Chap.

7: LP Models

63.210: Operations Analysis

Chapter 7

Linear Programming Models

Dr. Thomas Sloan Spring 2009

Linear Programming
Linear programming: A technique that is useful for allocating scarce resources among competing demands. Objective function: An expression in linear programming models that states mathematically what is being maximized (e.g., profit or present value) or minimized (e.g., cost or scrap). Decision variables: The variables that represent choices the decision maker can control. Constraints: The limitations that restrict the permissible choices for the decision variables.

LP: Definitions and Assumptions

Feasible region: A region that represents all permissible
combinations of the decision variables in a linear programming model.

Parameter: A value that the decision maker cannot control and that
does not change when the solution is implemented.

Assumptions:

Certainty: Numbers are known without doubt and remain unchanged. Proportionality: Constancy between production increases and resource utilization. Additivity: Total of all activities equals the sum of the individual activities. Divisibility: Solutions need not be in whole numbers . Nonnegativity: Decision variables must be positive or zero.

Chap. 7: LP Models

Tips for Formulating an LP Problem

Put down your pen/pencil. Read the problem carefully. Verbalize the objective function and constraints. Define the decision variables:

What am I trying to decide? What can I control?

Write out the objective function. Write out the constraints.

Formulating an LP Problem
The Stratton Company produces 2 basic types of plastic pipe. Three resources are crucial to the output of pipe: extrusion hours, packaging hours, and a special additive to the plastic raw material. Below is next weeks situation. Product Resource Extrusion Packaging Additive mix Type 1 4 hr 2 hr 2 lb Type 2 6 hr 2 hr 1 lb Resource Availability 48 hr 18 hr 16 lb

Formulating an LP Problem (contd)

Step 1 Define the decision variables
x1 = amount of type 1 pipe produced and sold next week, 100-foot increments x2 = amount of type 2 pipe produced and sold next week, 100-foot increments
Product Resource Extrusion Packaging Additive mix Type 1 4 hr 2 hr 2 lb Type 2 6 hr 2 hr 1 lb Resource Availability 48 hr 18 hr 16 lb

Chap. 7: LP Models

Formulating an LP Problem (contd)

Step 2 Define the objective function
Each unit of x1 yields $34, and each unit of x2 yields $40.
Objective is to maximize profits (Z)

Max Z = $34 x1 + $40 x2

Product Resource Availability 48 hr 18 hr 16 lb

Resource Extrusion Packaging Additive mix

Type 1 4 hr 2 hr 2 lb

Type 2 6 hr 2 hr 1 lb

Formulating an LP Problem (contd)

Step 3 Formulate the constraints
Product Resource Extrusion Packaging Additive mix Extrusion Packaging Additive mix Type 1 4 hr 2 hr 2 lb Type 2 6 hr 2 hr 1 lb Resource Availability 48 hr 18 hr 16 lb

4 x1 + 6 x2 48 2 x1 + 2 x2 18 2 x1 + x2 16

LP Constraints Inequalities
Typically the constraining resources have upper or lower limits.

e.g., for the Stratton Company, the total extrusion time must not exceed the 48 hours of capacity available, so we use the sign.

Negative values for constraints x1 and x2 do not make sense, so we add nonnegativity restrictions to the model: x1 0 and x2 0 (nonnegativity restrictions) Other problem might have constraining resources requiring >, >, =, or < restrictions.

Chap. 7: LP Models

Graphical Solution
Most linear programming problems are solved with a computer.

However, insight into the meaning of the computer output, and linear programming concepts in general, can be gained by analyzing a simple two-variable problem graphically.

Graphical method of linear programming: A type of graphic analysis that involves the following five steps: plotting the constraints identifying the feasible region plotting an objective function line finding a visual solution finding the algebraic solution

Graphical Solution
18 16 14 12 10 8 6 4 2 0 | 2 | 4 | 6 | 8 | | 10 12

(Stratton contd)

x2

We begin by plotting the constraint equations, disregarding the inequality portion of the constraints (< or >). Making each constraint an equality (=) transforms it into the equation for a straight line.

2x1 + x2 16 (additive mix) 2x1 + 2x2 18 (packaging)

4x1 + 6x2 48 (extrusion)

| | | 14 16 18

x1

Graphical Solution Feasible Region

The feasible region is the area on the graph that contains the solutions that satisfy all the constraints simultaneously. To find the feasible region, first locate the feasible points for each constraint and then the area that satisfies all constraints.
Generally, the following three rules identify the feasible points for a given constraint: 1. For the = constraint, only the points on the line are feasible solutions. 2. For the constraint, the points on the line and the points below or to the left of the line are feasible. 3. For the constraint, the points on the line and the points above or to the right of the line are feasible.

Chap. 7: LP Models

Graphical Solution Feasible Region

18 16 14 12 10 B 8 6 4 2 region | | 0 A 2 4

x2

2x1 + x2 16 (additive mix) 2x1 + 2x2 18 (packaging) C 4x1 + 6x2 48 (extrusion) D E | 6

| 8 | | 10 12 | | | 14 16 18

Feasible

x1

Graphical Solution Objective Function

Now we want to find the solution that optimizes the objective function.

Even though all the points in the feasible region represent possible solutions, we can limit our search to the corner points.

Corner point: A point that lies at the intersection of two (or possibly more) constraint lines on the boundary of the feasible region.

No interior points in the feasible region need be considered because at least one corner point is better than any interior point.

The best approach is to plot the objective function on the graph of the feasible region for some arbitrary Z values.

Graphical Solution Objective Function

18 16 14 12 10 B 8 6 4 2 region | | 0 A 2 4

x2

For Stratton, the equation for an arbitrary objective function line passing through E is 34x1 + 40x2 = 272

2x1 + x2 16 (additive mix) 2x1 + 2x2 18 (packaging) C D E | 6

| 8 | | 10 12 | | | 14 16 18

34x1 + 40x2 = $272

4x1 + 6x2 48 (extrusion)
x1

Feasible

Chap. 7: LP Models

Graphical Solution Objective Function

18 16 14 12 10 B 8 6 4 2 region | | 0 A 2 4

x2

A series of dashed lines can be drawn parallel to this first line. Each would have its own Z value. Lines above the first line would have higher Z values. Lines below it would have lower Z values.

2x1 + x2 16 (additive mix) 2x1 + 2x2 18 (packaging) 2x C 4x1 + 6x2 48 (extrusion) 6x D E | 6

| 8 | | 10 12 | | | 14 16 18

Feasible

x1

Graphical Solution Visual Solution

18 16 14 12 10 B 8 6 4 2 region | | 0 A 2 4

x2

Our goal is to maximize profits, so the best solution is a point on the iso-profit line farthest from the origin but still touching the feasible region.

2x1 + x2 16 (additive mix) 2x1 + 2x2 18 (packaging) C D E | 6

| 8 | | 10 12 | | | 14 16 18

Optimal solution (3,6)

4x1 + 6x2 48 (extrusion)
x1

Feasible

Algebraic Solution
Step 1: Develop an equation with just one unknown.

Start by multiplying both sides by a constant so that the coefficient for one of the two decision variables is identical in both equations. Then subtract one equation from the other and solve the resulting equation for its single unknown variable.

Step 2: Insert this decision variables value into either one of the original constraints and solve for the other decision variable.

Chap. 7: LP Models

Algebraic Solution (contd)

Best solution at intersection of Packaging and Extrusion constraints.

Packaging: 2x1 + 2x2 = 18 4x1 + 4x2 = 36

Solve algebraically, for one variable.

Extrusion: 4x1 + 6x2 = 48

4x1 + 4x2 = 36 - (4x1 + 6x2 = 48) -2x2 = -12 x2 = 6

Substitute that value and solve for the other variable

Extrusion: 4x1 + 6(6) = 48 4x1 = 12 x1 = 3 Optimal Solution: x = 3, x = 6

1 2

34(3) + 40(6) = $342

Special Cases
Infeasibility: No feasible region exists. Unboundedness: No finite solution. Redundancy: One or more constraints do not
intersect with feasible region.

Multiple optimality: More than one solution

gives the same best answer.

Slack & Surplus Variables

Binding constraint: A constraint that helps form the optimal corner point; it limits the ability to improve the objective function. Slack: The amount by which the left-hand side falls short of the right-hand side.
To find the slack for a constraint algebraically, we add a slack variable to the constraint and convert it to an equality.

Surplus: The amount by which the left-hand side exceeds the right-hand side.
To find the surplus for a constraint, we subtract a surplus variable from the left-hand side to make it an equality.

Chap. 7: LP Models

Sensitivity Analysis
Sensitivity analysis also often involves a series of what-if? questions. For example:

What if the profit on product 1 increases by 10%? What if less money is available in the advertising budget constraint? errors in estimating input parameters to the LP model managements experiments with possible future changes in the firm that may affect profits.

Sensitivity analysis can be used to deal with

Sensitivity Analysis
Coefficient sensitivity: How much the objective function
coefficient of a decision variable must improve (increase for maximization or decrease for minimization) before the optimal solution changes and the decision variable becomes some positive number. Range of feasibility: The interval over which the righthand-side parameter can vary while its shadow price remains valid. Range of optimality: The lower and upper limits over which the optimal values of the decision variables remain unchanged. Shadow price: The increase in Z resulting from a one-unit increase in the right-hand side of a constraint. (Note: Can be negative.)

Sensitivity Analysis Objective Fn. Coefficient

In real-life problems, contribution rates usually profit or cost in the objective functions fluctuate periodically as do most of a firms expenses. Graphically, this means that although the feasible solution region remains exactly the same, the slope of the isoprofit or isocost line will change. The objective function coefficient (profit/cost) of any variable can increase or decrease, and the current corner point may remain optimal if the change is not too large. However, if this coefficient increases or decreases too much then the optimal solution would be at a different corner point.

Chap. 7: LP Models

Sensitivity Analysis

RHS Values

The right-hand-side values of the constraints often represent resources available to the firm. The resources could be labor hours, machine time, or perhaps money or production materials available. In the High Note Sound Company example, two resources are
- hours available of electricians time and - hours of audio technicians time.

If additional hours were available, a higher total profit could be realized Sensitivity analysis about resources will help answer questions as these:
- How much should the company be willing to pay for additional hours? - Is it profitable to have some electricians work overtime? - Should we be willing to pay for more audio technician time?

Sensitivity Analysis
-

RHS Values

If the right-hand side of a constraint is changed:

the feasible region will change (unless the constraint is redundant), and often the optimal solution will change.

The amount of change in the objective function value that results from a unit change in one of the resources available is called the dual price or dual value. value The dual price for a constraint is the improvement in the objective function value that results from a one-unit increase in the right-hand side of the constraint.

Sensitivity Analysis

RHS Values

The dual price of a resource indicates the amount the objective function will be increased (or decreased) given another unit of the resource. However, the amount of possible increase in the righthand side of a resource is limited. If the RHS increased beyond the upper bound, then the objective function would no longer increase by the dual price.
There may be excess (slack) hours of a resource or the objective function may change by an amount different from the dual price. Thus, the dual price is relevant only within limits.