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Sensitivity Analysis in LP
How do changes in an LPs parameters (objective function
coefficients, right-hand sides, and technological coefficients)
change the optimal solution?
Types of Sensitivity Analysis
NOTATIONS
S*=B-1
A*= B-1. A=S*.A
Basic
varia
ble
xB
y* =cB B
-1
RHS
Coefficient of:
Original
variable
Slack
variable
cB .B-1 .A - c
=
z*-c
cB .B-1
=y*
cB .B-1 .b
=Z*
B-1 .A
=A*
B-1
=S*
B-1 .b
=b*
60
20
50 X1 + 120 X2 =2400
20
40
4
50
Basic
Z
X2
S2
Eq.
(0)
(1)
(2)
Z
1
0
0
50
120
X1
X2
S1
S2
10
0.5
2.5
0
1
0
30
0.25
-0.25
0
0
1
c1 60
7
RHS
2400
20
40
Basic
Z
C(X2) X2
0
S2
Eq.
(0)
(1)
(2)
Z
1
0
0
50
C(X2)
X1
X2
S1
S2
10
0.5
2.5
0
1
0
30
0.25
-0.25
0
0
1
RHS
2400
20
40
Basic
Z
C(X2) X2
0
S2
Eq.
(0)
(1)
(2)
Z
1
0
0
50
C(X2)
X1
X2
S1
S2
10
0.5
2.5
0
1
0
30
0.25
-0.25
0
0
1
RHS
2400
20
40
Row 0 : 10 0 30 0
30 0
30 0
c2 Row 1: 0.5c2
10 0.5c2
c2
0 0.25c2 30 0
10
0.25c2
0 =
10 0.5c2 0
c2 20
c2 20 c2 100
0.25c2 30 0 c2 120
S1
RHS
Ratio
1/4
20
80
- 1/4
40
- 160
120
0
Basic
Z
X2
S2
Eq.
(0)
(1)
(2)
Z
1
0
0
50
120
X1
X2
S1
S2
10
0.5
2.5
0
1
0
30
0.25
-0.25
0
0
1
12
RHS
2400
20
40
13
TheonlyrevisioninthemodelisthechangesinRHS.
RHSoffinalrow0:z*=y*b
RHSatfinalrows1,...,m=S*b
Basic
Z
C(X2) X2
0
S2
Eq.
(0)
(1)
(2)
Z
1
0
0
X1
X2
S1
S2
10
0.5
2.5
0
1
0
30
0.25
-0.25
0
0
1
RHS
2400
20
40
0.25 0
b1 *
20
1
1
1
b * B b B b B (b b ) 40 0.25 1
2
if b1 change to b1 b1 b1
0.25 0 b1
b1 *
20
b * 40 0.25 1
0
2
14
20 0.25 b1
40 0.25 b
b1
b
2
2
20 0.25b1 0 b1
40 0.25b1 0 b1
80 b1 160
b1
0
80
160
80 80 80 b1 160 80
0 120 b1 240
0 b1 240
15
20 0.25 b1
40 0.25 b
The duality in LP
16
Primal problem
n
Dual problem
m
Maximize Z= c j x j
Minimize W= b j y j
subject to :
subject to :
j 1
a
j 1
ij
x j b, for i 1, 2,..., m
17
i 1
a
i 1
ij
yi c, for j 1, 2,..., n
Primal problem
Maximize Z=cx
subject to :
18
Dual problem
Maximize W=yb
Ax b
subject to :
yA c
and x 0
and y 0
20
Primal problem
21
Dual problem
Table 5.1. Row 0 and corresponding dual solution for each iteration for the
Wyndor Glass Co. example
22
The Dual
23
Dual
24
The Duality in LP
Primal (Dual)
Dual (Primal)
Maximization Profit
Constraints type
Constraints type
Constraints: resources
Subject to:
Subject to:
2 X1 + 4 X2 80 ( U1)
3 X1 +
X2 60 ( U2)
X1, X2 0
25
2 U1 + 3 U2 50
4 U1 + 1 U2 120
U1, U2 0
( X1)
( X2)
Example:
Primal
Standard primal
Dual
Min Y = 10 U1+8U2
St.
St.
x1 + 2x2 + x3 10
St.
x1 + 2x2 + x3 + x4 = 10 (U1)
x1,x2, x3 0
1U1 + 2U2 5
2U1 - 1U2 12
1U1 + 3U2 4
U1
U2 unrestricted
26
Dual (Primal)
Subject to:
Subject to:
2 X1 + 4 X2 80
3 X1 +
2 U1 + 3 U2 50
X2 60
4 U1 + 1 U2 120
Cj
Soluti
on
X1
X2
S1
S2
Quan-tity
Cj
Soluti
on
U1
U2
S1
S2
A1
A2
Quantity
120
X2
1/2
1/4
20
80
U1
1/4
-1/4
1/2
30
S2
5/2
-1/4
40
S1
-5/2
-1/2
-1
10
Zj
60
120
30
2400
Zj
80
20
-20
40
2400
Cj-Zj
-10
-30
Cj-Zj
40
20
M-40
- Absolute values of number in the (Cj-Zj) row under slack variables are the solutions of the dual (U is). These are shadow prices.
- Optimal value of objective functions of both problems are equal. Always we have Obj. value of max. problem Obj. value of
min.problem.
27
Z -4x1 -3x2 = 0
Z = 4x1+ 3x2
28
29