Unit One

Linear Programming Models

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 Introduction to Linear Programming
 A Linear Programming model seeks to maximize or minimize a
linear function, subject to a set of linear constraints.
 The linear model consists of the following
components:
 A set of decision variables.
 An objective function.
 A set of constraints.

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 Introduction to Linear Programming
 The Importance of Linear Programming
 Many real world problems lend themselves to linear
programming modeling.
 Many real world problems can be approximated by linear models.
 There are well-known successful applications in:
 Manufacturing
 Marketing
 Finance (investment)
 Advertising
 Agriculture

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 Introduction to Linear Programming
 Assumptions of the linear programming model
 The parameter values are known with certainty.
 The objective function and constraints exhibit constant returns
to scale.
 There are no interactions between the decision variables (the
additivity assumption).
 The Continuity assumption: Variables can take on any value
within a given feasible range.

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  A firm, that assembles computers and computer
equipment, is about to start production of two new
micro computers.

 Each type of microcomputer will require assembly time,

inspection time and storage space.
 The amount of each of these resources that can be devoted
to the production of the micro computers is limited.
 The manager of the firm would like to determine the
quantity of each of the microcomputers to produce in
order to maximize the profit generated by sales of these
microcomputers.
 The following additional information is provided.

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 Type 1 Type 2
 Profit per unit 60 50
 Assembly time/unit 4hrs 10hrs
 Inspection time/unit 2hrs 1hrs
 Storage space/ unit 3 cubic feet 3 cubic feet
 Resources available
 Assembly time 100hrs
 Inspection time 22 hrs
 Storage space 39 cubic feet

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 Required
 Formulate the problem as LPM
 Solve using simplex method
 Construct the range of optimality and feasibility for the
objective function coefficient and right hand side values.
 Interpret the shadow prices.

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 Management is seeking a
production schedule that will
increase the company’s profit.

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 A linear programming model
can provide an insight and an
intelligent solution to this problem.

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 Cont’d

 Decisions variables:

◦ X1 = Weekly production level of type I computer (in dozens)

◦ X2 = Weekly production level of type II computer (in dozens).

 Objective Function:

◦ Weekly profit, to be maximized

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 Cont’d
Max 60X1 + 50X2 (Weekly profit)
subject to
4X1 + 10X2  100 (Assembly time)
2X1 + X2  22 (Inspection Time)
3X1 + 3X2  39 (storage space)
Xj> = 0, j = 1,2 (Nonnegativity)

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 The Simplex Algorithm/Algebraic
Solution Method
 The simplex method is an iterative technique that begins with a
feasible solution
 Through algebraic manipulation, the solution is improved until
no further improvement is possible
 Each iteration moves one step closer to the optimal solution.
 In each iteration, one variable that is not in the solution is added
to the solution and one variable that is in the solution is
removed from the solution in order to keep the number of
variables in the basis equal to the number of constraints.

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 Cont’d
 The simplex procedure for a maximization problem with all 
constraints consists of the following steps
Step 1. Write the LPM in a standard form
 When all of the constraints are written as equalities
 We convert the LPM in to a standard form by applying the slack
variables, S, which carries a subscript that denotes which constraint
it applies to.
 For example, S1 refers to the amount of slack in the first constraint,
S2 to the amount of slack in the second constraint, and so on.

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 Step1 cont’d
Taking the microcomputer problem its standard form is as
follows:
Zmax = 60X1 + 50X2 Zmax = 60X1 + 50X2 + 0S1 + 0S2 + 0S3
: 4X1 + 10X2  100 : 4X1 + 10X2 + S1 = 100
2X1 + X2  22 2X1 + X2 + S2 = 22
3X1 + 3X2  39 3X1 + 3X2 + S3 = 39
X1, X2  0 X1, X2, S1, S2, S3  0

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 Step 2. Develop the initial tableau:
The initial tableau always represents the “Do Nothing”
strategy, so that the decision variables are initially non-basic.
 List the variables across the top of the table and write the objective function
coefficient of each variable just above it.
 There should be one row in the body of the table for each constraint. List the slack
variables in the basis column, one per raw.
 In the Cj column, enter the objective function coefficient of zero for each slack
variable. (Cj - coefficient of variable j in the objective function)
 Compute values for row Zj
 Compute values for Cj – Zj.

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 Step 2 cont’d
Basic Cj 60 50 0 0 0
variable
X1 X2 S1 S2 S3 RHSV Ratio

S1 0 4 10 1 0 0 100 100/4 = 25

S2 0 2* 1 0 1 0 22 22/2 = 11

S3 0 3 3 0 0 1 39 39/3 = 13

Zj 0 0 0 0 0 0

Cj-Zj 60 50 0 0 0 0

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 Step 3. Develop subsequent tableaus
3.1. Identify the entering variable - a variable that has a largest
positive value in the Cj – Zj raw.
3.2. Identify the leaving variable - Using the constraint
coefficients or substitution rates in the entering variable column
divide each one into the corresponding quantity value. However
do not divide by a zero or negative value.
The smallest non-negative ratio that results indicate which
variable will leave the solution.

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 Step 4. Find unique vectors for the new basic
variable using row operations on the pivot element.
Basic Cj 60 50 0 0 0
variable
X1 X2 S1 S2 S3 RHS Ratio
V
S1 0 0 8 1 -2 0 56 56/8 = 7
X1 60 1 1/2 0 1/2 0 11 11/. 5 = 22

S3 0 0 3/2 0 -3/2 1 6 6/1.5 = 4

Zj 60 30 0 30 0 660
Cj-Zj 0 20 0 -30 0 0

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 Optimal tableau
Basic
variable Cj 60 50 0 0 0 Ratio
X1 X2 S1 S2 S3 RHSV

S1 0 0 0 1 6 -16/3 24
X1 60 1 0 0 1 -1/3 9
X2 50 0 1 0 -1 2/3 4
Zj 60 50 0 10 40/3 740
Cj-Zj 0 0 0 -10 -40/3

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 Cont’d
 Optimal solution: X1 = 9
 X2 = 4
 S1 = 24 hrs
 Z = Birr 740
 “A simplex solution for a maximization problem is optimal if
the Cj – Zj row consists entirely of zeros and negative
numbers (i.e., there are no positive values in the bottom
row).”

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 Cont’d
Note:
The variables in solution all have unit vectors in
their respective columns for the constraint
equations.
Further, note that a zero appears in row c - z in
every column whose variable is in solution,
indicating that its maximum contribution to the
objective function has been realized.

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 Minimization problems
 Manual solution of minimization problems using simplex
method are handled in the same fashion as maximization
problem with mixed constraints.
 The two key exceptions are:
 M coefficients in the objective function must be assigned a large
positive number.
 Selection of variables to enter the solution is based on the
largest negative value in row C-Z

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 Example
Minimize Z= 7X + 9Y
Subject to: 3X + 6Y ≥ 36
8X + 4Y ≥ 64
X,Y ≥ 0

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 In standard form
Minimize Z= 7X + 9Y + 0S1 + 0S2+MA1+MA2
Subject to: 3X + 6Y –S1 +A1 = 36
8X + 4Y –S2 + A2 = 64
All variables ≥ 0

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 Initial table

BV CBV X Y S1 S2 A1 A2
7 9 0 0 M M

A1 M 3 6 -1 0 1 0 36
A2 M 8 4 0 -1 0 1 64

Z 11M 10M -M -M M M 100M

C-Z 7-11M 9-10M M M 0 0

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 2nd table

BV CBV X Y S1 S2 A1 A2
7 9 0 0 M M

A1 M 0 9/2 -1 3/8 1 0 12
X 7 1 1/2 0 -1/8 0 1/8 8

Z 7 7/2+9M/2 - M 3M/8 -7/8 M 7/8 56 + 12M

C-Z 0 11/2- 9M/2 M -3M/8 + 7/8 0 M-7/8

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 3rd Table

BV CBV X Y S1 S2
7 9 0 0

Y 9 0 1 -2/9 1/12 8/3

X 7 1 0 1/9 -1/6 20/3

Z 7 9 -11/9 -5/12 212/3

C-Z 0 0 11/9 5/12

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 Maximization with mixed constraints
 The simplex method requires that all the constraints be in
standard form.
 Constraints that are ≤ can be put in to standard form by
adding a slack variable in the constraint.
 Constraints with ≥or = sign are handled a bit differently.

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 Cont’d
 To change equality constraints to standard form add artificial
variables
 To covert this inequality to standard form subtract surplus
variable first and add artificial variable

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 Solve using simplex method
Max! 6X + 8Y
Subject to: Y≤4
X+Y=9
6X+ 2Y ≥ 24
X,Y ≥ 0

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 In standard form
Max! 6X + 8Y + 0S1 + 0S3 - MA1 – MA3
Subject to: Y+ S1 = 4
X+Y + A2 = 9
6X+ 2Y –S3 + A3 = 24
All variables ≥ 0

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 Initial table

BV CBV X Y S1 S3 A2 A3 Quantity
6 8 0 0 -M -M

S1 0 0 1 1 0 0 0 4
A2 -M 1 1 0 0 1 0 9
A3 -M 6 2 0 -1 0 1 24

Z -7M -3M 0 M -M -M -33M

C-Z 6+ 7M 8+3M 0 -M 0 0

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 Second table

BV CBV X Y S1 S3 A2 A3 Quantity
6 8 0 0 -M -M

S1 0 0 1 1 0 0 0 4
A2 -M 0 2/3 0 1/6 1 -1/6 5
X 6 1 1/3 0 -1/6 0 1/6 4

Z 6 2-2M/3 0 -1M/6 -1 -M 1+M/6 24 - 5M

C-Z 0 6+2M/3 0 1+ M/6 0 -1-m/6

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 Third table

BV CBV X Y S1 S3 A2 Quantity
6 8 0 0 -M

Y 0 0 1 1 0 0 4
A2 -M 0 0 -2/3 1/6 1 7/3
X 6 1 0 -1/3 -1/6 0 8/3

Z 6 8 6 + 2M/3 -M/6 -1 -M 48 -7M/3

C-Z 0 0 -6-2M/3 1+ M/6 0

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 Fourth table

BV CBV X Y S1 S3 Quantity
6 8 0 0
Y 8 0 1 1 0 4
S3 0 0 0 -4 1 14
X 6 1 0 -1 0 5

Z 6 8 2 0 62
C-Z 0 0 -2 0
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 The Role of Sensitivity Analysis of the
Optimal Solution

 Is the optimal solution sensitive to changes in input

parameters?
 Possible reasons for asking this question:
 Parameter values used were only best estimates.
 Dynamic environment may cause changes.
 “What-if ” analysis may provide economical and operational
information.

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 Sensitivity Analysis of
Objective Function Coefficients.

 Range of Optimality
 The range of optimality for each objective function coefficient
provides the range of values over which the current solution will
remain optimal.
◦ The optimal solution will remain unchanged as long as
 An objective function coefficient lies within its range of optimality
 There are no changes in any other input parameters.

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 Cont’d
 Managerial attention should be focused on those objective
function coefficients that have a narrow range of optimality
and coefficients near the end points of the range.
 With these coefficients, a small change can necessitate
modifying the optimal solution

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 Example
Consider:
Max! X1+ 2X2
Subject to: 2X1 + 3X2≤ 12
5X1 + 2X2 ≤ 15
X 1, X 2 ≥ 0
Solve using simplex method.

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 Optimal solution

1 2 0 0
BV CBV X1 X2 S1 S2 RHS

X2 2 2/3 1 1/3 0 4
S2 0 11/3 0 -2/3 1 7
Z 4/3 2 2/3 0 8
C-Z -1/3 0 -2/3 0
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0
 Cont’d
 For all non-basic variables range of insignificance will be
given by -∞≤ Cj ≤ Z.
 The non-basic variable will remain non-basic so long as Cj ≤
Zj.
 Hence, the range of insignicance for X1 is
 -∞≤ Cj ≤ 4/3

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 For basic variable
 For variables which are in the solution, the
determination of range of optimality requires different
approach.
 The value in C-Z row must be divided by the
corresponding row values of the variable in question.
 The smallest positive ratio will indicate the allowable
increase and the smallest negative ratio (absolute value)
indicates the allowable decrease.
 If there is no positive ratio there is no upper limit in
variables objective function coefficient
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 Cont’d
 Therefore ratios calculated for the row are:

-1/2 Allowable decrease

0
No positive ratio; hence there is no
-2 upper limit
0/0

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 Cont’d
 As you can see, the smallest negative ratio (in terms of
absolute value) is -1/2 and there is no positive ratio.
 Hence, the coefficient of X2 can be reduced by 0.5 and
increased indefinitely without making it non basic.

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 Cont’d
Therefore, the range of optimality for X2 is:
(2-0.5) ≤ C2 ≤∞ = 1.5 ≤ C2 ≤ ∞

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 Sensitivity Analysis of
Right-Hand Side Values
 a change in the right-hand side for a constraint may
affect the feasible region and perhaps cause a change in
the optimal solution to the problem
 In sensitivity analysis of right-hand sides of constraints
we are interested in the following questions:
◦ Keeping all other factors the same, how much would the
optimal value of the objective function (for example, the profit)
change if the right-hand side of a constraint changed by one unit?
◦ For how many additional or fewer units will this per unit change
be valid?
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 Shadow price
 Shadow prices are values in the Z row of the final (optimal)
simplex table.
 It is a marginal value.
 It shows the impact that a one unit change in the amount of
constraint would have on the value of the objective function

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 60 50 0 0 0 RHS
Basis c X1 X2 S1 S2 S3
S1 0 0 0 1 6 -5.3333 24
X1 60 1 0 0 1 -0.3333 9
X2 50 0 1 0 -1 002/3 4
z 60 50 0 10 40/3 740
C-Z 0 0 0 -10 -13.333

Shadow prices
Negative of Shadow
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prices
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  From the above table one can clearly see that:
 If resource one is increased by one unit, there would be no
effect on the profit.
 If the second resource is increased by one unit, profit will
increase by ten birr and
 If the third resource is increased by one unit, profit will increase
by 40/3 birr.
 shadow prices do not tell us by how much the level of scarce
resources can be increased and still have the same impact per
unit

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  resources with positive shadow prices as scarce goods (binding
constraints) and resources with zero shadow prices as free
goods (surplus resource).
 At some point, the ability to use additional resources will
disappear because of the fixed amounts of the other
constraints.
 We need to determine the range over which we can change the
right hand side quantities and still have the same shadow prices.
 This is called range of feasibility/ right hand range

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 Sensitivity Analysis of
Right-Hand Side Values

 Any change to the right hand side of a binding constraint will

change the optimal solution.

 Any change to the right-hand side of a non-binding constraint

that is less than its slack or surplus, will cause no change in
the optimal solution.

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1
 Cont’d
 To find range of feasibility for the right hand side, divide the
entries in the quantity column by associated slack column
values.
 The smallest positive ratio indicates the allowable decrease
and negative ratio closest to zero indicates allowable increase

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2
 Cont’d
 For the previous example:
Allowable Increase
For the first variable
4/ (1/3) = 12 Allowable decrease

7/ (-2/3) = -21/2
 There are only two ratios one positive and the other negative.
 Hence, the first resource can be reduced by 12 and increased
by 21/2.

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3
 Cont’d
 Hence, range of feasibility for resource one is:
0 ≤ b1≤ 45/2
Construct the range of feasibility for resource two.

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 For second constraint
4/0=undefined
7/1=7
Hence, 15-7≤b2≤∞
8 ≤b2≤∞ Allowable decrease

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 End of the slide
Thank you for your attention

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