Special Cases

 Infeasibility
 Unboundedness
 Alternative Optimal Solution
 Degeneracy

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 Infeasibility

 Infeasibility is detected in the simplex method when an

artificial variable remains positive in the final tableau.

2
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 Example: Infeasibility

 LP Formulation

MAX 2x1 + 6x2

s. t. 4x1 + 3x2 < 12

2x1 + x2 > 8

x1, x2 > 0

3
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 Example: Infeasibility
 Final Tableau

B. V. x1 x2 s1 s2 a2
z 0 (1/2)M (1/2) M M 0 -194
+9/2 +1/2
x1 1 3/4 1/4 0 0 3
R2 0 -1/2 -1/2 -1 1 2

4
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 Example: Infeasibility

In the previous slide we see that the tableau is the

final tableau because all zj -cj > 0. However, an artificial
variable is still positive, so the problem is infeasible.

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 Unboundedness

 A linear program has an unbounded solution if all

entries in an entering column are non-positive.

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 Example: Unboundedness

 LP Formulation

MAX 2x1 + 6x2

s. t. 4x1 + 3x2 > 12

2x1 + x2 > 8

x1, x2 > 0

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 Example: Unboundedness
 Final Tableau

x1 x2 s1 s2

Basis z 10 0 0 -6 48

x2 2 1 0 -1 8
s1 2 0 1 -3 12

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 Example: Unboundedness

In the previous slide we see that z4 -c4 = -6 (is most

negative), but its column is all non-positive. This
indicates that the problem is unbounded.

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 Alternative Optimal Solution

 A linear program has alternate optimal solutions if the

final tableau has a zj -cj value equal to 0 for a non-basic
variable.

MAX 30x1 + 50x2

s. t. 3x1 + 5x2 < 150

x2 < 20
8x1 + 5x2 < 300

x1, x2 > 0

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 Example: Alternative Optimal Solution

 Final Tableau

x1 x2 s1 s2 s3 Sol

BV z 0 0 10 0 0 1500
x1 0 0 -.20 0 -.2 30
x2 0 1 0.32 0 -.12 12
s2 1 0 -.32 1 .12 8

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 Example: Alternative Optimal Solution

In the previous slide we see that the optimal

solution is:
x1 = 30, x2 = 12 and z = 1500
Note that s3 is non-basic and its z3 –c3 = 0. This 0
indicates that if s3 were increased, the value of the
objective function would not change.
Another optimal solution can be found by choosing
s3 as the entering variable and performing one iteration
of the simplex method. The new tableau on the next
slide shows an alternative optimal solution is:
x1 = 16.667, x2 = 20 and z = 1500

12
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 Example: Alternative Optimal Solution

 Final Tableau

x1 x2 s1 s2 s3 Sol

BV z 0 0 10 0 0 1500
x1 1 0 .33 -1.67 0 16.67
x2 0 1 0 1 0 20
s3 0 0 -2.67 8.33 1 66.67

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 Degeneracy

 A degenerate solution to a linear program is one in

which at least one of the basic variables equals 0.
 This can occur at formulation or if there is a tie for the
minimizing value in the ratio test to determine the
leaving variable.
 When degeneracy occurs, an optimal solution may have
been attained even though some zj – cj < 0.
 Thus, the condition that zj – cj > 0 is sufficient for
optimality, but not necessary.

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 Primal and Dual Variables

 The dual variables are the "value per unit" of the

corresponding primal resource, i.e. the shadow prices.
Thus, they are found in the zj row of the optimal
simplex tableau.
 If the dual is solved, the optimal primal solution is
found in zj row of the corresponding surplus variable in
the optimal dual tableau.
 The optimal value of the primal's slack variables are the
negative of the zj -cj entries in the optimal dual tableau
for the dual variables.

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 Canonical Form

 A maximization linear program is said to be in

canonical form if all constraints are "less than or
equal to" constraints and the variables are non-
negative.
 A minimization linear program is said to be in
canonical form if all constraints are "greater than or
equal to" constraints and the variables are non-
negative.

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 Canonical Form

 Convert any linear program to a maximization problem

in canonical form as follows:
•minimization objective function:
multiply it by -1
•"less than or equal to" constraint:
leave it alone
•"greater than or equal to" constraint:
multiply it by -1
•"equal to" constraint:
form two constraints, one "less than or equal to",
the other "greater or equal to"; then multiply this
"greater than or equal to" constraint by -1.

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 Primal and Dual Problems

 Every linear program (called the primal) has

associated with it another linear program called the
dual.
 The dual of a maximization problem in canonical
form is a minimization problem in canonical form.
 The rows and columns of the two programs are
interchanged and hence the objective function
coefficients of one are the right hand side values of
the other and vice versa.

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 Primal and Dual Problems

 The optimal value of the objective function of the

primal problem equals the optimal value of the
objective function of the dual problem.
 Solving the dual might be computationally more
efficient when the primal has numerous constraints and
few variables.

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 Linear Programming: Sensitivity Analysis
and Interpretation of Solution

 Introduction to Sensitivity Analysis

 Graphical Sensitivity Analysis
 Sensitivity Analysis: Computer Solution
 Simultaneous Changes

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 Standard Computer Output

Software packages such as TORA and Microsoft Excel

provide the following LP information:
 Information about the objective function:
•its optimal value
•coefficient ranges (ranges of optimality)
 Information about the decision variables:
•their optimal values
•their reduced costs
 Information about the constraints:
•the amount of slack or surplus
•the dual prices
•right-hand side ranges (ranges of feasibility)

21
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 Standard Computer Output

 we have discussed:
•objective function value
•values of the decision variables
•reduced costs
•slack/surplus
 In this session we will discuss:
•changes in the coefficients of the objective function
•changes in the right-hand side value of a constraint

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 Sensitivity Analysis

 Sensitivity analysis (or post-optimality analysis) is used

to determine how the optimal solution is affected by
changes, within specified ranges, in:
•the objective function coefficients
•the right-hand side (RHS) values
 Sensitivity analysis is important to the manager who
must operate in a dynamic environment with imprecise
estimates of the coefficients.
 Sensitivity analysis allows him to ask certain what-if
questions about the problem.

23
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 Right-Hand Sides

 Let us consider how a change in the right-hand side for

a constraint might affect the feasible region and perhaps
cause a change in the optimal solution.
 The improvement in the value of the optimal solution
per unit increase in the right-hand side is called the
dual price.
 The range of feasibility is the range over which the dual
price is applicable.
 As the RHS increases, other constraints will become
binding and limit the change in the value of the
objective function.

24
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 Dual Price

 Graphically, a dual price is determined by adding +1 to

the right hand side value in question and then resolving
for the optimal solution in terms of the same two
binding constraints.
 The dual price is equal to the difference in the values of
the objective functions between the new and original
problems.
 The dual price for a nonbinding constraint is 0.
 A negative dual price indicates that the objective
function will not improve if the RHS is increased.

25
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 Shadow Price

 Shadow prices are found in the optimal tableau as

follows:
•"less than or equal to" constraint --zj value of the
corresponding slack variable for the constraint
•"greater than or equal to" constraint -- negative of the
zj value of the corresponding surplus variable for the
constraint
•"equal to" constraint -- zj value of the corresponding
artificial variable for the constraint.

26
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 Reduced Cost

 The reduced cost for a decision variable whose value is

0 in the optimal solution is the amount the variable's
objective function coefficient would have to improve
(increase for maximization problems, decrease for
minimization problems) before this variable could
assume a positive value.
 The reduced cost for a decision variable with a positive
value is 0.

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 Objective Function Coefficients
and Range of Optimality

 The range of optimality for an objective function

coefficient is the range of that coefficient for which
the current optimal solution will remain optimal
(keeping all other coefficients constant).
 The objective function value might change is this
range.

28
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 Right-Hand Side Values
and Range of Feasibility
 The range of feasibility for a right hand side
coefficient is the range of that coefficient for which
the shadow price remains unchanged.
 The range of feasibility is also the range for which the
current set of basic variables remains the optimal set
of basic variables (although their values change.)

29
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 Simultaneous Changes

 For simultaneous changes of two or more objective

function coefficients the 100% rule provides a guide
to whether the optimal solution changes.
 It states that as long as the sum of the percent
changes in the coefficients from their current value to
their maximum allowable increase or decrease does
not exceed 100%, the solution will not change.
 Similarly, for shadow prices, the 100% rule can be
applied to changes in the right hand side coefficients.

30
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 Example 1

 LP Formulation

Max 5x1 + 7x2

s.t. x1 < 6
2x1 + 3x2 < 19
x1 + x2 < 8

x1, x2 > 0

31
Slide
 Example 1

 Graphical Solution
x2
8
x1 + x2 < 8
Max 5x1 + 7x2
7

6
x1 < 6
5
Optimal:
4
x1 = 5, x2 = 3, z = 46
3

2
2x1 + 3x2 < 19
1

1 2 3 4 5 6 7 8 9 10
x1

32
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 Objective Function Coefficients

 Let us consider how changes in the objective function

coefficients might affect the optimal solution.
 The range of optimality for each coefficient provides the
range of values over which the current solution will
remain optimal.
 Managers should focus on those objective coefficients
that have a narrow range of optimality and coefficients
near the endpoints of the range.

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 Example 1

 Changing Slope of Objective Function

x2
8

5 5
4

3
Feasible 4
2
Region 3
1
1 2
1 2 3 4 5 6 7 8 9 10
x1

34
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 Range of Optimality

 Graphically, the limits of a range of optimality are

found by changing the slope of the objective function
line within the limits of the slopes of the binding
constraint lines.
 The slope of an objective function line, Max c1x1 + c2x2, is
-c1/c2, and the slope of a constraint, a1x1 + a2x2 = b, is
-a1/a2.

35
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 Example 1

 Range of Optimality for c1

The slope of the objective function line is -c1/c2.
The slope of the first binding constraint, x1 + x2 = 8, is -1
and the slope of the second binding constraint, x1 + 3x2
= 19, is -2/3.
Find the range of values for c1 (with c2 staying 7)
such that the objective function line slope lies between
that of the two binding constraints:
-1 < -c1/7 < -2/3
Multiplying through by -7 (and reversing the
inequalities):
14/3 < c1 < 7

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 Example 1

 Range of Optimality for c2

Find the range of values for c2 ( with c1 staying 5)
such that the objective function line slope lies between
that of the two binding constraints:
-1 < -5/c2 < -2/3

Multiplying by -1: 1 > 5/c2 > 2/3

Inverting, 1 < c2/5 < 3/2

Multiplying by 5: 5 < c2 < 15/2

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 Example 1

 Range of Optimality for c1 and c2

Adjustable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$B$8 X1 5.0 0.0 5 2 0.333333333
$C$8 X2 3.0 0.0 7 0.5 2

Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$B$13 #1 5 0 6 1E+30 1
$B$14 #2 19 2 19 5 1
$B$15 #3 8 1 8 0.333333333 1.666666667

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 Example 1

 Dual Prices
Constraint 1: Since x1 < 6 is not a binding constraint,
its dual price is 0.
Constraint 2: Change the RHS value of the second
constraint to 20 and resolve for the optimal point
determined by the last two constraints:
2x1 + 3x2 = 20 and x1 + x2 = 8.
The solution is x1 = 4, x2 = 4, z = 48. Hence, the
dual price = znew - zold = 48 - 46 = 2.

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 Example 1

 Dual Prices
Constraint 3: Change the RHS value of the third
constraint to 9 and resolve for the optimal point
determined by the last two constraints: 2x1 + 3x2 = 19
and x1 + x2 = 9.
The solution is: x1 = 8, x2 = 1, z = 47.
The dual price is znew - zold = 47 - 46 = 1.

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 Example 1

 Dual Prices
Adjustable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$B$8 X1 5.0 0.0 5 2 0.33333333
$C$8 X2 3.0 0.0 7 0.5 2

Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$B$13 #1 5 0 6 1E+30 1
$B$14 #2 19 2 19 5 1
$B$15 #3 8 1 8 0.33333333 1.66666667

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 Range of Feasibility

 The range of feasibility for a change in the right hand

side value is the range of values for this coefficient in
which the original dual price remains constant.
 Graphically, the range of feasibility is determined by
finding the values of a right hand side coefficient such
that the same two lines that determined the original
optimal solution continue to determine the optimal
solution for the problem.

42
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 Example 1

 Range of Feasibility
Adjustable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$B$8 X1 5.0 0.0 5 2 0.33333333
$C$8 X2 3.0 0.0 7 0.5 2

Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$B$13 #1 5 0 6 1E+30 1
$B$14 #2 19 2 19 5 1
$B$15 #3 8 1 8 0.33333333 1.66666667

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 TOYCO MODEL

 In the TOYCO model, suppose that changes B1, B2, and

B3 are made simultaneously in the three operations.
•If the availability of operations 1, 2 and 3 are
changed to 438, 500, and 410 minutes, respectively.
•If the availability of the three operations are changed
to 460, 440, and 380 minutes, respectively.

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In the TOYCO model,
• Suppose that any additional time for operation 1 beyond its current
capacity of 430 minutes per day must be done on an overtime basis at $50
an hour. The hourly cost include both labor and operation of the machine.
Is it economically advantageous to use overtime with operation 1?
• Suppose that the operator of operation 2 has agreed to work 2 hours of
overtime daily at $45 an hour. Additionally, the cost of the operation itself
is $10an hour. What is the net effect of this activity on the daily revenue?
• Is overtime needed for operation 3?
• Suppose that daily availability of operation 1 is increased to 440 minutes.
Any over time used beyond the current maximum capacity will cost $40
an hour. Determine the new optimum solution, including the associated
revenue.
• Suppose that daily availability of operation 2 is decreased to 15 minutes a
day and the hourly cost of the operation during regular time is $30. Is it
advantageous to decrease the availability of operation 2?

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