OR Chapter 2 Linear Programming - Yohannes

Quantitative Methods for Decision Making
(Operations Research)
Yohannes W. (BA, MSc, Ph.D)

Assistant Professor of Business,
Organization, & Strategy
Addis Ababa University
Chapter 2 - Linear Programming Models
• Meaning of Linear programming (Model)

• LP Assumptions(Conditions/requirements)
• Formulation of Linear Programming Model
• Graphic and Enumerative Solution of Linear
Programming Models
• The Simplex Method for Solving Linear
Programming Models
• The Dual in Linear Programming Models
• Post – Optimality (Sensitivity) Analysis
Yohannes W. (PhD) 2-2

2.1. Meaning of Linear programming (Model) –Meaning
• Linear Programming is a mathematical process

that as been developed to help management in
decision making involving the efficient
allocation of scares resources to achieve a
certain objective.
• The term programming used to identify this
technique does not refer to computer
programming but rather to a predetermined
set of mathematical steps used to solve a
problem.
2.1. Meaning of Linear programming (Model) –Meaning
• In general, linear programming models help managers

determine solutions (i.e., make decisions) for problems
that will achieve some objective in which there are
restrictions, such as limited resources or a recipe or
perhaps production guidelines.
• For example, you could actually develop a linear

programming model to help determine a breakfast menu for
yourself that would meet dietary guidelines you may have
set, such as number of calories, fat content, and vitamin
level, while minimizing the cost of the breakfast.
• Manufacturing companies develop linear programming
models to help decide how many units of different products
they should produce to maximize their profit (or minimize
their cost), given scarce resources such as capital, labor,
2-4
and facilities.
Diagrammatically,
Scares To be allocated to:

Resource
Resource
constraints
Objectives Constraints
Non-
negativity
Optimization Constraints
(variables
cannot take
negative
values)
Maximization Minimization
2.2 Linear programming (Model) –
Assumptions/conditions
• LP is a method for choosing the best alternative
from a set of feasible alternatives
• To apply LP, the following
Conditions(Assumptions) must be satisfied:
• a. Objective Function: Is the goal or objective
of a management, stated as an intent to
maximize or to minimize some important
quantity such as profits or costs.

2.2 Linear programming Model –
Assumptions/conditions/Requirements
b. Constraints: Are limitations or restrictions imposed
by the problems. And constraints include:
b1. Resource constraints: Are restrictions that should
be clearly identifiable and measurable in quantitative
terms, which arise from limitation of available
resources.
Examples of limited resources:
• Plant capacity
• Raw materials availability
• Labor power
• Market demand, etc
b2. Non-negativity constraints: Are constraints that require the
decision variables not to take on negative values (Non negativity
Assumption)
c. Linearity Assumption
• The Objective Function and the constraints must be linear in
nature in order to have a Linear Programming Problems (LPP)
d. Divisibility Assumption – values of variables are divisible e.g
producing 7.5 units of Televisions per hour is acceptable ( this
means 15 Tvs in two hours)
e. Certainty – Parameters/ numerical values that are included in
the objective functions and constraints are well known. These are
the coefficients of the objective function and the constraint
equations

d. Feasible alternative
• There should be a series of feasible alternative
course of action available to the decision-making
determined by resource constraints. Thus, we
have to choose the best alternative
• Linear Programming Problems can be solved by
using:
• The Geometric method called” Graphical
Method”
• The Algebraic method called” Simplex Method”
2.3. FORMULATION OF LP
• In formulating linear programming model, the model

developer/Analyst should specify the components of
the LP model and consider its important assumptions.
The basic components of an LP Model are the following:

1. Decision variables
2. Objective function
3. Constraints
Assumptions in linear programming problems include:
4. Linearity
5. Certainty
6. Divisibility
7. Non-negativity

FORMULATION OF LP
• Decision variables: are the variables whose

values are unknown and are to be searched.
Decision variables are mathematical symbols that
represent levels of activity.
• Objective function is a linear mathematical
relationship that describes the objective of the firm
in terms of the decision variables. The objective
function always consists of either maximizing or
minimizing some value (e.g., maximization of the
profit or minimization of the cost of producing
radios). The objective function is a linear
relationship that reflects the objective of an
operation.
FORMULATION OF LP
• Constraints: The model constraints are also linear
relationships of the decision variables; they represent
the restrictions placed on the firm by the operating
environment.
• The restrictions can be in the form of limited resources
or restrictive guidelines. For example, only 40 hours of
labor may be available to produce radios during
production. The actual numeric values in the objective
function and the constraints, such as the 40 hours of
available labor, are parameters. Parameters are
numerical values that are included in the objective
functions and constraints.
FORMULATION OF LP - Example

2.4. GRAPHICAL SOLUTION
To use the graphic method, the following steps are needed:

1. Identify the problem
• i.e: The decision variables, the objective function and the
constraints
2. Draw a graph including all the constraints and
identify the feasible region
3. Obtain a point on the feasible region that optimizes
the objective function-Optimal solution
4. Interprite the results
NB. Graphical LP is a two-dimensional model.

Graphic Solution
Practical Examples -
A) Maximization Problem
• Example: Consider two models of color TV sets;
Model A and B, are produced by a company to
maximize profit. The profit realized is $300 from set A
and $250 from set B. The limitations are
a) availability of only 40hrs of labor each day in the
production department.
b) A daily availability of only 45 hrs on machine time
c) The company has ability to sale only 12 set of model
A.

Graphic Solution
Practical Examples -
d) 2 hours of labor is needed to produce one unit
of Model A
e) 1hour of labor is needed to produce one unit of
Model B
f) 1 hour of machine time is needed to produce
one unit of Model A
g) 3 hours of machine time is needed to produce
one unit of Model B

Graphic Solution-
Practical Examples
Required : Formulate the LM model and solve it
using the graphic Method
1. Formulation of mathematical modeling of LPP
Max Z=300X1 +250X2
St:
2X1 +X2< 40
X1 +3X2< 45
LPP Model
X1 < 12
X 1, X 2 > 0

Graphic Solution -
Practical Examples
2. Convert constraints inequalities into equalities
2X1 +X2 = 40
X1 +3X2= 45
X1 = 12

Graphic Solution -
Practical Examples
3. Draw the graph by intercepts
2X1 +X2 = 40 ==> (0, 40) and (20, 0)
X1 +3X2= 45==> (0, 15) and (45, 0)
X1 = 12==> (12, 0)
X1, X2 =0

Graphic Solution -
Practical Examples

Graphic Solution -
Practical Examples
4. Identify the feasible area of the solution which
satisfies all constrains.
5. Identify the corner points in the feasible region
A (0, 0), B (0, 15), C (12, 11) and D (12, 0)
6. Identify the optimal point
7. Interpret the result

Interpretation:
12 units of product A and 11 units of product B should be produced
so that the total profit will be $6350.

Exercise - Maximization (Graphic)
A manufacturer of light weight mountain tents makes
two types of tents, REGULAR tent and SUPER tent.
Each REGULAR tent requires 1 labor-hour from the
cutting department and 3 labor-hours from the
assembly department. Each SUPER tent requires 2
labor-hours from the cutting department and 4 labor-
hours from the assembly department .The maximum
labor hours available per week in the cutting
department and the assembly department are 32 and
84 respectively. Moreover, the distributor, because of
demand, will not take more than 12 SUPER tents per
week. The manufacturer sales each REGULAR tents
for $160 and costs$110 per tent to make. Where as
SUPER tent ales for $210 per tent and costs $130 per
tent to make. 2-23
Required:
A. Formulate the mathematical model of the
problem
B. Using the graphic method, determine how many
of each tent the company should manufacture
each week so as to maximize its profit?
C. What is this maximum profit assuming that all
the tents manufactured in each week are sold in
that week?

_____________________________________________________________________
Labor hours per tent
Department REGULAR (X1) SUPER(X2) Maximum labor-hours available per
• Solution week
_____________________________________________________________________
Cutting department 1 2 32
Assembly department 3 4 84
Selling price per tent $160 $210
Cost per tent $110 $130
Profit per tent $50 $80

• *The distributor will not take more than 12 SUPER
tents per week. Thus, the manufacturer should not
produce more than 12 SUPER tents per week.
• Let X1 =The No of REGULAR tents produced per
week.
• X2 =The No of SUPER tents produced per
week.
• X1 and X2 are called the decision variables

Max.Z  50 X 180 X 2
St :
X 12 X 2 32 ……….Cutting department constraint
P Model
X 14 X 2 82 ……….Assembly department constraint
X 2  12 ……….Demand constraint
X1, X 2  0 ……….Non-negativity constraints

Minimization – Graphic method
Example:
• Suppose that a machine shop has two different types of machines;
machine 1 and machine 2, which can be used to make a single
product .These machine vary in the amount of product produced per
hr., in the amount of labor used and in the cost of operation.
• Assume that at least a certain amount of product must be produced
and that we would like to utilize at least the regular labor force.
• Consider the following additional information

Required - How much should we utilize each machine in order to minimize total costs and still meet the requirement?

Solution : The Minimization LP
Model is as follows
Min.Z  25 X 130 X 2
St :
20 X 115 X 2 100 LPP Model
2 X 13 X 2 15
X1, X 2  0
Constraint equation:
20X1 +15X2=100 ==> (0, 20/3) and (5, 0)
2X1+3X2=15 ==> (0, 5) and (7.5, 0)
X1 X2> 0

2-32
______________________________________________________________________________________________
Corners Coordinates MinZ=25 X1 + 30X2
A (0, 20/3) 200
B (2.5, 3.33) 162.5

C (7.5, 0) 187.5
_______________________________________________________________
X1 =2.5
X2=3.33 and
MinZ= 162.5

Exercise: Minimization (Graphic)
• A company owns two flour mills (A and B) which have
different production capacities for HIGH, MEDIUM and
LOW grade flour. This company has entered contract to
supply flour to a firm every week with 12, 8, and 24
quintals of HIGH, MEDIUM and LOW grade respectively.
It costs the Co. $1000 and $800 per day to run mill A and
mill B respectively. On a day, mill A produces 6, 2, and 4
quintals of HIGH, MEDIUM and LOW grade flour
respectively. Mill B produces 2, 2 and 12 quintals of
HIGH, MEDIUM and LOW grade flour respectively.
• See additional (tabular) information below

No of days per week of Minimum flour in
Mil A (X1) Mill B(X2) quintals
HIGH Capacity (in quintal) 6 2 12
MEDIUM Capacity (in quintal) 2 2 8
LOW Capacity (in quintal) 4 12 24
$1000 $800
Required: How many days per week should each mill be

operated in order to meet the contract order in the most
economical way? Solve graphically.

Solution – Minimization Exercise

Constraint equation:
6 X 12 X 2 12 (0, 6), (2, 0)
2 X 12 X 2 8 (0, 4), (4, 0)
4 X 1  12 X 2  24 (0, 2), (6, 0)
X1, X 2  0

SPECIAL CASES IN GRAPHICS METHODS – (Reading Assignment
Or I will share with you a reading material on these topics!)
1. Redundant Constraint
2. Multiple optimal Solutions/Alternative
optimal solutions/
3. Infeasible Solution
4. Mixed constraints
5. Unbounded Solution

SIMPLEX METHOD
INTRODUCTION
• The graphical method to solving LPPs provides fundamental
concepts for fully understanding the LP process. However, the
graphical method can handle problems involving only two
decision variables (say X1 and X2).
• In 19940’s George B.Dantzig developed an algebraic

approach called the Simplex Method which is an efficient
approach to solve applied problems containing numerous
constraints and involving many variables that cannot be solved
by the graphical method.
• The simplex method is an ITERATIVE or “step by step”

method or repetitive algebraic approach that moves
automatically from one basic feasible solution to another basic
feasible solution improving the solution each time until the 2-41
Simplex Method - MAXIMIZATION PROBLEMS
Example:
Solve the problem using the simplex approach
Max.Z=300x1 +250x2
Subject to:
2x1 + x2 < 40
x1+3x2 < 45
x1 < 12
x1, x2 > 0

Solution Steps – Simplex method
Solution Steps
Step 1 : Formulate LPP Model
Step 2: Standardize the problem - convert constraint
inequality into equality form by introducing a variable called
Sack variable.
• Slack Variables:
A slack variable(s) is added to the left hand side of a <
constraint to covert the constraint inequality in to equality.
The value of the slack variable shows unused resource.

• A slack variable emerges when the LPP is a maximization

problem.
• Slack variables represent unused resource or idle capacity.

Thus, they don’t produce any product and their contribution
to profit is zero.
• Slack variables are added to the objective function with zero

coefficients.
• Let say that s1, s2 and s3 be unused labor, machine and
marketing hours, respectively.
Max.Z=300x1 +250x2 + 0 s1 +0 s2+ 0 s3

St:
2 x1+x2 + s1 +0 s2+ 0 s3= 40
Standard form
x1+3x2 +0s1 + s2+ 0 s3= 45
x1 + 0s1 + 0s2+ s3= 12
x1 , x2 , s1 , s2, s3 > 0

Step 3 – Construct/ Obtain the initial simplex tableau
• To represent the data, the simplex method uses a table called the
simplex table or the simplex matrix.
• ==> In constructing the initial simplex tableau,

the search for an optimal solution begins at the
origin. Indicating that nothing is produced;
• Thus, first assumption, No production implies
that x1 =0 and x2=0

2-47
Step 4: Choose the “incoming” or “entering” variables
Note:
• The entering variable is the variable that has the
most positive value in the Cj - Zj row also called as
indicator row. Or the entering variable is the variable
that has the highest contribution to profit per unit.
• X1 in our case is the entering variable
• The column associated with the entering variable is
called key or pivot column ( X1 column in our case )

Step 5: Choose the “leaving “or “outgoing” variable
• ==> In this step, we determine the variable that will leave
the solution for X1 (or entering variable)
• Note:
• The row with the minimum or lowest positive (non-
negative) replacement ratio shows the variable to
leave the solution.
Replacement Ratio (RR) = Solution Quantity (Q)
Corresponding values in pivot column

• Note: RR>0
• The variable leaving the solution is called
leaving variable or outgoing variable.
• The row associated with the leaving variable is
called key or pivot row (s3 column in our case)
• The element that lies at the intersection of the
pivot column and pivot row is called pivot
element(No 1 in our case)

Step 6: Repeat step 3-5 till optimum basic feasible

solution is obtained. That is repeat step 3-5 till no
positive value occurs in the Cj - Zj row.
Note:
• Divide each element of the pivot row by the pivot
element to find new values in the key or pivot
row.
• Perform row operations to make all other
entries for the pivot column equal to zero.

2nd simplex tableau
Cj 300 250 0 0 0
SV X1 X2 S1 S2 S3 Q
0 S1 0 1 1 0 -2 16 R’1=R1-2R3
0 S2 0 3 0 1 -1 33 R’2=R2-R3
300 X1 1 0 0 0 1 12 R’3=R3
Zj 300 0 0 0 300 3600
Cj - Zj 0 250 0 0 -300
2-52
3rd simplex tableau
Cj 300 250 0 0 0
SV X1 X2 S1 S2 S3 Q
0 0 1 -1/3 -5/3
0 S1 5 R’’1=R’1-R’2
250 X2 0 1 0 1/3 -1/3 11 R’’2=R2/3
300 X1 1 0 0 0 1 12 R’’3=R’3
Zj 300 250 0 250/3 650/3 6350
Cj - Zj 0 0 0 -250/3 - 650/3
Since all the Cj - Zj < 0 optimal solution is reached at.

Therefore, X1=12, X2=11, S1=5 and Max Z=6350
2-53
Exercise: Maximization (Simplex method)
A Juice Company has two kinds of food Juices available : Orange
Juice and Grape Juice. The company produces two types of
punches: Punch A and Punch B. One bottle of punch A requires 20
liters of Orange Juice and 5 liters of Grape Juice.1 Bottle of punch B
requires 10 liters of Orange Juice and 15 liters of Grape Juice.
From each of bottle of Punch A a profit of $4 is made and from each

bottle of Punch B a profit of $3 is made .Suppose that the company
has 230 liters of Orange Juice and 120 liters of Grape Juice available
Required:
a. Formulate this problem as a LPP
b. How many bottles of Punch A and Punch B the company should
produce in order to maximize profit? (Using the simplex method)
c. What is this maximum profit?

Solution
Juice needed for one bottle of

Juice Punch A Punch B Juice Available
__________________________________________________________
Orange Juice (lt) 20 10 230
Grape Juice (lt) 5 15 120
Profit per tent $4 $3

Solution
Let X1= the No of bottles of punch A produced.

X2= the No of bottles of punch B produced.
•LPP Model
Max Z=4X1 +3X2
St:
20X1 +10X2 < 230 Orange Constraint
5X1 +15X2 < 120 Grape Constraint
X1, X2 > 0 Non-negativity constraint

Solution
 Standard form
Max.Z=4x1 +3x2 + 0 s1 +0 s2+ 0 s3
St:
20 x1+3x2 + s1 +0 s2 = 230 Standard form
5x1+15x2 +0s1 + s2+ = 120
x1 , x2 , s1 , s2, > 0
Where, s1 =Unused orange juice
s2 =Unused grape juice
2-57
Solution –Initial Simplex Tableau
Cj 4 3 0 0
SV X1 X2 S1 S2 Q
0 S1 20 10 1 0 230
0 S2 5 15 0 1 120
0 0 0 0
Zj 0
Cj - Zj 4 3 0 0

Solution – 2nd Initial Simplex Tableau
Cj 4 3 0 0
X1 X2 S1 S2
SV Q
4 X1 1 1/2 1/20 0 11.5
0 S2 0 25/2 -1/4 1 62.5
4 2 1/5
Zj 46
0
0 1 -1/5
Cj - Zj
0
Solution – Optimal Simplex Tableau
Cj 4 3 0 0
SV X1 X2 S1 S2 Q
4 X1 1 0 3/50 -1/25 9
0 X2 0 1 -1/50 2/25 5
4 3 0.12 0.08
Zj 51
0 0 - 0.12 -
Cj - Z j
X1= 9 bottles of punch A 0.08
X2= 5 bottles of punch B
s1 =0
s2 =0
MaxZ=$51 2-60
Simplex Method – MINIMIZATION
PROBLEMS
• There are two approaches/methods to solve
minimization LP problems:
1. Direct method/Big M-method/

• Using artificial variables
2. Conversion method
• Minimization by maximizing the dual

Simplex Method – MINIMIZATION
PROBLEMS
• The concept of Surplus Variable
Surplus Variable (-s):

• A variable inserted in a greater than or equal to
constraint to create equality. It represents the amount of
resource usage above the minimum required usage.
• Surplus variable is subtracted from a > constraint in the
process of converting the constraint to standard form.
• Neither the slack nor the surplus is negative value.
They must be positive or zero.

• Example: 2x1+x2 < 40 ==>is a constraint
inequality
x1= 12 and x2= 11==> 2x1+x2+s = 40 ==>2(12)+11+s

= 40
• ==> s=5 unused resource

5x1+3x2 < 45
• x1= 12 and x2= 11==> 5x1+3x2+s = 45
==>5(12)+3(11)+s = 45
• ==> s=0 unused resource (No idle resource)

5x1+2x2<20
x1= 4.5 and x2= 2==> 5x1+2x2- s = 20
==>5(4.5)+2(2)-s = 20
==> s=6 unused resource

2x1+x2 >40
• x1= 0 and x2= 0(No production)==> 5x1+2x2- s = 20
==>5(4.5)+2(2)-s = 20
• ==> s=-6(This is mathematically unaccepted)
•Thus, in order to avoid the mathematical
contradiction, we have to add artificial variable (A)

Artificial variable (A):
•Artificial variable is a variable that has no
meaning in a physical sense but acts as a tool to
create an initial feasible LP solution.

Guidelines to put LP equations to
Standard Form
Note:
Type of constraint To put into standard form
< ---------------------------------------------Add a slack variable
= ---------------------------------------------Add an artificial variable
> ---------------------- Subtract a surplus variable and add an Artificial variable

Summary of Extra variables – Easy to
remember
• The summary of the extra

variables needed to add in the
given LP problem to convert it into
standard form is given below:

Coefficient of extra Presence of
variables variables in
Types of Extra variables to in the objective the initial
constraint be added function solution mix
MaxZ
(MinZ)
< Add only slack 0 Yes
variable (0)
Subtract surplus 0 No
> variable and (0)
Add artificial -M Yes
variable (+M)
= Add artificial -M Yes
variable (+M)
Big M-method
/Charnes Penalty Method/
• The Big-M Method is a method which is used in

removing artificial variables from the basis .In
this method; we assign coefficients to artificial
variables, undesirable from the objective
function point of view. If objective function Z is to
be minimized, then a very large positive price
(called penalty) is assigned to each artificial
variable. Similarly, if Z is to be maximized, then a
very large negative price (also called penalty) is
assigned to each of these variables.

The following are the characteristics of Big-M
Method:
a. High penalty cost (or profit) is assumed as M
b. M is assigned as a coefficient to artificial
variable A in the objective function Z.
c. Big-M method can be applied to minimization
as well as maximization problems with the
following distinctions:

i. Minimization problems:
-Assign +M as coefficient of artificial variable A in

the objective function Z
ii. Maximization problems:
• - Assign –M as coefficient of artificial variable A

in the objective function Z

d. Coefficient of S (slack/surplus) takes zero
values in the objective function Z
e. For minimization problem, the incoming variable

corresponds to the highest negative value of Cj-
Zj.
f. Solution is optimal when there is no negative

value of Cj-Zj.(For minimization case)

Minimization Example – Simplex: Big M
Method
Example:
Minimize Z=25x1 +30x2

Subject to:
20x1+15x2 > 100
2x1+ 3x2 > 15
x1, x2 >0

Solution
Step 1
Standardize the problem
Minimize Z=25x1 +30x2 +0s1+0s2 +MA1+MA2

Subject to:
20x1+15x2- s1+A1 = 100

2x1+ 3x2 –s2+A2 = 15
x1, x2 , s1, s2 ,A1 ,A2 > 0
Step 2 : Initial simplex tableau
• The initial basic feasible solution is obtained by

setting x1= x2= s1= s2=0
• No production, x1= x2= s1=0==>20(0) +15(0) -
0+A1 = 100 ==> A1 = 100
• x1= x2= s2=0==>0(0)+3(0) -
0+A2 =15==> A2 = 15

Very Important NOTE!!!
Note:
• Once an artificial variable has left the basis, it has

served its purpose and can therefore be removed
from the simplex tableau. An artificial variable is never
considered for re-entry into the basis.
• Note:
• For the initial basis, use artificial variables for
constraints that have them. Otherwise, use a
constraint slack variable. Hence, surplus variables
will not appear in an initial solution.
2-81
• Now look at the Cj - Zj row!
Cj - Zj > 0 this means ==>Optimal solution is reached

X1=5/2
X2=10/3 and
MinZ=162.5
• Note: As long as an “A” variable is available in the solution variable

column, the solution is infeasible.
• Look at the 3rd tableau – there is no “A” variable in the solution

variable column

Exercise 1 - Minimization: The Big M
method
Use the penalty (Big-M) method to solve the
following LPP
Min Z=5x1 +3x2

Subject to:
2x1+4x2 < 12
2x1+ 2x2 = 10
5x1+ 2x2 > 10
x 1, x2 >0
Solution
Min Z=5x1 +3x2 +0s1+0s2 +MA1+MA2
Subject to: if no production
• 2x1+4x2+s1 = 12 ==>x1 =x2=0==>s1=12 (Solution Value
in the initial simplex tableau)
• 2x1+2x2 +A1 =10 ==>x1 =x2=0==>A1 =10
(Solution Value in the initial simplex tableau)
• 5x1+2x2 –s2 +A1=10 ==>x1=x2=s2=0==>A2=10(Solution
Value in the initial simplex tableau)
• x1, x2 , s1, s2 ,A1 ,A2 > 0

2-85
• As you look at the Cj –Zj row of the 4 th table,
there is no NEGATIVE value signifying
Optimal solution is reached.
So, optimal solution is:

X1=4, X 2=1, S1=0, S2=12 and MinZ=23

Exercise 2 - Minimization: The Big M
Method
Use the penalty (Big-M) method to solve the
following LPP
Max Z=2x1 +x2+3x3
Subject to:
2x1+ x2 + x3 < 5
2x1+ 3x2 +4x3 = 12
x1, x2 , x3 >0

Solution

2-92
1. The Dual in Linear Programming Models (I still
discuss this with students)
2. Post – Optimality (Sensitivity) Analysis (Reading

Assignment)

The Dual in Linear Programming Models
This is the Conversion method – the second

method of solving a Minimization Problem
• Minimization by maximizing the dual

• Linear programming problems have two forms.

The original formulation of a problem is known
as its Primal form.
• The other form formulated from the primal is the
dual form. The dual is the “mirror image” of the
primal.
• The solution to the primal contains the solution
to the dual and vice versa.
• Therefore, solving either of the two is enough to
determine the solutions.
• Analysis of the dual can help the decision maker

assess the potential impact of a new product by
determining the marginal value of resources.
This is generally known to be the economic
interpretation of the dual. This is discussed later
in this section. But first let’s have a look at the
technical aspects of the dual-its formulation.

Formulating the Dual
• The dual for a primal problem of maximization

with all constraints, is a minimization problem
with all constraints The constraint coefficients
of the primal are constraint coefficients of the
dual except that the coefficients of first “row” of
the primal become the coefficients of the firs
“column” of the dual, and the coefficients of the
second “row” of the primal become the
coefficients of the second “column” of the dual;
and so on.

Formulating the Dual
The following procedures can be followed to formulate

the dual:
1. For the objective function: Develop the objective
function by making it a maximization if the primal is
a minimization and vice versa; and assign the right
hand side (RHS) values of constraints of the primal
to be coefficients of the dual.
2. To construct the constraints: Make the objective
function coefficients of the primal, the right hand
side (RHS) values to the constraints of the dual
taken in order.
Formulating the Dual - Example
• Example: Formulate the dual of the following

problem
Minimize 5x1 + 7x2 +9x3

Subject to
20x1 + 10x2 +30x3  300
40x1 + 5x2 +10x3  200
X 1, x 2 , x 3  0
• To formulate the dual, we start with the objective

function. Since the primal is a minimization problem
with all constraints, the dual will be maximization
with all constraints. The RHS values of the primal
will become objective function coefficients of the
dual. Therefore, the objective function for the dual
is
Maximize 300y1 + 200y2
• We usually use y’s as variables to the dual. The
reason is to differentiate it from variables of the
primal.
• The constraints of the dual are developed in the

following way:
20y1 +40y2  5
10y1 + 5y2  7
30y1 + 10y2  9
Y1, y2  0

• Students, please examine the following facts from the above
dual constraints:
• The number of primal decision variables is the same as the
number of dual constraints.
• (i.e. there are three decision variables in the primal and three
constraints in the dual)
• The RHS values of the dual constraints are equal to the
objective function coefficients of the primal taken in order.
• (The RHS values in the dual; that is 5, 7, and 9 are the
coefficients of decision variables in the primal objective
function)
• The coefficients of the primal constraints are also the
coefficients of the dual constraints but in a different pattern.
Dual – Exercise 1
Formulate the dual of the following linear programming model

Maximize 60x1 + 50x2
Subject to
4x1 + 10x2 100
2x1 + x2  22
3x1 + 3x2  39
x1, x2  0
The dual to the above LP model is:
Minimize 100y1 +22y2 +39y3

Subject to
4y1 +2y2 + 3y3  60
10y1 + y2 +3y3  50
y1, y2, y3  0
• Students, the following can be summarized about the
solutions of the dual and the primal as can be seen from
the above tableaus:
• If the primal problem has an optimum solution, the dual
will also have an optimum solution and vice versa. The
optimum solution of the dual and the primal are the same
• Given the final tableau of the dual, the optimal solutions
for decision variables of the primal are given by the C –
Z row values of slack variables in the dual
• Given the final solution of the primal, the solution for the
decision variables of the dual are determined to be the Z
row values of slack variables (shadow prices) of the
primal; and the solution for slack variables of the dual
are given by the C – Z row values of decision variables
of the primal
•This indicates the technical importance of formulating the
dual. That is to say, if you encounter problems in solving
the primal problem, you can solve the dual and vice
versa. Generally, we can reduce our computing time by
developing the two models and solving the easier.
•
•Beyond the above importance (technical), the dual has
an economic interpretation. The following paragraph is
about the economic interpretation of the dual.

Exercise 2
• Formúlate the dual of the following
Minimize 100y1 +22y2 +39y3

Subject to
4y1 +2y2 + 3y3  60
10y1 + y2 +3y3  50
y1, y2, y3  0
Solution
The dual becomes

Z Max : 60x1 + 50 x2
Subject to
4x1+ 10x2< 100
2x1+ 1x2 < 22
3x1+3x2 < 39
x1, x2 > 0

Formulating the dual when the Primal
has Mixed constraints
Example – Formulate the dual of the following

Subject to
3x1+ 5x2 < 45
4x1+ 2x2 > 16
6x1 + 6x2 = 30
x1, x2 > 0

Solution
• Obviously, since it is a maximization problem, first,

put all the constraints in to the < form before
thinking about the dual
• The first constraint is already in that form. The
second constraint can be converted to that form by
multiplying both sides
- 1(4x1+2x2 > 16) becomes -4x1 – 2x2 < - 16
• The third constraint is an equality, and must be
restated as two separate constraints. Thus, it
becomes
6x1 + 6x2 < 30 and 6x1 + 6x2 > 30
Then the second of these two must now be
multiplied by -1, which yields: -6x1 – 6x2 < -30
Solution….contd..
• Therefore, the form of the primal is

Subject to
3x1+ 5x2 < 45
-4x1 – 2x2 < - 16
6x1 + 6x2 < 30
-6x1 – 6x2 < -30
x1, x2 > 0

Solution….contd…
• Finally, the dual is
Minimize 45y1 – 16 y2 + 30 y3 – 30y4

subject to
3y1 – 4y2 + 6y3 – 6y4 > 50
5y1 – 2y2 + 6y3 – 6y4 > 80
y1, y2, y3, y4 > 0

Post – Optimality (Sensitivity) Analysis

SPECIAL CASES IN SIMPLEX METHOD
Read the slides
1. Mixed constraints

Note:
• For the initial basis, use artificial variables for

constraints that have them. Otherwise, use a
constraint slack variable. Hence, surplus
variables will not appear in an initial solution.

2. Two incoming variables/ Or Tie for entering variables/
In order to break this tie, the selection for the key column
(entering variable) can be made arbitrary.
However; the number of solution can be minimized by

adopting the following rules:
1. If there is a tie between two decision variables, then
the selection can be made arbitrary.
2. If there is a tie between a decision variable and a slack
(or surplus) variable, then select the decision variable to
enter into basis first.
3. If there is a tie between slack or surplus variable, then
selection can be made arbitrary.
3. Infeasibility
• A situation with no feasible solution may exist if the

problem was formulated improperly.
• Infeasibility comes about when there is no solution

that satisfies all of the problem’s constraints.
• In the simplex method, an infeasible solution is

indicated by looking at the final tableau .In it, all Cj - Zj
row entries will be the proper sign to imply optimality,
but an artificial variable (A) will still be in the solution
mix.
4. Unbounded Solutions
• No finite solution may exist in problems that are not

bounded .This means that a variable can be infinitely large
without violating a constraint.
•
• In the simplex method, the condition of unboundedness will
be discovered prior to reaching the final tableau. We will note
the problem when trying to decide which variable to remove
from the solution mix.
• The procedure in unbounded solution is to divide each
quantity column number by the corresponding pivot column
number. The row with the smallest positive ratio is replaced.
But if the entire ratios turn out to be negative or undefined, it
indicates that the problem is unbounded.
• The solution in the above case is not optimal because
not all Cj - Zj entries are 0 or negative, as required in a
maximization problem. The next variable to enter the
solution should be X1.To determine which variable will
leave the solution, we examine the ratios of the quantity
column numbers to their corresponding numbers in the
X1 or pivot column. Since both pivot column numbers
are negative, an unbounded solution is indicated.
• No unbounded solutions, no outgoing variable will exist.

5. Degeneracy/ /Tie for leaving basic variable (key row)/
• If there is a tie for the smallest ratio, this is a

signal that degeneracy exists. Degeneracy can
occur right in the first (initial tableau).This
normally happens when the number of
constraints is less than the number of variables
in the objective function. Problem can be
overcome by trial and error method

• Degeneracy could lead to a situation known as cycling, in which
the simplex algorithm alternatives back and forth between the
same non-optimal solutions, i.e, it puts a new variable in, then
takes it out in the next tableau, puts it back in ,and so on.
• One simple way of dealing with the issue is to select either row
(S2 or S3 in this case) arbitrary. If we are unlucky and cycling
does occur, we simply go back and select the other row.
Remark
• When there is a tie between a slack and artificial variable to leave
the basis, the preference shall be given to artificial variable to
leave the basis and there is no need to apply the procedure for
resolving such cases.

6. Multiple Optimal Solutions
• Multiple optimal solutions exist when non-basic

variable contains zero on its Cj - Zj row.


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Quantitative Methods for Decision Making

Yohannes W. (BA, MSc, Ph.D)

• Meaning of Linear programming (Model)

Yohannes W. (PhD) 2-2

• Linear Programming is a mathematical process

• In general, linear programming models help managers

• For example, you could actually develop a linear

Scares To be allocated to:

Yohannes W. (PhD) 2-6

Yohannes W. (PhD) 2-8

• In formulating linear programming model, the model

The basic components of an LP Model are the following:

Yohannes W. (PhD) 2-10

• Decision variables: are the variables whose

Yohannes W. (PhD) 2-13

To use the graphic method, the following steps are needed:

NB. Graphical LP is a two-dimensional model.

Yohannes W. (PhD) 2-15

Yohannes W. (PhD) 2-16

Yohannes W. (PhD) 2-17

Yohannes W. (PhD) 2-18

Yohannes W. (PhD) 2-19

Yohannes W. (PhD) 2-20

Yohannes W. (PhD) 2-21

Yohannes W. (PhD) 2-22

Yohannes W. (PhD) 2-24

Yohannes W. (PhD) 2-25

Yohannes W. (PhD) 2-26

X1, X 2  0 ……….Non-negativity constraints

Yohannes W. (PhD) 2-27

• Consider the following additional information

Yohannes W. (PhD) 2-29

Yohannes W. (PhD) 2-30

Yohannes W. (PhD) 2-31

B (2.5, 3.33) 162.5

Yohannes W. (PhD) 2-33

Yohannes W. (PhD) 2-34

Required: How many days per week should each mill be

Yohannes W. (PhD) 2-35

Yohannes W. (PhD) 2-36

Yohannes W. (PhD) 2-37

Yohannes W. (PhD) 2-40

• In 19940’s George B.Dantzig developed an algebraic

• The simplex method is an ITERATIVE or “step by step”

Yohannes W. (PhD) 2-42

Yohannes W. (PhD) 2-43

• A slack variable emerges when the LPP is a maximization

• Slack variables represent unused resource or idle capacity.

• Slack variables are added to the objective function with zero

Max.Z=300x1 +250x2 + 0 s1 +0 s2+ 0 s3

Yohannes W. (PhD) 2-45

• ==> In constructing the initial simplex tableau,

Yohannes W. (PhD) 2-46

Step 4: Choose the “incoming” or “entering” variables

Yohannes W. (PhD) 2-48

Yohannes W. (PhD) 2-49

Yohannes W. (PhD) 2-50

Step 6: Repeat step 3-5 till optimum basic feasible

Yohannes W. (PhD) 2-51

250 X2 0 1 0 1/3 -1/3 11 R’’2=R2/3

Zj 300 250 0 250/3 650/3 6350

Since all the Cj - Zj < 0 optimal solution is reached at.