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Programming/Optimization
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Introduction
Linear programming(LP), also called linear optimization is
a mathematical model in which the objective function and
constraint functions are linear in the decision variables.
LP is a method to achieve the best outcome in a mathematical
model whose requirements are represented by linear relationships.
LP is a problem solving approach developed to make decisions
(Solve business problems)
LP Models are mathematical representation of LP problems
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Components of LP models
The major components of LP Models are:
1. Objective function- maximization or
minimization
2. Decision variables- unknown quantities to be
solved for
3. Constraints –availability of resource (restriction)
4. Parameters- Fixed values that specify the impact
that one unit of each decision variable will have on
the objective
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Characteristics of LP Models
• The relationship between variables and
constraints must be linear
• The model must have an objective function
• The model must have structural constraints
• The model must have non-negativity constraint
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Assumptions of LP Models
The assumptions reveal the condition under which the
model will be valid
1. Linearity
2. Divisibility(Integer values for some quantities)
3. Certainty (Parameters are known &constant and all
relevant constraints are included in the model )
4. Non- negativity assumptions (negative values of
variables are unrealistic)
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Example of LP Model
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Formulating Linear Programming Models
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Formulating Linear Programming Models
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Xij > o for J= 1, 2,3,4… n 10
Formulating Linear Programming Models
Minimization Example
Min Z= C1X1 + C2X2 + C3X3 + C4X14… CnXn
Subject to:
A11 x1 + A12x2+ A13x3+ A14x4+ A15x5+ A16x6+ A17x7+ …. + A1nxn >R1
A21 x1 + A22x2+ A23x3+ A24x4+ A25x5+ A26x6+ A27x7+ …. + A2nxn >R2
Ai1 x1 + Ai2x2+ Ai3x3+ Ai4x4+ Ai5x5+ Ai6x6+ Ai7x7+ …. + Ainxn > Rn
Xij > o for J= 1, 2,3,4… n
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Application Area of LP
Production management (product mix, blending problems,
production planning, Assembly line balancing.),
Marketing management (media selection, revenue
determination, physical distribution, etc)
Personnel management (staffing problem, Determination of
equitable salary and etc)
Financial management (portfolio selection, profit planning)
Agricultural application
Military applications
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Example 1
Given: A firm that assembles computer equipments is about to
start production of two new micro computers (type 1 and type2).
Each type of micro computer will require assembly time,
inspection time and storage space. The amount of each of these
resources that can be devoted to the production of the micro
computers is limited. The manager of the firm would like to
determine the quantity of each micro computer to be produced in
order to maximize the profit generated by the sale of the micro
computers.
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Further information
Type1 Type 2
Unit profit $60 $50
Assembly time/unit 4 10
Inspection time/unit 2 1
Storage space/unit 3 3
The manager has also information on the availability of company
resources:
Resources Amount available
Assembly time 100hrs
Inspection time 22hrs
Storage space 39cubic feet
Required: Formulate LP Model
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Solution
Step1: Define the problem
To determine the quantity of type I and type II micro
computers to be produced per day so as to maximize
profit, given the restrictions
Step2: Identify the decision variables
Let x1 = the quantity of Type I micro computers to be
produced & sold per day.
x2 = the quantity of Type II micro computers to be
produced& sold per day.
Z = daily profit
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Solution
Step 3: Develop the Objective Function
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X1, X2 > 0 16
Solution
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Solution
Step 1: Define the Problem
Determine the number of hours the two machines
operate in order to minimize the cost, meeting the
production requirement.
Step 2: Determine the decision variables
Let x1= be the number of hours machine C1 should operate
x2= be the number of hours machine C2 should operate
Z= be the total cost
Step 3: Formulate the objective function
Min Z = 50x1 + 80x2
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Solution
Step 4: List the constraints
Grade A: 50x1 + 30x2 > 1400
Grade B: 30x1 + 40x2 > 1200
Step 5: Non-negativity
x1, x2 > 0
Therefore ,The complete LPM is
Min Z = 50x1 + 80x2
Subject to:
50x1 + 30x2 > 1400
30x1 + 40x2 > 1200
x1, x2 > 0
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Solving LP Problems (LPP)
• There are two methods to solve LP problems
1.Graphical Method
2.Simplex Method
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Graphical Method
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Graphical Method
Step 4: Evaluate the objective function at each corner
The largest value is the maximum and the smallest
value is the minimum
If two corners have the same optimal value, then the
optimum occurs at every point on the line segment
joining the respective corners
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Maximization Problem
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Solution
Step 2: Plot the constraints on the graph by taking two
coordinates satisfying the equation
5X1 + 20X2 < 400 i.e. X1 + 4X2 < 80 - - - (a)
10X1 + 15X2 < 450 i.e. 2X1 + 3X2 < 90 - - - (b)
X1, X2 > 0
Converting (a) and (b) to equality, we get
X1 + 4X2 = 80 . . . . (1)
2X1 + 3X2 = 90 . . . (2)
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Solution
Step 3: Identify the area that satisfies the entire set of constraints
(Feasible region), determine corners and their coordinate either from
graphing procedure or by the elimination procedure.
The largest value is the maximum and the smallest value is the
minimum.
If two corners have the same optimal value, then the optimum occurs
at every point on the line segment joining the respective corners.
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Solution
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Minimization Problem
• Graphical solutions to minimization problems are very
similar to solutions to maximization problems
• The difference in minimization problems are:
The constraints are in (>=)greater than or equal to
sign, the feasible solution area is away from the
origin, instead of close to the origin
Optimum solution is the smallest possible value,
instead of largest value
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Minimization Problem
Example : Two machines C1 and C2 produce two grades of
tyres A and B. In one hour of operation, machine C 1
produces 50 units of grade A and 30 units of grade B
tyres while machine C2 produces 30 units of grade A and
40 units of grade B tyres. The machines are required to
meet a production schedule of at least 1400 units of grade
A and 1200 units of grade B tyres. The cost of operating
machine C1 is $50 per hour and the cost of operating
machine C2 is $80 per hour.
Required: How many hours should each machine operate
so that the cost of production is minimized?
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Solution
Formulate the LPM (Step wise)
Step 1: to determine the number of hours the two machines operate in order to minimize
cost, meeting the production requirement.
Step 2: Represent the decision variables
Let x1 be the number of hours machine C1 should operate
x2 be the number of hours machine C2 should operates
Z be the total cost
Step 3: Formulate the objective function
Min Z = 50x1 + 80x2
Step 4: List the constraints
Grade A: 50x1 + 30x2 > 1400
Grade B: 30x1 + 40x2 > 1200
Step 5: Non-negativity x1, x2 > 0
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Solution
Step 1: Formulate the mathematical model of the
problem
Min Z= 50x1 + 80x2
Subject to:
50x1 + 30x2 > 1400
30x1 + 40x2 > 1200
x1, x2 > 0
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Solution
Exercise the next steps
Step 2: Plot the constraints on the graph
Step 3: Identify the feasible region
Step 4: Evaluate the objective function at each corner
points
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Solution
Coordinate of corner point Objective Function Value
Min Z= 50x1 + 80x2
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Graphical Solutions for the Special Cases of
LP problems
1. Unbounded problems
2. Problems with no feasible solutions
3. Redundancy in constraints
4. Problems with Multiple optimal solutions
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Un bounded Problems
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Redundancy in constraints
• In some cases, a constraint does not form a unique boundary of the feasible
solution space.
• Such a constraint is called a redundant constraint. A constraint is redundant
if its removal would not alter the feasible solution space. Redundancy
of any constraint does not cause any difficulty in solving an LP problems
graphically. Constraints appear redundant when it may be more binding
(restrictive) than others.
Example: Max Z= x1 + x2
Subject to:
2x1+3x2<60
2X1+x2<20
X2<25
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Problems with Multiple optimal solutions
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X1, X2 > 0 40
The Simplex
Method
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The simplex Method
• Graphical method of solving LPP can be used when
we have two decision variables in the problem.
• If we have more than two decision variables, we can’t
use graphical method
• There fore, SIMPLEX Method is useful to solve LPP
with two and more decision variables
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The simplex Method
• Simplex method deals with iterative process, which
consists of first designing a Basic Feasible Solution
and proceed towards the Optimal Solution and
testing each feasible solution for Optimality to know
whether the solution on hand is optimal or not
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Comparison b/n graphical and Simplex
Example : Maximize Z = C1X1+ C2X2 + ... +CnXn + OS1 + OS2 +... +0Sm
Subject to
a11X1+a12X2+... + a1nxn+S1=b1
a2lX1+al22X2+... + a2nXn+S2 = b2
amlXl + am2 X2 +... + amnxn + Sm = bm
where X1, X2... Xn and S1, S2 ... Sm are non-negative.
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The Simplex Method: Maximization Example
Simplex Tableau
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The Simplex Method: Maximization Example
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The Simplex Method: Maximization Example
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Maximization Example
Max Z = 60X1+50X2
Subject to:
4X1+10X2 < 100
2X1+ X2 < 22
3X1+ 3X2 <39
X1, X2 > 0
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Solution
Step 1: Formulate the linear programming model of the
real world problem i.e mathematical representation of LPP
Step 2: Put in Standard form
Max Z = 60X1+50X2+0S1+0S2+0S3
Subject to:
4X1+10X2+S1 = 100
2X1+ X2+ S2 = 22
3X1+ 3X2+ S3 = 39
X1, X2, S1, S2, S3 > 0
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Solution
Step 3: Design the initial feasible solution.
X1= X2=0 so S1= 100 S2= 22 S3=39
Step 4: Set up the initial simplex tableau
Cj 60 50 0 0 0 Quantity
Basic Variables X1 X2 S1 S2 S3
S1 0 4 10 1 0 0 100
S2 0 2 1 0 1 0 22
S3 0 3 3 0 0 1 39
Zj 0 0 0 0 0 0
Cj-Zj 60 50 0 0 0
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Second Tableau
Cj 60 50 0 0 0 Quantity
BVs X1 X2 S1 S2 S3
S1 0 4 10 1 0 0 100 100/4= 25
2
S2 0 1 0 1 0 22 22/2= 11
S3 0 3 3 0 0 1 39 39/3=13
Zj 0 0 0 0 0 0 0
Cj-Zj 60 50 0 0 0
Smallest non-negative
quotient
Pivot Row Pivot Column Pivot Element
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Second tableau
Cj60 50 0 0 0 Quantity
X1 X2 S1 S2 S3
S1 0 0 8 1 -2 0 56
X1 60 1 1/2 0 1/2 0 11
S3 0 0 3/2 0 -3/2 1 6
Zj 60 30 0 30 0 660
Cj-Zj 0 20 0 -30 0
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Third tableau
Cj 60 50 0 0 0 Quantity
X1 X2 S1 S2 S3
S1 0 0 0 1 6 -16/3 24
X1 60 1 0 0 1
-1/3 9
X2 50 0 1 0 -1 2/3 4
Zj 60 50 0 10 40/3 740
Cj-Zj 0 0 0 -10 -40/3
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Minimization Example
The various steps involved in using simplex method for
minimization problems are:
Step1: Formulate the linear programming model, and
express the mathematical model of LPP in the standard
form by introducing surplus and artificial variables
in the left hand side of the constraints.
Assign a 0 (zero) and +M as coefficient for surplus and
artificial variables respectively in the objective
function.
M is considered to be a very large number so as to
finally drive out the artificial variables out of basic
solution.
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Minimization Example
• Artificial variables have no physical interpretation,
they merely serve as a device to enable us to use
simplex process.
• During simplex process, any artificial variables are
quickly eliminated from the solution and hence the
optimal solution should never contains an artificial
variable with a non-zero value.
• Artificial variables are required only for manual
solution; computer codes do not require to input
artificial variables
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Minimization Example
Step 2: Set up an initial solution
• Just to start the solution procedure, the initial basic
feasible solution is obtained by assigning zero value to
decision variables.
• This solution is summarized in the initial simplex
tableau.
• Complete the initial simplex tableau by adding two
final rows Zj, and Cj- Zj. These two rows help us to
know whether the current solution is optimum or
not.
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Minimization Example
Step 3: Test for optimality of the solution
If all the entries of Cj - Zj, row are positive and
zero, then the solution is optimum.
However, this situation may come after a number of
iterations.
But if at least one of the Cj - Zj values is less than zero,
the current solution can be further improved by
removing one basic variable from the basis and
replacing it by some non-basic one.
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Minimization Example
Step 4: (i) Determine the entering variable into the
basic solution. To do this, we identify the column with
the largest negative value in the Cj - Zj row of the
tableau (the variable in this column is entering
variable)
(ii) Next, determine the departing variable from the
basic solution. If an artificial variable goes out of
solution, then we discard it totally and even this
variable may not form part of further iterations. Same
procedure, as in maximization case, is employed to
determine the departing and entering variable.
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Minimization Example
Step 5: Update the new solution
• We evaluate the entries for next simplex tableau in
exactly the same manner as was discussed earlier
in the maximization example.
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Minimization Example
Step 6: Step (3-5) are repeated until an optimum solution is
obtained
• So the following are the essential things to observe in solving for
minimization problems:
• The entering variable is the one with the largest negative
value in the Cj-Zj row while the leaving variable is the one
with the smallest non-negative ratio.
• The optimal solution is obtained when the Cj-Zj row contains
entirely zeros and positive values.
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Example
Min Z = 7X1+9X2
Subject to
3X1+6X2 > 36
8X1+4X2 > 64
X1, X2 > 0
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Solution
First, put the LPM in standard form
Min Z = 7X1+9X2+0S1+0S2+MA1+MA2
Subject to
3X1+6X2-S1+A1 = 36
8X1+4X2-S2+ A2 = 64
X1, X2 , S1,S2,A1, A2> 0
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Solution
Then, develop the Initial Simplex Tableau
Cj 7 9 0 0 M M
BV X1 X2 S1 S2 A1 A2 Quantity
A1 M 3 6 -1 0 1 0 36
A2 M 8 4 0 -1 0 1 64
Zj 11M 10M -M -M M M
100M
Cj-Zj 7-11M 9-10M M M 0 0
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Solution
Next, develop the second Simplex Tableau
Cj 7 9 0 0 M
X1 X2 S1 S2 A1 Quantity
A1 M 0 9/2 -1 3/8 1 12
X1 7 1 ½ 0 -1/8 0 8
Zj 7 7/2+9/2M -M 3/8M-7/8 M 56+12M
Cj-Zj 0 11/2-9/2M M 7/8-3/8M 0
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Solution
Next, develop the third Simplex Tableau
Cj 7 9 0 0
X1 X2 S1 S2 Quantity
X2 9 0 1 -2/9 1/12 8/3
X1 7 1 0 1/9 -1/6 20/3
Zj 7 9 -11/9 -5/12 212/3
Cj-Zj 0 0 11/9 5/12
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Duality in LPP
• Every linear programming problem can have two forms:
the original formulation of the problem is referred to as
its primal form. The other form is referred to as its dual
form.
• The dual is just a mirror image of the primal and hence
it is called an alternate form of linear programming
problem
• The solution to the primal problem contains the solution
to the dual problem, and vice versa.
• If so, why are we interested in dual form?
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Duality in LPP
• We need to have the dual LPP for an economic analysis.
• Analysis of the dual help the manager to evaluate the
potential impact of a new product, and it can be used to
determine the marginal value of resources
(Constraints).
• Relative to the new product, a manager would want to
know what impact adding a new product would have on
the solution quantities and the profit; relative to resources,
a manager can refer to dual solution to determine how
much profit one unit of each resource is equivalent to.
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Formulating the dual
• A LPP formulated directly from the description
of the problem is a primal problem.
• The dual, on the other hand, is an alternate
formulation of the problem that requires the
existence of the primal.
• Let’s take an example how the dual is formulated
from the primal problem
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Formulating the dual from the primal
Max Z= 60x1 + 50x2
Min Z = 100y1 + 22y2+ 39y3
Subject to:
4x1 + 10x2 < 100 Subject to:
2x1 + x2 < 22 4y1 + 2y2 + 3y3 > 60
3x1 + 3x2 < 39 10y1 + y2 +3y3> 50
x1, x2 > 0 y1, y2 ,y3 > 0
Primal problem
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Dual problem 76
Sensitivity Analysis
• Sensitivity analysis (A Post optimality analysis)
is made beyond the determination of optimal
solution
• It starts from the final simplex tableau.
• The purpose is to explore how changes in any of
the parameters of a problem, such as the
coefficient of the objective function, or the right-
hand side values, would affect the solution
• This analysis help the manager in many ways
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Sensitivity Analysis
• The parameters are assumed to be
constant, but in real life there is nothing
constant. Hence, the optimal values of the
decision variable may be wrong.
• Therefore, we need to check how sensitive is the
solution to the alternate values of parameters.
• Hence, the decision maker usually would want
to perform sensitivity analysis before
implementing the solution
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Sensitivity Analysis
• If the additional analysis satisfies the decision
maker that the solution is reasonable, the
decision maker can proceed with greater
confidence in using the solution
• Conversely, if sensitivity analysis indicates that
the solution is sensitive to the changes that are
within the realm of possibility, the decision
maker will be warned that more precise
information on parameters are needed.
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Thank you