
exactly 62 heads if p had some different value. We can compute, for example, that L(0.5) = 0.0045, so
it is much less probable that one would roll exactly 62 heads with a fair coin. Hence the value p = 0.62
is more likely than p = 0.5. Often statisticians look at the likelihood ratio and say, for example, that it
is about 18 times more likely that p = 0.62 than that p = 0.5 since L(0.62)/L(0.5) = 18.33.
To determine the most likely value of p, we must maximize L with respect to p. This seems tough
since it’s a complicated expression, but we can instead consider log L. Since log L is a monotonically
increasing function of L, if we find the value of p which maximizes log L then this also maximizes L.
Taking the log converts all the products into sums and simplifies things:
log L = log
_
100
62
_
+ 62 log(p) + 38 log(1 −p).
This is easy to maximize by differentiating with respect to p and setting the derivative to zero, the
standard technique from calculus. This gives
62
p
+
38
1 −p
= 0
from which we easily find p = 0.62.
The same idea can be used in comparing two potential phylogenies. In this case, along with a
given tree structure, we also make some hypothesis about the “length” of the branches in terms of the
probability of a mutation at each site between one branching and the next. This “length” depends on
the time elapsed (number of generations) as well as the mutation rate per generation.
106 Evolutionary Trees
If we hypothesize a particular structure for the tree, then it turns out it is possible to compute the
probability that the observed genetic sequences from each species arose via random mutations based on
this structure. This probability depends on the tree, and so we can view it as a likelihood function for
that tree. We now want to choose the tree structure which will maximize this likelihood.
We won’t go into the manner in which this likelihood is computed, since it’s a bit complicated to
explain. It can be done, however, in a recursive manner starting at the leaves and working up to the
root. See [Fel81] for more details.
8.4 Searching the forest for the optimal tree
Once we have decided on a measure of goodness, parsimony or likelihood, for example, and have an
algorithm for computing this measure for any given tree, we are still faced with the daunting task of
finding the tree which maximizes this measure. Even if we work simply with unrooted trees without
trying to also estimate the length of the branches, the number of possible trees grows rapidly with the
number of species. For the example we have considered with 5 species, there are 1 · 3 · 5 · 7 = 105
distinct unrooted trees. With six species the number grows to 1 · 3 · 5 · 7 · 9 = 945 and this pattern
continues, multiplying by the next odd integer each time we add a new species. This grows faster than
the factorial function, and in general the problem of finding the optimal tree is NP-complete.
In practice various search strategies are used to try to find the optimal tree (or at least a good tree)
without enumerating and checking all possible trees. It may be possible to start with only two species
and add species one at a time, deciding in each case where to insert the additional species in the existing
tree (as might naturally be done if a new species is discovered). This by itself wouldn’t generally lead
to the optimal tree, so it is also necessary to consider “local rearrangements” where the structure of
some small piece of the tree is rearranged to try to get a better tree. A branch and bound algorithm
can sometimes be developed to determine what paths are worth pursuing.
Math 381 Notes — University of Washington —Winter 2011
Chapter 9
Forest Resource Management
9.1 Timber harvest scheduling
Many forest resource management models lead to large-scale linear or integer programming problems.
We will explore just a few of the issues involved in timber harvesting, one particular application of
interest in the Northwest. We are all familiar with the patchwork quilt appearance of our forests due to
clear cutting. How do timber companies and the forest service decide where and when to cut? How are
decisions made about allocating land for different uses, such as harvesting, wildlife habitat, recreation?
The reading assignment in Chapter 6 of [Dyk84] explores a relatively simple case, in which only the
age of the trees is considered, along with the value of the trees based on their age. The problem is then
to maximize profit over a certain time period by harvesting at appropriate times. Once harvested, new
trees can be planted and harvested later. Because trees grow so slowly, harvesting schedules must often
be planned out far in advance, usually decades at least. Of course the models are constantly being
updated and rerun, so the solution obtained by looking over the next hundred years, say, is really only
used in the first decade (or less), and a few years down the road a new optimal solution for the future
is obtained based on current data and predictions.
Similar scheduling problems arising in deciding when to replant, thin, or fertilize existing trees.
Sensitivity analysis is often important: what if we change the parameters or the strategy in some
way, how much effect does that have? This is especially important because the data available is often
incomplete or statistical in nature, so it is interesting to see how sensitive the results are to changes in
the data.
9.2 Spatial structure
Even more interesting and challenging problems arise if we also consider the spatial arrangement of the
forests available for harvesting. There are typically many constraints that exist on which combinations
of trees can be harvested at a given time.
Figure 9.1(a) shows a hypothetical map of a forest region divided into sections based on some
characteristics such as
• The age of the trees,
• The kind of trees,
• The difficulty of harvesting trees, due to topography or road access,
• Ownership (a company may have leased rights for harvesting trees on land belonging to others,
who may impose constraints on when they want them harvested).
• The type of wildlife habitat provided, e.g., endangered species habitat,
107
108 Forest Resource Management
1
2
3 4 5
6
7
8
9
10
1
2
3 4 5
6
7
8
9
10
Road 1
Road 2
Road 3
Existing
Road
Road 4
Figure 9.1: (a) Map of forest sections. (b) With planned logging roads.
• Proximity to streams or rivers, since these “riparian zones” may be environmentally delicate.
Sections 3 and 8 in Figure 9.1(a) might correspond to a riparian zone, for example.
• Other environmental or social issues such as proximity to towns, parks, or trails, visibility from
highways.
Let h
ij
represent the fraction of Section i to be harvested in Decade j. Note that we have a zero-one
IP problem if each decision variable is forced to be 0 or 1.
A variety of new constraints may be imposed based on the characteristics of the sections or their
spatial location. A few examples are:
• Government regulations may limit the size of an area that is clearcut at any one time. For example,
it may be possible to harvest Section 4 or Section 5 in Figure 9.1(a), but not both at the same
time. This would lead to a linear constraint of the form
h
4j
+h
5j
≤ 1
for each decade j. If the time between harvesting adjacent sections is required to be longer, we
might have a constraint like
h
4j
+h
5,j−1
+h
5j
+h
5,j+1
≤ 1
for each j, stating that there must be at least one decade between the two harvest periods. This
is again a linear constraint which can be used in an IP approach.
• Protecting wildlife habitat may put constraints on what Sections can be harvested, or on what
combination of sections can be harvested based on proximity and habitat combinations.
9.3 Building roads
A new set of interesting constraints arise if we couple the harvesting problem together with the problem
of building new logging roads to reach the areas being harvested. Figure 9.1(b) shows the previous map
with a set of proposed roads superimposed, coming off of an existing road at the bottom of the map.
The roads are broken up into pieces which can be built independently, and 4 of these are numbered on
the map. We can then introduce decision variables r
ij
which is 1 if Road i is built in Decade j and 0
otherwise. Each section of road also has a cost C
ij
of building it in Decade j. Note that building Road
4 requires a bridge across the river in Section 3, so C
4j
is likely to be high.
9.4 Some other issues 109
In order to harvest a given section it is necessary to first build roads reaching this section, giving
a new set of constraints. For example, Road 2 must be built in order to harvest Section 6, and so we
require
h
61
≤ r
21
h
62
≤ r
21
+r
22
h
63
≤ r
21
+r
22
+r
23
and so on for each decade under consideration. There is a set of constraints of this form for each section.
Another set of constraints arises from the fact that we cannot build Road 2 until we have built Road
1. So we need
r
21
≤ r
11
r
22
≤ r
11
+r
12
r
23
≤ r
11
+r
12
+r
13
and so on for each decade. There is a set of constraints of this form for each road.
The problem is now to maximize

i,j
P
ij
h
ij
− C
ij
r
ij
subject to all of these various constraints. It
is clear that the number of decision variables and constraints can be very large in scheduling problems
of this form. Real problems for millions of acres can easily involve 10,000 variables and hundreds of
thousands of constraints.
9.4 Some other issues
A number of other issues arise in the context of forest management. One question is how to split up
land into the sorts of sections indicated in the map above, especially if there are large areas that are
fairly homogeneous but must be split up into manageable pieces, or pieces of a size that one is allowed
to harvest at one time. Or conversely there may be lots of small parcels of similar forest scattered
around that must be aggregated into a single unit to make a tractable mathematical model. One big
question is whether to use a top-down or bottom-up approach to aggregating:
• Traditional models start at top, splitting up land into large quantities that should be harvested
at one time. Must then find lots of small parcels of this type of land to actually cut.
• This can lead to a solution that can’t be implemented. The big model doesn’t see all the low-level
constraints.
• Bottom-up approach would look for perhaps the best 20 solutions for each district, then feed these
into a larger-scale model to choose the best combination of these.
• Working upward guarantees implementability but may not give the optimal solution.
Forest fire protection is another consideration, and also leads to other sorts of mathematical modeling:
• What is the best cutting pattern to minimize risk of fires?
• How sensitive is the harvesting schedule to disruption by fire? If one area is destroyed before
being harvested does it throw everything off? (Sensitivity analysis.)
• Simulation of forest fire events using historic data, weather data, fuel levels, etc.
110 Forest Resource Management
• Where should fleets of tanker planes be stationed to maximize ability to fight a fire anywhere over
a large region. (An important question in Canada, for example, where there are still huge areas
of forest.)
Other sorts of problems arise in milling trees or the manufacturing wood products, e.g.,
• How to cut trees into logs, saw logs into lumber? Need an algorithm that can decide in real time
at the mill how to cut each tree as it arrives.
• Value of each size lumber will change with time as orders are filled.
• This may feed back into optimization in the woods — what sort of trees should be cut next?
Perhaps particular trees must be found depending on order desired.
• This could also tie into crew scheduling problems since different cutting crews have different
specialties.
• There are also truck scheduling problems between forests and mills. and questions about where
to optimally locate new mills based on where cutting will be done.
• Trimming models are used in deciding how best to peel logs for veneer.
Math 381 Notes — University of Washington —Winter 2011
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2

Acknowledgments: These notes are based on many quarters of Math 381 at the University of Washington. They have developed in a wiki fashion. The original notes were compiled by Randy LeVeque in Applied Math at UW. Tim Chartier and Anne Greenbaum contributed significantly to the current version in 2001-2002. Jim Burke contributed a portion of the chapter on linear programming. Sara Billey contributed a portion of the chapter on Stochastic Processes. We thank them for their efforts. Since this document is still evolving, we appreciate the input of our readers in improving the text and its content. Sara Billey adds: I have gotten a lot of inspiration for this course from the following sources: • ”Operations Research” by Wayne Winston. • ”Mathematics in Service to the Community: Concepts and Models for Service-learning in the Mathematical Sciences” (Maa Notes #66) edited by Charles R. Hadlock. • ”Discrete Mathematical Models: With Applications to Social, Biological, and Environmental Problems” by Fred Roberts. • ”Freakonomics” by Steven Levitt and Stephen Dubner • ”Three Cups of Tea: One Man’s Mission to Promote Peace . . . One School at a Time” by Greg Mortenson and David Oliver Relin • ”Mountains beyond mountains” by Tracy Kidder • My friend Amy Smith: inventor of low-tech devices for use in developing countries. See http://en.wikipedia.org/wiki/Amy_Smith http://www.ted.com/index.php/talks/amy_smith_shares_simple_lifesaving_design.html

The following information is the bibtex citation for these notes if you want to cite them as a reference: @Book{381notes, author = {Sara Billey, James Burke,Tim Chartier, Anne Greenbaum and Randy LeVeque}, title = {Discrete Mathematical Modeling: Math 381 Course Notes}, year = {2010}, publisher = {University of Washington}, }

Math 381 Notes — University of Washington —Winter 2011

Contents
1 Introduction to Modeling 1.1 Lifeboats and life vests . 1.2 The modeling process . 1.3 The goals of 381 . . . . 1.4 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1 2 3 6 9 9 10 10 10 11 11 13 13 13 14 14 15 15 16 16 17 19 20 25 25 26 28 28 29 31 33 33 34 37 38 40 41

2 Graph Theory, Network Flows and Algorithms 2.1 Graphs and networks . . . . . . . . . . . . . . . . . . . . . . . . . 2.2 The traveling salesman problem . . . . . . . . . . . . . . . . . . . 2.2.1 Brute force search . . . . . . . . . . . . . . . . . . . . . . 2.2.2 Counting the possibilities . . . . . . . . . . . . . . . . . . 2.2.3 Enumerating all possibilities . . . . . . . . . . . . . . . . . 2.2.4 Branch and bound algorithms . . . . . . . . . . . . . . . . 2.3 Complexity theory . . . . . . . . . . . . . . . . . . . . . . . . . . 2.4 Shortest path problems . . . . . . . . . . . . . . . . . . . . . . . 2.4.1 Word ladders . . . . . . . . . . . . . . . . . . . . . . . . . 2.4.2 Enumerating all paths and a branch and bound algorithm 2.4.3 Dijkstra’s algorithm for shortest paths . . . . . . . . . . . 2.5 Minimum spanning trees . . . . . . . . . . . . . . . . . . . . . . . 2.5.1 Kruskal’s algorithm . . . . . . . . . . . . . . . . . . . . . 2.5.2 Prim’s algorithm . . . . . . . . . . . . . . . . . . . . . . . 2.5.3 Minimum spanning trees and the Euclidean TSP . . . . . 2.6 Eulerian closed chains . . . . . . . . . . . . . . . . . . . . . . . . 2.7 P, N P, and NP-complete problems . . . . . . . . . . . . . . . . . 2.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Stochastic Processes 3.1 Basic Statistics . . . . . . . . . . . . . 3.2 Probability Distributions and Random 3.2.1 Expected Value . . . . . . . . . 3.3 The Central Limit Theorem . . . . . . 3.4 Buffon’s Needle . . . . . . . . . . . . . 3.5 Exercises . . . . . . . . . . . . . . . . 4 Monte Carlo Methods 4.1 A fish tank modeling problem . . 4.2 Monte Carlo simulation . . . . . 4.2.1 Comparison of strategies . 4.3 A hybrid strategy . . . . . . . . . 4.4 Statistical analysis . . . . . . . . 4.5 Fish tank simulation code . . . . . . . . . . . . . . . . . . . . . . . . . . . . Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . i . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2. 7. .3 LPs in Standard Form . . . . . . . . . .3 Building roads . . . . . . . . . . . . . . . . . . . 5. . . . . . . . . . . .2 Work schedules . . . . . . . . . . .3 Complexity and the simplex algorithm . . . . . . . . . . . 7. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6 Ecological models and Leslie Matrices . . . . . . . 6. .3 Branch and bound algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4. . . . . . .2 An Example .2 Maximum parsimony . . . . . . . . . . . . . . . . .2 Cargo plane loading . . . 8. . . 8. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7. . . . . . . . . . .6 4.2 Solving the problem by enumeration 6. Exercises . . . . . . . . . . 9. . . . . . . . . . .4. . . . . . . . . . . . . . . .5 IP in Recreational Mathematics . . . . . .2 A pig farming model . . . 8 Evolutionary Trees 8. . . . . . . . . . . . . . . . . . 6. . . . . . . . . . . . . . . 5. . . . . . . . . . . . . . . . . . . . . .ii CONTENTS 4. . . .1 The problem . . . . . . . . . .7 Exercises . . . . . . . .4 Traveling salesman problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7 Exercises . . . . . . . . . . . . . . . . . . .1. . . . .2 Spatial structure . . . 6. . . . . .4. . . . . . . . . . . . . . . . . .1 An Example Puzzle . . . . . . . . . . . . . . .3 Convergence to steady state . . . . .1 A Markov chain model of a queuing problem 5. . . . .4 Searching the forest for the optimal tree 9 Forest Resource Management 9. . . . . . . . . . . . . . . . . . . . . . 7. . . . . . . . . . . . 5. . . .4 Other examples of Markov Chains . . . . . . . . . . . . . . . . . . . 7. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4 Some other issues . . . . . . . . .3 Maximum likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4. . . . . . .4 The simplex algorithm . 6. . . . . . . . 5. . . . . . . . . . . . . . . . . . . . . . . . .1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8. . . . . 9. .1 Breakdown of machines . 5. . . . . . . . . . . . 6. . . . . . . . . . . . . . . . . . . . . . . . . . . . .1. . . . . . . . . . . . . . . .3 The fish tank inventory problem .1. .3 Adding a third decision variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.1 Adding more constraints . . . . . . . . . . . . . . . .5. . 6. . . . . . . . . . .1 Harvesting strategies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8 Poisson processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5. . . . . . . . .2. . . . .6 Recasting an IP as a 0-1 LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 What is optimization? . . . . .2 Review of eigenvalues and eigenvectors . . . . . . . . 7. . 7 Integer Programming 7. . . . . . . . .2. . . . . . . . 6 Linear Programming 6. . . . . . . . . . . . . . . .1 Timber harvest scheduling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7 4. . . . . .5. . . . . . . . . . . . . . . . . . . . . . . . . . .4.1 NP-completeness of integer programming 7. .2 Formulation of the IP . . . . . . .2. . . . . . . . . . 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6. . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 The lifeboat problem . . . . . . . . . . . . . . . . . . . . . . . 7. . . . . . . . . . . . . . . . . . . . . . . . . . . 5. . . . . . . 9. . . . . . . . . . . . .5 General properties of transition matrices . . . . 7. . . . . . . 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 47 52 55 55 58 59 61 61 63 64 65 66 68 70 71 73 73 73 73 77 80 82 82 84 84 87 89 89 91 92 94 95 95 96 96 97 99 101 101 103 104 106 107 107 107 108 109 5 Markov Chains and Related Models 5. . . . . . . . . . . . . . . . . . . . . . . . Queuing theory . . . . . . . . .4 Card shuffling . . . . . . . . . . 6. . . . . . . . . . .

There are two unknowns x1 x2 = = number of vests number of boats 1 . 2. But for the best solution we’d like to use more of the available space and provide as many boats as possible. Suppose the XYZ Boat-builders have come to us with the following problem. which would be best. We can set this up as a mathematical problem.1 m3 of space to store. lifeboats take up much more space and so there is a tradeoff — the capacity of the ferries would be greatly reduced if they had to carry enough lifeboats for everyone. • We must have capacity for 1000 people in one or the other. otherwise the problem is impossible: 1000 × . 3. However.Math 381 Notes — University of Washington —Winter 2011 Chapter 1 Introduction to Modeling 1.05 m3 of space to store. so it would be possible to provide only life vests and have space left over. They give us the following information: • Each vest holds 1 person and requires 0. • The total space to be devoted to this equipment is at most 85 m3 . Figure out how many boats and vests are used if we exactly use all the available space and provide exactly the necessary capacity. This would require (1000/20) × 2. They are designing a new ferry boat and want to determine the number of lifeboats and life vests to equip it with. First see if it’s possible to accommodate everyone in lifeboats.1 Lifeboats and life vests Recently there was an article in the Seattle Times about Washington State Ferries and the fact that they do not carry enough lifeboats for all passengers. we must use some combination. They do carry enough life vests to make up the difference.05 = 50m3 . It would be better to carry more lifeboats since your chances of surviving are better in a lifeboat than in cold water. • Each boat holds 20 people and requires 2. Make sure there’s enough space for life vests for everyone.1 = 105m3 of space. so the answer is no. How many of each should they install? One might go through the following steps in determining a solution: 1.

1) is just a 2 × 2 linear system so it’s easy to solve. obtaining x1 x2 = 363. There are standard methods for solving these types of problems. Present the answer to the XYZ Company. The problem is better set up as a linear programming problem. 6. This suggests that if we had just a little more space (85. one saying that the total capacity must be 1000 people and the other saying that the total volume must be 85m3 . The only way to do this and keep the volume from increasing is to reduce the number of boats to 31 and increase the number of vests to keep the capacity at 1000. the 85m3 figure was just an approximation. The total volume required is 84. a substantial improvement.. 7.g. Actually it is an integer programming problem since we also have the constraint that the solution must be a pair of integers.2 Introduction to Modeling and two equations to be satisfied.05 (volume of each vest) = 2. and so there must be an even number of lifeboats”. There must be 30 boats and 400 vests. This is a linear system of equations: C1 x1 + C2 x2 = C V1 x1 + V2 x2 = V where C1 C2 C V1 V2 V = 1 (capacity of each vest) = 20 (capacity of each boat) = 1000 (total capacity needed) = 0. the total volume must be no more than 85m3 ) rather than equalities.2 The modeling process This simple example illustrates some of the issues involved in mathematical modeling: • The problem is usually not presented as a standard mathematical problem. At which point they say: “You must be crazy. a type of discrete optimization problem in which we try to maximize the number of boats subject to two sets of constraints (an upper bound on volume and a lower bound on capacity).1m3. but must be worked into this form. so we’ll have to fix up these numbers. We can easily find another 0. • There may be many different ways to model the same problem mathematically. Notice that the original mathematical solution had x2 almost equal to 32. Reconsider the solution to see if we’ve missed anything.8182 (number of boats) 5. Equation (1. In the above example we reduced it to a linear system.2m3 ).1 (volume of each boat) = 85 (total volume available) (1. Solve the mathematical problem.2m3 if it means we can fit in two more boats. we could increase the number of boats to 32 instead of 30.6364 (number of vests) = 31. Clearly we can’t actually provide fractional vests or boats. Suggest this to XYZ. Fix up the solution using this new information. .1) 4. They respond: “Well sure. But for more complicated problems of this same type this would not be possible and we would have to deal directly with the fact that we are given inequality constraints (e. 1. Everybody knows that the lifeboats are arranged on symmetric racks on the two sides of the boat. Since 31 × 20 = 620 this means we need 380 vests. Interpret the mathematical solution in terms of the real problem.

we need to interpret the answer to this problem in terms of the original problem.g. we need to study real world problems that effect real people. We can always continue to improve our model when new information comes in. Does it make sense? • Often the information presented is not complete or necessarily accurate. by how much? If not.. The most important step is “Testing”. for example. We need some more tools in our tool bag in order to do modeling. the linear system above). and we knew that this would be a good thing to do since there are standard methods for solving such systems (such as Gaussian elimination). we must learn what some of these standard problems are.3 The goals of 381 The goals of Math 381 are the following: • Learn about the modeling process. 1. These will be introduced in the course of looking at a number of modeling problems. We will seek out and solve problems related to the community around us. This Prediction . Final projects can be inspired by some of the challenges faced by non-profit organizations. small businesses. Collect collect real world data Translation Mathematical Problem/Model Testing Real world prediction Interpretation Mathematical Solution/Prediction Figure 1. • In order to learn about the modeling process. we need to assess the validity of the predictions. revise the model. How does one take an ill-defined “real world problem” and reduce it to a mathematical problem that can be solved by standard techniques? What issues are involved in dealing with real data and complex problems. The course culminates in a final modeling project. we weren’t told to begin with the information that the number of boats had to be even. We summarize the process with the following picture: Identify a real world goal.3 The goals of 381 3 • Once the “mathematical problem” has been solved (e. where we can often only hope to model some small piece of the total problem? • In order to have any chance of making a model that reduces to a “standard mathematical problem”. though some answers are much better than others! Mathematical modeling is an ongoing process of overcoming these issues described above. in the above problem we recognized early on that we could set it up as a linear system of equations. government agencies. We will see a variety of standard problems and how each can arise in many different contexts. or that the available volume was only approximate. • Often the problem is far too hard to model in detail and solve exactly.1: The Modeling Method From the picture we see that the Modeling Method is a cyclic process.1. or the university. This example was quite straightforward in this regard. For example. but typically one must make decisions about what aspects to consider and which can be safely ignored (or must be ignored to get a solvable problem). Here. Whenever we create a mathematical model. Did the proposed solution work better? If so. Often there is no “right answer”.

g. airplanes.) Moreover there are typically a discrete set of possibilities to choose between. which means the mathematical problems typically involve a discrete set of values or objects (e. – Time series analysis and forecasting. – Game theory. and interpreting the results of the model. for example differential equations. Along the way we also will learn something about techniques for solving some of the standard problems listed above. This will build your written communication skills. taking a problem and setting it up as a mathematical problem. • Math 381 concentrates on discrete modeling. or specialists in another discipline. – Decision analysis. • Another goal of the course is to give you experience in working together with others on a mathematical problem.. – Stochastic processes and Markov chains. • The main emphasis of this course will be on the modeling process. – Difference equations and recurrence relations. This is necessary in order . e. DN A sequences. – Dynamic programming. – Discrete dynamical systems. Discussion will be encouraged in class and collaboration is encouraged outside of class. – Network flows and network optimization. • The project also must be written up in an appropriate manner. – Graph theory. solving a linear programming problem by the “Simplex Method”. – Queuing theory. lifeboats. or more commonly by a mathematician working together with community members. boxes. – Monte Carlo simulation. the life vests. it is clear that the solution to the problem above must consist of at most 1000 vests (since this would accommodate everyone) and at most 40 lifeboats (since this would use all the available space). This is an important part of any real-world modeling project and an important skill to master. – Combinatorics and combinatorial optimization. You will receive W credit on your transcript for this course. During the quarter you also will read some papers written by others where modeling problems are presented and do some shorter writing assignments. or more beneficial. but is typically very inefficient. The projects must be done in groups. in which case different mathematical techniques are used. people.g.4 Introduction to Modeling is a service-learning course for which you can receive S credit on your transcript by satisfying the requirements. Trying out all of the possibilities to see which is best might be one possible approach. Such models are studied in AMath 383. fish tanks. For example. dollars. This is the way most modeling is done in the real world: by teams of mathematicians. There are many standard mathematical problems and techniques which are useful in discrete modeling. but as mathematicians we recognize that it is much easier to simply solve a 2 × 2 linear system. Many modeling problems are better solved with continuous models. etc. Some of these are: – Linear programming and integer programming. engineers. scientists. cheaper. We want to use mathematical techniques to make the job easier. One could try all possible combinations and find the right mix by trial and error.

including Industrial Engineering and Management Science.1.ms.washington. There are also other related courses in other departments. 492: Stochastic processes – CSE 373: Data structures and algorithms – CSE 417: Algorithms and Complexity – Industrial Engineering 324. but the study of methods for solving these problems is not the main emphasis of this course. Some of these are: – Math 461: Combinatorics – Math 462: Graph Theory – Math 407: Linear optimization – Math 408: Nonlinear optimization – Math 409: Discrete optimization – Math 491.3 The goals of 381 5 to solve the modeling problem.edu/acms .5.6: Operations Research This course will provide an introduction to many of these topics which might motivate you to take some of these other courses and pursue the mathematics in more depth. There are other courses which concentrate on understanding the mathematical aspects of these problems and the methods which have been developed to solve them. See the description of the Operations Research Option in the ACMS B.S. Degree Program for a list of some of these: http://www.

small business issues. each with strawberries yields $300 profit. (c) What new information might come to light during the testing phase of the modeling cycle? 4. California Flagstaff. In particular. Farmer Jane is a local organic farmer. with many people commuting to mainland jobs each day. what . Nevada Yellowstone National Park Denver. and others are still fairly rural. 2. similar to the San Juan Islands in the Puget sound. state the goal in real world terms and translate that goal into a mathematical goal stated in terms of variables and equations. Suppose we are trying to design a ferry schedule for a set of islands. Using the data on the network map. life on campus. what is the best route to take? (First think about what “best” means!) (b) Suppose you are planning your vacation for next summer and would like to visit a number of different places: • • • • • • Reno. but think about what is involved in solving this problem and write down some of your thoughts about translating this goal into a mathematical problem. (a) Suppose you want to drive from San Francisco to Denver. She is going to plant each acre with pumpkins or strawberries. Consider the problem about “Lifeboats and Lifevests. Define all of your notation and assumptions so that a reader who has not read our course notes would be able to follow your description. Arizona Your trip will begin and end in Seattle. Each acre planted with pumpkin yields $200 profit. 3. Can you identify any mathematical problems that would naturally arise? 5. The labor and fertilizer used for each acre are given in the table below: Pumpkin Strawberry Labor : 3 workers 2 workers Fertilizer : 2 tons 4 tons One hundred vollunteer workers and 120 tons of composted fertilizer are available. you can find a network map of the United States from the Rand McNally Road Atlas which shows distances and estimated driving times between various cities in the west. Again. There are 8 islands with different personalities.6 Introduction to Modeling 1.” Practice breaking down a modeling problem into the 4-stages of the “Mathematical Modeling Cycle” by carefully describing each stage of this modeling problem. Consider recent events in the news. and some ideas as to how you might go about modeling this and what sorts of strategies you might consider in designing a schedule. and clubs that you belong to. Colorado Salt Lake City San Francisco. What is the best route to take? You don’t need to find the answer. (b) Describe each step of the modeling cycle with regard to Jane’s farming situation. Describe three problems that arise in everyday life which could be attacked using discrete mathematical modeling.4 Exercises 1. others are “bedroom communities”. games you like to play. On our class website. (a) Help Jane decide how many acres of each crop to plant in order to maximize profit. Write approximately one paragraph for each problem. Some are big tourist centers. She owns 45 acres of land. What are some of the issues you would need to address in designing a ferry schedule for this set of islands? Write down some questions you would need to answer before starting.

226-234. May-June 2004. No. Interfaces Vol.1. . pp. 34. (a) You have been asked to evaluate the voting strategy used by the Academy Awards applied to job applications reviewed by a committee. (b) Explain in your own words why the most popular movie of the year is not chosen to receive the “Best Picture” award by the Academy. Write a second paragraph indicating the pros and cons of the this strategy in evaluating applications. Use the vocabulary you have learned from this article. Read “Decision Rules for the Academy Awards Versus Those for Elections” by William Gehrlein and Hemant Kher. This paper is included in the appendix of the course notes.4 Exercises 7 is meant by “best”? Are there other constraints you might want to consider before trying to answer the question? 6. 3. Write a one paragraph summary of the voting strategy used for the Academy Awards.

8 Introduction to Modeling .

9 . a graph is a collection of vertices or nodes which are connected by edges.1 shows a few types of (connected) graphs that arise in many different applications: • A directed graph (or digraph) has arrows on edges indicating what direction one can move between nodes. Network Flows and Algorithms 2. The vertices and edges of a graph might represent any number of different things. • A tree is a connected graph which contains no circuits. A graph is connected if there is a way to get from any vertex to any other vertex by following edges. The map has a labeled point for each city and lines connecting nearby cities are labeled by the distance between the two cities. For example.g. the vertices in a digraph might represent legal positions in a game. Or the vertices could represent individuals in a hierarchical organization. A network could also be directed. Figure 2. One might ask a question like “How should we drive if we want to visit every city on the map?” This is an example of a network flow problem from graph theory. with an edge from A to B if Person A reports to Person B. depending on the application.1 Graphs and networks Imagine you are planning a trip around the United States based on a map showing distances between various cities and points of interest. e. Graph Directed graph 2 4 3 5 12 10 4 2 3 6 8 6 Network Tree Figure 2. with an arrow from Vertex A to Vertex B if you can go from Position A to Position B by a single legal move.1: Some common graphs. • A network has weights on the edges. for example if some routes on the map are one-way streets.Math 381 Notes — University of Washington —Winter 2011 Chapter 2 Graph Theory. A family tree is one familiar example. the distance or driving time in the map example. often indicating the cost of moving from one vertex to the neighbor. These and other examples are discussed in [Rob76]. More generally.

Network Flows and Algorithms 2. e. Here “instruction” means a lowlevel machine operation and it typically takes many cycles to perform one arithmetic operation such . 2.2. Note that what we have counted is the number of ways one can permute the N cities. we have 4 choices. the number of possible routes we must check is N ! = N · (N − 1) · (N − 2) · · · 3 · 2 · 1. In general for any set of N distinct objects there are N ! possible orderings. Then we have to choose the city to visit third and there are only 2 unvisited cities left. for the TSP with N cities (actually N + 1 cities including Seattle). 008. 640. having an edge between every pair of vertices. Finally the fourth city is determined since there is only one city left. 5! = 120 10! = 3. Similarly.2.6 million possibilities. For a TSP with 10 cities we would need to check about 3. but the same mathematical problem arises in many contexts.. This is called the “brute force approach” since we aren’t using any sophisticated ideas to do an intelligent search for the best route. Counting questions like this are one aspect of the mathematical field of combinatorics. To get an idea of how long this would take. To do a count for this 4-city TSP.1 Brute force search One way to solve this problem is to simply enumerate all the possible routes. note that we must choose one city to visit first and there are 4 possibilities. This name comes from one particular application.2 The traveling salesman problem A famous network flow problem is the traveling salesman problem (or TSP for short). we must choose which city to visit second and there are only 3 possibilities since this must be a different city. This is a computer which performs 500 million “instructions” or “cycles” every second. But unfortunately N ! grows very rapidly with N . then 3 choices.10 Graph Theory. and returns to the original vertex? Studying the TSP gives a good introduction to the mathematical theory of combinatorics and complexity of algorithms. It may still take some thought. Once we’ve chosen that city. we’re just doing the obvious thing. where the four cities are labeled A. General formulation of TSP: Given a network with N + 1 vertices. 000 50! ≈ 3 × 1064 . and choose the shortest. 800 20! = 2. B. then 2 and 1. however. visits every other node exactly once. Consider the TSP for a salesman who wants to start in Seattle. What is the optimal order in which to visit the other cities? 2. and also will tell us something about how long it will take to do this brute force search. to figure out how to systematically enumerate and check each possibility without missing any routes. 902. 176. what is the shortest path through the network which starts at a particular vertex. determine the total length of each. or permutations of the N objects. and end up back in Seattle. consider a 500 MHz PC. visit 4 other cities.2. 432. Starting from the city of origin O. 628. D.2 Counting the possibilities The first question is: how many possible routes are there? This will give us some guidance when designing an algorithm to check them all. still fairly easy on a computer. The total number of distinct routes is 4! = 4 · 3 · 2 · 1 = 24. This is illustrated as a decision tree in Figure 2. C. With only 4 cities we could quickly compute the traveling salesman’s path length for all 24 permutations by hand and determine the shortest route.g.

using the brute force approach.2 The traveling salesman problem 11 as an addition or multiplication. Supercomputer speeds are often measured in gigaflops (billions of flops) or teraflops (trillions of flops). using more sophisticated mathematical techniques.2. Many simple problems suffer from this kind of combinatorial explosion of possible solutions as the problem size increases. A 500 MHz machine might do about 40 megaflops. then the 6 routes starting with B. ordered from “lowest” to “highest” in lexicographic ordering. but suppose that we are working on a machine that can examine ten million routes per second. We now have about 2. Then solving the 10-city TSP would take about 1/3 of a second. If we are unlucky then we might not be able to prune much of the tree and in the worst-case scenario we have to examine the entire decision tree anyway. we could solve by enumeration. Even if we move up to a supercomputer that is a thousand times faster. and discarding any partial paths whose cost exceeds 14.3. 2. a useful measure of a computer’s speed is the number of floating point operations per second. the routes are grouped by which city comes second. to prune away those branches of the tree. one finds that O-DABC-O costs only 11.4 × 1011 seconds. that branch of the tree can be eliminated from further consideration. For a TSP with 50 cities there is no conceivable computer that could find the solution in our lifetimes. since the cost of that edge alone is 16.2. one might be able to rule out some paths early if their cost exceeds that of the best path discovered so far. and so on. Examining next the paths that begin with O-D. etc. adding up the length between each pair of cities on the route. However in practice a good branch and bound algorithm will typically be much faster than pure enumeration. After discovering this. which route is shortest.3 Enumerating all possibilities For an N-city TSP with N sufficiently small. Machine speed is often measured in megaflops (millions of floating point operations per second). Not bad. as well as more work to keep track of which route to examine next. engineers and scientists do. equivalently. for example. This requires some algorithm for systematically checking every possibility.4 × 1018 routes to examine.4 Branch and bound algorithms Instead of evaluating the cost of every path appearing in the tree of Figure 2. Within each set. This type of algorithm is sometimes called a branch and bound algorithm. This leads to the path O-ADCB-O. By continuing to check the other paths that start with O-A. Paths beginning with O-C and O-B still must be checked. and at a rate of 10 million per second this will take 2.715 years. .2. These are called floating point operations since scientific notation is usually used to represent a large range of values on the computer. it would take almost 8 years. Returning to the traveling salesman problem. note that to compute the length of a single route requires about N additions.2. 2. For computations of the sort mathematicians. the network in Figure 2. The key idea is to obtain some sort of bound on how good the shortest path within a given subtree could possibly be and. DB) can be eliminated. called flops. Nonetheless such problems are solved daily. if a less costly path has already been identified. which is no improvement in running time.2 that uses edge BD (or. Figure 2. one finds that the path O-ABCD-O has a cost of only 14. so called because this is the order that would be obtained by putting the 24 strings representing different routes into alphabetical order. Let’s not worry too much about the exact cost. Consider. and this enables one to eliminate even more possibilities.2 shows one way to think about enumerating all the possible routes for the 4-city TSP. any path in Figure 2. One might first try a greedy algorithm that takes the shortest edge to a new city at each step. In the rightmost column is an enumeration of all 24 routes in the lexicographic order. which makes it impossible to simply enumerate and check every possibility. which has a total cost of 15. and problems are solved this way which would otherwise be intractable. Note that the 3! = 6 routes starting with A come first. But already with 20 cities it would be difficult to find the answer using this brute force approach. but as soon as the cost of a partial path exceeds 11. which is about 7. thereby reducing the required computation.

and D. C.3: A traveling salesman network starting from Seattle and visiting four other cities A. C. Network Flows and Algorithms AB A AC AD ABC ABD ACB ACD ADB ADC BAC BAD BCA BCD BDA BDC CAB CAD CBA CBD CDA CDB DAB DAC DBA DBC DCA DCB ABCD ABDC ACBD ACDB ADBC ADCB BACD BADC BCAD BCDA BDAC BDCA CABD CADB CBAD CBDA CDAB CDBA DABC DACB DBAC DBCA DCAB DCBA BA B BC BD O CA C CB CD DA D DB DC Figure 2.2: Decision tree for enumerating all possible routes in a traveling salesman problem starting from City O and visiting four other cities A. The right column shows an enumeration of all permutations of the 4 cities. . A 2 B 2 5 Seattle = O 1 4 3 D 6 C 9 16 1 Figure 2. and D. B. in lexicographic order. B.12 Graph Theory.

but many other problems can be put into this form even if they don’t involve “distance” in the usual sense. There are other problems which are essentially much harder. While many algorithms have been developed which work very well in practice.4. e. If we double the size of the problem then the amount of work required roughly doubles. The “big Oh” stands for “order” — it takes order N work and we’re usually not too concerned about exactly what the size of the constant c is. For some algorithms the work required increases much faster with N . It’s fun to try to construct word ladders to go from some word to a very different word with as few intermediate words as possible. say the traveling salesman problem.3 Complexity theory 13 Many other algorithms have been developed for the traveling salesman problem and for various special cases of this problem.g. there is often a parameter N which measures the “size” of the problem. there is no algorithm known which is guaranteed to solve all TSP’s in less than exponential time. • If the linear system is upper triangular. like O(2N ) or like O(N !). then it only takes O(N 2 ) operations using “back substitution”. Checking the value of each item and keeping track of the largest value seen takes O(N ) operations. An O(N 2 ) algorithm requires work that is proportional to N 2 . We say that such an algorithm requires O(N ) work.7 for more about this. however. For most problems we will discuss with polynomial time algorithms. each of which is identical to the previous word in all but one letter..) 2. The problem of finding the shortest route on a map is one obvious example. For example. • Solving a system of N linear equations in N unknowns using the Gaussian elimination algorithm takes O(N 3 ) operations. The larger p is. In particular we want to know how fast this grows as N increases.2. 2. then we are interested in knowing how much work the algorithm requires as a function of N . we can make FLOUR into BREAD as follows: . 2. which means that doubling N increases the work required by a factor of 4. and which apparently require an amount of work which grows exponentially with the size of N .3 Complexity theory For a particular mathematical problem. An introduction to many of these can be found in [LLAS90]. the value of p is typically fairly small. 2.4 Shortest path problems A class of problems that arise in many applications are network flow problems in which we wish to find the shortest path between two given vertices in a network.1 Word ladders A word ladder is a sequence of valid English words. If we have an algorithm for solving the problem. like 1. (See Section 2. meaning it is roughly cN where c is some constant. the more rapidly the work grows with N . the number of vertices in the network. If an algorithm requires O(N p ) work for some p then it is said to be a polynomial time algorithm. • Dijkstra’s algorithm for finding the shortest path between two vertices in a network (see below) requires O(N 2 ) work in general. Such problems can generally be solved fairly easily on a computer unless N is extremely large. Here are some examples of polynomial time algorithms: • Finding the largest of N values. The traveling salesman problem is in this category. or 3 in the examples above. For some algorithms the amount of work required (or time required on a computer) is linear in N .

3 Dijkstra’s algorithm for shortest paths Dijkstra’s algorithm is a systematic procedure for finding the shortest path between any two vertices.) This can be set up as a network flow problem. then we could in principle construct a graph where the vertices consist of all N -letter words in the English language. Given a network and two specific vertices. The set of all shortest routes is built up in N steps. there may be very many possible paths to choose between. Suppose we are considering N -letter words. By the end we know the best route to every other node and in particular to the destination node.4. the next closest node in Step 2. which describes a general platform for combinatorial computing. and so on. To implement it on a computer for a large network requires some suitable data structure for storing the network with information about which vertices are connected to one another and the weight of each edge. We draw an edge from one vertex to another if those two words are simple mutations of each other in which only a single letter has been changed. In this case we could visit any or all of the other vertices on the way between the start and finish. particularly if the graph is drawn in such a way that the physical distance between the vertices roughly corresponds to the weight of the edge. similar to that described for the TSP. how do we find the shortest path between them? For small networks this is easy to do by trial and error. 2. by finding the closest node in Step 1. that of finding the shortest route to all other vertices from a given vertex. The rows . just as for the TSP. How many? In the worst case. as is the case for a map.2 Enumerating all paths and a branch and bound algorithm One approach to solving a shortest-path problem would be to enumerate all possible paths between the start and end vertices. 2. compute the length of each path. for this problem there turn out to be much more efficient algorithms which are guaranteed to give the answer with relatively little work.14 Graph Theory. Actually this algorithm solves the problem by embedding it into what appears to be a harder problem. how could we determine the shortest word ladder between them? (Assuming there is one. To enumerate all paths. and hence the total work is O(N 2 ). or determine that none exists. The set of all possible paths could be searched more efficiently using a branch and bound algorithm. But the weights may have nothing to do with physical distance and at any rate if there are thousands or millions of vertices and edges it may be impossible to even draw the graph. The problem with this approach is that for a graph with N vertices. A word ladder then corresponds to a path through this graph from one word to the other. Network Flows and Algorithms FLOUR FLOOR FLOOD BLOOD BROOD BROAD BREAD Given two English words with the same number of letters. and choose the shortest.4. One way to represent a network or directed network on a computer is with a matrix. In fact this graph (with nearly 6000 vertices) has been constructed for N = 5 by Don Knuth and is available on the web (see the pointer from the class webpage). so the work required is O(N ) in each of the N steps. Word ladders and algorithms for manipulating these graphs are discussed at length in [Knu93]. Each step requires examining the distance from the node that was “solved” in the previous step to all unsolved nodes which can be reached from this node. This requires examining at most N − 1 edges.2 for the TSP. and the number of possible paths would be exponential in N . there would be an edge connecting each vertex with each of the N − 1 other vertices. we could build a “decision tree” similar to what was illustrated in Figure 2. Finding the shortest word ladder is equivalent to the shortest-path problem through a network if we assign every edge in the graph the weight 1. However.

In graph theoretic terms. A matrix representation of the network in Figure 2. {BC}(53). this is accomplished via a minimal cost spanning tree. it is a tree.3 is: O − 0 2 5 4 3 A − 2 0 2 9 1 B C − − 5 4 2 9 0 1 1 0 16 6 D − 3 1 16 6 0 O A B C D | | | | | We’ll go through some simple examples of Dijkstra’s algorithm in class.4. if it does not form a circuit with edges already in the good set.g.5 this order is: {AB}(8). The first edges added to the tree from Figure 2. {CE}(12).5 Minimum spanning trees Another type of problem that arises in many applications is to connect a collection of vertices at the lowest possible cost. This is continued until the good set has N − 1 edges. [HL95] and [Rob84]. Examples include highway construction and telephone line installation: the vertices represent cities and the roads or phone lines correspond to edges constructed so that there is some path between every pair of vertices. Figure 2. A writing assignment will be to produce your own description of this algorithm. It is described in many books.5 Minimum spanning trees 15 and columns correspond to the nodes of the network and the (i. {BE}(54). j) entry of the matrix is the weight on the edge from node i to node j (or. that entry can be set to ∞)... and {AE}(70). There are two wellknown algorithms for finding a minimal cost spanning tree in a connected network: Kruskal’s algorithm and Prim’s algorithm. it is added to the good set. 2. For the network shown in Figure 2. Each graph in Figure 2. e. it means that the original graph must not have been connected. If a group of vertices is connected by edges that do contain a circuit.4 has N = 5 vertices. if there is no edge from i to j. {AD}(63). . and the two trees have e = 4 edges. Recall that a tree is a graph that is connected and has no circuits.4: Graphs with circuits and corresponding spanning trees In a spanning tree. {DE}(22). a spanning tree). and this fact can be reported to the user.1 Kruskal’s algorithm Kruskal’s algorithm begins by sorting the edges of the graph in order of increasing cost.e. clearly the least expensive way to connect the vertices will be via a graph with no circuits (i. Since each edge has a nonnegative cost associated with it. the number of edges is always one less than the number of vertices: e = N − 1. Since the good set has no circuits. {CD}(10).5. then it is not hard to see that one (or more) of the edges can be removed without destroying the connectedness of the graph. This is illustrated in Figure 2. Each edge is then considered in turn and.2.5 are {AB}. 2. If all edges have been examined and the good set still does not have N − 1 edges.

5. When the weights on a network for the traveling salesman problem represent actual distances between points in a plane. vertex D. and {CE}. no matter where you start. In this case. The two algorithms generate the same result. D. the next edge to be added is {CE}. the weight or cost of going from vertex A to vertex B is the same as that of going from B to A.2 Prim’s algorithm Prim’s algorithm for finding a minimal cost spanning tree avoids the initial sorting phase of Kruskal’s algorithm. The best implementations of these algorithms run in O(E log2 N ) time. 2 2 2 so the work required is O(N log2 N ). {AB}. so this edge is skipped and edge {BC} is added to the tree. it reports that the graph is not connected.5. . but it is found to form a circuit with edges already in the tree. Finally the lowest cost edge between either B. if there is more than one minimal cost spanning tree). for instance. Exercise: Try using Prim’s algorithm with different starting vertices. or E to one of the remaining nodes.3 Minimum spanning trees and the Euclidean TSP Often the weights on the edges of a network represent actual distances between cities or other destination points. namely. {CE}. Do you see why Kruskal’s algorithm and Prim’s algorithm generate the same result? Both Kruskal’s algorithm and Prim’s algorithm are polynomial time algorithms.16 Graph Theory.5: Minimum spanning tree 2. where N is the number of vertices and E the N number of edges in the original graph. Edge {DE} is then examined. and the costs also satisfy the triangle inequality: cost(AB) + cost(BC) ≥ cost(AC). Now the tree has N − 1 = 4 edges. Network Flows and Algorithms {CD}. 2. In the latter case. Prim’s algorithm begins by choosing any vertex from the graph and including it in the tree T . In our example problem. the problem is called a Euclidean TSP. when the minimal cost spanning tree is unique. D. For the graph of Figure 2. We then search for the lowest cost edge joining C. It then finds that edge in the graph joining a vertex in T to one not in T which has the lowest cost: {CD} in our example. however. or E and A is added. C. and {BC}. The edges of the minimum spanning tree are: {AB}. so the algorithm is finished. This step is repeated until the tree has N − 1 edges or until there are no more edges joining vertices of T to vertices not in T . and add edge {BC} to the tree.5. The number of edges in a graph is at most = N (N −1) . we could choose. {CD}. A 70 63 E 22 D 10 12 C 8 54 53 B Figure 2. Convince yourself that it generates the same minimal cost spanning tree (or one with the same cost.

The o situation is pictured in Figure 2.6. To see this in a more formal way. The total cost of this path is twice the cost of the minimum spanning tree. OABCBAODO. cross each bridge exactly once.6. which also traverses each edge of the minimum spanning tree twice. Then backtrack along these edges until you reach a point from which you can traverse a new edge to visit a new node or until all of the nodes have been visited and you can return to the origin. move along edges of the minimum spanning tree until you can go no further. This gives a lower bound on the cost of the optimal tour.6 Eulerian closed chains 17 While there is no known polynomial time algorithm for solving the Euclidean TSP. Had we chosen the other path. this tour is ODABCO and has a total cost of 40. then the object is to plow or sweep each street once but. it would have been replaced by the tour OABCDO.7. Path OD-O-ABC-BA-O costs twice as much as the minimum spanning tree.2. and return to the starting point. Since the minimal cost spanning tree is the lowest cost set of edges that connects all of the vertices. any traveling salesman tour that visits all of the vertices must cost at least as much as the minimal cost spanning tree: 25 for our example. there is an easy way to find a route whose cost is within a factor of two of the optimal: Construct a minimum spanning tree. If the edges of the graph represent streets. and the cost will be no greater. which has a total cost of 34 (and turns out to be the optimal tour for this problem). any path between nodes that visits other nodes along the way that have already been visited can be replaced by a direct route between the given nodes. then we must leave that node along a different edge. and returns to the starting point. whose cost is within a factor of two of this value. you can probably convince yourself that the answer is “No”. There are seven bridges and the question is whether one can start at a particular point. The path constructed in this way is not a legitimate tour for the TSP. while the tour derived above. Starting at the origin node. if there are three or five or . not to backtrack over streets that have already been serviced. In fact. This type of problem is also popular in many mathematical games. If there is only one edge through the node then this will not be possible. traverses each edge of the graph exactly once. it is said that graph theory was invented by Euler in the process of settling the famous K¨nigsberg bridge problem. 2. This problem might arise. since it visits some nodes more than once. Thus one arrives at a tour whose cost is at most twice that of the minimum spanning tree.6 Eulerian closed chains Still another type of graph thoeretic problem that arises in many applications is that of finding an Eulerian closed chain: A path that starts at a given node. If you try it for a while. But because the weights satisfy the triangle inequality. and tour ODABCO is within a factor of two of optimal. Note that if we start at a particular node in the multigraph and travel along one edge to a different node. For the example in Figure 2. if possible. in scheduling snowplows or street sweepers. A 5 O 7 10 5 D 13 9 C 12 11 7 8 B Figure 2. let the land masses in the problem be represented by nodes and the bridges by edges in a multigraph (a graph that can have more than one edge between a pair of nodes).8.6: Euclidean TSP network with minimum spanning tree. Another possible path is OABCBAODO. This information can be used within a branch and bound algorithm to hone in on the actual optimal tour. Moreover. This multigraph is shown in Figure 2. This is illustrated in Figure 2. for example. where the minimum spanning tree is marked and the suggested path is ODOABCBAO. provides an upper bound.

we may not have traversed all of the edges of the multigraph. for example. so go to any vertex that has some unused edges through it: vertex C.) A good way to establish the sufficiency of Euler’s theorem is by describing an algorithm for computing an Eulerian closed chain in an even connected multigraph. because we must enter the node in order to use that edge. and then to A. if we enter we can also leave. Consider. for every other vertex. and if there are an odd number of edges through it. The same holds for the starting node.8: Multigraph representing the bridges of K¨nigsberg o any odd number of edges through that node. we might go from C to E to F to G to E to C. Moreover. back to B. This path can be combined with our previous one to form the chain: .8 since. it is the only one with an odd number of unused edges through it. But at that point we are stuck. Using the above sort of reasoning Euler proved the following: Theorem (Euler[1736]). For each of the vertices visited we use an even number of edges — one to enter and one to leave — each time we visit the vertex. If there is only one edge through it. the multigraph in Figure 2. and repeat. For example. then we can leave but never return. C. (In fact. A multigraph G has an Eulerian closed chain if and only if it is connected up to isolated vertices and every vertex of G has even degree. so that the number of unused edges through each vertex remains even.18 Graph Theory. once we leave the initial vertex. for example. D. At this point. we will have to enter then leave the node until there is only one unused edge remaining. go to B. Therefore our path can end only back at the original vertex. then we can leave and return a certain number of times but eventually we will be at the starting node with one unused edge remaining to traverse. all of the vertices in this multigraph have odd degree. Start at any vertex and travel to other vertices along unused edges until you can go no further.7: The bridges of K¨nigsberg o A B D C Figure 2. Network Flows and Algorithms A B D C Figure 2. then in order to traverse all of these edges. Take one of the unused edges to a new vertex and again continue until you can go no further. The degree of a vertex is defined as the number of edges through that vertex.9. we might start at A. for example. There is no Eulerian closed chain in Figure 2. vertex D has degree 3. The condition that the graph be connected up to isolated vertices just means that there is no edge that cannot be reached at all. For example. but then we cannot leave.

however. This problem does lie in a larger class called NP. the set of all problems that can be solved in P-time. are there problems in N P which are not in P? Or does P = N P? This is one of the great unsolved problems of theoretical computer science. might lie in the class P but probably don’t. Is it a proper subset? In other words. If so. 2. nobody has yet found the P-time algorithm. and NP-complete problems C E 19 B A G D F Figure 2. Some problems. Some progress was made toward this problem when Karp [Kar72] showed that many hard problems lie in a set of problems within N P called the NP-complete problems.9: Multigraph with an Eulerian closed chain ABC − EF GEC − DBA. Then it is possible to construct examples in which there are exponentially many paths in the solution set. e. N P. The amount of work required to find an Eulerian closed chain is proportional to the number of edges in the multigraph. so P is a subset of N P. and NP-complete problems We have seen that some problems. A problem which is not in N P is more clearly hopeless. For more discussion of such problems. Such problems are in the class P. The basic idea is that for a problem in this class it is at least possible to check one possible solution in polynomial time. NP stands for nondeterministic polynomial.. such as the traveling salesman problem. N P. such as the shortest path problem. see for example [GJ79]. and so are many other famous and easy-to-state problems.2. . and the Eulerian closed chain problem. and the exact definition is a bit complicated. [Sip97]. if we could search efficiently enough. For such problems there is at least a chance one could find a P-time algorithm to find the best path.7 P. so we repeat by going from D to F and back to D. The TSP is NP-complete. then every problem in N P can be solved in P-time and so in fact P = N P. can be solved in a number of steps that is polynomial in the size of the problem.g. Note that any problem in P is also in N P. suppose we consider a variant of the TSP in which we specify a number B and we wish to find all tours on a given set of N cities which have total length B or less. which have the following property: if any one of them can be solved in P-time. the minimum spanning tree problem.7 P. Combining this with the previous chain gives an Eulerian closed chain: ABCEF GECD − F D − BA. There are still two unused edges in the multigraph. for the TSP it is possible to compute the length of any one possible path with only O(N ) operations. so even writing down the solution if we knew it would take exponentially long and clearly there’s no hope of a P-time algorithm to solve the problem. For example. such as the Hamiltonian circuit problem and the integer programming problem.

drywall must be put up and it must be painted. Circle the webpage address on your printout or write it on the printout. 4. Flooring requires 3 units of time if the walls have already been painted and 2 units of time otherwise. As a mathematical modeler.) Submit the bibliography entry for this textbook in the format found in (1a). could figure out the algorithm and apply it to solve a problem. from journal articles and from webpages. 5. A house has been framed and now several jobs remain to be done. Electrical wiring must be installed. solve it.20 Graph Theory.C. Submit the full bibliography reference for this article and a paragraph description of the main problems addressed in this paper. The genetic code in a DNA molecule consists of a string of symbols. Note. with no other books or lectures on the subject. Write these up neatly enough that others can read them. Discuss the computational complexity of a naive algorithm for finding an order of visits that minimizes the total travel time. (Choose a different one if you don’t like the first one you open. you must submit all information requested for each item below to receive full credit so read each problem carefully.8 Exercises 1. . (a) Count the number of all DNA words having length at most 3 by listing them all. why it is important (perhaps in the context of a real problem). Read the first chapter of the book. roofing requires 6 units of time. or other people with similar background. but not in two consecutive times. Network Flows and Algorithms 2.) Read the first 3 pages of the article. For the chosen exercise. but try also to be fairly concise (2 pages at most). a roof must be added. who have not taken a course in graph theory algorithms (or this class). each of which is one of four letters T.A and G. so please make it easy on each other! 3. The electrical work must be done before the drywalling. An algorithm will be presented verbally to you in class for finding the shortest path between two given nodes in a network. and the drywall must be installed before it can be painted. Draw a network showing the possible scheduling orders for the different jobs. Write a description of the algorithm aimed at students at your level. Bookmark this page for future reference. Here is a scavenger hunt to get you started on this process. then submit this information. Explain it in such a way that someone reading only your document. copy the problem. 2. (b) Give a formula for computing the number of DNA words of length n and justify your formula using the Basic Counting Principles discussed in class. The roof must be on the house before either painting or flooring work can be done. You will probably want to use illustrations and a specific example in order to make it clear. Explain what the goal of the algorithm is. you will often need to learn new math on your own from books at the math library or at Odegard. (a) Find a webpage which outlines standard format for a bibliography. The electrical work requires 4 units of time. We will exchange papers and have a chance to comment on another person’s document. and carefully write out the solution. Suppose that there are n phone booths in a region and we wish to visit each of them twice. and flooring must be installed. (c) Find a journal article by Kruskal from 1956 that appeared in the Proceedings of the American Mathematical Society. Painting requires 5 units of time if flooring has already been installed and 3 units of time otherwise. (The UW reference librarians can be very helpful looking up research articles. (b) Go to the math library and find a textbook on “Graph Theory”. Print out the page specifying how to write the bibliography entry for a book and submit this with your homework. and how it works. Choose one exercise from the first chapter. and drywalling requires 3 units of time.

and D and return to O. Frankfurt. A number of locations are also indicated on the map. and Vienna. B. Show the portion of the tree that you constructed in finding this route. The following table shows distances (in km) between some major European cities: London London Paris Madrid Frankfurt Rome Vienna 343 1261 634 1444 1237 Paris 343 1050 471 1117 1037 Madrid 1261 1050 1434 1377 1812 Frankfurt 634 471 1434 960 604 Rome 1444 1117 1377 960 765 Vienna 1237 1037 1812 604 765 (a) Suppose a traveling salesman wishes to start in London. Below is a map of Oneway City. For example. I constructed it to make the branch and bound algorithm fairly simple to apply. (b) Determine the fastest route from start to finish doing all jobs in series. 6.) 7. and C (ignore D for now) and two edges between each pair of vertices. (each exactly once) and return to London. B O C A D (a) Draw the complete directed graph with vertices corresponding to O. How many possible routes are there for him to take? . You might want to experiment with similar problems where the answer isn’t so obvious. A.2. one in each direction. a poorly planned town with one-way streets as indicated. Rome. B. Label each with the distance (number of blocks) one must travel to get from one location to the other. Use the branch and bound algorithm to find the best route. C. the distance from A to C is 1 block and from C to A is 11 blocks. indicating the partial distances computed and indicating what parts of the tree you were able to prune off. Madrid. (b) Suppose a delivery van leaving from O must visit A. (It is pretty obvious what the best route is in this case.8 Exercises 21 (a) Encode the constraints for this problem as the Hasse diagram for a partial order. visit Paris.

An upper-triangular linear system has  a11 a12  0 a22   0 0 0 0 the form a13 a23 a33 0  x1 a14 a24   x2  a34   x3 x4 a44   b1   b2  =    b3  b4  for example. how many to solve an upper-triangular system of 1000 equations? 9. then they are charged $70 per week. but if anyone rents the property for at least 4 weeks. for example. then the previous equation for x3 . and indicate the order in which you consider edges for inclusion in your tree. Find a route that is within a factor of 2 of being optimal. Let G be the graph below.) How many multiplication operations does this require? (Count a division the same as a multiplication.) c s           s s   a b 10. assume you rent out the property for 10 weeks in total and you have received the following 6 requests specifying which week each renter would like to start and how many weeks they want to stay (duration) person start week duration A 1 1 B 1 4 C 3 2 D 5 3 E 7 2 F 9 1 Say the rate of renting the property is $100 per week normally. you receive a number of requests for the property. How many subgraphs does G have? (Give an exact answer.) Exactly how many “multiplies” does it take to solve a general n × n upper-triangular system? In particular. For example. 8. (c) Determine a lower and upper bound on the distance the salesman must travel and explain how you found these. in the case of a 4 × 4 system. etc. Draw a graph showing the minimum spanning tree. so computing x4 = b4 /a44 takes 1 “multiply”. Explain which algorithm you are using. d s . Suppose you own a summer rental property and at the beginning of the summer season. Network Flows and Algorithms (b) Construct a minimum spanning tree for the network that this table represents. Such systems are easily solved by back substitution (solve the last equation for x4 .22 Graph Theory. How should you decide which requests to accept in order to maximize your income for the summer? Formulate this type of problem in general using a graphical model and solve the problem for the example above to demonstrate your method.

A shop has dozens of “jobs” that need to be done each day. In each case there is a certain amount of time required for each job. each requiring different types of papers and types and colors of ink. For example. which might be independent of the order we do the jobs. July-Aug. include your recommendation to your boss on hiring this team. Or a machine shop at a large aerospace company may need to manufacture many different types of parts on the same set of machines. pp 302-313. (a) Formulate a general scheduling job in mathematical language and determine the optimal order of jobs to minimize the total time spent on the entire task. The analogous inequality might not hold for tij in job-scheduling problems.2. switching between two print jobs that require the same paper and ink colors might take much less time than switching between two jobs that require cleaning out one color of ink and loading another. Write a critique (at most one page) of the paper. but there may also be substantial time required to switch from one job to another. 2006. . Interfaces. Write a second paragraph summarizing the techniques and merits of the mathematical model used. 36. no. Try to come up with a realistic scenario in which it would not hold. This paper is included in the appendix to the course notes and on the class web site. then the distance dij from i to j naturally satisfies dij ≤ dik + dkj . Also. one often has the “triangle inequality”: If i. Crowe. For example a print shop may need to print different sorts of posters and pamphlets. Read “The Missouri Lottery Optimizes Its Scheduling and Routing to Improve Efficiency and Balance” by Jang. (b) For traveling salesman problems involving physical distances. Include both positive and negative aspects if any. 12. . The amount of time spent switching might depend very much on what order they are done in. “ from Interfaces. and k represent three cities. (b) Say you have been hired to evaluate the Missouri team who your company is considering hiring. Raskin and Perkins. vol. (a) Write a one paragraph summary of the problem presented in “The Missouri Lottery . 4. Then relate this to a “traveling salesman problem” with tij corresponding to the “distance” from Node i to Node j. each requiring a special set up. suppose for each pair of jobs i and j we know the time tij required to switch from i to j. For starters. . j. Be prepared to answer questions on the paper in class. The job scheduling problem arises in many industries. We could also specify an “origin” node corresponding to the clean state found at the beginning of the day and required at the end of the day.8 Exercises 23 11.

24 Graph Theory. Network Flows and Algorithms .

488 9.200 8. Let X be the number of minutes we wait for the bus on the first 51 days of class.230 6. 2 2 To analyze the behavior of averages. 3.099 4.199 7.654 1. 2.273 6.972 4. is defined as µ= n i=1 xi n . a statistic is a number that captures important information about a data set.318 2.716 4.Math 381 Notes — University of Washington —Winter 2011 Chapter 3 Stochastic Processes So far we have studied deterministic processes.555 6. If n is odd. then it helps us predict what time we will arrive at our destination. the number of salmon returning to spawn in the UW Hatchery each year.1 Basic Statistics In general terms.344 5. A thorough understanding of statistical modeling is beyond the scope of this course. Also. your modeling capabilities can be enhanced by a brief introduction to some fundamental concepts from probability and statistics including the mean.939 9.400 5. .036 1.649 3.759 0.947 7.208 1. there are many situations which are out of our control or where things happen with a certain probability. n}. Otherwise.991 3.994 9.973 . the amount of time we have to wait for the next bus to arrive is a stochastic process.048 5.537 7.e.616 25 5. situations where the outcome is completely determined by our decisions. the mean of X. To find the median.136 6.893 1. and the daily Dow Jones Industrial Average are other examples. .739 9.316 3. Still. median and variance of a probability distribution.692 6.668 8.066 7. the median equals the average of xm and xm+1 where m = n .253 5.113 7. For example.827 8.376 3. The primary example of a statistic is the average or mean.552 8. These situations are called stochastic processes or random processes or probabilistic processes. if we learn that bus number 43 comes every 10 minutes on average during rush hour. then the median equals xm where m = n+1 . 3. order the values xi in ascending (or descending order). In real life however. the number of games won by the Husky volleyball team.939 9. .006 9. For the data set X = {xi : i = 1. random variables and the Central Limit Theorem. . For example.165 5.447 3. we can use the statistic to predict future outcomes. If we capture the right information.859 7. i. denoted µ or E(X).352 6.764 4.678 6. consider the following data set.146 6.

616 9. We will introduce the concepts of a probability distribution and a random variable through examples.376 8.199 4. we are defining 6 a probability distribution function p(y) = 1/6 for y = 1.859 1.313 3.972 4. Equivalently.400 1.994 The mean and median of X equal 5.036 7. say 5.626 and 5. we had changed the largest value of X from 9.589 To aid in calculating the median. 6. On the other hand.2 Probability Distributions and Random Variables In order to model stochastic processes. the mean still changes.939 2.344 3. Let Y denote any one of the six possible outcomes that can be observed when a fair die is rolled. 6. of size 1.994 to 100. Our change to X altered only the value of the largest element. .318 6.006 7. there is a 1/6th chance of rolling a given number.850 0.919 3.994 to another random number between 0 and 10. .483.113 5.000) exhibit similar behavior although the change in the mean is seen in less significant digits.099 0.352 3.589 1.947 5. 2. 2. .555 6.668 5. Another important statistic is the variance of the data set.893 5.316 9. We will write this as P (Y = y) = 1 for y = 1.973 6. Suppose instead. The variance gives us information about how close the data is centered around the mean µ. the mean equals 7.313 7. Since a fair die is equally likely to roll any of the values from 1 to 6. Larger data sets (say. .136 4. .654 3. the following sorted list is also included. On the other hand. .939 8. 2. . the median remains unchanged.26 Stochastic Processes 7.537 7. .739 6.994 by 100 we get a variance of 180.552 6. .146 1. This tells us we would probably never have to wait for the bus for more than 12 minutes.230 8.657 5.200 9. respectively. Now. In such a case.000 or 10. Now.827 9.919 5.764 7. it is a variable that we cannot solve for explicitly but instead one that takes on a different fixed value each time we run a trial by rolling the die.850 4. respectively. 0. the mean and median equal 5.273 6. .947.973.488 5. we first need a mathematical notation that can describe a wide variety of situations.716 3. Consider changing the largest value of X from to 9. n} is defined as 1 Var(X) = 1 n−1 n i=1 (xi − µ)2 .484.284.253 4.657 4. Y is a random variable. Such a probability distribution can be written as y p(y) 1 1/6 2 1/6 3 1/6 4 1/6 5 1/6 6 1/6 In this example.678 3.447 9.1) The variance for the original data set above is 6.649 6. the value of the middle element.991 7.165 7. replacing 9.692 5. 3. The variance of the data set X = {xi : i = 1. which equals the median.208 6.066 8. .715 and 5. Such a change in the mean is expected given the large change in a value of the corresponding data set.048 9. Therefore. . (3. . Take a moment and reflect on why the median changes in this case.759 3. albeit by a small amount. remained unchanged. Random 1 Some authors defined the sample variance to be Var(X) = 1 n Pn i=1 (xi − µ)2 instead.

In this histogram. the die has no memory of its last roll. variables are very useful in probability because we can manipulate them just like ordinary variables in equations. As any gambler will attest. An experiment where every value is equally likely to occur is said to have a uniform distribution as its underlying probability distribution. . Figure 3. 4. the uniform distribution does not imply that a streak of 4’s is impossible. A random variable Y is said to be discrete if it can assume only a finite or countably infinite number of distinct values. In other words. 14 90 900 80 12 70 10 60 8 800 700 600 50 500 6 40 400 30 4 20 2 10 300 200 100 0 1 2 3 4 5 6 0 1 2 3 4 5 6 0 1 2 3 4 5 6 (a) (b) (c) Figure 3.05 0. 500 and 5000 times.25 0.05 0 1 2 3 y 4 5 6 0 1 2 3 y 4 5 6 (a) (b) Figure 3.2 Probability Distributions and Random Variables 27 0. Since Y has the uniform distribution.1 (a) depicts a probability histogram for a uniform distribution.2: Histograms for tossing a fair die 50.1 0. the histogram we construct in this experiment should have 6 columns with similar heights.2 p(y) p(y) 0. one could write P (2 < Y ≤ 5) to mean the probability that a roll is among the numbers {3. we observe a different value of Y . this type of probability is closely related to the study of counting methods known as combinatorics. 5}.15 0.1: Probability histograms (a) for a uniform distribution and (b) a nonuniform distribution.15 0.1 (b) is an example of a probability histogram for a nonuniform distribution.3 0. Yet.1 0.3 0. Every discrete random variable comes with an associated probability distribution function. each roll of the die is independent from the previous rolls. say we roll the die 100 times and construct a histogram of the data.2 0. In contrast. For example. P (Y = y) = p(y). Each time we roll. Figure 3. Back to our example.25 0. total # outcomes Therefore. the height of column i is determined by the number of times we roll i in this experiment. Another way to recognize a uniform distribution is by noting the probability distribution has the form 1 p(y) = .3.

That is. Yn be independent and identically distributed random variables. 3. Theorem 3. Therefore. There are many additional probability distributions.3 (b). . Repeating such an experiment with the weighted die produces the histogram in Figure 3. larger sample sizes are needed for a histogram of sample averages to reflect the underlying normal distribution of such an experiment. 6. Note that convergence is slower for highly skewed distributions. Yn be independent and identically distributed random variables. .5. . Yet.3. . in the example E(Y ) equals 6 i/6 = 3.3 The Central Limit Theorem Let Y1 . .1 Expected Value The expected value E of a discrete random variable Y with probability function p(y) is defined to be E(Y ) = y yp(y).000 experiments will not produce a histogram that exactly replicates the distribution in Figure 3. Suppose we throw the fair die 50 times and record the sample average of the 50 outcomes.1 (Central Limit Theorem) Let Y1 . respectively.3. . respectively. (b) and (c). The probability distribution for X is: x p(x) 1 1/8 2 1/3 3 1/12 4 5/24 5 1/12 6 1/6 Figure 3. + Yn ) is the random variable measuring the mean over n trials. Should this be expected? Indeed. Then the sample average Y tends to a normal distribution as the sample size tends to infinity. The mean of this distribution will be the mean of the population and the variance of this distribution will be the variance of the population divided by the sample size. histograms of 50.1. We will see more about convergence of histograms for different experiments modeled with Monte Carlo methods in the next chapter. guessing the value of a single roll of a fair die is mere chance even with knowledge of a previous outcome. 6. take a moment and compare our experiments to Theorem 3. Repeating this 1000 times and plotting the results produces the histogram in Figure 3. . and 5000 such experiments are depicted in Figure 3. . 2. The modeler’s challenge is to choose the one that most closely approximates the data. Seen from the perspective of a gambler. . 500. . . What can be said about the distribution of Y ? The Central Limit Theorem answers this question. The theorem allows any population. In fact. independent experiments occur for either population. . the underlying distribution can place the odds heavily in the “house’s” favor over many such experiments. indeed. The probability function p(y) = 1/6 for y = 1.1 (a). . Y = (1/n)(Y1 + Y2 + . As the number of experiments increases. 2. Then. from the perspective of a casino.2. . Note that even 10.1 (a) and (b) are the probability histograms for Y and X.28 Stochastic Processes To see this graphically. two populations may have widely differing underlying distributions such as the uniform and nonuniform probability distributions in Figure 3. Y2 . (This all holds providing the mean and variance of the population is finite and there is random sampling). it is by the powerful Central Limit Theorem. . . . If this is not readily apparent. Take a moment and consider the power of this theorem. Y2 .1.2 (a).3 (a). . i=1 3. Yet. . Both histograms reflect a normal distribution. Recall that the probability function for the rolling of a fair die is p(y) = 1/6 for y = 1. respectively. Let Y and X denote any one of the six possible outcomes available from tossing a fair and weighted die. the resulting distribution of the sample average tends toward a normal distribution as sample size increases. the histograms converge toward the corresponding uniform distribution. if multiple.

8 3 3. the term “computer” referred to a job title. D denotes the distance between the needle’s midpoint and the closest line. θ is the angle of the needle to the horizontal. (Refer to Figure 3.3: Histograms taken from sample averages (a) for a uniform distribution and (b) a nonuniform distribution.5. What is the probability p that the needle will intersect one of the lines? Before the time of digital computers.6 3. Parallel computing meant calculating with a large number of mathematicians.8 3 3. The needle crosses a line if D≤ 1 sin θ. Such hand computation limited the feasibility of mathematical experiments before the advent of the digital computer.3. Comte de Buffon described an experiment that relates the real number π to a random event. & & 1 unit E & & & & T 1 unit & & c θ r& & & & D T 1 2 sin θ c (a) (b) Figure 3.) Here both D and θ are random variables.4 0 2.8 4 4. In (b).4: Buffon’s Needle experiment.2 3. (a) depicts the experiment where a needle of unit length is randomly dropped between two lines of unit length apart.2 4.2 (a) (b) Figure 3.4 3.4 (a). a straight needle of unit length is dropped at random onto a plane ruled with straight lines of unit length apart as depicted in Figure 3. Let D denote the distance between the needle’s midpoint and the closest line.6 3.4 2. 3.2 3. This is the continuous version .4 (b). Specifically. and let θ be the angle of the needle to the horizontal.6 2. 2 Consider the plot of 1 sin θ as seen in Figure 3.8 4 4. The probability of the needle intersecting a line 2 is the ratio of the area of the shaded region to the area of the rectangle. laptops and calculators. Comte de Buffon also derived the value of p mathematically.4 Buffon’s Needle In 1777.4 Buffon’s Needle 29 300 250 250 200 200 150 150 100 100 50 50 0 2.4 3. Comte de Buffon performed the experiment repeatedly to determine p.

We will see in class that Buffon’s Needle experiment indeed produces an estimate of π but is slow to converge. an estimate of π is 2 total number of drops total number of hits . of the uniform distribution.5 1/2sinθ 0 0 θ 3.30 Stochastic Processes 0. it takes heroic patience before an accurate estimate emerges. The area of the shaded region is π 0 1 sin θ dθ = 1. The area of the rectangle is clearly π/2. π Just imagine. . 2 which implies that the probability of a hit is p= Hence. 1 π 2 = 2 . the next time that you drop a pencil.5: Plot of 1 2 sin θ aids in analysis of Buffon’s Needle. you have completed the first step in a Monte Carlo experiment in estimating π.14 Figure 3. Yet.

What is the probability that the ages of a random subscriber is (a) more than 35. it takes a random amount of time between 20 and 27 minutes. (a) What is the probability that it is a black ace or a red queen? (b) What is the probability that it is a face card or a black card? (c) What is the probability that it is neither a heart or a queen? 5. the probability is 49 that a randomly selected fighter plane returns from a 50 mission without mishap. (a) What is the expected value of the winning amount for a player with a single ticket? (b) What is the expected value of the winning amount for a player with five tickets? 7. Consider the random variables R and G as in Problem 1. (a) What is the population (possible values) for R.5 years and standard deviation 4.5 Exercises 31 3. The ages of subscribers to a certain mailing list are normally distributed with mean 35. find the probability that the plane is prepared for departure on schedule. 500 pay off $800 each. A card is drawn at random from an ordinary deck of 52 cards. he should return home before the fiftieth mission.3.5 Exercises Recommended Reading Assignment: Pages 710-729 from ”Operations Research: Applications and Algorithms” by Wayne Winston. G. Mia argues that this means there is one mission with a mishap in every 50 consecutive flights. and E(R + G)? 3. G. She concludes that if fighter pilot Woody returns safely from 49 consecutive missions. Prove that V AR(X + Y ) = V AR(X) + V AR(Y ) if X and Y are independent random variables. Is Mia right? Explain why or why not.000.200. and no ticket pays off more than one prize. In a certain country. the odds in favor of the first horse winning in an 8-horse race are 2 to 5. This book is also on reserve in the Engineering Library for the class. The odds against the second horse winning are 7 to 3. one green and one red. 2. In a lottery every week. What is E(R). To prepare an aircraft for departure. . Explain any assumptions you need to make. 9. and R + G? 2. What is the probability that one of these two horses will win? 4. In a horse race. If the flight is scheduled to depart at 9:00am and preparation begins at 8:37am. 1. and G be the random variable which determines the face value of the green die. Consider rolling two fair dice. and R + G? (b) What is the probability distribution for R.5 years? (b) between 30 and 40 years? 8. Let R be the random variable which determines the face value of the red die. and one ticket pays off $1.000 tickets are sold for $1 apiece.8. 6.000. E(G). Say 4000 of these tickets pay off $30 each.

32 Stochastic Processes .

They observe that on average they only sell about 1 each week. 2. so they don’t want to have too many in stock at any one time.Math 381 Notes — University of Washington —Winter 2011 Chapter 4 Monte Carlo Methods Monte Carlo methods model physical phenomenon through the repeated use of random numbers. but they may often be caught without any. these are a high-profit item and if they don’t have one in stock when a customer comes in. Note that no essential link exists between such methods and a computer. Then they will never have more than one in stock at a time. It can seem surprising that meaningful insights can be made from such results. Since they sell one a week on average it may be good to have one arrive each week on average. arriving 5 days later. the customer will go elsewhere. What questions should you ask the store owners before you even try to model it? What 33 . With our knowledge of statistics and ideas regarding the use of random numbers in simulation. Strategy 2: Order a new tank once a week. Strategy 1: Order a new tank each time one is sold. On the other hand.1 A fish tank modeling problem The XYZ Tropical Fish Store has come to us for advice on the following problem. They are trying to decide on the best strategy for ordering the 150 gallon tanks. computers enormously enhance the methods’ effectiveness. They carry 150 gallon fish tanks which are quite large and take up a lot of shelf space in the store. and economics. There’s probably less chance of being caught without one in stock. Monte Carlo methods are used in a wide variety of fields to model the physical world. mechanics. Yet. 4. Moreover. it takes 5 days for a new one to be delivered by the distributor after they place an order. Yet. While Monte Carlo methods have been used for centuries. Monte Carlo methods are essentially carefully designed games of chance that enable research of interesting phenomenon. Buffon’s Needle is a classic example of Monte Carlo methods and the ability of random numbers to generate meaningful results. or is there another that is better yet? Think about some of the questions that might naturally arise if you were going to try to determine an answer. so they won’t waste much shelf space. but if there aren’t any customers for several weeks in a row they will accumulate. The question is: which strategy is better. important advancements in their use as a research tool occurred during World War II with mathematicians including Neumann and Ulam and the beginnings of the modern computer. Monte Carlo methods are used effectively in a wide range of problems including physics. They are considering these two in particular: 1. we are ready to examine problems that we can model and study with Monte Carlo methods. Today.

If this number is less than 1/7 we can say that a customer comes. . The probability of a customer each day is 1/3 and it only takes 2 days for a new tank to be delivered after ordering. For example.) • What is the cost of having additional tanks in stock? What is the cost of losing a customer by not having a tank available? (Besides the lost sale itself. We’ll also assume that “an average of once a week” means that each day there is a 1/7 chance that a customer will come. which simplifies the program. The program prints out information about what happens each day and keeps track of statistics over the course of the simulation.) • What do you mean by “we sell one a week on average”? Is there one person in town who comes in every Wednesday at noon and always buys one tank? Or are there 52 people in town who always give a tank as a Christmas present. Here are a few examples: • How much is the profit on one of these fish tanks. there might be the cost of losing that customers business in the future. the command rand(1) generates 1 random number which is uniformly distributed between 0 and 1. Variants of this problem are constantly being solved by businesses.2 Monte Carlo simulation The approach we will consider at this stage is a simulation of how the competing strategies might work. based on some simplified assumptions of customer behavior. even thousands for a grocery store. we’ll assume the sales are uniform over the year. if they decide to buy all their fish and supplies from the same place they buy the tank. Note in making these assumptions that we follow a primary rule of model building: It is best to start with a simple model and refine it incrementally. Of course we don’t know exactly when customers arrive.34 Monte Carlo Methods other information would you need to know before you could hope to evaluate the strategies? Thinking about this should help to suggest what is important in a mathematical model. and see which pays off better. Trying to start with a completely realistic model is usually hopeless. On the next page is a simple matlab program which simulates the strategy of ordering a new fish tank only when the one in stock is sold. which often have to decide on an ordering strategy for many different products simultaneously.5. This isn’t completely realistic: surely there’s some chance that two customers will appear in the same day. 4. A more complete program which also allows comparison of different strategies can be found in Section 4. relative to other items in the store that would have to be eliminated in order to stock more fish tanks? (This is one thing we would need to know in order to make any sort of quantitative comparison of different strategies. In particular. The program has been simplified by leaving out some commands to keep track of totals and display results. Later we’ll consider this further. In this case there is always at most one tank in stock. but we can model the arrival of customers at random times by generating random numbers on the computer and using these values to indicate whether a customer arrives on each day or not. The parameters have been changed here to make it possible to see more action in a short simulation. so there are lots of sales in the month of December and none in other months? Either scenario would lead to “one a week on average” over the year. in matlab. but would lead to very different ordering strategies. This is a classic example of an inventory problem. This means we write a computer program which simulates several weeks of how the store’s inventory fluctuates assuming one strategy or the other. and downloaded from the class webpage. if it is greater than 1/7 we can say that a customer does not come. Here we consider the two simple strategies mentioned above. for example.

total_lost = 0. if deliv == 0 stock = stock+1. % display results for % this day disp([week weekday stock customers sold lost]).2 Monte Carlo simulation 35 a = 1/3.. % number of tanks in stock % number of days until delivery of tank on order % -1 means none on order total_cust = 0. % we sold a tank and now order % another one. if deliv < 0 deliv = days_for_delivery. end random_num = rand(1). if random_num < a customers = 1. total_sold = 0. end % loop on weekday end % loop on week % output total statistics now. % we didn’t have a tank and lost a customer end end % if customers==1 % keep track total_cust = total_sold = total_lost = of total statistics: total_cust + customers. % probability of a customer each day days_for_delivery = 2. total_lost + lost. for week = 1:3 for weekday = 1:7 sold = 0.. stock = stock-1. total_sold + sold. end if deliv >= 0 deliv = deliv-1. end % a new tank is delivered % days till next delivery % generate random number % use this number to tell if a customer arrived if customers==1 if stock>0 % we have a tank to sell the customer sold = sold+1. end else lost = lost+1. % days from order to delivery of new tanks stock = 1. deliv = -1. lost = 0. . Figure 4.. else customers = 0.1: First pass at a matlab program for Monte Carlo simulation of the fish tank modeling problem.4.

6076 0. Here are the results of 10 different simulations. we can run the simulation for many more weeks. In all of the above results we have roughly this number. We might also run the simulation several times over to see if we get similar results even though the exact pattern of customer arrivals will be different in each case. the numbers could have been very different.5880 0. The fact that we could only serve 4 of the 7 customers was due to the particular pattern in which they arrived. each for 104 weeks: customers 241 223 255 266 237 235 255 250 227 249 sold 147 135 149 158 144 144 148 147 138 152 lost 94 88 106 108 93 91 107 103 89 97 fraction served 0.5804 0.5940 0. For example we might run it for 104 weeks (2 years) rather than only 3 weeks.6128 0.6054 0.5843 0.6104 Notice that we expect roughly 104 × 7/3 = 243 customers to appear over this time period (since we’re using the rate of 1 every 3 days).36 Monte Carlo Methods Here are the results of one sample simulation: week 1 1 1 1 1 1 1 2 2 2 2 2 2 2 3 3 3 3 3 3 3 day 1 2 3 4 5 6 7 1 2 3 4 5 6 7 1 2 3 4 5 6 7 stock 1 1 1 0 0 0 0 0 0 0 0 0 1 1 0 0 0 1 1 1 1 cust 0 0 0 1 0 0 1 1 0 1 0 1 0 0 1 1 0 0 0 0 0 sold 0 0 0 1 0 0 1 0 0 1 0 0 0 0 1 0 0 0 0 0 0 lost 0 0 0 0 0 0 0 1 0 0 0 1 0 0 0 1 0 0 0 0 0 total over entire simulation: customers 7 sold 4 lost 3 It’s hard to come to any conclusion from this one short simulation.6100 0. To get a better feel for how this strategy works in the long run. Much . If they had appeared differently.6079 0.

while Strategy 2 uses order_when_out = 0. Here are the results of a few 104-week simulations with each strategy.00 670. and cost per night of overstock as illustrated in the program.4.00 average_profit = 787.00 710.537 0.610 0. For Strategy 1 tested above.584 0.561 0 0 0 0 0 1 0 0 1 1 660. fixed_delivery = 0. but also on the cost of any overstock. The variable order_when_out is a flag which determines whether to order a new tank whenever we run out. The variable fixed_delivery determines whether there is a fixed schedule of deliveries.00 760.574 0.656 overstock 0 0 0 0 0 0 end_stock 1 1 1 0 1 0 profit 830.2 Monte Carlo simulation 37 more interesting is the fact that in each simulation we end up being able to serve about 60% of these customers.00 760. It turns out that we can predict this number using mathematics without doing any simulations.585 0. Markov chains. % arrivals every 7th day % no standing order Percentage of customers served is one important number to compare.5 contains a more complex program for this Monte Carlo simulation which allows comparison of different strategies. This depends not only on how many customers we serve or lose.00 58 59 54 61 55 50 42 40 38 43 0. Strategy 1 corresponds to order_when_out = 1. 108 101 94 99 98 sold 63 61 58 60 55 59 lost 43 39 46 44 39 31 fraction_served 0. if we use the theory of Markov chains. there is never more than 1 tank in stock and so no overstock.00 870. fixed_delivery = 7.2.558 0.9000 .. We will study this later in the quarter. however. More important to the business. cost of losing a customer.00 830.577 0. Strategy 2 can easily lead to overstock. once every so many days..594 0. 4. We also compute the “profit” for each simulation and the average profit over 100 simulations with each strategy.00 840. might be the expected profit over time with different strategies.1 Comparison of strategies Section 4.616 0. This profit is based on the assumed profit per sale. This might be one number we want to use in comparing different strategies. we could serve about 60% of the customers who come looking for a 150 gallon tank.00 700. Strategy 1: customers 106 100 104 104 94 90 etc.00 680. By doing the above simulations we came to the conclusion that with this strategy and particular set of parameters.

3 shows the stock of tanks as a function of day in the course of one particular unlucky simulation. However. but there is a great risk of being unlucky. For Strategy 2 the values are all over the place.000 0.50 -292.50 958.00 94 103 101 104 104 88 90 101 100 0 23 5 27 5 3 1 0 1 1.50 112.50 7 1049.50 70. while with Strategy 1 the percentage is around 60%.954 0.2.990 1.989 0.50 -1337. The profit for each individual simulation is typically not too far from the average. a high stock will tend to stay high. Customers are rarely lost but there’s a large cost associated with this overstock which reduces profit.989 1. Figure 4.50 1711.953 overstock 4795 1802 2716 3690 3098 6811 3450 end_stock profit 13 -567. and then to also order a new tank whenever we run out. as shown in Figure 4. This is because Strategy 2 generally leads to an overstock.50 1455. Some simulations give much higher profits than Strategy 1 while many simulations resulted in negative profits (a net loss).00 9 75. This is seen more strikingly by plotting histograms of the profits over each set of 100 simulations.38 Monte Carlo Methods Strategy 2: customers 93 99 98 96 99 87 106 etc. Figure 4.50 1583.4 shows histograms of the performance of this strategy for two different values of N .3 A hybrid strategy A better ordering strategy might be to have a standing order for a tank to arrive every N days.969 1. 4.7050 Note some interesting features of these simulations: • The percentage of customers served is generally larger with Strategy 2. N = 9 and N = 14.990 2867 493 2023 709 637 6135 4165 3899 3755 11 2 4 1 1 17 15 4 5 446. By the end of two years the stock has grown to 20 tanks. 94 126 106 131 109 91 91 101 101 sold 92 98 95 96 98 87 101 lost 1 1 3 0 1 0 5 fraction_served 0.967 0. In the program N is denoted by fixed_delivery.990 0..953 0. . • The results for Strategy 1 have much smaller variance than for Strategy 2.00 7 401. profits may be higher with Strategy 2. If the business is lucky.794 0.00 10 512..00 18 -1665. usually above 90%.000 0. where N is larger than 7.50 average_profit = 342.000 0. Since customers arrive at the same average rate as new tanks.50 4 245. the average profit is larger with Strategy 1.000 0.817 0. • Note one problem with Strategy 2 as implemented so far: There is no mechanism to stop automatic delivery if the stock goes too high.

25 20 15 10 5 0 0 100 200 300 400 500 600 700 800 Figure 4.2: Histograms of profit observed over 100 simulations with two different strategies.4: Histograms of profit observed over 100 simulations with hybrid strategies. .3: History of number of tanks in stock each day for one particular simulation with Strategy 2. Hybrid Strategy with $N=9$ 30 30 Hybrid Strategy with $N=14$ 25 25 20 20 15 15 10 10 5 5 0 −1500 −1000 −500 0 500 1000 1500 2000 0 −1500 −1000 −500 0 500 1000 1500 2000 Figure 4.4.3 A hybrid strategy 39 Strategy 1 30 30 Strategy 2 25 25 20 20 15 15 10 10 5 5 0 −1500 −1000 −500 0 500 1000 1500 2000 0 −3000 −2500 −2000 −1500 −1000 −500 0 500 1000 1500 2000 Figure 4.

the sample mean should approximate the mean of the true distribution and the sample variance should approximate its variance. etc. With Strategy 2. . The point of doing many simulations is to get some experience with what range of different outcomes they might reasonably expect to observe in practice. for example. it can be shown that the value observed will be farther than twice the standard deviation away from the mean only about 5% of the time. For a normally distributed random variable. yN for the observed profit.2. If we do N simulations and obtain N different values y1 . the strategy with the smaller variance might be preferable in practice because there would be less risk involved. In practice the owners of the store don’t really care about the average behavior over hundreds of simulations.. and sensible analysis of Monte Carlo simulations generally requires a good knowledge of this field. how sensitive these conclusions are to the parameters we chose in the model. The sample mean from this particular set of runs is about 783 and the standard deviation is about 83. we see that with Strategy 1 we might be able to predict fairly confidently that the profit which will actually be observed (assuming the model is good enough . we might repeat these experiments with many more simulations. ¯ √ s2 . In fact it can be shown that the distribution of observed profits should be approximately normally distributed (Gaussian). How big a sample is “large enough”? That depends on the distribution. For Strategy 1 we merely confirm what we already guessed from the 100 simulations of Figure 4. . . it might be the better strategy. The distribution has a fairly “Gaussian” shape with almost all results lying between 600 and 1000. This is the realm of statistics. On the other hand we have also observed that some strategies give results with much greater variance between simulations than other strategies. they care about what will happen in the one real experience they will have with whatever strategy they adopt. and the point of doing a Monte Carlo simulation is to gain some information about the distribution. To get a better idea of the underlying distributions. then the average (sample mean) is defined as y= ¯ The sample variance is s2 = and the sample standard deviation is s= 1 N −1 N 1 N N yi . This follows from the Central Limit Theorem as we will be better able to understand after studying the Markov Chain interpretation of this model. Figure 4. (Assuming of course that the model is good enough to match reality in some sense.) will lie somewhere between 600 and 1000. One statistic we have already looked at is the average profit observed for each strategy. Comparing the histograms of Figure 4.4 Statistical analysis In comparing the results of simulations with different strategies. we see that 100 trials gives more information about the distribution of results in Strategy 1 than with Strategy 2. Even if the average observed with Strategy 2 were higher than the average profit observed with Strategy 1. Typically we don’t know what this distribution is. We can view the N values observed as N observations of a random variable chosen from some distribution. With a large enough sample.) Looking at the histograms of Figure 4.5 shows histograms of the profits observed when 5000 simulations are performed with each strategy.2.2. .40 Monte Carlo Methods 4. y2 . i=1 i=1 (yi − y)2 . Here we get a much better sense of the distributions. Typically we would also like to be able to quantify how confident we are in the conclusions we reach. If one strategy gives a larger average profit over many simulations than another strategy. we need to be able to reach sensible conclusions from a large quantity of “experimental data”.. So if the profit with . we can only predict that it will probably lie somewhere between -2000 and 2000.

5 that the distribution of profits is certainly not a normal distribution. overstockloss = .5 Fish tank simulation code % number of different simulations to do % number of weeks in each simulation % number of days in each simulation % set parameters: nsim = 100. ndays = 7*nweeks. % profits and losses: saleprofit = 20.4. nweeks = 104. lostloss = 10.50. 4. We will discuss some of these in class. fixed_delivery = 12. a = 1/7. The average profit observed is 439 and the standard deviation is 1020. % initialize: profit = zeros(nsim. For Strategy 2 we see in Figure 4. % print column headings: % profit from selling one tank % loss from losing a customer % cost of each tank overstock per night .1).5: Histograms of profit observed over 5000 simulations with two different strategies. There are many other statistical questions that one might ask about the data obtained from these simulations. and various ways that the model might be improved. which partly accounts for the sharp cut-off at the higher end. The fact that a very large overstock can accumulate accounts for the wide spread to the left. In 26% of the simulations the observed profit was negative. Strategy 1 is essentially normally distributed then we expect that the profit observed should lie between 783 − 2 · 83 = 617 and 783 + 2 · 83 = 949 about 95% of the time.5 Fish tank simulation code 41 Strategy 1 500 350 Strategy 2 450 300 400 250 350 300 200 250 150 200 150 100 100 50 50 0 300 400 500 600 700 800 900 1000 1100 1200 1300 0 −6000 −5000 −4000 −3000 −2000 −1000 0 1000 2000 3000 Figure 4. order_when_out = 1. Note that the profit would not be expected to exceed about 104 · 20 = 2080 even with a perfect strategy (why not?). % probability of a customer each day % days from order to delivery of new tanks % = 1 ==> order a new tank when stock==0 % = 0 ==> don’t order when out of tanks % >0 % ==> standing order for a new tank every so many days days_for_delivery = 5.

total_sold = 0. end end % we have a tank to sell the customer % we didn’t have a tank and lost a customer if (order_when_out & stock==0 & deliv < 0) . if deliv == 0 stock = stock+1. end if customers==1 if stock>0 sold = sold+1. fixed_delivery) == 0) % A new tank is delivered every so many days regardless of stock stock = stock+1. % a new tank is delivered % at the beginning of the day end if deliv >= 0 deliv = deliv-1. stock = 1. % number of days until delivery of tank on order % -1 means none on order overstock = 0. % increment every night by number of excess tanks in stock % main loop for a single simulation: day = 0. % days till next delivery end if (mod(7*week + day. % number of tanks in stock deliv = -1. for week = 1:nweeks for weekday = 1:7 day = day+1. else lost = lost+1. % array of random numbers to use each day total_cust = 0. stock = stock-1. total_lost = 0. else customers = 0.1). lost = 0. end % use random number to decide how many customers arrived % Here assume 0 or 1: if random_nums(day) < a customers = 1. % day in the simulation sold = 0.42 Monte Carlo Methods disp(’customers sold lost fraction_served overstock end_stock profit’) for sim=1:nsim % initialize: random_nums = rand(ndays.

% order another end if stock > 1 overstock = overstock + (stock . profit(sim))) end % loop on sim % compute and print average profit over all simulations: average_profit = sum(profit) / nsim disp(’ ’) disp([’ average profit = ’ sprintf(’%10. standard_deviation)]) disp(’ ’) % plot histogram of profits over all simulations: hist(profit. % keep track of stock on each day end % loop on day end % loop on week fraction_served = total_sold / total_cust. . total_cust.2f’.0f %8. average_profit)]) % standard deviation: variance = sum((profit ...0f %12. stock. if random_num < a customers = 1. end % keep track of total statistics: total_cust = total_cust + customers.overstock*overstockloss.0f %12..4.6 Poisson processes In the Monte Carlo simulation of the fish tank inventory problem.2f’. we assumed that each day there was a probability a of a customer coming in. stock_record(day) = stock.average_profit). profit(sim) = total_sold*saleprofit .-1500:50:2000) axis([-1500 2000 0 30]) 4.3f %11. % generate random number % use this number to tell if a customer arrived .total_lost*lostloss . .2f’.0f %8. % output total statistics: disp(sprintf(’%6. total_sold. overstock..^2) / (nsim-1). The matlab code contained the following lines: random_num = rand(1). fraction_served.0f %6.. total_lost = total_lost + lost. standard_deviation = sqrt(variance)..1). . total_sold = total_sold + sold. total_lost. disp([’ standard deviation = ’ sprintf(’%10.6 Poisson processes 43 % none in stock and none on order deliv = days_for_delivery.

If a > 1 then it is impossible to interpret a as a probability. minutes. p0 + p1 + p2 is very close to 1. instead of only one customer every few days. We could split a day up into N much smaller pieces (hours. so it is valid to view this as a probability. Moreover.) Each string has 20 bits. else customers = 3. and ignore the possibility of more than one customer. (Generated using poisson. we might want to simulate a situation in which there are typically many customers each day. It would be better if we could predict the probabilities pk that exactly k customers will appear in a given day and then use something like: random_num = rand(1). end This assumes that each day there is either 0 or 1 customers. else if random_num < p0+p1+p2 customers = 2. % generate random number if random_num < p0 customers = 0.m from the webpage. More generally let a represent the average number of customers per day. % assume negligible chance of more end end end Here we have assumed that a is small enough that the chance of more than 3 customers is negligible. (Note that if N is large enough then p = a/N will be very small even if a > 1. and clearly unrealistic to assume there will be either 0 or 1 customer. the second day only one. since some days we would expect 2 or even more to appear if they come at random times. This isn’t very realistic if a is somewhat larger. The first “day” two customers arrived.. else if random_num < p0+p1 customers = 1.44 Monte Carlo Methods else customers = 0. etc.e. This is not very realistic. If a is very small then we can interpret a as the probability that a customer comes on any given day. and that the probability of one customer appearing is p = a/N . seconds or even smaller) and assume that in each small piece there is really no chance that more than one customer will appear. i. with 0 representing “no customer during this interval” and 1 representing “a customer during this interval”.) Here are the results of a 10 trials with N = 20 and a = 1. . One way to estimate these probabilities would be to do a Monte Carlo simulation. We could simulate many days and see what fraction of the days there are k customers for each k.

18.0646 0 0.3679 0. If we had run it for only 100 days each we would see quite a bit of variation from run to run and would know that we don’t have reliable values.0613 0.1911 0.36.0001 Poisson 0. 30% of the days no customer arrived. the average number of customers per day. Note that ∞ pk k=1 = e−a 1 + a + a2 a3 + + ··· 2! 3! = e−a ea = 1.1839 0.0002 Run 3 0.3580 0.3679 0. Below are the results of simulations with 10.0004 Run 2 0.0122 0.0031 0.0024 0. and that for any value of a.3606 0. and they compare well with the values obtained from the three 10. the probability of observing exactly k customers in a single day is ak e−a . .0004 0.3686 0.000-day simulations. pk = k! In particular. etc. This was repeated 3 times and we get slightly different results each time. and there was 1 day (10%) when 3 customers arrived.0005 0. p0 p1 p2 p3 = e−a = ae−a 1 2 −a a e = 2 1 3 −a a e = 6 Note that by running the simulation 3 times we get some reassurance that the value of 10. 20% had 1 customer.0001 Poisson distribution. p1 ≈ 0.4.3722 0.0021 0.0025 0. It can be shown mathematically that probabilities follow a Poisson distribution.0153 0. If we ran another 10-day simulation we’d probably get different results. 000 days.37.3717 0. In fact we can compute these values without doing a simulation.1883 0.000 is large enough to give values that don’t change much when we rerun the simulation.0151 0.6 Poisson processes 45 00000010001000000000 00000100000000000000 00010100000000000000 00000000000000000000 00000000000000000100 00000000000000000000 00000000000000000000 00000000100000000010 00110000000000000000 10100000000010000000 In this short simulation.0575 0 0. The values for the case a = 1 are shown in the last column of the table above.3767 0. Run 1 0 1 2 3 4 5 6 7 customers customer customers customers customers customers customers customers 0. To estimate the probabilities more reliably we should do a simulation with many more days.0596 0.0120 0. Here it seems fairly clear that p0 ≈ 0. 40% had 2 customers.1837 0. p2 ≈ 0.

There are 23 = 8 possible strings that can arise from these 3 independent trials. The sequence of tests to see whether there is a customer in each interval also called a series of Bernoulli trials. We can see this easily using the fact that (x + y)3 = x3 + 3x2 y + 3xy 2 + y 3 with x = 1 − p and y = p. These are listed below along with the probability of observing each: 000 001 010 011 100 101 110 111 (1 − p)2 p (4. without regard to the past history.1) (1 − p)3 p3 (1 − p)p2 (1 − p)p2 (1 − p)2 p (1 − p)p2 (1 − p)2 p Note that there are 3 ways to observe 1 customer during the entire day. with a probability p of “success” in each trial (denoted by 1) and probability 1 − p of “failure” (denoted by 0). and the number of ways it is possible to have 0. . and 3 ways to observe 2 customers.2) Note that these probabilities sum to 1. but only 1 way to observe 0 or 3 customers. first consider a simpler case where we look at a sequence of only 3 Bernoulli trials. . 1. The probabilities we seek p0 (N ) (N ) = (1 − p)N = = N 1 (1 − p)N −1 p = N (1 − p)N −1 p (1 − p)N −2 p2 = 1 2 (N − N )(1 − p)N −2 p2 2 (4. .4) p1 p2 (N ) N 2 etc. To see how these values arise. the probability of observing k customers when N = 3: 0 customers (1 − p)3 = p0 (3) (3) 3 customers p3 = p3 2 customers 3(1 − p)p2 = p2 (3) 1 customers 3(1 − p)2 p = p1 (3) (4. 2. For this to be valid we must assume that customers appear randomly with probability a/N in any small increment of 1/N day. The arrival of customers is then said to be a Poisson process. (4. events occurring over the entire day. The formulas for the Poisson distribution can be derived by using a combinatorial argument based on the probability of the event occurring in each small time period.46 Monte Carlo Methods The probabilities all add up to one as we should expect. .3) (“N choose k”) are often called the binomial coefficients. We have (x + y)N = xN + The values are N k N 1 xN −1 y + N 2 xN −2 y 2 + · · · + N N −1 xy N −1 + y N . In fact we can use this type of binomial expansion to easily compute the (N ) probabilities pk when N is larger without enumerating all 2N possible strings and counting things up. Adding up the probabilities we find the (3) following values for pk .

3T. we will look at an example from queuing theory. rather than minutes. recall that we want to determine the probability of observing k customers in the case where N is very large and p = a/N . N →∞ −a a N a 1− N N −1 a N (4. see for example [HL95]. To generate random numbers from an exponential distribution with parameter a. According to the Poisson distribution. Instead. we can first generate a random number r uniformly distributed in the interval [0. . In this simulation this is also assumed to be Poisson process with probability of roughly b/N that they will be finished in any small subunit of time 1/N . Suppose customers arrive at a service center or cashier and have to line up to wait for service. where a is a fixed value representing the average number of customers per day. 2T. Queuing theory is the study of how such lines are expected to behave. a . if there are multiple servers we might want to compare the strategy of having independent lines for each (as is common in grocery stores) or have a single line with the next customer going to the first available server (as is common in banks and airport check-in counters). for example? There is a large literature on this subject. The times are generated using an exponential distribution: Probability that inter-arrival time is larger than T = e−aT . p1 = lim N 1 − N →∞ = a lim = ae . the probability of exactly 0 arrivals in the first of these periods is thus e−aT . Suppose we split up the time since the last arrival into units T. Here we will look at the simplest example of a single server and discuss how Monte Carlo simulation might be used to study the expected length of the line. and the comparison of different strategies. but this is exactly the probability that the next arrival time is more than T units later. The matlab code in Figure 4. . or some other distribution of service times. and then computing the total time that each customer must wait on the basis of these times. They must wait in the queue until the single server is free. The probability p0 is given by p0 = lim p0 N →∞ (N ) = lim N →∞ 1− a N N = e−a .7 Queuing theory 47 This is called the binomial distribution for the total number of “successes” in N Bernoulli trials. Customer arrivals are modeled with a Poisson process with average rate a per minute. A better model might be that there is some minimal service time plus a random length of time after that. Then in each unit the expected number of arrivals is aT .7 Queuing theory As another example of Monte Carlo simulation.6 shows a simple simulation of a queue.4. (This may not be very realistic. This can be shown to be the proper distribution of service times for a Poisson distribution in the following manner. (4. Which approach minimizes the average time a customer has to wait.) One could model this by splitting each minute up into N subunits and generating a random number to determine whether a new customer arrives. with average rate of b people per minute.6) N −1 4. this simulation works by first generating a set of arrival times and service times for each customer. . 1] (using rand in matlab. and a second random number to determine whether the customer currently being served finishes. The amount of time required to serve them is also random. for example) and then compute 1 − log(r). For example. To relate this to the Poisson distribution.5) Similarly.

we could assume a maximum queue length beyond which customers go away rather than joining the queue. looking at the histogram we see that there are some customers who have to wait as long as 10 or 12 minutes in each simulation. From comparing these sets of results it should be clear that such simulations can be effectively used to predict how badly queues may behave if the proper parameters are estimated.5. and on the right is a histogram of the total time spent by each customer (including both the time in line and the time being served).1 is used instead.8 shows another set of simulations in which the parameter b = 1. but it is clear that now the queues will typically grow to be of length greater than 20 at times and the average waiting time is much longer. For example. Note that this is consistent with what is observed in these simulations. In this case there are a finite set of states possible (different queue lengths) and it is possible to derive a Markov chain model of transitions. One can also use Markov chain ideas to study the expected behavior of such systems and determine expected values for quantities such as the total waiting time. More complicated models would be required to model a bank or super market with multiple lines and servers. in which case the average service time 1/b ≈ 0. as we will look at later. In fact it can be shown that for arbitrary parameters a < b. some similarities are observed. Again the details vary between simulations. Two plots are shown for each simulation: on the left is the length of the queue as a function of time. the queue length can grow quite long due to the randomness of arrivals. for example. . Note that although the server can handle 50% more customers than are arriving on average. and the 1 indicates there is a single server. Figure 4. We have only looked at the simplest situation of a single queue and a single server. Figure 4. This model is called an M/M/1 queue. Also. The first M indicates that the arrival times are exponentially distributed (or Markovian).48 Monte Carlo Methods Note that log is the natural logarithm command in matlab. In all three simulations the queue length is more than 10 at times. for 1000 customers each. the second M indicates that the service times are also Markovian.91 is even closer to the average interarrival time.7 shows the results of three simulations using the parameters a = 1 and b = 1. While the 3 simulations show variation in details. the expected total waiting time is 1/(b − a). There are now typically some customers who have to wait more than 20 minutes. Various modifications of this model are possible. though the average total time is more like 2 minutes.

1). See the Handouts webpage for the full m-file. % service times for each % Compute time each customer finishes: ft(1) = at(1)+st(1). iat = -1/a * log(r). % Generate inter-arrival times.6: Queuing theory simulation. wait_time = total_time .5:20) Figure 4.at. % Notation: % at = arrival time of a person joining the queue % st = service time once they reach the front % ft = finish time after waiting and being served. The code shown here is simplified and doesn’t show the computation of the queue length which is plotted here. % Single server. % average number of people served per minute ncust = 1000.0:. end total_time = ft . % total time spent by each customer % time spent waiting before being served ave_service_time = sum(st)/ncust ave_wait_time = sum(wait_time)/ncust ave_total_time = sum(total_time)/ncust % Plot histogram of waiting times: hist(total_time. % average number of arrivals per minute b = 1.1).7 Queuing theory 49 % Simple queuing theory simulation. % Generate random arrival times assuming Poisson process: r = rand(ncust. exponential distribution at(1) = iat(1).5. ft(i-1)+st(i)).1). % % initialize arrays: at = zeros(ncust. end % arrival times of other customers % Generate random service times for each customer: r = rand(ncust. single queue: M/M/1 queue a = 1. % Arrival time of first customer for i=2:ncust at(i) = at(i-1) + iat(i). ft = zeros(ncust. % finish time for first customer for i=2:ncust % compute finish time for each customer as the larger of % arrival time plus service time (if no wait) % finish time of previous customer plus service time (if wait) ft(i) = max(at(i)+st(i). . st = -1/b * log(r).st.4.1).

7: .2084 12 300 average service time =0.5 average total time =2.5 average total time =2.67806 250 200 150 5 100 50 0 0 200 400 600 800 1000 1200 0 0 2 4 6 8 10 12 14 16 18 20 Figure 4.6786 12 250 10 200 8 150 6 100 4 2 50 0 0 200 400 600 800 1000 1200 0 0 2 4 6 8 10 12 14 16 18 20 queue length vs.1234 300 10 average service time =0.5 average total time =2. time 18 histogram of waiting times 400 a =1 16 350 b =1.1487 14 300 average service time =0. time 16 histogram of waiting times 400 a =1 14 350 b =1.6693 10 250 8 200 6 150 4 100 2 50 0 0 100 200 300 400 500 600 700 800 900 1000 0 0 2 4 6 8 10 12 14 16 18 20 queue length vs.50 Monte Carlo Methods queue length vs. time 15 histogram of waiting times 400 a =1 350 b =1.

77 100 average service time =0.88394 80 10 60 40 5 20 0 0 100 200 300 400 500 600 700 800 900 1000 0 0 5 10 15 20 25 30 35 40 queue length vs.1 140 20 120 average total time =6. time 25 histogram of waiting times 200 180 a =1 20 160 b =1. time 30 histogram of waiting times 200 180 25 a =1 160 b =1.2679 15 100 average service time =0.8: .1 25 140 120 20 average total time =11.91675 80 10 60 40 5 20 0 0 200 400 600 800 1000 1200 0 0 5 10 15 20 25 30 35 40 queue length vs.1 140 15 120 average total time =4.7 Queuing theory 51 queue length vs.87122 10 80 60 5 40 20 0 0 200 400 600 800 1000 1200 0 0 5 10 15 20 25 30 35 40 Figure 4. time 35 histogram of waiting times 200 180 30 a =1 160 b =1.3831 100 15 average service time =0.4.

the one who has been waiting the longest) enters service. A run is a sequence of trials in a row all coming up heads or all coming up tails. what is the probability that among the three people. Suppose that 3% of families in a large city have an annual income of over 80. Let Mn be the random variable that counts the maximum length of any run of heads in n trials. Read ”America West Airlines Develops Efficient Boarding Strategies” by van den Briel. Arrival Times: 12 Service Times: 40 31 32 63 55 95 48 99 18 154 50 198 47 221 18 304 28 346 54 411 40 455 72 537 12 (a) Determine the departure times of these 13 customers. (c) Repeat (a) under the new assumption that when the server completes a service. Upon arrival. 000? 5. Obama is waiting to make a phone call at the office. (a) In terms of our 4-stage modeling process. . if the people in seats B and C are already seated when the passenger in seat A arrives.8 Exercises 1. 2. t]? What assumptions must one make to answer this question? 6. 191-201. Consider the Bernoulli process with a fair coin.55 and q = 1 − p = . No. 000. If the duration of each telephone call is an exponential random variable with λ = 1/8. a customer either enters service if the server is free or joins the waiting line. Interfaces. What is the distribution of NW (t) = the number of women arriving during the time interval [0. When the server completes work on a customer.52 Monte Carlo Methods 4. the VP and the secretary. 35. the next one in line (i. Mr. For example. that Mr. Obama. vol.e. There are two phone lines available and both are being used by the VP and the secretary of state. which sections of this paper correspond with each stage and each edge of the modeling cycle? (b) Describe strategies BF5 and OI5 in words.45 respectively. Lindemann and Mule. What is the expected value and variance of Mn for 1 ≤ n ≤ 64? An exact formula would be best but a good approximation from a simulation will suffice. then 2 people get up. The following data yield the arrival times and service times that each customer will require for the first 13 customers at a single server system. 3. at most three have an annual income of over 80. pp. the next customer to enter service is the one that has been waiting the least time. Cabs carrying passengers to an airport terminal arrive according to a Poisson process with 25 arrivals per hour on average. Hogg. 7. What does BF and OI stand for? (c) How was OI5 found? How was BF5 found? (d) Given a single half row of an airplane with 3 seats per side. 3. What is the probability that the next customer does not arrive during the next 3 minutes? Explain your assumptions. Obama will not be the last to finish his call? 4. Discussed on page 193 and again on page 199. what is the expected number of times someone gets up to let another passenger into their seat? For example. May-June 2005. (b) Repeat (a) when there are two servers and a customer can be served by either one. Mr. Assume for simplicity that each cab brings exactly one passenger who is either a man or a woman with probabilities p = . What is the probability that of 60 random families. Villalobos. Customers arrive at the post office at a rate of approximately three per minute. M16 (HT T HHT T HHHT T T T T H) = 3 corresponding to the run of three heads starting in position 8.

4.8 Exercises

53

(e) Discuss the entries in Table 1 and Table 2. What does the number 69 in the row labeled “Economy class[xxx]” represent in words? What should we compare 69 to in Table 2? (f) Discuss Tables 3 and 4. What conclusions can you make from this data? (g) What is the strategy that the authors recommend and what evidence did they give that it is best? Quote from the paper. (h) Is the recommended strategy optimal? If not, what do you think would be better?

54

Monte Carlo Methods

Math 381 Notes — University of Washington —Winter 2011

Chapter 5

Markov Chains and Related Models
5.1 A Markov chain model of a queuing problem

To introduce the theory of Markov chains, let’s consider a simple queuing theory model in which there is a single server and there are only three “states” which the queue can be in at any given time: State 1: State 2: State 3: No customers are present A customer is being served A customer is being served and another is waiting.

Assume that the queue is never longer: if a customer arrives when the queue is in State 3 then that customer disappears. Suppose that arrivals and service are Poisson processes, and over a given short time interval there is a probability p of a new customer arriving and a probability q that any customer currently being served will finish. If the time interval is very short then these are very small and we can assume there is negligible chance of more than one customer arriving or finishing, and also negligible chance of both one customer finishing and another arriving in the same period. We could perform a Monte Carlo simulation of this queue by keeping track of what state it is in, and each time period either staying in this state or moving to a different state depending on the value of some random number: random_num = rand(1); if random_num < p # a new customer arrives: if state<3 state = state + 1; end end if random_num > 1-q # a customer finishes: if state>1 state = state - 1; end end Note that we’ve done the tests in such a way that if p and q are both very small then we can’t have both happen. Figure 5.1 shows the transition diagram between the three states. For example, if we are in State 2, then with probability p we move to State 3 (if a customer arrives), with probability q we move to State 1 (if a customer finishes), and with probability 1 − p − q we stay in State 2 (if neither happens). 55

05 and q = 0. there are still no simulations in State 3 after one period. 95 96 97 98 99 100 etc.56 Markov Chains and Related Models 1-p p 1-p-q state 1 q state 2 0 q p 0 state 3 1-q Figure 5. Initially all simulations were in State 1. Here’s what we observe if we do 10.08. about 31% in State 2. about what we’d expect since p = 0.05.1: Transition diagram for a simple queuing theory model with three states. or 4..81% of the simulations. and about 19% in State 3. After one time period a customer had arrived in 481 of the simulations. we will observe that about 50% of the time we are in state 1. After a while we might expect to see the same percentages as reported above (why??). We could determine this for many different simulations and collect some statistics.. Since it’s impossible for 2 customers to arrive in a single period.. and print out how many of the simulations are in each of the three states at each time: time period 0 1 2 3 4 5 6 etc.. for example. Another way to get these number is to run lots of simulations simultaneously and keep track of what percentage of the simulations are in each state at each time period. all starting in State 1. We might be interested in determining what percentage of the time we are in each of the three states over the long term. 4949 4913 4920 4958 4982 4995 3134 3166 3161 3148 3072 3038 1917 1921 1919 1894 1946 1967 State 1 10000 9519 9073 8685 8379 8096 7812 State 2 0 481 891 1240 1491 1702 1914 State 3 0 0 36 75 130 202 274 .000 simulations. If we do this with p = 0. If we do a single simulation then we will move around between the three states.

309994  . where the transition matrix A is  1−p A= p 0 (5. We can compute     0.309999  .4) The right-most matrix above is for the specific values p = 0.05  . Alternatively. Let vk be the fraction of simulations which are in State k after n steps (for k = 1. it is possible to be in State 3.496498 v (99) = A99 v (0) =  0.1) 0 What fractions do we expect for v (1) ? Since each simulation moves to State 2 with probability p = 0. and 3 steps.1 A Markov chain model of a queuing problem 57 After 2 periods. In fact we can by using the theory of Markov chains. we have reached a steady . we expect   0. 3). 1−q 0 0.05  . What we now want to explore is whether we can determine these values without having to do (n) thousands of simulations. We can write this in matrix-vector notation as v (n+1) = Av (n) . To predict the percentages seen later. we need only multiply repeatedly by the matrix A.9065 .92 (5.2) + (1 − (n) q)v3 . note that v (2) = A2 v (0) and in general v (n) = An v (0) . (5. Just as we conjectured from the simulation. 2.05 0.8685 v (1) =  . v (100) = A100 v (0) =  0. Also notice that these two values are very close to each other.1247  .08 0 q  =  0.193481 0.95 . and 19% in State 3.193502 Note that again the values in the simulation are close to these values. and let v (n) be the vector with these three components. 2. 31% in State 2.5) 0 . or stays in State 1 with probability 1 − p = 0. v (2) =  . Suppose we know v (n) and we want to determine v (n+1) . however.05 and q = 0.0025 .0069 Note that these values agree reasonably well with what is seen in the simulation after 1. How does this agree with the number you should expect? Notice that after many time periods. 0 Now consider the general case. If all simulations start in State 1 then we have   1 v (0) =  0  . v (3) =  . and in fact 36 of the simulations reached this state. 0. From the relation (5.87 0.95 . for n around 100. Of course each individual simulation keeps moving around between states.05.0910  .5. (5. with roughly 50% of the simulations in State 1.08.3) we can compute       .3) q 1−p−q p    0 0.95 v (1) =  0.05 0. we appear to have reached a sort of “steady state”. but the number in each stays roughly constant. From the transition diagram of Figure 5.496525 0. Note that these are the same percentages quoted above.08  .1 we expect v1 (n+1) (n+1) = (1 − p)v1 = pv1 =0· (n) (n) v1 (n) + qv2 (n) + 0 · v3 (n) (n) (n) v2 (n+1) v3 + (1 − p − q)v2 + (n) pv2 + qv3 (5. etc.95.

4961240310077407 0. 5. then (A − λI)r = 0 where I is the m×m identity matrix. Since r is a nonzero null-vector of this matrix. . .6) means that this vector is an eigenvector of the matrix A.7) holds. 0. Then Ari = λi ri leads to AR = RΛ (5.3100775193798381  . Note that A2 = (RΛR−1 )(RΛR−1 ) = RΛ(R−1 R)ΛR−1 = RΛΛR−1 = R(Λ2 )R−1 (5. λm . the vectors v (n) are converging to a special vector v which has the property that ˆ Aˆ = v . If the eigenvalues are distinct then the eigenvectors ri (corresponding to the different λi ) will be linearly independent and so we can form a matrix R with these vectors as columns which will be a nonsingular matrix. but this case is a bit more subtle. In general A has m eigenvalues λ1 .) One use of the decomposition (5.4961240310076444 v (1000) = A1000 v (0) =  0. . The set of all eigenvectors corresponding to a given eigenvalue forms a linear subspace of lRm . Recall from linear algebra that a scalar value λ is an eigenvalue of the matrix A if there is a nonzero vector r (the corresponding eigenvector) for which Ar = λr. This arises from the fact that if (5. it must be singular.     0..58 Markov Chains and Related Models state in which the percentages do not change very much from one time period to the next. v (10000) = A10000 v (0) =  0.7) If r is an eigenvector. (Note that the order is important! In general AR = RA and RΛ = ΛR since matrix multiplication is not commutative. it has an inverse R−1 and we can rewrite (5. which can be determined by finding the roots of a polynomial of degree m in λ. . v ˆ (5. even after thousands of steps.1937984496123990 0.) Since R is nonsingular. e. then so is αr for any scalar value α. det(A − λI) = 0. (5.10) .8) where Λ is the diagonal matrix with the values λi on the diagonal.2 Review of eigenvalues and eigenvectors Let A be a square m × m matrix with real elements. Hence its determinant is zero. Computing the determinant gives the polynomial.9) is to compute powers of the matrix A. with eigenvalue λ = 1.6) so that a step leaves the percentages unchanged.3100775193797780  . (5. If we kept applying A we would find little change in future steps. Note that the relation (5.9) (We might be able to do all this even if the eigenvalues are not distinct.1937984496123613 As n increases.g.8) as A = RΛR−1 .

5.3 Convergence to steady state

59

and similarly, An = RΛn R−1
n

(5.11) λn i

for any n. This is easy to work with because Λ is just the diagonal matrix with the values on the diagonal. In matlab it is easy to compute eigenvalues and eigenvectors. For example, for the matrix A of (5.4), we can find the eigenvalues by doing: >> p = .05; q = .08; >> A = [ 1-p p 0 >> eig(A) ans = 1.0000 0.8068 0.9332 q 0; 1-p-q q; p 1-q]; ... ...

If we also want to find the eigenvectors, we can do >> [R,Lambda] = eig(A) R = -0.8050 -0.5031 -0.3144 0.4550 -0.8146 0.3597 0.7741 -0.1621 -0.6120

Lambda = 1.0000 0 0 0 0.8068 0 0 0 0.9332

This returns the matrices R and Λ.

5.3

Convergence to steady state

Note that one of the eigenvalues of A computed above is equal to 1 and the others are both smaller than 1 in magnitude. As we will see, this means the Markov process converges to a steady state. Recall that |λn | → 0 as n → ∞ if |λ| < 1, |λn | = 1 for all n if |λ| = 1,
n

(5.12)

|λ | → ∞ as n → ∞ if |λ| > 1,

So as n → ∞, the matrix A approaches

n

60

Markov Chains and Related Models

>> R * [1 0 0; 0 0 0; 0 0 0] * inv(R) ans = 0.4961 0.3101 0.1938 0.4961 0.3101 0.1938 0.4961 0.3101 0.1938

as we can easily confirm, e.g., >> A^100 ans = 0.4965 0.3100 0.1935 0.4960 0.3101 0.1939 0.4954 0.3102 0.1944

Now recall that when we multiply a matrix A by a vector v, we are forming a new vector which is a linear combination of the columns of the matrix. The elements of v give the weights applied to each column. If aj is the j’th column of A and vj is the j’th element of v, then the vector Av is Av = a1 v1 + a2 v2 + a3 v3 . In particular, if v (0) = [1 0 0]′ , then Av (0) is just the first column of A. Similarly, A100 v (0) is the first column of the matrix A100 . Note that for the example we have been considering, all three columns of A100 are nearly the same, and for larger n the three columns of An would be even more similar. This has an important consequence: Suppose we started with different “initial conditions” v (0) instead of v (0) = [1 0 0]′ , which corresponded to all simulations being in State 1 to start. For example we might start with v (0) = [0.5 0.3 0.2]′ if half the simulations start in State 1, 30% in State 2, and 20% in State 3. Then what would distribution of states would we see in the long run? After n steps the expected distribution is given by An v (0) . After 100 steps, >> v100 = A^100 * [.5 .3 .2]’ v100 = 0.4961 0.3101 0.1938 The same steady state as before. Since all three columns of A100 are essentially the same, and the elements of v (0) add up to 1, we expect A100 v (0) to be essentially the same for any choice of v (0) . Even though the steady state behavior is the same no matter how we start, the transient behavior over the first few days will be quite different depending on how we start. For example, starting with v (0) = [0.5 0.3 0.2]′ instead of (5.1) gives       .499 .4982 .4976 v (1) =  .302  , v (2) =  .3036  , v (3) =  .3049  , etc. (5.13) .199 .1982 .1975

5.4 Other examples of Markov Chains

61

instead of (5.5). Another way to look at the behavior of v as we multiply repeatedly by A is to decompose the initial vector v (0) as a linear combination of the eigenvectors of A: v (0) = c1 r1 + c2 r2 + c3 r3 . (5.14)

Since the vectors r1 , r2 and r3 are linearly independent, this can always be done for any v (0) and the solution c = [c1 c2 c3 ]′ is unique. In fact the vector c is the solution of the linear system Rc = v (0) , since this is exactly what (5.14) states, writing the matrix-vector multiply as a linear combination of the columns. Now consider what happens if we multiply v (0) from (5.14) by the matrix A: v (1) = Av (0) = c1 Ar1 + c2 Ar2 + c3 Ar3 = c1 λ1 r1 + c2 λ2 r2 + c3 λ3 r3 . Multiplying by A again gives v (2) = Av (1) = c1 λ1 Ar1 + c2 λ2 Ar2 + c3 λ3 Ar3 = c1 (λ1 )2 r1 + c2 (λ2 )2 r2 + c3 (λ3 )2 r3 . In general we have v (n) = An v (0) = c1 (λ1 )n r1 + c2 (λ2 )n r2 + c3 (λ3 )n r3 . (5.17) Again recall from (5.12), that as n gets large, (λj )n → 0 for any eigenvalue that is smaller than one in magnitude. For this particular problem λ1 = 1 while the others are smaller, and so v (n) → c1 r1 for large n. This means the steady state is a multiple of r1 , which is again an eigenvector of A, as we already knew. Note that the smaller |λ| is, the faster λn goes to zero. So from (5.17) we can see how quickly we expect to approximately reach a steady state. This depends also on how large the values cj are, which depends on the particular initial data chosen. If v (0) happens to be a steady state already, a multiple of r1 , then c2 = c3 = 0. (5.16) (5.15)

5.4
5.4.1

Other examples of Markov Chains
Breakdown of machines

A certain office machine has three states: Working, Temporarily Broken, and Permanently Broken. Each day it is in one of these states. The transition diagram between the states is shown in Figure 5.2. If the machine is working on Day 1, what is the probability that it is still functional (i.e., not permanently broken) a year from now? (In this example we will consider at a single machine and talk about the probability that this machine is in each state. Alternatively we could consider a pool of many machines and consider what fraction of the machines are in each state on a given day.) We can answer this question by computing the 365’th power of the transition matrix: >> A = [.90 .095 .005 .6 .4 0 0; ... 0; ... 1];

Why does this make sense? Why is the third column so different? How about after 5 years.1792 0.7937 0. The three states are: State 1: Working.7922 0 0 1. >> A^365 ans = 0.0001 0.9996 0 0 1. so v (0) = [1 0 0]). Note that the probabilities would be about the same if we’d started in the Temporarily Broken state on Day 1 (by looking at the second column of this matrix).0000 The first column of this matrix gives the probability of being in each state on Day 366 (with our assumption that it is working on Day 1. as we can see by computing the eigenvalues and eigenvectors: >> [R.6 state 2 0.62 Markov Chains and Related Models 0. For this Markov chain the steady state solution is the vector [0 0 1]′ .9996 0. and State 3: Permanently Broken. or 1825 days? We find >> A^1825 ans = 0.0003 0.4 state 1 0. We see that the probability that the machine is permanently broken in 0.0001 0.0000 so by this time the machine is almost surely dead whatever state we started in.2: Transition diagram for the modeling machine breakdown.9 0.0284 0. Lambda] = eig(A) .095 0.7937 and so there is about a 21% chance that the machine is still functional.1779 0. State 2: Temporarily Broken.0286 0.005 0 0 0 state 3 1 Figure 5.0003 0.

3 0.1036 0. we will eventually end up in State 3 with probability 1.7045 -0.7 0. No matter what state we start in. v (1) = 0. Then the transition diagram is simply 0 1 0 state 1 1 state 2 since with probability 1 the employee switches states each day.7096 -0.0000 0.3 .0051 -0.7532 Lambda = 1. v (2) = 0. and so on.. In this case we do not reach a single steady state.3043 0 0 0 0. v (3) = 0. .4 Other examples of Markov Chains 63 R = 0 0 1. In this case the transition matrix is A= 0 1 1 0 . .0000 0 0 0 0. 5. and once in State 3 we can never leave.5. but we do have a very regular pattern of cycling back and forth between two states.7 .3 .4. Say that an employee is in State 1 on work days and in State 2 on off days.7 .3 0. If 70% of the employees are working the first day then we have v (0) = 0. 0].2 Work schedules Suppose the XYZ Factory is operating every day and has a work schedule where each employee works every other day.7 0.6496 -0. This can again be understood by looking at the eigenvalues and eigenvectors of the matrix: >> A = [0 1 1.9957 State 3 (Permanently Broken) is called an absorbing state..

For the situation modeled in this program the store can be assumed to always be in one of six states each day: 1. 6.5 This makes sense: if the factory starts with 50% of employees working on the first day then 50% will be working every day.1 gave results indicating that with this particular ordering strategy and set of parameters. If we decompose v (0) in terms of the eigenvectors. No customer arrives. but there’s a tank in stock. Since the elements of v must sum to 1. A customer arrives. No customer arrives.18)  0 1−p 0 1−p 1−p 0     0 0 1−p 0 0 1−p  1−p 0 0 0 0 0 .7071 -0. there’s none in stock but one due to arrive in two days. A customer arrives and there’s a tank in stock. 5. v (0) = c1 r1 + c2 r2 then we have v (n) = c1 (−1)n r1 + c2 r2 .7071 Lambda = -1 0 0 1 0. 4. We can derive this using a Markov chain. the only multiple of r2 we can consider is 0. we find the transition matrix   0 p 0 p p 0  0 0 p 0 0 p     p 0 0 0 0 0   A= (5.7071 0. 0. Working out the probabilities of moving from each state to each of the others. we could serve about 60% of the customers who come looking for a 150 gallon fish tank. 2.64 Markov Chains and Related Models >> [R.7071 Both eigenvalues have magnitude 1. there’s none in stock but one due to arrive the next day. 3. The first terms flips sign every day and accounts for the oscillation. No customer arrives.3 The fish tank inventory problem The Monte Carlo simulation shown in Figure 4.5 v (0) = . A customer arrives. there’s none in stock but one due to arrive in two days. Lambda] = eig(A) R = 0.4. In the special case where v (0) is a multiple of r2 . there’s none in stock but one due to arrive the next day. we would expect c1 = 0 and in this case the solution should be truly steady. 5.

45. Shannon and by Reeds [Ree81]. one could determine the probability of any given number of rising sequences after the next shuffle.4000       2   0. From this we can see that the fraction of time a customer arrives and is served can be computed from the components of v as ˆ fraction served = v1 /(ˆ1 + v2 + v3 ) = ˆ v ˆ ˆ Exactly 60%. The riffle shuffle is modeled as follows: A deck of n cards is divided into two heaps. This matrix has three non-zero eigenvalues including λ = 1. Unfortunately. one can write down the probability of achieving any other ordering after the next shuffle.0667   =  v= ˆ 15  6   0. This is generally considered to be a reasonable model of the way humans perform a riffle shuffle. the ordering 146253 has three rising sequences: 123. and 6. The heaps are then k riffled together into a single pile. With this observation the number of states of the system is reduced from n! to n. A rising sequence is defined as a maximal sequence of consecutively numbered cards found (perhaps interspersed with other cards) during one pass through the deck. where they also supply a MATLAB code that forms the o probability transition matrix P and a related matrix A = P − P ∞ whose kth power gives the difference between the state of the system after k shuffles and that after infinitely many shuffles. With this model. and for a deck of n = 52 cards it now becomes an easy problem to solve numerically. in the long term steady state. as observed in the Monte Carlo simulation. when normalized so the elements sum to 1. The eigenvector corresponding to λ = 1. with the probability of dropping the next card from a particular heap being proportional to the number of cards in that heap. Given the current ordering of the cards. and this would seem to render the problem intractable from a computational point of view. 3 = 0. 3+1+1 5. The answer turns out to be 7.4 Card shuffling Another sort of application of Markov chains is to model a riffle shuffle of a deck of cards. Given only the number of rising sequences in the current ordering. although this has been debated. The great contribution of Bayer and Diaconis was to notice that the number of “states” of this system could be drastically reduced. /2n .0667      1  1   0.5.1333 The components of this vector are the expected fraction of days that the store is in each of the six possible states. A version of their code is available on the class web page. αi . with the probability n of a heap containing k cards being given by a binomial distribution. the process of card shuffling is represented as a Markov chain. The entries of the probability transition matrix are Pji = 2−n n+1 2i − j αj . An excellent description of the problem and solution from more of a linear algebra point of view can be found in J´nsson and Trefethen [JT98]. is found to be     3 0. with a deck of 52 cards there are 52! possible orderings. For example. and it was used by Bayer and Diaconis [BD92] to answer the question about randomizing an initially sorted deck of cards.4. The model was developed by Gilbert[Gil55].2000  1   0.4 Other examples of Markov Chains 65 where p = 1/3 is the probability of a customer arriving on any given day.6.1333  2 0. This application received a great deal of attention some years back when it was used to determine how many shuffles are necessary to randomize a deck of cards [Kol90].

. . . .1 0.08 0. αn )T /n! The entries of this vector are the probabilities of each possible number of rising sequences after the deck has been shuffled infinitely many times. It will be no more than 16. . etc. . n} that have exactly j rising sequences. .2 0.06 0. The vector v is plotted in Figure 5. It can be determined from the entries of v that. 0. . and the eigenvector corresponding to eigenvalue 1 is known as well: v = (α1 . Do you see why? When you take a deck with two rising sequences. This is called the total variation norm and is the measure used by Bayer and Diaconis. .04 0.5 General properties of transition matrices Transition matrices are special types of matrices which have some general properties which we summarize here: • Every element in a transition matrix must lie between 0 and 1 since it is a probability. A1k = 0 for k = 1. where A11 = 1.12 probability 0. After j shuffles there are at most 2j rising sequences. the resulting ordering can have at most four rising sequences. n − 1. .3. so that for j ≤ 4 it is easy to determine that the ordering is not random. . 1.02 0 5 10 15 20 25 30 35 Number of rising sequences 40 45 50 Figure 5. cut it in two and riffle the two portions together. . This begins to give us a clue as to why the system behaves as it does.18 0. Figure 5. with probability . Then shuffle several more times (at least three more times) and with very high probability you will count at least 19 rising sequences. 0)T — then after one shuffle there will be at most two rising sequences. See [Slo00] for more details on this sequence. . Try the experiment.5. j = 0.66 Markov Chains and Related Models Steady−State Distribution of Rising Sequences 0. Notice that this happens after k = 7 shuffles.3: Steady-state distribution of number of rising sequences where αj denotes the number of permutations of {1. If the deck is initially sorted in increasing order — so that there is one rising sequence and the initial state vector is s0 = (1. The deck is deemed to be sufficiently well shuffled when this difference drops below .k + (r − k + 1)Ar−1. for example.k = kAr−1. 5. . and αj = Anj .16 0. The αj ’s are known as Eulerian numbers. Shuffle a deck of cards four times and count the number of rising sequences. The eigenvalues of the probability transition matrix are known to be 2−j .9999 a well-shuffled deck has between 19 and 34 rising sequences. . . .14 0.4 shows a plot of the difference between the state vector after k shuffles and that after n 1 infinitely many shuffles: 2 i=1 |vi − (P k s0 )i |. and they satisfy the recurrence: Ar.k−1 .

all of these probabilities must add up to 1. if we use Matlab and obtain an eigenvector such as r1 = [−0. and the rows sum to 1 instead of the columns. but the eigenvalues are the same. so we choose cj = 1/ i rij where rij are the elements of the vector rj .14) decay while others have constant magnitude.4 1.8 0.8050 − 0. then wA = w.) • It can also be shown that all eigenvalues of a transition matrix satisfy |λ| ≤ 1.3144]′.4 0.4961 r1 v= ˆ =  0.2 Distance from random (in total variation norm) 1 0.6 0.1938 This is the expected steady state.5031 − 0.3144 0. Since we must move somewhere. row vectors ℓ for which ℓA = λℓ. we must normalize rj to have this sum. In fact the left eigenvectors ℓ are the rows of the matrix R−1 . • Note that normalizing an eigenvector gives a reasonable result only if all the elements of the eigenvector have the same sign. • On the other hand the rows do not need to sum to 1. so some components of an eigen-expansion such as (5. Recall that any scalar multiple cj rj is also an eigenvector.3101  −0. are different from the right eigenvectors. For example.5 General properties of transition matrices 67 1. This is just a restatement of the fact that all columns must sum to 1. This proves that λ = 1 is always an eigenvalue of any transition matrix. But this also shows that w is a left eigenvector of A with eigenvalue λ = 1. In this case the transition matrix is the transpose of ours. Since the elements of v must sum to 1. we can compute the normalized eigenvector as   0. This is because the elements in the j’th column represent the probabilities of moving from State j to each of the other states.5031 − 0.8050 − 0.5. • If λj = 1 then the eigenvector rj can be used to find a potential steady state of the system. but none can grow exponentially. with aij being the probability of moving from State i to State j instead of being the probability of moving from State j to State i as we have used. What can you hypothesize about eigenvectors of A corresponding to eigenvalues λj with |λj | < 1? . (Recall that in general the left eigenvectors of A.2 0 0 1 2 3 4 5 6 Number of shuffles 7 8 9 10 Figure 5.4: Convergence toward the steady-state in total variation norm • Each column of a transition matrix sums to 1.) • If w is the row vector with all components equal to 1. (Note: In many books transition matrices are defined differently. the inverse of the matrix of right eigenvectors.

7861 0. and some of the entries do not represent probabilities. and Age 2. To model how the population changes we need to know: • Survival rates. Suppose 20% of Age 0 birds survive to the next spring. We find A = 0 0. Then we have the following model: v0 v1 (n+1) = 3v1 = (n) + 6v2 (n) (n+1) = 0.5v1 In matrix-vector form: v (n+1) 0 3 =  0.5(b) shows the fraction of the population which is in each age class as a function of year. is called a Leslie matrix.5    (n)  v 6  0  (n) 0   v1  . (See [Jef78. (n) (n) There will be 3 types of birds: Age 0 (born the previous spring).0760. and we will keep track of the population just before breeding. and 50% of Age 1 birds survive to become Age 2. If we plot the population in each age group as a function of Year. As an example.0000 0 0.0000 0 0 . Figure 5. Suppose females that are 1 year old produce a clutch of a certain size.20) Note that in this case the columns of the matrix do not sum to 1. Age 1. However. This settles down to a steady state. we can predict the future population by iterating with this matrix just as we did using transition matrices for a Markov chain. This form of matrix. based on survival rates and fecundities. After 20 years the population is v (20) = [20833 3873 1797]′ while the percentage in each age class is [0. Females that are 2 years old lay more eggs and suppose 6 females are expected to survive to the next spring. suppose we want to study the population of a certain species of bird. These birds are born in the spring and live at most 3 years. Let v0 . we can predict all this from the eigenvalues and eigenvectors of A.6 Ecological models and Leslie Matrices Similar matrix techniques can be used in other situations that are not exactly “Markov chains”. v1 and (n) v2 represent the number of females in each age class just before breeding in Year n. • Fecundity rates. 1000 of each age.) Suppose we start with a population of 3000 females. Clearly the population is growing exponentially. (n) 0 v2 (5.1461 0.2000 0 3.0678]′.5(a).5000 6.2 0 0 0.68 Markov Chains and Related Models 5. Then we find         1000 9000 3600 6000 v (0) =  1000  .2v0 (n) (5. 1000 500 100 900 and so on. Since v (20) = A20 v (0) . and the eigenvalues and eigenvectors will give useful information about what we expect to see in the long run. v (2) =  1800  . v (3) =  720  . v (1) =  200  .19) (n+1) v2 (n) 0. we see what is shown in Figure 5. of which 3 females are expected to survive to the next breeding season. We can compute that between the last two years the total population grew by a factor of 1. SK87] for more discussion.

8 0.0.0149 .6459i 0.1297i Lambda = 1.1821 0.0.0846 -0.5.0759 is greater than 1 and accurately predicts the growth rate of the total population. so the corresponding components in the initial vector v (0) die out.7860 0.1297i -0.6459i 0.9 2 Age 0 0.5179i 0 0 0 -0.5179i >> R(:. normalized to have sum 1. If we had started with a population that was distributed this way.5: Bird population with a32 = 0.5 0. (See the example in the next section.1 0 5 10 15 20 25 0 0 5 10 15 20 25 Figure 5. then we would see smooth behavior from the beginning with no transient.7 1.6 Ecological models and Leslie Matrices 69 2.2 Age 2 0 0.0.0679 We see that λ1 = 1.0759 0 0 0 -0. The other two eigenvalues are complex and have magnitude 0.6990 . >> [R.6990 + 0. The first eigenvector r1 .Lambda] = eig(A) R = 0.1461 0.5 x 10 4 population of each age group 1 fraction of population in each age group 0.0.6 0.5380 .5 1 0.5380 + 0.) .1110 .0149 + 0.5 and initial data v (0) = [1000 1000 1000]′ . This transient behavior which results from the fact that the initial population distribution (equal number of each age) is not the steady state distribution.1)) ans = 0.7468.5 Age 1 0.4 0.1)/sum(R(:.2545i 0. gives the fraction expected in each age class in the steady state.9796 0.1110 + 0.3 0.2545i 0.

For the new matrix the relevant scaled eigenvector is r1 = [.7902 0.2 0. For example.1 Age 2 0 0 5 10 15 20 25 0 0 5 10 15 20 25 0.3. population of each age group 9000 1 fraction of population in each age group 8000 0.6 0. Then we obtain the boring graphs shown in Figure 5.1608 0.4 3000 0. How much should we harvest to control the growth without causing extinction? Harvesting will decrease the survival rates.9 7000 0.3 and initial data v (0) = [1000 1000 1000]′ . Then we find that the largest eigenvalue of A is 0.1 0 0 5 10 15 20 25 0 0 5 10 15 20 25 Figure 5.2 1000 Figure 5.3 2000 Age 1 0.70 Markov Chains and Related Models 5.3 and initial data having the expected steady-state distribution of ages.6: Bird population with a32 = 0.8 0.5 Age 0 4000 0.6.8 0.3 500 0. However.7 6000 0. one would have to investigate what assumptions the model is based on and how far in the future these assumptions will be valid.9830.1 Harvesting strategies We can use this model to investigate questions such as the following. Note that we now have exponential decay of the population and eventual extinction.5 1000 0. giving the graphs shown in Figure 5.7. over the 20-year span shown here the total population is predicted to decrease from 3000 to 3000(0.0491]′ and for a population of 3000 birds this suggests we should take v (0) = 3000r1 = [2371 482 147]′ .6. then all eigenvalues will be less than 1 and the population size will decrease exponentially to extinction.7 1500 0. . so the survival rate a32 falls from 0. Of course it might be more reasonable to assume the population starts out with a steady-state distribution of ages.9 2000 0.983)20 = 2129 and probably our model is not even accurate out this far. We might like to decrease the rates to a point where the dominant eigenvalue is very close to 1 in value. If we decrease the rate too much.4 0.7: Bird population with a32 = 0.6 5000 0. Suppose we want to harvest a certain fraction of this population. suppose we harvest an additional 20% of the 1-year olds.5 to 0. (Assuming it’s accurate at all!) To judge this. either to control the exponential growth or as a food source (or both). population of each age group 2500 1 fraction of population in each age group 0.

what percentage of customers will lease minivans this year? (c) Write the Markov chain in matrix form and determine the 2 × 2 transition matrix A.7 Exercises 71 5.5988 0 0. (Adapted from Ecological Simulation Primer by Swartzman and Kaluzny) state 1 . F.3 state 2 . 3 =high.4 1.5 . 2 =moderate.0000 0 0 R = -0. (b) If 20% of the cars leased to customers last year were minivans. . then it has eigenvalues and eigenvectors given by Lambda = 1.0697 0 0 0 0. (Adapted from Finite Mathematics by R.7832 -0. Brown) In an automobile-leasing company’s study of its customers who lease a new car every year. W. it is found that 30% of those who leased sedans the preceding year changed to minivans.4303 Based on these.4699 -0. Brown and B.2 .5 (a) Write the model in matrix form to project the fire danger probability from one day to the next.5. what is the probability that we will be in State 2 the day after tomorrow? (c) If the matrix you found is correct.7961 -0. The rest of the customers repeated the type of vehicle they had before.2410 -0.5551 0.7801 0. These are 1 =low. (a) Sketch the transition diagram. The probability of daily transitions between these states is given by the following flow diagram: .5 . (b) If we are in State 1 today.7 Exercises The fire danger during the summer in Mount Baker National Forest is classified into one of three danger levels.4072 -0.5 . what is the equilibrium probability of being in each state? 2. whereas 40% of those who had leased minivans changed to sedans.1813 0.1 0 state 3 .

A certain 2-year college considers students to be either “freshmen” or “sophmores” each year depending on how many credits they have at the start of the year. This might be modeled as a 4-state Markov chain. do you expect the enrollment to rise or decline in the long run? (b) Can you find a better value of β to use if the goal is to have a steady enrollment? (It’s ok to use trial and error combined with matlab to find the “right” value.) (e) What is the equilibrium distribution of sedan and minivan leases? 3. this would lead to a decline in enrollment. (a) With this strategy. based on the determinant of A−λI. They keep track of how many students graduate in Year n. What is the probability that she will ever graduate? (c) Do you think a 4-state Markov chain model really makes sense in this case? Recall that we must assume the transition probabilities depend only on the state a student is currently in. not their past history. What is the probability that he will ever graduate? (b) Mary is a sophmore. Continuing the previous problem. suppose the admissions office is setting a new policy for the number of students to admit. The administration has determined that 60% of the freshmen each year go on to be sophmores the next year. call this Gn . Instead they plan to use this strategy with β = 2. How might you improve the model by adding more states? 4. Each year 80% of sophmores graduate. but since not all students ever graduate. (a) Peter is a freshman. Comment on whether this is realistic. They might like to take β = 1 and admit as many new students as graduate. while 15% remain freshmen and 25% do not return. (Hint: you know what one of the eigenvalues should be. and plan to admit βGn new freshmen in Year n + 1. .72 Markov Chains and Related Models (d) Determine the eigenvalues and eigenvectors of A by hand. where β is some parameter. while 15% remain sophmores and 5% drop out.) (c) With this strategy. admitting twice as many new students as there are graduates. about what percentage of students will be freshmen each year? Note: the matrix you want to look at in this case is similar to a Leslie matrix rather than a Markov chain transition matrix.

warehousing. 6. of the form ai1 x1 + ai2 x2 + · · · + ain xn ≤ bi and ai1 x1 + ai2 x2 + · · · + ain xn = bi i = s + 1. . . including [HL95] and [Chv83]. that is.html Other introductions to linear programming can be found in many references. We further restrict the class of optimization problems that we consider to linear programming problems (or LPs).1.washington. In this course. production scheduling. the objective has the form c1 x1 + c2 x2 + · · · + cn xn for some ci ∈ lR i = 1. . s 6. the feasible region is always taken to be a subset of lRn (real n-dimensional space) and the objective function is a function from lRn to lR.1 of the notes is adapted from an introduction to linear programming written by Professor J. Linear programming is an extremely powerful tool for addressing a wide range of applied optimization problems. . . transportation scheduling. . m. . . facility location. layout. .1 Introduction Section 6. The function to be minimized or maximized is called the objective function and the set of alternatives is called the feasible region (or constraint region).1. Some of the discussion in the original notes which introduces duality theory and sensitivity analysis has been eliminated. . .1 What is optimization? A mathematical optimization problem is one in which some function is either maximized or minimized relative to a given set of alternatives. 73 .math. flight crew scheduling. parameter estimation. we will review the four basic steps in the development of an LP model: 1. In modeling this example. i = 1. A short list of application areas is resource allocation. Burke for Math 407.2 An Example To illustrate some of the basic features of LP. n. and the feasible region is the set of solutions to a finite number of linear inequality and equality constraints. . . An LP is an optimization problem over lRn wherein the objective function is a linear function.edu/~burke/crs/407/HTML/notes. . Burke’s original notes can be found on the webpage http://www. .Math 381 Notes — University of Washington —Winter 2011 Chapter 6 Linear Programming 6. we begin with a simple two-dimensional example. Determine and label the decision variables. .

what must I know in order to implement a production schedule?” The best way to determine the decision variables is to put oneself in the shoes of the decision maker and then ask the question “What do I need to know in order to make this thing work?” In the case of the plastic cup factory. Objective Function: Maximize profit where profit = 25B + 20C The next step in the modeling process is to express the feasible region as the solution set of a finite collection of linear inequality and equality constraints. The daily supply of plastic resins is limited to at most 1800 pounds. determine the explicit constraints. About 15 cases of either product can be produced per hour. Explicit Constraints: resin constraint: 20B + 12C ≤ 1800 .74 Linear Programming 2. The explicit constraints are those that are explicitly given in the problem statement. In order to determine these quantities. Determine the explicit constraints and write a functional expression for each of them. Decision Variables: B = # of cases of beer mugs to be produced daily. one can ask the question “If I were the plant manager for this factory. one can write an expression for the objective function. That is. determine the implicit constraints. That is. per case. PLASTIC CUP FACTORY A local family-owned plastic cup manufacturer wants to optimize their production mix in order to maximize their profit. one can now specify the problem objective. we need to specify those quantities whose values completely determine a production schedule and its associated profit. We will model the problem of maximizing the profit for this company as an LP. Each case of beer mugs requires 20 lbs. The first step in our modeling process is to determine the decision variables. They produce personalized beer mugs and champaign glasses. We separate this process into two steps: 1. Determine the objective and use the decision variables to write an expression for the objective function. everything is determined once it is known how many cases of beer mugs and champaign glasses are to be produced each day. After specifying the decision variables. You will soon discover that the most difficult part of any modeling problem is the determination of decision variables. 3. The profit on a case of beer mugs is $25 while the profit on a case of champaign glasses is $20. The cups are manufactured with a machine called a plastic extruder which feeds on plastic resins. In the problem under consideration. Once these variables are correctly determined then the remainder of the modeling process usually goes smoothly. of plastic resins to produce while champaign glasses require 12 lbs. Determine the implicit constraints. At the moment the family wants to limit their work day to 8 hours. there are explicit constraints on the amount of resin and the number of work hours that are available on a daily basis. These are the variables that represent the quantifiable decisions that must be made in order to determine the daily production schedule. and 2. C = # of cases of champaign glasses to be produced daily. 4.

The set of points of intersection between the straightedge and the feasible region is the set of solutions to the LP. the level sets of f associated with different function values are given by the lines perpendicular to the gradient. . to obtain the location of the point at which the objective is maximized we simply set a ruler perpendicular to the gradient and then move the ruler in the direction of the gradient until we reach the last point (or points) at which the line determined by the ruler intersects the feasible region. Then shade in the resulting feasible region. or in the opposite direction of the gradient vector for minimization to the last point for which the straightedge intersects the feasible region. ∇f (x1 . The next step is to draw in the vector representing the gradient of the objective function at the origin. In the cup factory problem it is clear that one cannot have negative cases of beer mugs and champaign glasses. P : max 25B + 20C subject to 20B + 12C 1 15 B 1 15 C 0 ≤ C. Step 3: Draw the gradient vector of the objective function.6. Implicit Constraints: 0 ≤ B. Since the objective function has the form f (x1 . Recall from calculus that the gradient always points in the direction of increasing function values. Don’t forget the implicit constraints! Step 2: Shade in the feasible region. Typically these constraints are associated with “natural” or “common sense” restrictions on the decision variable.1 Introduction 75 work hours constraint: 1 15 B + 1 15 C ≤ 8. These are constraints that are not explicitly given in the problem statement but are present nonetheless. since the gradient is constant on the whole space. x2 ) = c1 x1 + c2 x2 . the gradient of f is the same at every point in lR2 . C + 0 Since this problem is two dimensional it is possible to provide a graphical solution. Then determine on which side of each of these lines the feasible region must lie (don’t forget the implicit constraints!). Step 4: Place a straightedge perpendicular to the gradient vector and move the straightedge either in the direction of the gradient vector for maximization. Once the correct side is determined it is helpful to put little arrows on the line to remind yourself of the correct side. To do this. The first step toward a graphical solution is to graph the feasible region. That is. Consequently. both B and C must be non-negative quantities. Moreover. In the case of the cup factory problem B 45 this gives the solution to the LP as = C 75 We now recap the steps followed in the solution procedure given above: Step 1: Graph each of the linear constraints and indicate on which side of the constraint the feasible region must lie. first graph the line associated with each of the linear inequality constraints. x2 ) = c1 c2 . The entire model for the cup factory problem can now be succinctly stated as ≤ 1800 ≤ 8 ≤ B. This problem also has other constraints called implicit constraints.

1: .76 Linear Programming C 15 14 13 12 11 10 9 8 20B+12C=1800 objective normal n=[25 20]’ [B C] = [45 75] optimal value = $2625 7 6 5 4 3 2 1 B B/15 + C/15 = 8 feasible region 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Figure 6.

≤ bi for i = 1. . linear inequalities If an LP has an inequality constraint of the form ai1 x1 + ai2 x2 + · · · + ain xn ≥ bi . This process usually requires a transformation of variables and occasionally the addition of new variables. From this information everything else can be determined. . Transformation to Standard Form Every LP can be transformed to an LP in standard form.1. This general definition leads to an enormous variety of possible formulations. In this section we propose one fixed formulation for the purposes of developing an algorithmic solution procedure. we can rewrite this LP as P : maximize subject to cT x Ax ≤ b 0≤x. . 6. as you can see there are many ways to model a given problem. .3 LPs in Standard Form Recall that a linear program is a problem of maximization or minimization of a linear function subject to a finite number of linear inequality and equality constraints. the number of cases of beer mugs that get produced is 15 times the number of hours devoted to the production of beer mugs. But in the end. we make a final comment on the modeling process described above. minimization → maximization To transform a minimization problem to a maximization problem just multiply the objective function by −1. it is sufficient for the shop manager to know how many hours each days should be devoted to the manufacture of beer mugs and how many hours to champaign glasses. We will explore this geometric structure more fully as the course evolves. m where the inequalities Ax ≤ b and 0 ≤ x are to be interpreted componentwise.1 Introduction 77 The solution procedure described above for two dimensional problems reveals a great deal about the geometric structure of LPs that remains true in n dimensions. In particular. We emphasize that there is not one and only one way to model the Cup Factory problem. In this section we provide a step-by-step procedure for transforming any LP to one in standard form. Therefore. n . . We say that an LP is in standard form if it has the form P : maximize c1 x1 + c2 x2 + · · · + cn xn subject to ai1 x1 + ai2 x2 + · · · + ain xn 0 ≤ xj for j = 1. Using matrix notation. they should all point to the same optimal process. linear equation . This inequality can be transformed to one in standard form by multiplying the inequality through by −1 to get −ai1 x1 − ai2 x2 − · · · − ain xn ≤ −bi . We then show that every LP can be recast in this form. or any problem for that matter. Clearly. But for the moment. For example. 2. there are many ways to choose the decision variables for this problem. 2. we continue to study this 2 dimensional LP to see what else can be revealed about the structure of this problem. . . .6. Before leaving this section.

In this case.78 Linear Programming The linear equation ai1 x1 + · · · + ain xn = bi can be written as two linear inequalities ai1 x1 + · · · + ain xn ≤ bi and ai1 x1 + · · · + ain xn ≥ bi . . x3 ≤ 5. we put the following LP into standard form. −1 ≤ x2 . the bound xi ≤ ui is equivalent to the bound 0 ≤ wi . variables with lower bounds If a variable xi has lower bound li which is not zero (li ≤ xi ). variables with upper bounds If a variable xi has an upper bound ui (xi ≤ ui ) one obtains a non-negative variable wi with the substitution xi = ui − wi . That is. minimize subject to 3x1 −x1 − + x2 6x2 7x2 − x3 x3 + + + x4 x4 x4 ≥ −3 = 5 ≤ 2 and wi ≤ ui − li . Such variables are called free variables. −2 ≤ x4 ≤ 2. The second of these inequalities can be transformed to standard form by multiplying through by −1. then we get xi = ui − vi with 0 ≤ ui and 0 ≤ vi . To illustrate the ideas given above. In this case. the bound li ≤ xi is equivalent to the bound 0 ≤ wi . one obtains a non-negative variable wi with the substitution xi = wi + li . variables with interval bounds An interval bound of the form li ≤ xi ≤ ui can be transformed into one non-negativity constraint and one linear inequality constraint in standard form by making the substitution xi = wi + li . if xi is free. the bounds li ≤ xi ≤ ui are equivalent to the constraints 0 ≤ wi free variables Sometimes a variable is given without any bounds. In this case. To obtain standard form every free variable must be replaced by the difference of two non-negative variables.

so we replace it by x1 = y1 − y2 with 0 ≤ y1 .6. so we replace it by x3 = 5 − y4 with 0 ≤ y4 . y5 . 0 ≤ y2 . y3 . Next we replace the first inequality constraint by the constraint x1 − 6x2 + x3 − x4 ≤ 3. y4 . The variable x3 is bounded above.1 Introduction 79 First. Putting it all together we get the following LP in standard form: maximize subject to −3y1 y1 + − 3y2 y2 + − − y3 6y3 7y3 7y3 − − y4 − + − + y5 y5 y5 y5 y5 ≤ ≤ ≤ ≤ ≤ −10 14 −14 −1 4 y4 0 ≤ y1 . we rewrite the objective as maximize − 3x1 + x2 . y2 . The variable x2 has a non-zero lower bound so we replace it by x2 = y3 − 1 with 0 ≤ y3 . Observe that the variable x1 is free. . The equality constraint is replaced by the two inequality constraints 7x2 −7x2 + x4 − x4 ≤ ≤ 5 −5. The variable x4 is bounded below and above so we replace it by x4 = y5 − 2 with 0 ≤ y5 and y5 ≤ 4.

UB) defines a set of lower and upper bounds on the design variables.80 Linear Programming 6.2 A pig farming model Suppose a pig farmer can choose between two different kinds of feed for his pigs: corn or alfalfa.1) c1 x1 + c2 x2 where x1 and x2 are the quantity of corn and alfalfa to use (in kilograms) and c1 and c2 are the cost per kilogram of each. With these prices. X=LINPROG(f.b. how many kg/day does he need for each pig? 3. x2 ≥ 0. Use empty matrices for LB and UB if no bounds exist. The pigs must get at least 200 units of carbohydrates and at least 180 units of protein in their daily diet. Suppose corn and alfalfa each cost 30 cents / kg. since it solves a minimization problem rather than a maximization problem: >> help linprog LINPROG Linear programming. How expensive would each of the above diets be? 4. What is the best mix if the price of alfalfa goes up to $1/kg? What if it goes up only to 60 cents / kg? The problem of choosing the mix which minimizes cost can be set up as a linear programming problem minimize subject to 30x1 + 60x2 ≥ 180 x1 . Here are a few questions the farmer might be faced with in choosing a good diet for the pigs: 1. Linear programming problems can be solved in matlab.A. 100x1 + 40x2 ≥ 200 (6.LB.b) solves the linear programming problem: min f’*x x subject to: A*x <= b X=LINPROG(f. X=LINPROG(f.b. Set LB(i) = -Inf if X(i) is unbounded below.A. If the farmer uses only corn.A.beq. He can feed them all of one or the other or some mixture. X. which requires a slightly different standard form. is there some mixture of the two grains that would satisfy the dietary requirements and be cheaper? 5. how many kg/day does he need for each pig? 2.Aeq. The farmer knows that: • corn has 100 units/kg of carbohydrate and 30 units/kg of protein • alfalfa has 40 units/kg of carbohydrate and 60 units/kg of protein. so that the solution is in the range LB <= X <= UB.Aeq. If the farmer uses only alfalfa.beq) solves the problem above while additionally satisfying the equality constraints Aeq*x = beq. Multiplying the objective function and constraints by −1 would allow us to put this in the standard form discussed above. .

an argument created with the OPTIMSET function. LAMBDA. at the solution: LAMBDA. [X. [X.FVAL.A.LAMBDA]=LINPROG(f. [X.OPTIONS) minimizes with the default optimization parameters replaced by values in the structure OPTIONS. If EXITFLAG is: > 0 then LINPROG converged with a solution X.EXITFLAG.b.A.FVAL]=LINPROG(f. See OPTIMSET for details. 0 then LINPROG reached the maximum number of iterations without converging.Aeq. .iterations. X=LINPROG(f. The dual problem is max b’*y such that A’*y + s = f. LAMBDA.b.FVAL.Beq.LB. < 0 then the problem was infeasible or LINPROG failed.b) returns EXITFLAG that describes the exit condition of LINPROG.FVAL.b) returns the set of Lagrangian multipliers LAMBDA.UB.UB.X0. NOTE: the LargeScale (the default) version of LINPROG uses a primal-dual method.2 A pig farming model 81 set UB(i) = Inf if X(i) is unbounded above.ineqlin for the linear inequalities A. and LAMBDA.A.OUTPUT.algorithm.beq.eqlin for the linear equalities Aeq. Use options are Display. the number of conjugate gradient iterations (if used) in OUTPUT.OUTPUT] = LINPROG(f. The default interior point algorithm will ignore any non-empty starting point.X0) sets the starting point to X0. This option is only available with the active-set algorithm. The primal problem in standard form is min f’*x such that A*x = b. Currently.b) returns the value of the objective function at X: FVAL = f’*X. the type of algorithm used in OUTPUT.upper for UB. only ’final’ and ’off’ are valid values for the parameter Display when LargeScale is ’off’ (’iter’ is valid when LargeScale is ’on’).EXITFLAG] = LINPROG(f.cgiterations.b) returns a structure OUTPUT with the number of iterations taken in OUTPUT. Diagnostics. x >= 0. X=LINPROG(f.lower for LB.A.EXITFLAG.Aeq.LB. or both. [X. Both the primal problem and the dual problem must be feasible for convergence.A.A. s >= 0. LargeScale. are given as appropriate. MaxIter.6. TolFun. Infeasibility messages of either the primal or dual.

2. >> linprog(f.[]. 3].vlb) Optimization terminated successfully.5000 This solution is illustrated graphically in Figure 6. Unfortunately we don’t generally know this in advance. >> vlb = [0.[].[]. 30 60] >> b = -[200.0000 2.3.b.2(b). 180. the farmer might want to keep the pigs from getting too fat by requiring that the total daily diet should be at most 5 kg. >> vub = [3.vlb. 6.0000 1.A.vub) Optimization terminated successfully. so that x1 ≤ 3 and x2 ≤ 3. we can do the following: >> f = [30. -1 -1].180]. 6.0000 0 This solution is illustrated graphically in Figure 6.A. 0]. suppose pigs should eat at most 3 kg of any particular grain.0]. >> linprog(f.30]. >> A = -[100 40. If we knew which two constraints were binding at the solution. 30 60.1 Adding more constraints Suppose we add some new constraints to the problem. For example.b. The objective function we are minimizing is also linear. . This problem can be solved as follows: >> A = -[100 40. ans = 3.2 Solving the problem by enumeration Each constraint corresponds to a straight line. If the cost of alfalfa goes up to $1.2(a).2. Corners correspond to points where two constraints are satisfied simultaneously. In class we will study the graphical interpretation of these and other related problems.5000 This solution is illustrated graphically in Figure 6.vlb) Optimization terminated successfully.[]. ans = 6.[]. >> vlb = [0. we could easily solve the problem. ans = 1. -5]. so the solution is at one of the corners of the feasible set. >> linprog(f.b.[]. In addition. adding the constraint x1 + x2 ≤ 5.00/kg: >> f=[30. so the feasible set is a convex polygon.82 Linear Programming To solve the optimization problem with costs c1 = c2 = 30. and can be found by solving a linear system of two equations (from these two constraints) in two unknowns x1 and x2 . >> b = -[200.100].A.

Shade in the feasible region! . In each case the solid lines show constraints and the dashed line is the iso-cost line passing through the optimal solution. Shade in the feasible region in each figure! 8 7 6 5 4 3 2 1 0 −1 −1 0 1 2 3 4 5 6 7 8 Figure 6. which is one of the corners of the feasible region.3: Graphical solution of the pig-farming problem with more constraints.6. The solid lines show constraints and the dashed line is the iso-cost line passing through the optimal solution.2 A pig farming model 83 8 8 7 7 6 6 5 5 4 4 3 3 2 2 1 1 0 0 (a) −1 −1 0 1 2 3 4 5 6 7 8 (b) −1 −1 0 1 2 3 4 5 6 7 8 Figure 6. which is one of the corners of the feasible region.2: Graphical solution of the pig-farming problems in the x1 -x2 plane.

which is now an object in a linear space with dimension in the hundreds. the system of linear equalities in LP (6. x3 makes up the slack in the inequality constraint 2x1 + x2 ≤ 12. consider the following LP max subject to 2x1 − 3x2 2x1 + x2 x1 − 3x2 0 ≤ x1 . Each constraint corresponds to a plane in 3-space and the feasible set is a convex body with planar sides.84 Linear Programming One approach to solving the problem would be to consider all possible corners by solving all possible sets of 2 equations selected from the various constraints. and x3 to consider. and again the optimal solution occurs at a corner of the feasible set. 2x1 + x2 ≤ 12. so we can find all possible corners by considering all choices of 3 constraints from the set of m constraints. the inequality.3 Adding a third decision variable If there are more decision variables. is that there is a combinatorial explosion of m possible choices.2. The basic idea is to start by identifying one corner of the feasible region and then systematically move to “adjacent” corners until the optimal value of the objective function is obtained.2) must be reformulated into a system of linear equalities constraints. • If it is feasible. x2 The corresponding feasible region is depicted in Figure 6. The introduction of slack variables facilitates such a conversion of the constraints. After doing this for all choices of two constraints. To gain a basic understanding of the simplex method. • Check to see if the resulting solution is feasible (it might violate other constraints!). The problem with this. There are now m = O(m3 ) ways to do this.4. Loosely speaking. If there are m constraints and two decision variables. for larger problems anyway. For each choice of 2 equations we could: • Solve the linear system for these two constraints.4 The simplex algorithm Practical linear programming problems often require solving for hundreds of variables with thousands of constraints. Therefore. Changing the value of the objective function sweeps out another set of planes.2) . 6. The simplex algorithm is a method that has proved exceedingly effective at finding solutions in much less time (though. These corners are points where 3 of the constraints are simultaneously satisfied. For example. then we would have three variables x1 . Take a moment and verify that the equality and inequality constraints are equivalent. In this case it is impossible to enumerate and check all possible “corners” of the feasible set. the best value of the objective function found gives the solution. x2 . if we consider 3 grains instead of only 2. Such verification is an important part of mathematical modeling. In this case the pictures are harder to draw. compute and record the value of the objective function at this point. For instance. in the worst case it can still have exponential running time). then the problem is even worse.2. becomes 2x1 + x2 + x3 = 12 with the addition of the slack variable x3 ≥ 0. The simplex method uses a series of elementary matrix operations. like branch and bound algorithms. then there are = 2 1 2 2 m(m − 1) = O(m ) possible choices. ≤ 12 ≤5 (6. 3 6.

In contrast. this tableau leads to the solution . Therefore. one may be tempted to use x3 again as a slack variable.3) is z 1 0 0 x1 -2 2 1 x2 3 1 -3 x3 0 1 0 x4 0 0 1 RHS 0 12 5 ←− (z − 2x1 + 3x3 = 0) ←− (2x1 + x2 + x3 = 12) ←− (x1 − 3x2 + x4 = 5) Solutions can be read directly from the tableau. 2. x1 = 0. Forcing the same slack variable in each constraint changes the problem we are solving! Take a moment and consider the implications of using x3 for each constraint in (6. 4 Notice. which implies that x3 = 12/1 = 12. The initial simplex tableau for LP (6. In an attempt to reduce decision variables.2) becomes max subject to z = 2x1 − 3x2 2x1 + x2 + x3 x1 − 3x2 + x4 0 ≤ xi . = 12 =5 (6. Since the column associated with variable x1 contains more than 1 nonzero value.2 A pig farming model 85 12 10 8 2x1 + x2 ≤ 12 x2 6 4 2 x1 − 3x2 ≤ 5 0 0 1 2 3 x1 4 5 6 7 Figure 6. Traditionally. or loosely speaking that there are equal amounts of “slack” in each constraint. another slack variable x4 ≥ 0 is introduced into the second constraint. which would form the linear equality x1 − 3x2 + x3 ≤ 5. 3. which are equivalent to matrices.2) does not imply that 2x1 + x2 − 12 = x1 − 3x2 − 5. LP (6. our system is prepared for matrix computation. z equals the optimum of the objective function. each inequality constraint should use a unique slack variable. Note that our linear system (6. Therefore. the column associated with x3 contains only one nonzero value.2)! Therefore.6. In general. the simplex method forms tableaux. The constraint x1 − 3x2 ≤ 5 still remains to be converted into a linear equality with a slack variable. which becomes x1 − 3x2 + x4 = 5.4: Feasible region for LP. Having obtained a system of linear equality constraints.3) i = 1.

x3 = 12. and αi is the most negative indicator. The numbers in shaded boxes in the top row of the tableau are called indicators. we find the following: z 1 0 0 x1 x2 -2 3 2 1 1 -3 ↑ pivot column x3 0 1 0 x4 0 0 1 RHS 0 12 5 Quotients 12/2 = 6 5/1 = 1 ⇒ pivot row Verify these results. 2. The entering variable is xi and will be made nonzero. then the problem has an unbounded objective value. z 1 0 0 x1 -2 2 1 x2 3 1 -3 x3 0 1 0 x4 0 0 1 RHS 0 12 5 ←− indicators Basic variables are nonzero variables in the tableau and correspond to a corner point of the feasible region. Check for unboundedness – If αi < 0 and no positive element in the column associated with variable xi exists. Therefore. we apply elementary row calculations to form the following tableau: z 1 0 0 x1 0 0 1 x2 -3 7 -3 x3 0 1 0 x4 2 -2 1 RHS 10 2 5 . That is.86 Linear Programming x1 = x2 = 0. Check the indicators for possible improvement – If all the indicators are nonnegative. x3 and x4 are basic variables associated with the corner point (0. 5.Use elementary row operations on the old tableau so the column associated with xi contains a zero in every entry except for a 1 in the pivot position. 4. Go to Step 1. 3. Pivot creating a new tableau . Let αi denote the indicator in the column associated with variable xi . Note that x1 is the entering variable and x4 . The pivot element is the element in the pivot row and pivot column. In the current tableau. The basic idea of the simplex algorithm is to change which variables in the system are basic variables in order to improve the value of z. Find a quotient for each row by dividing each number from the right side of the tableau by the corresponding number from the pivot column. For x1 to become nonzero. the departing variable. Select the entering variable – The most negative indicator identifies the entering variable. the algorithmic steps for the simplex algorithm as applied to the simplex tableau are as follows: 1. Applying these steps to our tableau. select αi such that αi < 0. Otherwise. The column associated with xi is called the pivot column.0) (since x1 = 0 and x2 = 0). finite improvement in the objective function is possible. The pivot row is the row corresponding to the smallest quotient. Select the departing variable – This step determines which basic variable will become zero. then the solution is optimal else go to Step 2. Considering more details of the method requires that we establish additional terminology regarding a simplex tableau. x4 = 5 and z = 0. go to Step 3.

the current tableau represents an increase in the optimal value! Yet.4 to verify that our solution is a corner point of the feasible solution. Program packages such as lindo and matlab demonstrate the need for effective computation in the field of optimization. x2 = 0. Klee (from UW) and Minty [KM72] proved that the simplex algorithm is exponential in the worst case. Moreover. x3 = x4 = 0 and z = 76 . Another more efficient algorithm due to Karmarkar[Kar84] uses an interior-point method instead of walking around the boundary. Therefore. the solution has been found. 6. x2 = 2 . Khachian [Kha79] invented the “ellipsoid” algorithm for finding solutions to linear programming problems in 1979 that he showed runs in polynomial time. In 2001. The matlab function linprog implements the simplex algorithm. Their work attempts to identify algorithms which are exponential in the worst case but which work efficiently in practice like the simplex algorithm. which is available on some campus computers. which represents that the optimal value z cannot be improved.6. software packages exist that are aimed specifically at solving linear programming and related problems. The indicators are all 7 7 7 positive. The basic variables are indeed x1 and x3 . The step of selecting the departing variable is left to the reader. x4 = 0 and z = 10. Refer to Figure 6. Imagine performing elementary row operations on a simplex tableau with thousands of decision variables. Elementary row operations produce the following tableau: z 1 0 0 x1 0 0 1 x2 0 1 0 x3 3/7 1/7 3/7 x4 8/7 -2/7 1/7 RHS 76/7 2/7 41/7 This tableau leads to the solution x1 = 41 . One popular package is lindo. Spielman and Teng [ST02] introduced a new complexity class they call polynomial smoothed complexity and they showed that the simplex algorithm is the classic example in this class. the indicators identify that possible improvement still exists by selecting x2 as an entering variable. This algorithm appeared in 1984. Fortunately. x3 = 2.3 Complexity and the simplex algorithm The simplex algorithm was invented by George Dantzig in 1947 [Dan63]. but is very efficient in practice. Implementation of the simplex algorithm requires a great deal of linear algebra and bookkeeping.3 Complexity and the simplex algorithm 87 This tableau leads to the solution x1 = 5. .

88 Linear Programming .

Recall that for the LP problem we know the optimum occurs at a corner of the feasible set. In simple cases one might be able to enumerate all integer points in the feasible set and check each. For example. maximizing the number of lifeboats subject to certain constraints. and we see that the best integer solution is x1 = 8. x2 = 32 would give an infeasible solution (requiring too much volume).727. which is not possible. we must determine how best to equip a ferry with lifeboats and life vests.1 The lifeboat problem Many linear programming problems arising from real problems have the additional complication that the desired solution must have integer values. however. In this case we can’t even use the approach of Chapter 1. this is usually out of the question. Our first guess at how to solve such a problem might be to simply round off the values that come from the LP solution. Instead we must find the best integer solution. of reducing the x2 to the nearest integer and increasing x1 as needed. and the corners can be found by solving an appropriate linear system of equations corresponding to the binding constraints. 89 .636 shows the maximum value of the objective function x2 obtained at the LP solution x1 = 3. for the values considered in Chapter 1.1 shows the graphical solution to this problem with a different set of parameters: C1 C2 C V1 V2 V = 1 = 2 (capacity of each vest) (capacity of each boat) = 11 (total capacity needed) = 1 (volume of each vest) = 3. there is no direct way to find the solution. but for problems with many variables and with a large range of possible integer values for each. x2 = 31. The feasible integer points are indicated by the dark dots. in the lifeboat problem considered in Chapter 1.636.6364 (number of vests) = 31.8182 (number of boats) Trying to round this to x1 = 364. The best integer solution was found to be x1 = 381. For most IP (integer programming) problems. the LP solution was x1 x2 = 363. The solution to the resulting linear programming problem will typically require some fractional number of lifeboats and life vests. x2 = 2.1 (volume of each boat) = 15 (total volume available) The dashed line x2 = 3. x2 = 3. We had to reduce x2 to 31 and then the number of vests x1 went up substantially.Math 381 Notes — University of Washington —Winter 2011 Chapter 7 Integer Programming 7. Figure 7. For the IP problem typically none of the inequality constraints are exactly binding at the solution. For example. This usually does not work.

only the points marked by dots are feasible. which is one of the corners of the feasible region. The solid lines show constraints and the dashed line is the objective function contour line passing through the optimal solution. .90 Integer Programming 8 7 6 5 4 3 2 1 0 −1 0 2 4 6 8 10 12 14 16 18 20 Figure 7.1: Graphical solution of the lifeboat problem in the x1 -x2 plane. When integer constraints are added.

and is easier to solve. There are two possible scenarios: • We are allowed to take any amount of each cargo up to the total volume. as discussed in the next section.7. xj can take any value between 0 and 1. and V = 1000 the total volume available in the cargo plane. For example. such as in the example we considered of canneries and warehouses.4) then we have the linear programming problem corresponding to the first scenario again. The second scenario is more realistic and gives a zero-one integer programming problem. then for each cargo the value xj can take one of two values and so there are 2k possible combinations of cargo. Many practical problems can be put in this form.2 Cargo plane loading Suppose you have a cargo plane with 1000 cubic meters of space available.3) (7. have the property that the LP solution can be shown to be integer-valued.2 Cargo plane loading 91 Some IP problems have a sufficiently special form that the solution is easily found.) • We must take all of the cargo or none of it..4) 0 ≤ xj ≤ 1 xj integer If we drop constraint (7.g. (E. For other classes of IP problems there are special techniques which are effective. since each decision variable is restricted to take only the values 0 or 1. with the profit adjusted accordingly. Pj the profit. and you can choose from the following sets of cargos to load the plane: Cargo 1 2 3 4 5 Volume 410 600 220 450 330 Profit 200 60 20 40 30 For each cargo the volume and profit expected from shipping this cargo are listed. in which linear programming problems are used to obtain bounds. The first scenario gives a linear programming problem with continuous variables. 7. For many problems a branch and bound approach must be used.1) subject to j Vj xj ≤ V (7. taking half the cargo yields half the profit. In this case k = 5 and there .2) (7. Introduce the decision variable xj to represent the fraction of the j’th cargo that we decide to take. This is illustrated in the next section for a relatively simple class of problems called zero-one integer programming. certain transportation problems. In the first scenario above. using the simplex method for example. If we have k cargos to choose from. For this small problem we can easily solve the integer programming problem by simply enumerating all possible choices of cargos. Let Vj be the volume of the j’th cargo. The integer programming problem then has the form maximize j Pj xj (7. Often each value represents a yes-no decision that must be made. It will be useful to consider problems of the first type in the process of solving the integer programming problem. while for the actual problem each xj must be either 0 or 1.

7. . 3. with the profit arising from each (which is set to zero for infeasible combinations): cargo choice 2 3 4 5 0 0 0 0 0 0 0 0 1 1 1 1 1 1 1 1 0 0 0 0 0 0 0 0 1 1 1 1 1 1 1 1 0 0 0 0 1 1 1 1 0 0 0 0 1 1 1 1 0 0 0 0 1 1 1 1 0 0 0 0 1 1 1 1 0 0 1 1 0 0 1 1 0 0 1 1 0 0 1 1 0 0 1 1 0 0 1 1 0 0 1 1 0 0 1 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 0 1 profit 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 0 30 40 70 20 50 60 90 60 90 0 0 80 0 0 0 200 230 240 0 220 250 0 0 0 0 0 0 0 0 0 0 The best combination is 10101. for example a shipping company might have many planes and different sets of cargos and want to choose the optimal way to split them up between planes.3 Branch and bound algorithm Integer programming problems are often solved using branch and bound algorithms. meaning we should take Cargos 1. This is easily illustrated for the cargo plane problem since this is a particularly simple form of integer programming. a 0-1 integer program in which each decision variable can take only the values 0 or 1. Moreover the real problem might be more complicated. Part of such a tree is shown in Figure 7.92 Integer Programming are 32 possibilities to consider. and 5. This suggests building up a binary tree by considering each cargo in turn.2. Here is the enumeration of all 32 possibilities. For a larger problem it might not be possible to enumerate and check all possibilities. Not all will be feasible since the volume constraint may be exceeded.

Continuing in this way we could build up a full tree whose leaves would be the 32 possible choices of cargos. The solution to this problem may involve non-integer values of some xj .3) and also the constraint x1 = 0. At the node 0???? we solve the linear programming problem (7.3) and also the constraint x1 = 1. x2 = 0. Each of these has two branches depending on whether we take or do not take Cargo 2. along with any possible choice of zeroes and ones for the cargos which are still denoted by ?.3) only. by changing the bounds on x1 to 1 ≤ x1 ≤ 1. The goal of the branch and bound algorithm is to avoid having to build up the entire tree by obtaining a bound at each branching point for the best possible solution we could find down that branch of the tree. This is more easily solved than the integer programming problem.1 cargo: 1???? UB: 259 cargo: ????? UB: 259 cargo: 0???? UB: 96.1) with the constraints (7. but any valid selection must have a profit that is no larger than this.3 Branch and bound algorithm 93 cargo: 11??? UB 0 cargo: 1011? UB 0 cargo: 10101 profit 250 cargo: 1010? UB 250 cargo: 10100 profit 220 cargo: 100?? UB 253.2: Illustration of the branch and bound algorithm for solving the cargo-loading problem.6 cargo: 101?? UB 253.7 cargo: 10011 profit 0 cargo: 10010 profit 240 cargo: 1000? UB 230 Figure 7. at the root node ?????.36 if Cargo 1 is not taken. since the solution there had x1 = 1. We want to obtain this bound by doing something simpler than enumerating all possibilities down this branch and computing each profit — this is what we want to avoid. This isn’t a valid solution to the integer problem.2) and (7.6 cargo: 1001? UB 252. . The essential idea is to instead solve a linear programming problem in which the variables still denoted by ? are allowed to take any value between 0 and 1. If UB is 0 then this choice is infeasible. In this case we want an upper bound on the best profit we could possibly find with any selection that contains the pattern of zeroes and ones already specified. It is exactly these selections which lie further down the tree on this branch.) The solution is the same as found at the root node.7. with a profit of 259.4 cargo: 10??? UB 253. This gives an upper bound on the profit of only 96. in which we either take or do not take Cargo 1. dropping all integer constraints. (Or simply reduce the number of decision variables and modify the objective function appropriately. we obtain an upper bound on the profit of any selection of cargos by solving the linear programming problem (7.9833 and x3 = x4 = x5 = 0. This gives an upper bound UB on the best that could be obtained with this partial cargo. Again this requires taking fractional cargos and any integer selection with x1 = 0 will be even worse. Make sure you understand why! For example.1) with the constraints (7. At the node 1???? we solve the linear programming problem (7. where the cargo is represented as ????? meaning all five decision variables are unspecified. but whatever profit it determines (perhaps with these partial cargos) is an upper bound on the profit that could be obtained with the integer constraints imposed.2) and (7. In each box the values of some 0-1 integer values are specified and then the linear programming problem is solved with the other variables allowed to take any value between 0 and 1.2) and (7. The solution is x1 = 1. The root is to the left. From here we branch to 1???? and 0????.1) with the constraints (7.

we must add other constraints. for i. This can be done in various ways. N . . j = 2.) Now we wish to N N minimize i=1 j=1 dij xij (7. . We next try 11???.9) and hence such sets will no longer be feasible. let xij be 1 if the edge from Node i to Node j is used and 0 otherwise. such as (7. 7. . . it should be impossible to find a set of ui satisfying (7. This is not enough. N . Also.7) for each j = 1. For example.36 is smaller than leaf values we have already found. . Consider a graph with N vertices labeled 1 through N. taking Cargo 1 and Cargo 2 and solving a linear programming problem for the other variables. . we must use exactly one edge into each node.5) subject to various constraints.4 Traveling salesman problem We now return to the Traveling Salesman Problem (TSP) of Chapter 2. 2. So. so N xij = 1. (7.6) for each i = 1. N. From this point on we can also prune off any branches for which the upper bound on the profit is smaller than the actual profit which can be obtained by a valid selection. . then it should be possible to choose some values ui so that these constraints are satisfied. we eventually work down to a leaf and find an actual integer selection with an associated profit. One constraint is that we must use exactly one edge out of each node. but rather two disconnected tours. The idea is that if we have a set of xij which correspond to a valid TSP tour.8). with N = 5 the path 1 → 2 → 3 → 5 → 4 → 1 would be encoded by setting x12 = x23 = x35 = x54 = x41 = 1 and the other 15 xij values to 0. To rule out the possibility of subtours. To set this up as an IP problem.9) Note that u1 does not appear in these constraints. . so that all such tours are still feasible. At this point we can prune off this branch of the tree since every selection which lies down path must be infeasible. for example. j=1 (7. This leads to N xij = 1. . On the other hand for a set of xij that contain subtours. . One possibility is to introduce a new set of decision variables u1 . i=1 (7. .8) with all the other xij = 0.94 Integer Programming It looks more promising to take Cargo 1 than to not take it. . and let dij be the “distance” from i to j. . . but we find this is infeasible since Cargo 1 and 2 together require too much volume. . 2. all of the tree lying beyond the node 0???? can be pruned off without further work since the upper bound of 96. Continuing this way. 3. for the constraints would allow things like x12 = x23 = x31 = 1 and x45 = x54 = 1 (7. (For a graph with N nodes there will be N (N − 1) decision variables. Recall that we wish to find the path through all nodes which minimizes the total distance traveled. . . and so we explore down this branch first. and see how this can be set up as an integer programming problem. This is not a single TSP tour. uN which do not appear in the objective function but which have the (N − 1)2 constraints ui − uj + N xij ≤ N − 1.

4. So we cannot possibly satisfy both of the constraints above simultaneously. consider (7. we wish to show that if we consider a valid TSP tour (with no subtours) then we can find an assignment of ui values that satisfies all these constraints. leads to cancellation of all the ui values and an inequality that can never be satisfied. these problems offer fun challenges.9) for i = 4. Node j is visited immediately after Node i. So we can compute that ui − uj + N xij = −1 + N = N − 1 and hence the inequality in (7. .9). u5 = 2. j) for which xij = 1.7. for example. Next. This is best illustrated with an example: 1→2→5→4→3→1 yields u1 = 0. consider the pairs (i. j) in this subtour gives a set of equations that. then we could use it to solve the TSP.1 NP-completeness of integer programming We just showed that it is possible to reformulate any traveling salesman problem as an integer programming problem. On the other hand. The second subtour defined by x45 = x54 = 1 does not involve Node 1.9) for each (i. A similar argument works more generally: If there are subtours then there is always a subtour that doesn’t involve Node 1 and writing down the constraints (7. First. We can show that this satisfies all the constraints in (7. In this case (7. The basic idea is to set u1 = 0 and then follow the tour starting at Node 1. u4 = 3.9) reads ui − uj ≤ N − 1 This will certainly be true since all the values we assigned to u variables lie between 0 and N − 1. when added together. For if there were a polynomial-time algorithm to solve the general integer programming problem. The constraints (7.5 IP in Recreational Mathematics Integer Programming also applies to problems in recreational math such as the challenging brain teasers found in puzzle books available at bookstores or on the World Wide Web at sites such as rec. This means we use the edge from Node i to j in our tour. 7. j = 5 and for i = 5.8). ≤ 4 4 u5 − u4 + 5 ≤ 7. j) for which xij = 0. and hence have a polynomial-time algorithm for the TSP. This can be used to prove that the general integer programming problem is NP-complete. and hence uj = ui + 1.5 IP in Recreational Mathematics 95 To see why it is impossible to satisfy these constraints if there are subtours. j = 4 yield u4 − u5 + 5 Adding these together gives 10 ≤ 8 which cannot be satisfied no matter what values we assign to u4 and u5 . Whether tinkering with such problems in your mind or applying IP. consider the pairs (i. setting the ui variables according to the order in which we visit the nodes. u3 = 4.9) is satisfied (with equality in this case).puzzles. u2 = 1.

As in linear programming. Other soldiers are posted along the face of a wall and watch only 1 side of the castle. the best way to determine these variables is to put oneself in the shoes of the decision maker and ask the question “What do I need to know in order to fully determine the solution?” In the case of the well-guarded castle. The positions are numbered counterclockwise beginning at the southwest corner as seen in Figure 7. .96 Integer Programming x x x x x7 x6 x5 North T x castle x x x8 x x1 x2 (b) x3 castle x4 x x (a) x x Figure 7.1 (a). Hence.5. (a) Each guard is depicted with a solid dot. we must know the number of soldiers positioned along each wall and at each corner. the king declared that 5 soldiers watch each wall. Recall. In such cases. Kordemsky. a soldier on a corner can watch 2 walls while a soldier along a wall watches only 1. 2. we begin with a simple brain teaser based on a puzzle from the book. This leads to the following constraints: southern wall constraint: eastern wall constraint: northern wall constraint: western wall constraint: x1 + x2 + x3 x3 + x4 + x5 x5 + x6 + x7 x7 + x8 + x1 =5 =5 =5 =5 . [Kor92] The Well-guarded Castle There is unrest in the land. Aid King Husky in securing the kingdom by finding an arrangement of the soldiers such that there are 5 soldiers watching each wall.1 (b). you may be able to derive an answer by inspection or trial and error. 7. . Since the problem serves as a brain teaser. and King Husky declares that the castle be guarded on every side. the process needed to find a solution could easily move beyond the scope of mental calculation. 7. The Moscow Puzzles. 8. this puzzle serves as an illustrative example of formulating such problems as integer programming problems. Guards will be posted along a wall or at a corner of the square castle.5. a soldier can watch 2 walls. When posted on a corner. (b) The associated IP can be formulated with 8 decision variables. Note that 1 soldier is posted at each corner of the castle and 2 soldiers on each wall. we define 8 decision variables xi for i = 1. .2 Formulation of the IP The solution process begins by determining the decision variables. Imagine a much larger problem with thousands of soldiers. . where xi equals the number of soldiers posted at position i. The king orders 12 of his bravest soldiers to guard the stone fortress and initially plans to post 2 guards on each wall and 1 soldier on each corner as depicted in Figure 7.1 An Example Puzzle To illustrate IP’s in recreational math.3: The well-guarded castle puzzle involves 12 guards posted around a square castle.5. A. by B. Therefore. Again.5.

Techniques such as branch and bound can be applied to solve a 0-1 LP.6 Recasting an IP as a 0-1 LP In the last section. and xi is an integer decision variable of Q. respectively. As we see. For instance. solving an IP as a relaxed LP can yield intuition on the final solution. Yet. the choice of an objective function determines which of such solutions is optimal! It should be noted that in some cases. King Husky (like an executive of a company who hires a consulting firm to model a phenomenon) demands an answer from a model that he can trust.uk/academic/puzzles.1 soldiers be posted on the southern wall. . an IP that does not enforce integral solutions is called a relaxed LP. what is a suitable objective function? As you may have noticed. It is also possible to reduce the number of guards on the corners such that x1 = x5 = x3 = x7 = 2. our objective function becomes: min x1 + x3 + x5 + x7 . if not impossible. The entire model for the well-guarded castle puzzle can now be succinctly stated as P : min x1 + x3 + x5 + x7 subject to x1 + x2 + x3 x3 + x4 + x5 x5 + x6 + x7 x7 + x8 + x1 8 i=1 =5 =5 =5 =5 = 12 xi 0 ≤ xi ≤ 5. Moreover. The king issues 12 guards. Objective functions to maximize x1 + x5 or x3 + x7 could produce these answers. . deciphering the optimal or even near optimal integer solution from a real numbered solution is often a difficult.6 Recasting an IP as a 0-1 LP 97 What is the puzzle’s objective? That is.co. Assume Q is an IP. or by symmetry. x3 = x7 = 4 and x2 = x4 = x6 = x8 = 1.7. and x2 = x4 = x6 = x8 = 1. Even a cruel leader would recognize the foolishness of such an action. . Then. the guards can be positioned such that x1 = x5 = 4 and x2 = x4 = x6 = x8 = 1. Such a solution relaxes the constraint that the decision variables are integers. One constraint remains. Suppose King Husky wants the total number of soldiers watching the corners to be at a minimum. A 0-1 LP (also called a 0-1 IP) is a linear programming problem where decision variables can be considered as boolean variables attaining only the values 0 or 1. Hence. then additional constraints may be needed. 7. Yet. “Puzzles: Integer Programming in Recreational Mathematics” (http://www. every IP can be recast as a 0-1 LP. Our solution can then be recast from the 0-1 LP back to the integer solution of the corresponding IP. 2. Imagine presenting King Husky with the solution that 1. posing an IP does not imply that it is solved. The interested reader is encouraged to visit the web site. which implies 8 i=1 xi = 12. . if you desire a particular solution. we will look at other puzzles and pose the problems as IP problems.demon. i = 1. 8 In class. Take a moment and consider what objective function could produce this answer.html) to find additional puzzles. We introduce the decision variables . there are several solutions to this puzzle. task.chlond. P posed the well-guarded castle puzzle as an IP. Still. Presenting King Husky with a properly posed IP and no solution might result in one’s being thrown over that mighty wall! Solving P as an LP allows variables in the solution to contain nonzero decimal values.

. . j = 1. d12 . Such a problem can be solved using a branch and bound algorithm or linear programming software. Completing similar substitutions for each decision variable in P . di2 . Then. 3. every possible value of x1 can be determined by a suitable linear combination of d11 . + 2k−1 dik . 8. and d13 . the decision variables are bounded below by 0 and above by 5. 2. Note that the decision variables dij can also be viewed as the binary representation of the associated value of xi . the IP is recast to a 0-1 LP with a large bound on each decision variable. k. the bound is incremented by a fixed value (say. i = 1. For P . . Note that if d11 = d13 = 1 and d12 = 0 then x1 = 3. between 10 and 50) until the solution no longer changes at which point. 2. it is suitable to let x1 = d11 + 2d12 + 4d13 . . j = 1. In this chapter. . you learned techniques and some of the difficulties of solving IP problems. What if our problem did not have an upper bound on the decision variables? In such cases. 2. . dik and let k xi = j=1 2j−1 dij (7.10) = di1 + 2di2 + . . Integer programming can model a diverse range of problems. . . . Similarly. .98 Integer Programming di1 . the solution is found. . . . the corresponding 0-1 LP becomes: min d11 + 2d12 + 4d13 + d31 + 2d32 + 4d33 + d51 + 2d52 + 4d73 + d71 + 2d72 + 4d73 subject to 8 i=1 3 j=1 2j−1 dij = 12 =5 =5 =5 =5 d11 + 2d12 + 4d13 + d21 + 2d22 + 4d23 + d31 + 2d32 + 4d33 d31 + 2d32 + 4d33 + d41 + 2d42 + 4d43 + d51 + 2d52 + 4d53 d51 + 2d52 + 4d53 + d61 + 2d62 + 4d63 + d71 + 2d72 + 4d73 d71 + 2d72 + 4d73 + d81 + 2d82 + 4d83 + d11 + 2d12 + 4d13 0 ≤ dij ≤ 1. Therefore. where dij = 0 or 1.

Complete the formulation of Model 3: Toll Booth Scheduling. 2. Jan-Feb 2004. pp. Interfaces Vol. Barnhart.7 Exercises 1. No. 15-25. (a) What sort of mathematical model is being used in the software they call VOLCANO? (b) How can VOLCANO save money for UPS? (c) What is the biggest factor in this savings? (d) What sort of improvements on the routes did VOLCANO find that the planners didn’t see? Why? (e) How has UPS actually used the suggested solution to their problem? (f) Look at the appendix. Explain at least one equation on the conventional side and on the composite variables side.. 3.7. (g) Is this a good modeling paper? Why or why not? (h) Which section did you find most informative? .1. Complete the formulation of Model 11: A Packing Problem. Give a short answer (1-2 sentences) for each question below. Read ”UPS Optimizes Its Air Network” by Armacost. Wilson.7 Exercises 99 7. 34. Ware.

100 Integer Programming .

Each set of three bases determines one amino acid. or double helix. A protein is a complex molecule made by stringing together a different set of building blocks. AAGCGA. but many are not and will simply be carried down to future generations. one strand of DNA. Note that there are 43 = 64 distinct strings of 3 bases. trying to figure out how sequences from different organisms are best matched up. (One important and difficult problem in this connection is the sequence alignment problem. The four basic molecules (called bases) are: adenine (A). are also important but harder to deal with. These mutations may cause resulting proteins to not function properly. the construction of phylogenies. e.1 The problem There are many important problems in modern genetics which require statistical and discrete mathematical modeling and algorithms. but typically consisting of hundreds or thousands of bases. is a code which tells how to assemble one particular protein. Other mutations. substitutions in which one base is replaced by another. such as insertion or deletion of several bases in a sequence. since DNA is a double strand. in various orders. let’s first look at how some strings might evolve if random perturbations occur in each generation (with small probability). When DNA is replicated from one generation to the next. so the string AAGCGA codes for these two amino acids. We consider only one type of mutation.) Each gene is a blueprint for creating a particular protein. and only 20 different amino acids. So a gene can be represented as a sequence of these letters. A gene. The genetic material of all living organisms consist of molecules of DNA. By comparing similar sequences of DNA from different species it is often possible to deduce information about how the species are related and how they evolved.Math 381 Notes — University of Washington —Winter 2011 Chapter 8 Evolutionary Trees 8. (Actually base pairs.. cytosine (C). and guanine (G). AAG is code for “Lysine”. or evolutionary trees. Some codons mean different things. For our purposes. We start with a very superficial (and not completely accurate) introduction to molecular biology. which start with identical sequences for some particular piece of DNA: Species 1 Species 2 TAGCTTCATCGTTGACTTCTACTAAAAGCA TAGCTTCATCGTTGACTTCTACTAAAAGCA 101 . deoxyribonucleic acid. thymine (T).) Consider two species starting to diverge. mistakes are sometimes made. like “stop” at the end of a protein. while “CGA” is code for “Arginine”. so typically several different triples (or codons) code for the same amino acid. the 20 amino acids. Some random mutations lead to changes which are beneficial and drive the evolutionary process. Some mutations are fatal for the offspring.g. these can be viewed simply as long chains of four types of molecules strung together. To get a feel for this. that show which species gave rise to others. which is important in the replication mechanism. For example. We will look at just one of these.

suppose we now replicate Species 1 as Species 5. replicating Species 2 to obtain Species 3: Species 1 Species 2 Species 3 CAGCTTCATCGTTGACTTCTACTAAAAGCA TAGCTTCATCGTTGACTTCCACTAAAAGCA TAGCTTCATCGTTGACTTCCACTAAAAGCA and now evolve each independently for 100 generations to obtain Species 1 Species 2 Species 3 CAGCTTCATCGTTGACTTCTACTAAAAGTA TAGCTTCATCGTTGACTTGCACTAAAAGCT TAGCTTCATCGTTGACCTCCACTAAAAGCA At this point all three are different. and construct the proper evolutionary tree? For a given set of species there are many possible trees. . Given a set of DNA sequences such as the ones above (but often much longer in practice.102 Evolutionary Trees Now suppose these species diverge. The basic idea is that we need a way to compare two possible trees with one another. This can be modeled by Monte Carlo simulation (see evolution. which is defined over all possible trees.m on the webpage). Species Species Species Species Species 1 2 3 4 5 CAGCTTCATCGTTGACTTCTACTAAAAGTA TTGCTTCATCGTTGAATTGGACTAAAAGCT TAGATTCATCGTTGACCTCCGCTAAAAGCA TAGCTTCATAGTTGACCTCCTCTAAAAGCA CAGCTTCATCGTTGACTTCTACTAAAAGTA and evolve again to obtain Species Species Species Species Species 1 2 3 4 5 CAGCTTAATCGTTCACTTCTACTAAAAGTA TTGCTCCAACGTTGAATTCGACTAAAGGCT TAGATTCATCGTTGACCTCCGCCAAAAGCG TAGCTTCATAGTTGACCTCCTCTTAAAGCA CAGCTTCATCGTTGACTTCTTATATAAGTA The relationship between these five species is illustrated in Figure 8. Repeat this process. reproducing independently.1% chance of mutation of each base in each generation. these have become Species 1 Species 2 CAGCTTCATCGTTGACTTCTACTAAAAGCA TAGCTTCATCGTTGACTTCCACTAAAAGCA Suppose that at this point we split off another species.1. This requires some sort of goodness measure that we can apply to a given tree T to obtain a value f (T ). The basic question in determining phylogenies is the following. replicating Species 3 as Species 4 and then evolving again to obtain Species Species Species Species 1 2 3 4 CAGCTTCATCGTTGACTTCTACTAAAAGTA TTGCTTCATCGTTGAATTGGACTAAAAGCT TAGATTCATCGTTGACCTCCGCTAAAAGCA TAGCTTCATAGTTGACCTCCTCTAAAAGCA Finally. We are looking for the tree with the best value. and say that which one is a better fit to the given data. After 100 generations with a 0. so we must solve an optimization problem to maximize this function. with some small chance of mutation at each site in each generation. can we infer the relationship between the species. and usually many different sequences are used). though we expect more similarity between 2 and 3 than between these and Species 1.

8. we need an efficient algorithm to compute a goodness value f (T ) for any potential tree T . we need to efficiently search through all possible trees to locate the best. (b) A distinct tree. Finally. The tree shown in figure (a) requires only 2 mutations to explain the bases observed at this site. In general we cannot simply enumerate them all because the number of possible trees grows exponentially in the number of species. parsimony and likelihood. Decide how we should measure the goodness of one tree against another. suppose we want to compare the two possible trees shown in Figure 8. Consider the first base in each of the five DNA strings.2(a).) . for example. (a) T T T T C T T T (b) 1 C 5 C 2 T 3 T 4 T 1 C 2 T 3 T 4 T 5 C Figure 8. 3. and the idea here is to find the tree which requires the least number of mutations to explain the given data. 2. while the tree shown in (b) requires 2 mutations.2 Maximum parsimony 103 (a) (b) 1 5 2 3 4 1 2 3 4 5 Figure 8. by the histories indicated in Figure 8. as shown by the line cutting one branch of the tree. As an example. The problem of finding the best is typically NP-complete.2. only one mutation is required to explain this data. (This is in fact the true history of this site from the simulation that generated these species. shown for two distinct potential trees. which defines the function f (T ). Once we have a specific measure. 8.2: Possible assignments of bases at each branch point for the first site. The bases seen can be explained. Parsimony means frugality or simplicity.1: (a) The true phylogeny for the example in the text.2 Maximum parsimony “Maximum parsimony” is a term used by geneticists when constructing ancestral trees. There are three basic steps in finding the “optimal” tree: 1. Below we will briefly consider two possibilities. Using the tree of Figure 8.1(a) and (b) for the five species above.

(Perhaps more.3: Illustration of Fitch’s algorithm applied to the first site using two different trees. in the sense that it may converge to the wrong tree as we include more data. 8. Fitch’s Algorithm. but here’s the basic idea. To compute the parsimony we must consider each base in turn (all 30 of them in our example) and find the assignment of bases to branch points which gives the least number of mutations. This algorithm will be discussed in class.T} (b) {T} {T} {T} {C} {C. on the other hand. As far as the parsimony measure is concerned.1(a) is equivalent to the tree shown in Figure 8.T} 1 {C} 5 {C} 2 {T} 3 {T} 4 {T} 1 {C} 2 {T} 3 {T} 4 {T} 5 {C} Figure 8.1.3. it has some limitations. and hence the parsimony. In particular. All of these trees have the same parsimony. the union of the two sets. The maximum likelihood approach is more closely tied to probability and the statistical nature of the data.) Maximizing parsimony can be shown to fail in some cases. In this case we also increment parsimony by 1. since the evolutionary tree must have a mutation along one branch or the other below this node. we perform the following algorithm. by increasing the number of sequences considered from each species. working our way up from the leaves toward the root. More generally it is impossible to say where the root of the tree is. There is an efficient algorithm for doing this. Keep a counter called parsimony which is initialized to zero. we take the intersection of the two sets whenever this is nonempty. it is fallible if different sites evolve with different mutation rates. Note in particular that it does not give any information on the order in which branching occurred. While the idea of parsimony seems attractive.T} {T} {C. For each site in the DNA sequence. At each node on the tree we determine a set S of possible bases. the tree in Figure 8.2(b).104 Evolutionary Trees (a) {C. then we set S = S1 ∪ S2 . which has a different parsimony.4(b). This same tree could just as well be drawn as shown in Figure 8.4(a). Using the tree of Figure 8. In other words.3 Maximum likelihood Parsimony makes no assumptions about the rates of mutations or about the time elapsed between branching of species. . if we assign letters to the branch points differently.) We can define the parsimony of a tree to be the (minimum) total number of mutations required to explain all of the variation seen. which is illustrated in Figure 8. The set at each leaf consists simply of the base observed in the corresponding species. • If S1 ∩ S2 = ∅. so maximizing parsimony gives only an unrooted tree. or the time scale between branchings. there must have been at least two mutations to produce this pattern of bases. At each node further up we compute the set S based on the sets S1 and S2 of its two children according to these rules: • If S1 ∩ S2 = ∅ then we set S = S1 ∩ S2 . (Note all of these trees are fundamentally distinct from the tree in Figure 8. but never less.

so it is much less probable that one would roll exactly 62 heads with a fair coin.8. what value of p makes the observed data most likely to have arisen from 100 flips of the coin? In this context L is called the likelihood. This is easy to maximize by differentiating with respect to p and setting the derivative to zero. (8.3 Maximum likelihood 105 (a) (b) 2 1 3 2 1 5 3 4 5 4 Figure 8.4: Two trees which are equivalent to the tree shown in Figure 8. In this case.082. This seems tough since it’s a complicated expression. for example. We can compare the value of L with one value of p against the value of L with some other value of p. but we can’t judge this without comparing it to the likelihood of getting exactly 62 heads if p had some different value. that it is about 18 times more likely that p = 0.62 is more likely than p = 0.1) for p = 0. Suppose we are given a trick coin which has a probability p of coming up heads. This may seem like a small likelihood. This “length” depends on the time elapsed (number of generations) as well as the mutation rate per generation. Recall that. To determine the most likely value of p. but we can instead consider log L. evaluating L from (8.62.1(a) in terms of parsimony.62)/L(0.5. along with a given tree structure. The value of p for which L is larger is “more likely” to be correct. if we find the value of p which maximizes log L then this also maximizes L. The same idea can be used in comparing two potential phylogenies. what value of p will maximize this expression? In other words. This is the probability of getting exactly 62 heads in 100 tosses with a coin which is biased to land on heads 62% of the time. Since log L is a monotonically increasing function of L.62 gives L(0. Hence the value p = 0. What is the “most likely” value of p? The obvious answer is 0. We can compute. We flip the coin 100 times and observe 62 heads. This gives 38 62 + =0 p 1−p from which we easily find p = 0.5) = 0. but we don’t know what p is.5 since L(0. for example. Maximum likelihood estimation is a standard statistical tool used in many fields. the standard technique from calculus. we must maximize L with respect to p. we also make some hypothesis about the “length” of the branches in terms of the probability of a mutation at each site between one branching and the next. The basic idea is easily explained by a standard example from coin tossing.1) We can now ask. We want to derive this mathematically. Taking the log converts all the products into sums and simplifies things: log L = log 100 62 + 62 log(p) + 38 log(1 − p). For example.62.62 than that p = 0. then the probability of observing exactly 62 heads in 100 tosses is obtained from the binomial distribution as L(p) = 100 62 p62 (1 − p)38 . .5) = 18. not just genetics.62) = 0. Often statisticians look at the likelihood ratio and say.33. if the true probability of heads is p. that L(0.0045.

and have an algorithm for computing this measure for any given tree. It can be done. . deciding in each case where to insert the additional species in the existing tree (as might naturally be done if a new species is discovered). in a recursive manner starting at the leaves and working up to the root.4 Searching the forest for the optimal tree Once we have decided on a measure of goodness. It may be possible to start with only two species and add species one at a time. and in general the problem of finding the optimal tree is NP-complete. and so we can view it as a likelihood function for that tree. For the example we have considered with 5 species. This probability depends on the tree. then it turns out it is possible to compute the probability that the observed genetic sequences from each species arose via random mutations based on this structure. since it’s a bit complicated to explain. multiplying by the next odd integer each time we add a new species. there are 1 · 3 · 5 · 7 = 105 distinct unrooted trees. Even if we work simply with unrooted trees without trying to also estimate the length of the branches. 8. This by itself wouldn’t generally lead to the optimal tree. however.106 Evolutionary Trees If we hypothesize a particular structure for the tree. We won’t go into the manner in which this likelihood is computed. In practice various search strategies are used to try to find the optimal tree (or at least a good tree) without enumerating and checking all possible trees. so it is also necessary to consider “local rearrangements” where the structure of some small piece of the tree is rearranged to try to get a better tree. This grows faster than the factorial function. the number of possible trees grows rapidly with the number of species. for example. A branch and bound algorithm can sometimes be developed to determine what paths are worth pursuing. we are still faced with the daunting task of finding the tree which maximizes this measure. We now want to choose the tree structure which will maximize this likelihood. With six species the number grows to 1 · 3 · 5 · 7 · 9 = 945 and this pattern continues. parsimony or likelihood. See [Fel81] for more details.

Of course the models are constantly being updated and rerun. one particular application of interest in the Northwest.g. who may impose constraints on when they want them harvested). so the solution obtained by looking over the next hundred years. • The type of wildlife habitat provided.1(a) shows a hypothetical map of a forest region divided into sections based on some characteristics such as • The age of the trees.2 Spatial structure Even more interesting and challenging problems arise if we also consider the spatial arrangement of the forests available for harvesting. Figure 9. or fertilize existing trees. recreation? The reading assignment in Chapter 6 of [Dyk84] explores a relatively simple case. in which only the age of the trees is considered. • The kind of trees. usually decades at least. • Ownership (a company may have leased rights for harvesting trees on land belonging to others. is really only used in the first decade (or less). There are typically many constraints that exist on which combinations of trees can be harvested at a given time. The problem is then to maximize profit over a certain time period by harvesting at appropriate times. such as harvesting. Once harvested. and a few years down the road a new optimal solution for the future is obtained based on current data and predictions. Sensitivity analysis is often important: what if we change the parameters or the strategy in some way. • The difficulty of harvesting trees. 9. thin. 107 . We are all familiar with the patchwork quilt appearance of our forests due to clear cutting. wildlife habitat. harvesting schedules must often be planned out far in advance. how much effect does that have? This is especially important because the data available is often incomplete or statistical in nature. along with the value of the trees based on their age. due to topography or road access.. say. so it is interesting to see how sensitive the results are to changes in the data.Math 381 Notes — University of Washington —Winter 2011 Chapter 9 Forest Resource Management 9. e. We will explore just a few of the issues involved in timber harvesting.1 Timber harvest scheduling Many forest resource management models lead to large-scale linear or integer programming problems. How do timber companies and the forest service decide where and when to cut? How are decisions made about allocating land for different uses. new trees can be planted and harvested later. Similar scheduling problems arising in deciding when to replant. Because trees grow so slowly. endangered species habitat.

and 4 of these are numbered on the map. visibility from highways. we might have a constraint like h4j + h5. or on what combination of sections can be harvested based on proximity and habitat combinations. For example.1(b) shows the previous map with a set of proposed roads superimposed. or trails. Note that building Road 4 requires a bridge across the river in Section 3. so C4j is likely to be high.108 Forest Resource Management Road 2 10 6 7 Road 3 Existing Road 10 6 7 Road 4 Road 1 8 9 8 9 1 2 3 4 5 1 2 3 4 5 Figure 9. Sections 3 and 8 in Figure 9. but not both at the same time. This would lead to a linear constraint of the form h4j + h5j ≤ 1 for each decade j. Each section of road also has a cost Cij of building it in Decade j. This is again a linear constraint which can be used in an IP approach. The roads are broken up into pieces which can be built independently. stating that there must be at least one decade between the two harvest periods.j+1 ≤ 1 for each j. We can then introduce decision variables rij which is 1 if Road i is built in Decade j and 0 otherwise. Figure 9.3 Building roads A new set of interesting constraints arise if we couple the harvesting problem together with the problem of building new logging roads to reach the areas being harvested. Let hij represent the fraction of Section i to be harvested in Decade j. (b) With planned logging roads. • Protecting wildlife habitat may put constraints on what Sections can be harvested. Note that we have a zero-one IP problem if each decision variable is forced to be 0 or 1.1(a). • Other environmental or social issues such as proximity to towns.1(a) might correspond to a riparian zone. If the time between harvesting adjacent sections is required to be longer. it may be possible to harvest Section 4 or Section 5 in Figure 9. A few examples are: • Government regulations may limit the size of an area that is clearcut at any one time. . coming off of an existing road at the bottom of the map. A variety of new constraints may be imposed based on the characteristics of the sections or their spatial location.1: (a) Map of forest sections.j−1 + h5j + h5. since these “riparian zones” may be environmentally delicate. • Proximity to streams or rivers. parks. for example. 9.

Road 2 must be built in order to harvest Section 6.j Pij hij − Cij rij subject to all of these various constraints. There is a set of constraints of this form for each road.) • Simulation of forest fire events using historic data.4 Some other issues A number of other issues arise in the context of forest management. There is a set of constraints of this form for each section.9. Real problems for millions of acres can easily involve 10. The big model doesn’t see all the low-level constraints. and also leads to other sorts of mathematical modeling: • What is the best cutting pattern to minimize risk of fires? • How sensitive is the harvesting schedule to disruption by fire? If one area is destroyed before being harvested does it throw everything off? (Sensitivity analysis. • Working upward guarantees implementability but may not give the optimal solution. • This can lead to a solution that can’t be implemented. and so we require h61 h62 h63 ≤ r21 ≤ r21 + r22 ≤ r21 + r22 + r23 and so on for each decade under consideration. 9. etc. • Bottom-up approach would look for perhaps the best 20 solutions for each district. giving a new set of constraints. The problem is now to maximize i. For example. One big question is whether to use a top-down or bottom-up approach to aggregating: • Traditional models start at top. . So we need r21 r22 r23 ≤ r11 r11 + r12 r11 + r12 + r13 ≤ ≤ and so on for each decade. weather data. It is clear that the number of decision variables and constraints can be very large in scheduling problems of this form.000 variables and hundreds of thousands of constraints. fuel levels.4 Some other issues 109 In order to harvest a given section it is necessary to first build roads reaching this section. or pieces of a size that one is allowed to harvest at one time. splitting up land into large quantities that should be harvested at one time. Forest fire protection is another consideration. One question is how to split up land into the sorts of sections indicated in the map above. Must then find lots of small parcels of this type of land to actually cut. Another set of constraints arises from the fact that we cannot build Road 2 until we have built Road 1. then feed these into a larger-scale model to choose the best combination of these. especially if there are large areas that are fairly homogeneous but must be split up into manageable pieces. Or conversely there may be lots of small parcels of similar forest scattered around that must be aggregated into a single unit to make a tractable mathematical model.

• Value of each size lumber will change with time as orders are filled. where there are still huge areas of forest.) Other sorts of problems arise in milling trees or the manufacturing wood products.110 Forest Resource Management • Where should fleets of tanker planes be stationed to maximize ability to fight a fire anywhere over a large region. • This may feed back into optimization in the woods — what sort of trees should be cut next? Perhaps particular trees must be found depending on order desired. • How to cut trees into logs. • This could also tie into crew scheduling problems since different cutting crews have different specialties. • Trimming models are used in deciding how best to peel logs for veneer. (An important question in Canada.. .g. for example. • There are also truck scheduling problems between forests and mills. e. saw logs into lumber? Need an algorithm that can decide in real time at the mill how to cut each tree as it arrives. and questions about where to optimally locate new mills based on where cutting will be done.

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