Solving Linear Programming

Problems Using Excel

Ken S. Li

Southeastern Louisiana University

Linear Programming

 The Problem
An optimization model is a linear program if it has
continuous variables, a single objective function, and
all constraints are linear equalities or inequalities
History
Linear programming was conceptually developed before
World War II by the outstanding Russian mathematician
A.N. Kolmogorov.
Who and When

Major contributors:
Kantorovich
Stigler 1945
Dantzig 1947
Karmarkar 1984
Gonzaga 1992
Wright 1996
Terlaky 1995
Todd 1991
Standard Formulation
Mathematical Formulation
minimize cx
subject to
Ax = b
x >= 0
Standard Formulation

where x is the vector of variables to be solved for,

A is a matrix of known coefficients,
and c and b are vectors of known coefficients.
The expression "cx" is called the objective
function,
and the equations "Ax=b" are called the
constraints.
Standard Formulation

Usually A has more columns than rows, and Ax=b is

therefore quite likely to be under-determined,
leaving great latitude in the choice of x with which
to minimize cx. The word "Programming" is used
here in the sense of "planning"; the necessary
relationship to computer programming was
incidental to the choice of name. Hence the phrase
"LP program" to refer to a piece of software is not a
redundancy, although I tend to use the term "code"
instead of "program" to avoid the possible
ambiguity.
Applications

 Applications
Linear and integer programming have proved
valuable for modeling many and diverse types of
problems in planning, routing, scheduling,
assignment, and design. Industries that make use
of LP and its extensions include transportation,
energy, telecommunications, and manufacturing
of many kinds.
Applications

 Specific Applications
1. Development of a production schedule that will satisfy
future demands for a firm’s production and at the
same time minimize total production and inventory
costs
2. Selection of the product mix in a factory to make best
use of machine-hours and labor-hours available while
maximizing the firm’s products
Application - Contd

3. Determination of grades of petroleum products to yield

the maximum profit
4. Selection of different blends of raw materials to feed mills
to produce finished feed combinations at minimum cost
5. Determination of a distribution system that will minimize
total shipping cost from several warehouses to various
market locations
Computational Method

 Simplex Methods
Simplex methods, introduced by Dantzig about 50 years
ago, visit "basic" solutions computed by fixing
enough of the variables at their bounds to reduce the
constraints Ax = b to a square system, which can be
solved for unique values of the remaining variables.
Basic solutions represent extreme boundary points of
the feasible region defined by Ax = b, x >= 0, and the
simplex method can be viewed as moving from one
such point to another along the edges of the
boundary.
Computational Method

 Interior Point Methods

Barrier or interior-point methods, by contrast, visit
points within the interior of the feasible region. These
methods derive from techniques for nonlinear
programming that were developed and popularized in
the 1960s by Fiacco and McCormick, but their
application to linear programming dates back only to
Karmarkar's innovative analysis in 1984.
Interior Point Method

Step 1: Choose any feasible interior point solution,

x (0)  0 and set solution index t=0.
Step 2: If any component of x (t ) is 0, or if recent
steps have made no significant change in the
solution value, stop. Current point is either
optimal or very nearly so.
Step 3: Construct the next move direction
( t 1)
x   X t Pt c (t )
Interior Point Method -contd

Where
 x1(t ) 0  0 
 (t ) 
 0 x2  
Xt 
    0 
 
(t ) 
 0  0 xn  ,

Pt  I  ATt (A t ATt ) 1 A t , ct  X t c.
Interior Point Method - contd

Step 4: If there is no limit on feasible moves in the

direction x ( t 1) (all components are
nonnegative), stop ; the given model is
unbounded. Otherwise, construct the step size
1
 ( t 1) 1
.
x X t
Interior Point Method - contd

Step 4: compute the new solution

x ( t 1)  x ( t )  x ( t 1)
Then let t  t  1, and return to Step 2.
A Simple Example

The Marriott Tub Company manufactures two lines of

bathtubs, called Model A and model B. Every tub
requires a certain amount of steel and zinc; the company
has available a total of 25,000 pounds of steel and 6,000
pounds of zinc. Each model A bathtub requires a total of
125 pounds of steel and 20 pounds of zinc, and each
yields a profit of $90. Each model B bathtub can be sold
for a profit of $70; it in turn requires 100 pounds of steel
and 30 pounds of zinc. Find the best production mix of
the bathtubs.
The Formulation

Maximize P  90 x  70 y
Subject to
125 x  100 y  25000
20 x  30 y  6000
x, y  0

Where x and y are the numbers of model A

and model B bathtubs that the company
will make, respectively.
Solving by Interior Point
Method
x1 x2 x3 x4 Obj
Initial 100 100 2500 1000 16000
1st 129.4 86.4 178.8 818.8 17698
2nd 152.8 58.7 3.3 1184 17861
3 rd 157 53.6 5.7 1250 17882
4 th 189 13.60 8.3 1810 17962
5 th 199.6 0.4 6.5 1995 17992
6 th 199.7 0.3 0.1 1994 17994
7 th 199.9 0.1 0.1 1999 17998
8 th 200 0 0 2000 18000
Solving by Excel

http://www.selu.edu/Academics/Faculty/
kli/linearprog.xls