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LP Examples

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LP Models

Solution Methods

The Graphical Method

The Simplex Method

Dual (Marginal, Shadow) Prices

Range for Objective Coefficients

Range for Right-hand Side Data

The Dual Problem

LP Model: Standard (Inequality) Form

max cx

1 1

+ cx

2 2

++ cx

n n

s.t.

a x +a x ++a x

11 1 12 2 1n n

b 1

a x +a x ++a x

21 1 22 2 2n n

b 2

a x

m1 1

+ a x m2 2

++ a x mn n

b m

x 1

0, x 2

0 ,, x n

0

Duality Theory

Standard (Inequality) Primal Form:

max c x c x + c x

1 1 2 2 n n

s.t . a x a x + a x

11 1 12 2 1n n

b 1

a x a x + a x

21 1 22 2 2n n

b 2

a m1 x 1

a m2 x 2

+ a mn x n

b m

x 1

0, x 2

0, , x n

0

Dual Form:

min b y

1

b2

y +b y n

1 2 m

s.t . a y

11

a y + a y

21 m1

c 1

1 2 m

a y

12

a y + a y

22 m2

c 2

1 2 m

a1n y a y

1 2n 2

+ a y cmn m n

y 0, y

1 2

0, , y 0

m

LP Model: Standard (Inequality) Matrix Form

a

11 a12 ... a1n

b1 c1

a21

A

a22 ... a2n

, b

b2 T

, c c2

... ... ... ... ... ...

a

amn b c

m1 am2 ... m n

Matrix Form:

max c x

s.t. Ax b,

x 0.

Primal-Dual in Matrix Form

Standard (Inequality) Primal Form:

Max c x

s.t. A xb

x 0

Dual Form:

Min yb

s.t. yA c

y 0

Primal-Dual in Matrix Form: Equality

Standard (Equality) Primal Form:

Min c x

s.t. A x b

x 0

Dual Form:

Max yb

s.t. y A c

Relations Between Primal and Dual

1. The dual of the dual problem is again the primal problem.

only if the other does; if one problem is feasible but

unbounded, then the other is infeasible; if one is infeasible,

then the other is either infeasible or feasible/unbounded.

primal (dual) to be maximized evaluated at any primal

(dual) feasible solution cannot exceed the dual (primal)

objective function value evaluated at a dual (primal)

feasible solution.

Relations between Primal and Dual (continued)

solution, the optimal objective value of the primal is

the same as the optimal objective value of the dual.

cTx* = bTy*

inequality constraint in any LP problem. If that

constraint is inactive for an optimal solution to the

problem, the corresponding dual variable will be zero

in any optimal solution to the dual of that problem.

Optimality Conditions

Primal Feasibility:

A xb

x 0

Dual Feasibility:

AT y c

Strong Duality:

c T x bT y

or Complementary Slackness:

x j(c-AT y) j 0 , j 1,...,n

Optimality Conditions

Primal Feasibility:

A xb

x 0

Dual Feasibility:

AT y r c

r 0

Strong Duality:

c T x bT y

or Complementary Slackness:

x j rj 0 , j 1,...,n

Theory of Linear Programming

An LP problem falls in one of three cases:

Problem is infeasible: Feasible region is empty.

Problem is unbounded: Feasible region is unbounded towards

the optimizing direction.

Problem is feasible and bounded: then there exists an optimal

point; an optimal point is on the boundary of the feasible

region; and there is always at least one optimal corner point

(if the feasible region has a corner point).

There may be a unique optimal point or multiple optima

(alternative optima).

If a corner point is not “worse” than all its neighbor corners,

then it is optimal.

Graphical Solution Seeking

Plot the feasible region.

If the region is empty, stop: the problem is infeasible; there

must be conflicting constraints in the model.

Plot the objective function contour and choose the

optimizing direction.

Determine whether the objective value is bounded or not. If

not, stop: the problem is unbounded; there must be mistakes

in model formulation.

Determine an optimal corner point.

Identify active constraints at this corner.

Solve simultaneous linear equations for the optimal solution.

Evaluate the objective function at the optimal solution to

obtain the optimal value of the problem.

Summary of the Simplex Method for Max (Min)

1. Select a basic feasible solution

and express the objective function in terms of only nonbasic

variables.

If all objective coefficients are non-positive (non-negative),

then stop: the current basic feasible solution is optimal.

Otherwise, select the entering variable such that its coefficient is

the greatest (least), and among basic variables select the leaving

variable such that it becomes zero first when increasing the

entering variable and keeping the other nonbasic variables at

zero. If no basic variable becomes zero, then stop: the objective

function is unbounded.

3. Goto Step 2.

Complementary Slackness Conditions in the

Primal Simplex Method

xB B 1b, xN 0

y cB B 1 ,

rB cB yB cB cB B 1 B 0

Thus,

x j rj 0 , j B or j N

moving toward

rN c N yAN c N cB B 1 0

Matrix form of the initial tableau for the inequality standard form

Basic

Variable x xs RHS

Z -c 0 0

xs A I b

Basic

Variable x xs RHS

The Primal Simplex Method in Tableau

1. Initialization: A:=(A, I) and c:=(c, 0); xB=B-1b 0.

2. Calculate y=cBB-1 and r = yA - c 0. If r 0, then

optimal and stop; otherwise, goto next step.

3. Determine the entering basic variable: say select the

basic variable with the lowest value in r ; determine

the leaving basic variable: whose coefficient in xB

reaches zero first as the entering variable increases

(use the ratio test of the entering column of B-1A

against B-1b). If the increase is unlimited (the column

contains all non-positive numbers), then stop, the

primal problem is unbounded. Otherwise, using the

pivoting procedure to update B, B-1A and B-1b and

return to Step 2.

The Dual Simplex Method in Tableau

1. Initialization: A:=(A, I) and c:=(c, 0); y=cBB-1 such that

r = yA - c 0

2. Calculate xB=B-1b. If xB 0, then optimal and stop;

otherwise, goto next step.

3. Determine the leaving basic variable: say select the

basic variable with the lowest value in xB; determine the

entering basic variable: whose coefficient in r reaches

zero first as the dual variable of the leaving row

increases (use the ratio test of the leaving row of B-1A

against r). If the increase is unlimited (the row contains

all non-negative numbers), then stop, the primal

problem is infeasible or dual is unbounded. Otherwise,

using the pivoting procedure to update B, B-1A, y=cBB-1

and r = yA – c, and goto Step 2.

Reduced Cost and Objective Coefficient Range

In general, the reduced cost of any zero variable is the amount the

objective coefficient of that variable would have to change, with all

other data held fixed, in order for it to become a positive variable in

the OS. If the OS is degenerate, the objective coefficient of a zero

variable would have to change by at least, and possibly more that,

the reduced cost in order to become a positive variable in the OS.

The objective coefficient ranges give the ranges of the objective

function over which no change in the OS will occur. If the OS is

degenerate, any objective coefficient must be changed by at least, and

possibly more than, the indicated allowable amounts in order to

produce a new optimal solution.

One of the “allowable increase and decrease” for a zero variable is

infinite and the other is the reduced cost. If a zero variable has zero

reduced cost, then there exist an alternative optimal solution.

Dual (Shadow) Price and Constraint RHS Ranges

All inactive constraint have zero dual price

improvement in the OV as the RHS of the constraint increases

with all other data held fixed. If the RHS is decreased, it is the rate

at which the OV is impaired.

The constraint RHS ranges give the ranges of the constraint RHS

over which no change in the dual price will occur. If the solution is

degenerate, the dual price may be valid for one-sided changes in

the RHS.

constraint is infinite and the other equals to the slack or surplus.

OV and OS will change

Samples:

types of concrete blocks. Each block must be subjected to three processes:

batch mixing, mold vibrating and inspection. The plant manager desires to

maximize the profit during the next month. During the upcoming thirty days,

he has 800 machine hours available on the batch mixer, 1000 hours on the

mold vibrator and 340 man-hours of inspection time. The problem is

formulated as follows:

S.t.

x1 + 2 x2 + 10x3 + 16x4 <= 800

1.5x1 + 2 x2 + 3 x3 + 5 x4 <= 1000

0.5x1 + 0.6x2 + x3 + 2 x4 <= 340

After solving by the simplex method, the final tableau is

Basic x1 x2 x3 x4 x5 x6 x7 Right

Z 0 0 28 40 5 2 0 6000

2 0 1 11 19 1.5 -1 0 200

1 1 0 -12 -22 -2 2 0 400

7 0 0 -4 1.6 .1 -.4 1 20

In answering the following question provide a short explanation and

computation when needed.

1. By how much must the unit profit on block 3 be increased before it would

be profitable to manufacture it ?

2. What must the minimum unit profit on block 2 be so that it remains in the

production schedule?

3. If the 800 machine-hours on the batch mixer is uncertain, for what range of

machine hours will it remain feasible to produce blocks 1 and 2 ?

4. A competitor located next door has offered the manager additional batch-

mixing time at a rate $4.50 per hour. Should he accept his offer?

5. Suppose instead that the competitor offers the manager 250 hours of batch-

mixing time for a total $1,100, Should he accept his offer? ( The manager

can only accept or reject the extra 250 hours.)

6. The owner has approached the manager with a thought about producing a

new type of concrete block that would require 4 hours of batch mixing, 4

hours of molding and 1 hour of inspection per pallet. What should be the

profit per pallet if block 5 is to be manufactured?

7. If the next door competitor would like to buy the resources from Concrete

Products next month, what would be the fair prices? Formulate it as a linear

Program.

The following tableau associated with a LP problem

Basic x1 x2 x3 x4 x5 x6 x7 Right

Z 0 0 0 g 3 h i 0

2 0 1 0 d 1 0 3 e

3 0 0 1 -2 2 f -1 2

1 1 0 0 0 -1 2 1 3

questions is independent, and they all refer to this tableau. Clearly state the range

of values of the various parameters that will make the conclusions in

the following questions true.

1. The present tableau has a basic feasible solution

2. Row 1 in the present tableau indicates that the problem is infeasible.

3. The current basic solution is feasible, and the present tableau indicates that the

problem is unbounded.

4. The current basic solution is feasible, x6 is the entering basic variable, and x3

is the leaving basic variable.

5. The current basic solution is optimal.

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