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Chapter 15

Constrained Optimization

The Linear Programming Model


Let:

x1, x2, x3, , xn = decision variables


Z = Objective function or linear function

Objective: Maximize

Z = c1x1 + c2x2 + c3x3 + + cnxn

subject to the following constraints:

where aij, bi, and cj are given constants.

The Linear Programming Model

In more efficient notation:

The decision variables, xI, x2, ..., xn, represent levels of n competing activities.

EXAMPLE: Gas Processing Problem


(Chemical/Petroleum Engineering Problem)
Company receives a fixed amount of raw gas each week.
Processes it to produce two grades of heating gas, regular and premium quality.
Each yields different profits, and involves different time and on-site storage constraints.

Objective: maximize profit without violating the material, time, and storage constraints

Linear Programming Formulation :


Regular gas : x1
Premium gas : x2
Z 150 x1 175 x2

Maximize Profit :

7 x1 11x2 77

Total raw gas used :


Total hours worked :

Solve using:
1.Graphical Method
2.Simplex Method
3.Excel solver (Simplex LP)

10 x1 8 x2 80

(Material Constraint)
(Time Constraint)

x1 9

(" Regular" Storage Constraint)

x2 6

(" Premium" Storage Constraint)

x1 , x2 0

(Positive Constraints)

Graphical Solution
Regular gas : x1

Premium gas : x2

Z 150 x1 175 x2
(1)

7 x1 11x2 77

(Material Constraint)

(2)

10 x1 8 x2 80

(Time Constraint)

(3)

x1 9

(" Regular" Storage Constraint)

(4)

x2 6

(" Premium" Storage Constraint)

(5, 6)

x1 , x2 0

(Positive Constraints)

Aside from a single optimal solution; there are three other possible outcomes:
(a) Alternative optima
(b) no feasible solution
(c) an unbounded result

The Simplex Method


When decision variables are more than 2, it is always
advisable to use Simplex Method to avoid lengthy
graphical procedure.
It does not examine all the feasible solutions. Only the
extreme points
It deals only with a small and unique set of feasible
solutions, the set of vertex points (i.e., extreme points) of
the convex feasible space that contains the optimal
solution.

The Simplex Method


Steps involved:
1. Locate an extreme point of the feasible region.
2. Examine each boundary edge intersecting at this point to see
whether movement along any edge increases the value of the
objective function.
3. If the value of the objective function increases along any
edge, move along this edge to the adjacent extreme point. If
several edges indicate improvement, the edge providing the
greatest rate of increase is selected.
4. Repeat steps 2 and 3 until movement along any edge no
longer increases the value of the objective function.

**Here

Regular gas: x1

Premium gas: x2

Z 150 x1 175 x2
Introduce slack variables; then inequalities become equalities
(1)

7 x1 11x2 S1

(2)

10 x1 8 x2

(3)
(4)

77
S2

80

S3

x1
x2

S4 6

x1 , x2 , S1 , S 2 , S3 , S 4 0

(Positive Constraints)

4 Equations, 6 unknowns
Set 2 of them to zero each time (nonbasic variables)
and solve the resultant set of equations.

Try point A (x1=0, x2=0) first.


Then pick a leaving variable and an entering variable which will make Z bigger.
In this example, x2 should be chosen to enter but to make it simple we will choose x1 to
enter. S2 will become a nonbasic variable (the leaving variable).
This will take us to point B.

Excel Solution
Gas Processing Problem
*Write down the equations on the Excel Sheet.
*Demonstrate how to use the solver in Excel

(DATA Solver) (fileoptionsadd-ins)