Chapter 2 - Linear Programming 1 PDF

Industrial & Systems Engineering
Operations Research
Chapter 2
LINEAR PROGRAMMING – LP
Assoc. Prof. Hoà Thanh Phong
Operations Research Assoc. Prof. Ho Thanh Phong 1

LINEAR PROGRAMMING
CONTENTS
❖Introduction about LP
❖Problem Formulation
❖Solve LP using Graphical approach
❖Four Special Cases
❖Sensitivity Analysis
❖Using Lingo
❖The Simplex Method
❖Two-Phase Method
❖Simplex Method in Matrix Form
INTRODUCTION
❖ Many decisions in management are related with the
best usage resources of organizations.
❖ Manager makes Decisions in order to satisfy
Objectives, Goals of organizations.
❖ Resources: Materials, Machines, Man, Money, Time,
Space.
❖ Linear Programming (LP) is a mathematical method
that helps managers to make decision related with
Resources Allocation. (references about Prof. George
Danzit https://en.wikipedia.org/wiki/George_Dantzig
and Nobel laureate: Kantorovich)
❖ Extensively using computer.
LP PROBLEM
❖ Objective function: Maximize or Minimize some
variables, usually Profit/ Cost.
❖ Constraints: are functions show resources limitation
of companies/ organizations. The problem is to find s
solution that maximize profits (or minimize lost/cost)
in given constraints.
Form of constraint funcstionc could be:
❖ Inequality (form  or )
❖ Equality
❖ All Objective function and Constraint functions are

linear functions.

Formulating LP Problems - the most important task
Example 1. ABC Furniture Company

❖Products: tables and chairs.
❖The production process for each is similar
(carpentry works, painting and varnishing)
❖ABC Furniture's problem: to determine the best
possible combination of tables chairs to
manufacture in order to reach the maximum profit.
❖The data provided in the following table

ABC Furniture Company Data
Hours required to produce 1 Available

Department unit Hours
(X1) Tables (X2) Chairs
Carpentry 4 3 240
Painting and varnishing 2 1 100
Profit per unit $7 $5

Formulation
❖X1 = number of tables to be produced
❖X2 = number of chairs to be produced
❖The objective function is
Maximize profit Z = $7X1 + $5X2
Subject to:
4X1 + 3X2  240
2X1 + 1X2  100
X1 0
X2 0

Graphical Solution
❖The graphical method works only when there
are two decision variables, but it provides
valuable insight into how larger problems are
structured
❖Graphical Representation of Constraints
❖Isoprofit-line method
❖Corner points method

Graphical Solutions
100
80 A (X1 = 0, X2 = 80)
Number of Chairs - X2
60
4X1+3X2 = 240
40
4X1+3X2 <= 240
20
B (X1 = 60, X2 = 0)
0 20 40 60 80 100 120
Number of Tables - X1

100 C (X1 = 0, X2 = 100)
80 A (X1 = 0, X2 = 80)
2X1+1X2 = 100
60
4X1+3X2 = 240
40
D (X1 = 50, X2 = 0)
20
Feasible B (X1 = 60, X2 = 0)

Region
0 20 40 60 80 100 120

Solving LP graphically by Isoprofit- line method
100
80 A (X1 = 0, X2 = 80)
60 I (X1 = 30, X2 = 40)
40 Max Profit = 7(30)+5(40) = 410
Feasible
Region 20
D (X1 = 50, X2 = 0)
0 20 40 60 80 100 120

Solving LP problem by Corner-point method
❖Objective: Maximize Profit Z = 7X1 + 5X2
❖ The mathematical theory in LP shows that the
optimal solution must lie at one corner point, or
extreme point, of the feasible region
❖ At the point (0,0): Profit = 0

❖ At the point D(50,0): Profit = 7(50) + 5(0) = 350
❖ At the point A(0,80): Profit = 7(0) + 5(80) = 400
❖ At the point I(30,40):Profit = 7(30) + 5(40) = 410 *
❖ The optimal solution is I(30,40) which obtains
profit of 410
Case Study
❖All cases in book of Hamdy Taha, page 59 – 73.

❖Student read and make a short report for each
problem.

Shadow Price
Maximize profit Z = 6X1 + 7X2
Subject to:
2X1 + 3X2  24
The optimal solution is
2X1 + X2  16
X1 = 6, X2 = 4
X2
2X1+X2 <= 16
8
Units product B
6
D (X1 = 6, X2 = 4)
2X1+3X2 <= 24
4
X1
0 2 4 6 8 12
Operations Research Assoc. Prof. Ho Thanh
Units Phong
product A 14
Shadow Price
❖ On constraint 1:
If we increase RHS by 1: 2X1 + 3X2  25
The new optimal solution is: X1= 5.75, X2 = 4.5 and
the new Z’ = 66 . The net change in profit is is $2.
This is called shadow price (marginal value or dual
price) associated with constraint 1.
• On constraint 2:If we increase RHS by 1: 2X1 + 3X2  17

The net change in profit is is $1. The shadow price
associated with constraint 2 is $1.

04 SPECIAL CASES
There are 04 special cases in LP:
❖Infeasible solutions
❖Unbounded solutions
❖Redundant constraints
❖Multiple optimal solutions

04 SPECIAL CASES
❖Case1: Infeasible
❖Infeasible solutions occurred when we have
conflicting constraints ; or
❖No solution satisfy all constraints; or
❖Can not build the feasible solutions region.

04 SPECIAL CASES
❖Exampleï:
Consider three constraints:
X 2 Regions which
Mieàn thoaû maõn raøng
4X1 + 3X2  240 100 satisfy constraints 3
buoäc thöù ba
2X1 + 1X2  100 80 A (X = 0, X = 80)

1 2
X1  80
60
40
Regions which
satisfy constraints 1 20
and 2
0 20 40 60 80 100 120 X
04 SPECIAL CASES
Case 2: Unbounded solutions
❖When value of Objective function approached to
infinity we said that the problem is unbounded or
missing one or more constraints; or
❖The LP did not provide a finite solutions, this
implies the objective function approaches to
infinity without violating any constraint. û.
❖→ Open ended problem

04 SPECIAL CASES
❖Example:
Maximize Z = 3X1 + 5X2
St:
X 2
X1 = 5
X1  5 15
X2  10 X 2 = 10
X1 + 2 X2  10 10
X1, X 2  0 Mieàn lôøi giaûi
5
X1 + 2X2 = 10
0 5 10 15 X1

04 SPECIAL CASES
Case 3: Redundancy of Constraints
❖A redundant constraint is a constraint that will
not affect to the solution space
❖In reality, this will usually happens when number
of constraints and umber of variables are very
large.

04 SPECIAL CASES
Example:
X
St:
2
100
4X1 + 3X2  240 80 A (X = 0, X = 80)1 2
2X1 + 1X2  100 Raøng buoäc dö: X 1<= 80
X1  80
60
40
20
0 20 40 60 80 100 X1

04 SPECIAL CASES
Case : Multiple solutions
❖When objective function and one constraint have
the same slope we will faced with the case
multiple optimal solutions

04 SPECIAL CASES
X2
❖Ví duï: 100

St: 80 A (X1 = 0, X2 = 80)
4X1 + 3X2  240

60
2X1 + 1X2  100
I (X1 = 30, X2 = 40)
40
20
0 20 40 60 80

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Industrial & Systems Engineering

Assoc. Prof. Hoà Thanh Phong

Operations Research Assoc. Prof. Ho Thanh Phong 1

❖ All Objective function and Constraint functions are

Operations Research Assoc. Prof. Ho Thanh Phong 4

Example 1. ABC Furniture Company

Operations Research Assoc. Prof. Ho Thanh Phong 5

Hours required to produce 1 Available

Operations Research Assoc. Prof. Ho Thanh Phong 6

Operations Research Assoc. Prof. Ho Thanh Phong 7

Operations Research Assoc. Prof. Ho Thanh Phong 8

Operations Research Assoc. Prof. Ho Thanh Phong 9

Feasible B (X1 = 60, X2 = 0)

Operations Research Assoc. Prof. Ho Thanh Phong 10

60 I (X1 = 30, X2 = 40)

40 Max Profit = 7(30)+5(40) = 410

Operations Research Assoc. Prof. Ho Thanh Phong 11

❖ At the point (0,0): Profit = 0

❖All cases in book of Hamdy Taha, page 59 – 73.

Operations Research Assoc. Prof. Ho Thanh Phong 13

• On constraint 2:If we increase RHS by 1: 2X1 + 3X2  17

Operations Research Assoc. Prof. Ho Thanh Phong 15

Operations Research Assoc. Prof. Ho Thanh Phong 16

Operations Research Assoc. Prof. Ho Thanh Phong 17

2X1 + 1X2  100 80 A (X = 0, X = 80)

Operations Research Assoc. Prof. Ho Thanh Phong 19

Operations Research Assoc. Prof. Ho Thanh Phong 20

Operations Research Assoc. Prof. Ho Thanh Phong 21

4X1 + 3X2  240 80 A (X = 0, X = 80)1 2

2X1 + 1X2  100 Raøng buoäc dö: X 1<= 80

Operations Research Assoc. Prof. Ho Thanh Phong 22

Operations Research Assoc. Prof. Ho Thanh Phong 23

❖Ví duï: 100

Maximize Z = 8X1 + 6X2

4X1 + 3X2  240

Operations Research Assoc. Prof. Ho Thanh Phong 24

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