IEEM 3010

Operations Research I
:

Course Description:
Operations Research (OR) is concerned with optimal decision making in, and modeling of, deterministic and probabilistic system that originate from real life. It is useful to structure the real life situation into a mathematical model, abstracting the essential elements so that a solution relevant to the decision maker's objective can be sought. Developing a solution, including the mathematical theory that yields on optimal value of the system measure of desirability. This course will cover some topics in OR and mathematical foundation of the solution techniques for OR models will be emphasized. (1) Prerequisites: Linear Algebra (2) Subsequent course: IEEM 3020 Operations Research II

Course Contents:
1. Introduction to Operations Research: History of OR etc.( chapter 1 ) 2. Overview of the Operations Research Modeling Approach ( chapter 2 ) 3. Introduction to Linear Programming: Solving Linear Programming: Graphical Approach & *Portfolio Optimization ( chapter 3 ) 4. Solving Linear Programming Problems: a Graphical Interpretation of Simplex Method b. Simplex Method in Tabular Form c. An Interior-Point Algorithm( chapter 4 ) 5. The Theory of the Simplex Method ( chapter 5 ) 6. Duality Theory and Sensitivity Analysis & *Data Envelop Analysis ( chapter 6 ) 7. Other Algorithms for Linear Programming: Dual Simplex Method , *The Upper Bound Technique, *Parametric Linear Programming, *An InteriorPoint Method.( chapter 7 ) 8. Special Cases of Linear Programming: The Transportation and Assignment Problems ( chapter 8 )

9.

Network Optimization Models ( chapter 9 )

10. Dynamic Programming ( chapter 10 ) 11. *Integer Programming and *Nonlinear Programming ( chapter 11, 12 ) 12. *Metaheuristics ( chapter 13 ) 13. Game Theory ( chapter 14 )

Text Books & References:

1. Frederick S. Hillier and Gerald J. Lieberman, Introduction to Operations Research, 9th ed. McGraw Hill, New York 2010. ( The 1st edition is published in 1967. ) Lecture Notes, Case Problems. Selected literatures in Omega, Interface, Decision Science, OR/MS Today etc. Computer Software: LINGO, Microsoft Project, STORM, LINDO, GINO, . . . , etc.. Web resource ( World-Wide-Web )

2. 3. 4. 5.

Grading: Assignments 20%, Tests 20%, Mid-Term 30%, Final 30% Course Homepage: http://chern.ie.nthu.edu.tw/or/or.htm

1925 - 1999

References:
1. Winston,Wayne L., Operations Research Applications & Algorithms, 4th ed, Thompson Brooks/ Cole, U.S., 2004. 2. Taha, Hamdy A. Operations Research: An Introduction, 6th ed. Prentice Hall N.J., 1992. 3. Wagner, Harvey M., Principles of Operations Research with Applications to Managerial Decisions, Prentice-Hall, N.J., 1975. 4. Gass, Saul I., Assad, Arjang A, An Annotated Timeline of Operations Research: An Informal History, International Series in Operations Research & Management Science, Vol. 75, Kluwer Academic Publishers, 2005. 5. Vaserstein, Leonid Nison. Introduction to Linear Programming, Upper Saddle River, N.J.: Prentice Hall/Pearson Education, c2003. 6. Murty, Katta, G., Linear and Combinatorial Programming, John Wiley & Sons, USA, 1976.

7. Luenberger, David G., Linear and Nonlinear Programming, Third Edition. Boston, MA : Springer Science+Business Media, LLC, 2008. 8. Vanderbei, Robert J., Linear Programming Foundations and Extensions, Third Edition, Kluwer Academic Publishers, Boston, MA, 2008. 9. Dantzig, George Bernard, Linear Programming 1, Introduction, New York : Springer, c1997. 10. Dantzig, George Bernard, Linear Programming..2,.Theory and Extensions, New York : Springer, c2003. 11. Eiselt, H. A., Linear Programming and its Applications, Springer-Verlag Berlin Heidelberg, 2007 12. Bazaraa, M. S., Linear Programming and Network Flows, 3rd ed., Hoboken, NJ : Wiley-Interscience, c2005. 13. Gass, Saul I., Linear Programming: Methods and Applications, 5th ed., Boyd & Fraser Publishing Company, New York, 1985. 14. Chvatal, Vasek, Linear Programming, W.H. Freeman & Company, New York, 1980. 15. Robert Dorfman, Paul A. Samuelson, and Robert M. Solow, Linear Programming and Economic Analysis, McGraw-Hill, New York, 1958. (Dover reprint 1987).

IEEM 3010 Operations Research I

Deterministic Models in Operations Research

decisions making under certainty

IEEM 3020 Operations Research II

Probabilistic Models in Operations Research

decisions making under uncertainty

 ( Micro - View )
lose the forest for the trees

(Macro - View)
:

Nasca, Peru

Butterfly Effect ()
The phrase refers to the idea that a butterfly's wings might create tiny changes in the atmosphere that ultimately cause a tornado to appear (or prevent a tornado from appearing). The flapping wing represents a small change in the initial condition of the system, which causes a chain of events leading to large-scale phenomena. Had the butterfly not flapped its wings, the trajectory of the system might have been vastly different. D o e s t h e f l a p o f a b u t t e r f l y s w i n g s i n Brazil set off a tornado in Texas ? is a title for a talk Edward Lorenz present at the 139th meeting of the American Association for the Advancement of Science in 1972.

Chapter 1 Introduction
1.1 The Origins of Operations Research History of Operations Research:

1935 - 1937
Research on Radar: This work involved the closest possible cooperation between the scientists and the officers and men of the (English) Royal Air Force, so that the best tactical operations of both equipment and men, air and ground crews, could be achieved.

1938
A. P. Rowe was in charge of the scientific group at Bawdsey, refereed to it as "Operational Research". (Bawdsey is the birthplace of Operations Research.)

1942

military operations

U.S. captain W. D. Baker, an anti-submarine warfare officer with Atlantic Fleet, requested the establishment of an AntiSubmarine Warfare Operations Research Group (ASWORG). To lead ASWORG, later named Operations Research Group and attached to the Headquarters of the Commander-in-Chief, U.S. Navy. Philip, M. Morse, a physicist, was recruited from
He is considered to be the father of operations research in the U.S.

Massachusetts Institute of Technology (MIT) to be project supervisor, and William Bradford Shockley, later to win a Nobel Prize in physics (1956) for his work on the transistor, was brought from the Bell Laboratories to be director of research. William B. Skockley 1910 - 1989 Patrick M.S. Blackett (Nobel Laureate in Physics in 1948 ) early 1941 memorandum emphasized that the w o r k o f o p e r a t i o n a l r e s e a r c h w a s t h e scientific analysis of operations". Its objective is to assist the finding of means to improve the efficiency of air operations in progress or planned for the future. To do this, past operations are studied to determine the facts; theories are elaborated to explain the facts; and finally the facts and theories are used to make predictions about future operations . . .

Patrick M.S. Blackett 1897 - 1974

After the 2nd World War, the success of OR in the war effort spurred interest in applying OR outside the military as well. As the industrial boom, the problems caused by the increasing complexity and specialization in organizations were coming to the forefront. By the early 1950s, these who served on or with the OR team had introduced the use of OR to a variety of organizations in business, industry, and government. The rapid spread of OR soon followed. At least two other factors played a key role in the rapid growth of OR. One is the substantial progress that was made early in improving the techniques of OR. A second factor is the computer revolution. This brought the use of OR within the easy reach of much larger number of people.

Industrial revolution - increasing complexity (size) and specification in (creating new problems) Computer Revolution OR is applied to problems that concern how to conduct and coordinate the activities within an organization. Scientific method; scientific research into the fundamental properties of practical management of the organization; OR uses the method of understand and explain phenomena of operating system.

(Operations Research Society of America)

Refer the following book for more details. Gass, Saul I., Assad, Arjang A, An Annotated Timeline of Operations Research: An Informal History, International Series in Operations Research & Management Science, Vol. 75, Kluwer Academic Publishers, 2005.

1.2 The Nature of Operations Research

Research on (military) operations, 1935 Management Sciences (synonym) System Sciences What is Operations Research/ Management Sciences?
1. The focus of the Operations Research is on applications of mathematics and logic in research and decision-making on operations, as well as problem solving in all types of public and private organization business, industry, government and state enterprises in order to bring about optimal outcomes in organizational operations.

2. S c i e n t i f i c a p p r o a c h t o d e c i s i o n m a k i n g t h a t i n v o l v e s t h e operations for organized systems. O.R. is concerned with optimal decision making in and modeling of deterministic a n d p r o b a b i l i s t i c s y s t e m s t h a t o r i g i n a t e f r o mr e a l l i f e , Hillier & Lieberman, Introduction to Operations Research, 8th Ed., Holden-Day, 1996

3. O p e r a t i o n s R e s e a r c h i s t h e a p p l i c a t i o n o f s c i e n t i f i c m e t h o d s to decision problems. It has found wide use and acceptance i n a l l a r e a s o f b u s i n e s s , g o v e r n m e n t a n d i n d u s t r y . Saul L. Gass, College of Business & Management, University of Maryland, 1979.

4. T h e u s e o f a n a l y t i c m e t h o d s a d a p t e d f r o mm a t h e m a t i c s f o r s o l v i n g o p e r a t i o n a l a n d b u s i n e s s p r o b l e m s Computer Dictionary, Charles J. Sippl and Charles P. Sippl, Howard W. Sams & Co., Inc., Indianapolis, 1978. 5. As c i e n t i f i c m e t h o d o f p r o v i d i n g e x e c u t i v e d e p a r t m e n t w i t h a quantitative basis for decisions making operations under t h e i r c o n t r o l . Morse & Kimball, Methods of Operations Research, Columbia University Press for office of Naval Research, 1943 (9th printing, 1963). 6. Ab r a n c h o f a p p l i e d m a t h e m a t i c s w h e r e i n t h e a p p l i c a t i o n i s t o t h e d e c i s i o n m a k i n g p r o c e s s , Donald Gross, Department of Operations Research, The George Washington University, 1979.

7. Operations research employs mathematical models to suggest how best to operate and coordinate the activities within an organization. The tools of operations research are applied in industry, commerce, government, the military, education, health - in fact in virtually any area of human activity. 8. Operations Research (OR) is the study of how to form mathematical models of complex engineering and management problems and how to analyze them to gain insight about possible solutions. - Ronald L. Rardin, Optimization in Operations Research, prentice-Hall, Inc., 1998

Bureau of Labor Statistics, U.S. Department of Labor, Occupational Outlook Handbook, 2002-03 Edition, Operations Research Analysts Operations research and management science are terms that are used interchangeably to describe the discipline of applying advanced analytical techniques to help make better decisions and to solve problems. The procedures of operations research gave effective assistance during World War II in missions such as deploying radar, searching for enemy submarines, and getting supplies where they were most needed. Following the war, new analytical methods were developed and numerous peacetime applications emerged, leading to the use of operations research in many industries and occupations.

The prevalence of operations research in the Nation's economy reflects the growing complexity of managing large organizations that require the effective use of money, materials, equipment, and people. Operations research analysts help determine better ways to coordinate these elements by applying analytical methods from mathematics, science, and engineering. They solve problems in different ways and propose alternative solutions to management, which then chooses the course of action that best meets the organization's goals. In general, operations research analysts may be concerned with diverse issues such as top-level strategy, planning, forecasting, resource allocation, performance measurement, scheduling, design of production facilities and systems, supply chain management, pricing, transportation and distribution, and analysis of data in large databases.

The duties of the operations research analyst vary according to the structure and management philosophy of the employer or client. Some firms centralize operations research in one department; others use operations research in each division. Operations research analysts also may work closely with senior managers to identify and solve a variety of problems. Some organizations contract operations research services with a consulting firm. Economists, systems analysts, mathematicians, industrial engineers, and others also may apply operations research techniques to address problems in their respective fields. (These occupations are discussed elsewhere in the Handbook.)

Operations research analysts also must be able to think logically and work well with people, and employers prefer workers with good oral and written communication skills. Because computers are the most important tools for in-depth analysis, training and experience in programming are required. Operations research analysts typically need to be proficient in database collection and management, programming, and in the development and use of sophisticated software programs.

Many jobs in operations research have other titles such as operations analyst, management analyst, systems analyst, or policy analyst. Individuals who hold a master's or Ph.D. degree in operations research, management science, or a closely related field should find good job opportunities as the number of openings generated by employment growth and the need to replace those leaving the occupation is expected to exceed the number of persons graduating with these credentials.

Opportunities for operations research analysts exist in almost every industry because of the diversity of applications for their work. However, opportunities should be especially good in highly competitive industries, such as manufacturing, transportation, and telecommunications, and finance. As businesses and government agencies continue to contract out jobs to cut costs, many operations research analysts also will find opportunities as consultants, either working for a consulting firm or setting up their own practice. Opportunities in the military also exist, but will depend on the size of future military budgets. As the military develops new weapons systems and strategies, military leaders will rely on operations research analysts to test and evaluate their accuracy and effectiveness.

THE DISCIPLINE
Physical Science Mathematics Political Sciences Social Sciences Business Administration Industrial Engineering Behavior Science Economics Computer Science ...

THE METHODS AND THEORIES

Mathematical Programming, Scheduling Theory, Inventory Theory, Network Theory, Layout and Location Theory, Game Theory, Decision Theory, Probability& Statistics, Stochastic Process, Reliability Theory, Queuing Theories, Simulation, Decision Theory, . . .

Operations Research The Applications Education, Manufacturing, Engineering Design, Heath, Finance, Energy and Utilities, Transportation, Environmental, Military, Forest Management, Financial Engineering . . .

1.3 The Impact of Operations Research

Operations Research has made significant contributions to increasing the productivity of the economics of various countries and has impressive impact on improving the efficiency of numerous organizations around the world.
1. Operational Research Quarterly (Journal of Operational Research Society), the appearing in March 1950. 2. Operations Research Society of America ORSA, founded May 26-27, 1952. 3. The Institute of Management Sciences TIMS, founded 1953. 4. International Federation of Operations Research Societies (IFORS) more than 30 countries, January,1, 1959. 5. The Institute of Operations Research and Management Sciences INFORMS: ORSA and TIMS are merged in 1995. 6. Operations Research Society of Taiwan, founded 2003.

Applications of Operations Research (case studies):

Team approach

 http://model.chiuchang.com.tw/model/

1.4 Algorithms and Courseware

Research on Problem Solving:

Problems

Modeling

Applications

Theory

Algorithms
(methodologies)

Linear Programming:
George B. Dantzig LP Model for Simplex Method Narendra Karmarkar LP Model for Projective Scaling Method Leonid Khachiyan LP Model for Ellipsoid Method

LP Model for Affine Scaling Method

...

Software Packages for Operations Research:

1. EXCEL Solver 2. LINDO/ LINGO Student version of LINGO can be downloaded free from the web http://www.lindo.com/ 3. CPLEX is a software package that is widely used for solving large and challenging OR problems. MPL is a user-friendly modeling system that uses CPLEX as its main solver. Student versions of MPL and CPLEX can be downloaded free from the web http://www.ilog.com/ Student versions of EXCEL Solver, LINGO, and MPL/ CPLEX are available in the courseware CD-ROM.

Download LINGO Documentation

http://www.lindo.com/index.php?option=com_content&view=article&id=147&Itemid=69

1. 2. 3. 4. 5.

Download What'sBest! User's Manual [PDF] Download LINGO User's Manual [PDF] Download LINDO API User's Manual [PDF] Download Classic LINDO User's Manual [PDF] Click here to download Optimization Modeling with LINGO by Linus Schrage.

Nobel Laureates and Operations Research:

Nobel ee-museum http://nobelprize.org/index.html KENNETH J. ARROW
1972 Nobel Laureate in Economics for their pioneering contributions to general economic equilibrium theory and welfare theory. Background Born: 1921 Residence: U.S.A. Affiliation: Harvard University, Cambridge, MA

Kenneth J. Arrow 1921 -

WASSILY LEONTIEF
1973 Nobel Laureate in Economics for the development of the input-output method and for its application to important economic problems. Background Born: 1906 Place of Birth: St. Petersburg, Russia Residence: U.S.A. Affiliation: Harvard University, Cambridge, MA

Wassily Leontief 1906 - 1999

LEONID VITALIYEVICH KANTOROVICH

1975 Nobel Laureate in Economics for their contributions to the theory of optimum allocation of resources. Background 1912-1986 Residence: USSR Affiliation: Academy of Sciences, Moscow

leonid Vitaliyevich Kantorovich 1912 - 1986

TJALLING C. KOOPMANS
1975 Nobel Laureate in Economics for their contributions to the theory of optimum allocation of resources. Background 1910-1985 Place of Birth: s'Graveland, the Netherlands Residence: U.S.A. Affiliation: Yale University, New Haven,
Tjalling C. Koopmans 1910 - 1985

HARRY M. MARKOWITZ
1990 Nobel Laureate in Economics
for their pioneering work in the theory of financial economics. Background Born: 1927 Residence: U.S.A. Affiliation: City University of New York, NY

JOHN F. NASH
1994 Nobel Laureate in Economics for their pioneering analysis of equilibria in the theory of noncooperative games. Background Born: June 13, 1928 Place of birth: Bluefield, West Virginia Affiliation: Princeton University, NJ Education: Carnegie Mellon University, B.S., M.S. 1948 Princeton University, Ph. D. 1950 Massachusetts Institute of Technology, C. L. E. Moore Instructor 1951-1959

Harry M. Markowitz 1927 -

John F. Nash 1928 -

ROBERT J. AUMANN
2005 Nobel Laureate in Economics for having enhanced our understanding of conflict and cooperation through game-theory analysis. Background Born: June 8, 1930 Residence: ISRAEL Affiliation: Hebrew University of Jerusalem, Israel Education: City College of New York, B.S., Mathematics, 1950 Massachusetts Institute of Technology, S.M., Mathematics, 1952 Massachusetts Institute of Technology, Ph.D., Mathematics, 1955

Robert J. Aumann 1930 -

THOMAS C. SCHELLING
2005 Nobel Laureate in Economics for having enhanced our understanding of conflict and cooperation through game-theory analysis.
Background Born: 1921 Place of birth: Oakland, CA, USA Affiliation: Department of Economics and School of Public Policy, University of Maryland, College Park, MD, USA , NJ Education: University of California, A.B.,Economics, 1944 Harvard University, Ph.D., Economics, 1951

Thomas C. Schelling 1921 -

Alvin E. Roth
2012 Nobel Laureate in Economics "for the theory of stable allocations and the practice of market design"
Background Born: 1951 Place of birth: Affiliation: Business School, Harnard University, Cambridge, Boston, MA, USA Education: He graduated from Columbia University in 1971 with a degree in Operations research. He then moved to Stanford University, receiving both his masters and PhD in Operations research there in 1973 and 1974 respectively.

Alvin E. Roth

Lloyd S. Shapley
2012 Nobel Laureate in Economics "for the theory of stable allocations and the practice of market design"
Background Born: 1923 Place of birth: Cambridge, Massachusetts Affiliation: Professor Emeritus at University of California, Los Angeles (UCLA), affiliated with departments of Mathematics and Economics. USA Education: He graduated with an A.B. in mathematics (Harvard University) in 1948. He went to Princeton University where he received a Ph.D. in 1953.

Lloyd S. Shapley

Summary
1. (Operations Research OR) (Management Science)? Operations Research ? OR ? OR? OR ()? OR? OR ,? 2. 3 . ? 4. 5. , ? ?