Linear Programming

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Linear Programming

© All Rights Reserved

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Newberry

Oklahoma Christian University

Management Science, The Art of Modeling with Spreadsheets

Stephen G. Powell and Kenneth R. Baker

Wiley Publishing Company

Linear Programming (Chapter 11)

No problem can stand the assault

of sustained thinking.

Voltaire

Linear Programming Problems

(Many Different Types, But All Similar)

Allocation models

Maximize objective (e.g., profit) subject to LT constraints on

capacity

Covering models

Minimize objective (e.g., cost) subject to GT constraints on

required coverage

Blending models

Mix materials with different properties to find best blend

Network models (much more on this next chapter)

Describe patterns of flow in a connected system

Model Classification

Linear optimization or programming

Objective and all constraints are linear functions of the

decision variables.

Nonlinear optimization or programming

Either objective or a constraint (or both) are nonlinear

functions of the decision variables.

Techniques for solving linear models are more

powerful.

What do LP Problems Look Like?

Note the linear form in the end.

Obviously nonlinear models

would not share this feature.

The first and most critical step is problem setup!

Take the time to do it correctly!

A Graphical View of LP Models

Beyond even two variables, graphical techniques

become hard, but we can gain some insight.

A Two Variable Model Graphical Example

A Three Variable Model Graphical Example

Take the time to watch the video before

proceeding (it is on Blackboard).

Solution to the Planting Problem

In order to actually solve the problem, we will need

numbers for our variables. The numbers below are

simply values to allow solution.

$800x

1

+ $500x

2

(Maximize this objective)

Subject to the following constraints

x

1

+ x

2

2000

29x

1

+ 17x

2

42800

17x

1

+ 12x

2

26000

x

1

0

x

2

0

We now solve by plotting the lines associated with

each constraint (color coded in the plot). The

solution area is shaded. The optimal solution will be

at one of the constraint intersections (marked with

circles). The optimal solution is marked YELLOW

($11,939).

So the process is to draw the lines and check the

intersections. The easiest way to draw the lines is

for each constraint equation, first set x

1

to zero and

solve for x

2

. Then set x

2

to zero and solve for x

1

.

With two points you can draw the line.

$10,000

$11,200

$11,939

$11,808

Patterns in Linear Programming

Solutions

The optimal solution tells a story about a pattern of the

problem priorities.

Leads to more convincing explanations for solutions

Can anticipate answers to what-if questions

Provides a level of understanding that enhances decision making

After optimization, you should

always try to discern the

qualitative pattern in the

solution!

Tornado plots can be very useful for

this task.

Example #1

We want to buy two different brands of feed and blend it to produce a

quality, low-cost diet for turkeys. The details of the two feeds are given

below:

Feed #1: 5 oz of A, 4 oz of B, and 0.5 oz of C for each pound of feed

$0.02 / pound

Feed #2: 10 oz of A, 3 oz of B, and no C for each pound of feed

$0.03 / pound

The final blend should provide a required MONTHY minimum of at

least 90 oz of A, 48 oz of B, and 1.5 oz of C (per turkey) at minimal cost.

Setup the problem by hand (i.e. write the problem equations as on the

earlier slide) and attempt to solve the LB problem GRAPHICALLY.

Example #1 Mathematical Equations

Let X1 = Feed #1 & X2 = Feed #2, we now need to write the mathematical

relationships implied by the problem statement

Minimize: 2 X1 + 3 X2 Cumulative Cost

S.T. 5 X1 + 10 X2 90 Constraint on Ingredient A

4 X1 + 3 X2 48 Constraint on Ingredient B

0.5 X1 1.5 Constraint on Ingredient C

X1 0 Non-negative on X1

X2 0 Non-negative on X2

Note that we have only 2 variables. We are limited to two variables for

graphical solution by hand. Excel, however, is NOT limited to two variables.

Example #1 Solution Graph

The solution will be at

one of the corners (or

in the RARE event

along an entire line)

Checking all corners,

we see that the

lowest cost (per bird)

is 31.2 cents/month.

X1

X2

Some Special LP Cases

(Graphics from Quantitative Analysis for Management by Render, Stair, and Hanna, 11

th

Ed, 2012)

If the objective of this

problem is maximization we

have issues the solution

domain is unbounded to the right

In this case NO SOLUTION

is possible as the set of

constraints are mutually

exclusive

Even More Special Cases

(Graphics from Quantitative Analysis for Management by Render, Stair, and Hanna, 11

th

Ed, 2012)

The constraint line to the far right

is REDUNDANT and provides

no additional useful information

In this case MANY SOLUTIONS

(mathematically infinite set) exist as

the isoline (Isoprofit in this case) is

parallel to a constraint line

An Additional Practice Problem

In this example, the problem is already formulated as

mathematical equations. You are simply to GRAPHICALLY

solve the problem.

Minimize: 24 X1 + 28 X2

S.T. 5 X1 + 4 X2 2000

X1 80

X1 + X2 300

X2 100

X1, X2 0

Notice anything about

this formulation?

Something is

REDUNDANT!

Practice Problem Solution

(Graphics from Quantitative Analysis for Management by Render, Stair, and Hanna, 11

th

Ed, 2012)

Graphical Depiction of

Constraint Equations and

Solution Space

Determination of the best

Solution using an Isocline

Approach

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