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Presentation: H. Sarper
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.1 – A Graphical Approach to Sensitivity Analysis
Where:
x1 = number of soldiers produced each week
x2 = number of trains produced each week.
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.1 – A Graphical Approach to Sensitivity Analysis
X2
The optimal solution for
100
this LP was z = 180, x1 = finishing constraint
Slope = -2
20, x2 = 60 (point B in A Feasible Region
80
the figure to the right)
demand constraint
and it has x1, x2, and s3
(the slack variable for Isoprofit line z = 120
60
B Slope = -3/2
the demand constraint.
D
How would changes in
40
carpentry constraint
Slope = -1
the problem’s objective
function coefficients or
20
C
right-hand side values
change this optimal
solution? 10 20 40 50 60 80 X1
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.1 – A Graphical Approach to Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.1 – A Graphical Approach to Sensitivity Analysis
The values of the contribution to profit for soldiers for which the current
optimal basis (x1,x2,s3) will remain optimal can be determined as
follows:
Let c1 be the contribution ($3 per soldier) to the profit. For what values
of c1 does the current basis remain optimal?
3 1 c 1 1
Rearranging: x2 x 1 constant x 1 constant
2 2 2 2
c 1
Since -2 < slope < -1: 2 1
2
Note: the profit will change
Solving for c1 yields: 2 c1 4 in this range of c1
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.1 – A Graphical Approach to Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.1 – A Graphical Approach to Sensitivity Analysis
X2
finishing constraint, b1 = 120
In the Giapetto problem to
100
the right, we see that if b1 finishing constraint, b1 = 100
80
demand constraint. Also, demand constraint
60
B
nonnegativity constraint
for x1 will be violated. 40 D
carpentry constraint
Therefore: 80 ≤ b1 ≤ 120
Feasible Region
The current basis remains
20
C
optimal for 80 ≤ b1 ≤ 120,
but the decision variable
values and z-value will 20 40 50 60 80 X1
change.
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.1 – A Graphical Approach to Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.1 – A Graphical Approach to Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
NO. ITERATIONS= 4
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
RANGES IN WHICH THE BASIS IS UNCHANGED:
LINDO sensitivity
OBJ COEFFICIENT RANGES
analysis example(s).
VARIABLE CURRENT ALLOWABLE ALLOWABLE
COEF INCREASE DECREASE
Allowable range (w/o
X1 4.000000 1.000000 INFINITY
changing basis) for
X2 6.000000 0.666667 0.500000
the x2 coefficient
X3 7.000000 1.000000 0.500000
(c2) is:
X4 8.000000 2.000000 INFINITY
5.50 c2 6.667
RIGHTHAND SIDE RANGES
Allowable range (w/o ROW CURRENT ALLOWABLE ALLOWABLE
changing basis) for RHS INCREASE DECREASE
the rhs (b1) of the first 2 950.000000 50.000000 100.000000
constraint is: 3 400.000000 37.500000 125.000000
4 4600.000000 250.000000 150.000000
850 b1 1000
5 5000.000000 INFINITY 250.000000
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
MAX 4 X1 + 6 X2 + 7 X3 + 8 X4
Shadow prices SUBJECT TO
2) X1 + X2 + X3 + X4 = 950
are shown in the 3) X4 >= 400
Dual Prices 4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 4600
5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
section of END
LINDO output. LP OPTIMUM FOUND AT STEP 4
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
Assuming the allowable range of the rhs is not violated, shadow (Dual) prices
show: $3 for constraint 1 implies that each one-unit increase in total demand
will increase net sales by $3. The -$2 for constraint 2 implies that each unit
increase in the requirement for product 4 will decrease revenue by $2. The $1
shadow price for constraint 3 implies an additional unit of raw material (at no
cost) increases total revenue by $1. Finally, constraint 4 implies any additional
labor (at no cost) will not improve total revenue.
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
For an LP with m
constraints, if the MAX 6 X1 + 4 X2 + 3 X3 + 2 X4
optimal LINDO output
indicates less than m SUBJECT TO
variables are positive,
2) 2 X1 + 3 X2 + X3 + 2 X4 <= 400
then the optimal solution
is degenerate bfs. 3) X1 + X2 + 2 X3 + X4 <= 150
Consider the LINDO LP
formulation shown to the 4) 2 X1 + X2 + X3 + 0.5 X4 <= 200
right and the LINDO 5) 3 X1 + X2 + X4 <= 250
output on the next slide.
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.2 – The Computer and Sensitivity Analysis
TABLEAUcommand indicates the optimal basis is RV = {x1,x2,x3,s4}.
THETABLEAU
LINDO
ROW (BASIS) X1 X2 X3 X4 SLK 2
1 ART 0.000 0.000 0.000 1.500 0.500
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.3 – Managerial Use of Shadow Prices
The managerial MAX 4 X1 + 6 X2 + 7 X3 + 8 X4
SUBJECT TO
significance of shadow 2) X1 + X2 + X3 + X4 = 950 raw
prices is that they can 3) X4 >= 400
material
4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 4600
often be used to 5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
determine the END
labor
maximum amount a LP OPTIMUM FOUND AT STEP 4
manger should be OBJECTIVE FUNCTION VALUE
willing to pay for an 1) 6650.000
additional unit of a VARIABLE VALUE REDUCED COST
resource. Reconsider X1 0.000000 1.000000
X2 400.000000 0.000000
the Winco to the right. X3 150.000000 0.000000
X4 400.000000 0.000000
What is the most ROW SLACK OR SURPLUS DUAL PRICES
Winco should be 2) 0.000000 3.000000
3) 0.000000 -2.000000
willing to pay for 4) 0.000000 1.000000
additional units of raw 5) 250.000000 0.000000
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.3 – Managerial Use of Shadow Prices
MAX 4 X1 + 6 X2 + 7 X3 + 8 X4
The shadow price for raw SUBJECT TO
material constraint (row 4) 2) X1 + X2 + X3 + X4 = 950
3) X4 >= 400
shows an extra unit of raw 4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 4600
5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
material would increase END
revenue $1. Winco could
LP OPTIMUM FOUND AT STEP 4
pay up to $1 for an extra
OBJECTIVE FUNCTION VALUE
unit of raw material and be 1) 6650.000
as well off as it is now.
VARIABLE VALUE REDUCED COST
X1 0.000000 1.000000
Labor constraint’s (row 5) X2 400.000000 0.000000
shadow price is 0 meaning X3
X4
150.000000
400.000000
0.000000
0.000000
that an extra hour of labor
ROW SLACK OR SURPLUS DUAL PRICES
will not increase revenue. 2) 0.000000 3.000000
So, Winco should not be 3)
4)
0.000000
0.000000
-2.000000
1.000000
willing to pay anything for 5) 250.000000 0.000000
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.4 – What happens to the Optimal z-Value if
the Current Basis Is No Longer Optimal?
In Section 5.2 shadow prices were used to determine the new optimal z-
value if the rhs of a constraint was changed but remained within the
range where the current basis remains optimal. Changing the rhs of a
constraint to values where the current basis is no longer optimal can be
addressed by the LINDO PARAMETRICS feature. This feature can be
used to determine how the shadow price of a constraint and optimal z-
value change.
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.4 – What happens to the Optimal z-Value if the Current Basis
Is No Longer Optimal?
Raw Material rhs = 3900 optimal solution RANGES IN WHICH THE BASIS IS UNCHANGED:
THE TABLEAU
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.4 – What happens to the Optimal z-Value if the Current
Basis Is No Longer Optimal?
Changing Row 4’s rhs to 3900, resolving the LP, and selecting the REPORTS
PARAMTERICS feature. In this feature we choose Row 4, setting the Value to
10000, and select text output. We then obtain the output below:
Let rm be the amount of available raw material. If rm < 3900, we know the LP is
infeasible. From the figure above, from 3899 < rm < 4450, the shadow price
(DUAL) is $2, switches to $1 from 4449 < rm < 4849, and finally to $0 at 4850.
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.4 – What happens to the Optimal z-Value if the Current
Basis Is No Longer Optimal?
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.4 – What happens to the Optimal z-Value if the Current
Basis Is No Longer Optimal?
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.4 – What happens to the Optimal z-Value if the Current
Basis Is No Longer Optimal?
Recall from the Giapetto problem, if the isoprofit line is flatter than the
carpentry constraint, Point A(0,80) is optimal. Point B(20,60) is
optimal if the isoprofit line is steeper than the carpentry constraint
but flatter than the finishing constraint. Finally, Point C(40,20) is
optimal if the slope of the isoprofit line is steeper than the slope of
the finishing constraint. Since a typical isoprofit line is c1x1 + 2x2 =
k, we know the slope of the isoprofit line is just -c1/2. This implies:
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.
5.4 – What happens to the Optimal z-Value if the Current
Basis Is No Longer Optimal?
120 20c 1 if 2 c 1 4
40 40 c 1 if c 1 4 400
Optimal z-Value
of the graph of the optimal z-
z c1
be nonincreasing. z-value
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Copyright (c) 2003 Brooks/Cole, a division of Thomson Learning, Inc.