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LW5 Intro to Linear Programming

Optimization notes

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Rishab Agarwal
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4 views

LW5 Intro to Linear Programming

Optimization notes

Uploaded by

Rishab Agarwal
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 36

OPERATIONAL RESEARCH &

OPTIMISATION
Dr. Fang He
Email: F.He@westminster.ac.uk
Office: N7.118
University of Westminster
6DATA005W Operational Research & Optimisation 2

Introduction to Linear Programming


• One specific type of optimisaiton, linear programming
(LP), is used in all types of organizations to solve a wide
variety of problems.
6DATA005W Operational Research & Optimisation 3

Linear inequalities in two variables-1


• Linear inequality is written as
ax + by + c < 0 or
ax + by + c £ 0 or
ax + by + c > 0 or
ax + by + c ³ 0

where a, b, c = constants and


not both a and b are zero.
6DATA005W Operational Research & Optimisation 4

Solving a linear inequalities


• Example: Find the region defined
by the inequality 2x+y≤5.
• Solution:
• The region consists of the line
2x+y = 5
and with the half-plane below it.
6DATA005W Operational Research & Optimisation 5

Solving a system of linear inequalities


• The solution of a system of inequalities consists of all
points whose coordinates simultaneously satisfy all of the
given inequalities.
• Geometrically, it is the region that is common to all the
regions determined by the given inequalities.
6DATA005W Operational Research & Optimisation 6

An example
• Solving the system

ìy ³ -2 x + 10
í
îy ³ x - 2
6DATA005W Operational Research & Optimisation 7

Linear Programming: an overview


• Objectives of business decisions frequently involve
maximizing profit or minimizing costs.
• Linear programming uses linear algebraic relationships to
represent a firm’s decisions, given a business objective, and
resource constraints.
• Steps in application:
1. Identify problem as solvable by linear programming.
2. Formulate a mathematical model of the unstructured
problem.
3. Solve the model.
6DATA005W Operational Research & Optimisation 8

Model components
• Decision variables - mathematical symbols representing
levels of activity by the organization.
• Objective function - a linear mathematical relationship
describing an objective of the organization, in terms of decision
variables - this function is to be maximized or minimized.
• Constraints - requirements or restrictions placed on the
organization by the operating environment, stated in linear
relationships of the decision variables.
• Parameters - numerical coefficients and constants used in the
objective function and constraints.
6DATA005W Operational Research & Optimisation 9

LP modelling
• Resource Requirements

• Product mix problem - Pottery Company


• How many bowls and mugs should be produced to
maximize profits given labor and materials constraints?
6DATA005W Operational Research & Optimisation 10

Summary of model formulation steps


Step 1: Define the decision variables
How many bowls and mugs to
produce?
Step 2: Define the objective function
Maximize profit
Step 3: Define the constraints
The resources (clay and labor)
available
6DATA005W Operational Research & Optimisation 11

LP model formulation
• Define the decision variables:
x1 = number of bowls to produce per day
x2 = number of mugs to produce per day
• Describe the objective: to maximise the total profit of all
products:
• Maximize Z = 40x1 + 50x2
• Describe the constraints: 1x1 + 2x 2 ≤ 40
• 4x1 + 3x 2 ≤ 120
x1 ≥ 0;x 2 ≥ 0
6DATA005W Operational Research & Optimisation 12

LP model formulation
• Complete Linear Programming Model:

max 40x1 + 50x 2


s.t.1x1 + 2x 2 ≤ 40
4x 2 + 3x 2 ≤ 120
x1, x 2 ≥ 0
6DATA005W Operational Research & Optimisation 13

Feasible solution
• A feasible solution does not violate any of the
constraints:
• Example:
x1 = 5 bowls
x 2 = 10 mugs
Z = 40x1 + 50x 2 = 700
• Labor constraint check: 1( 5 ) + 2 (10 ) = 25 £ 40 hours
• Clay constraint check: 4 ( 5 ) + 3 (10 ) = 70 £ 120 pounds
6DATA005W Operational Research & Optimisation 14

Infeasible solution
• An infeasible solution violates at least one of the
constraints:
• Example: x1 = 10 bowls
x 2 = 20 mugs
Z = 40x1 + 50x 2 = 1400

• Labor constraint check: 1(10) + 2 ( 20 ) = 50 > 40 hours


6DATA005W Operational Research & Optimisation 15

Graphical solution of LP models


• Graphical solution is limited to linear programming models
containing only two decision variables (can be used
with three variables but only with great difficulty).
• Graphical methods provide a picture of how a solution
for a linear programming problem is obtained.
6DATA005W Operational Research & Optimisation 16

Coordinate axis
max 40x1 + 50x 2
s.t.1x1 + 2x 2 ≤ 40
4x 2 + 3x 2 ≤ 120
x1, x 2 ≥ 0
6DATA005W Operational Research & Optimisation 17

Labor constraint
6DATA005W Operational Research & Optimisation 18

Labor constraint feasible area


6DATA005W Operational Research & Optimisation 19

Clay constraint feasible area


6DATA005W Operational Research & Optimisation 20

Feasible area for both constraints


6DATA005W Operational Research & Optimisation 21

Feasible solution area


6DATA005W Operational Research & Optimisation 22

Objective function line with Z=800


6DATA005W Operational Research & Optimisation 23

Alternative objective solution lines


6DATA005W Operational Research & Optimisation 24

Optimal solution
• The optimal solution
point is the last point
the objective function
touches as it leaves the
feasible solution area.
6DATA005W Operational Research & Optimisation 25

Optimal solution coordinate


6DATA005W Operational Research & Optimisation 26

A minimisation model example


• Two brands of fertilizer
available – Super-gro, Crop-
quick.
• Field requires at least 16
pounds of nitrogen and 24
pounds of phosphate.
• Super-gro costs £6 per bag,
Crop-quick £3 per bag.
• Problem: How much of each
brand to purchase to minimize
total cost of fertilizer given
following data ?
6DATA005W Operational Research & Optimisation 27

LP model formulation
Decision Variables:
x1 = bags of Super-gro
x2 = bags of Crop-quick
The Objective Function:
Minimize Z = 6x1 + 3x2
Where: 6x1 = cost of bags of Super-Gro
3x2 = cost of bags of Crop-Quick
Model Constraints: 2x1 + 4 x2 ³ 16 lb (nitrogen constraint )
4 x1 + 3 x2 ³ 24 lb (phosphate constraint )
x1, x2 ³ 0 (non - negativity constraint )
6DATA005W Operational Research & Optimisation 28

Constraint graph
min6x1 + 3x 2
s.t.2x1 + 4x 2 ≥ 16
4x 2 + 3x 2 ≥ 24
x1, x 2 ≥ 0
6DATA005W Operational Research & Optimisation 29

Feasible region
6DATA005W Operational Research & Optimisation 30

Optimal solution
• The optimal solution of
a minimization problem
is at the extreme point
closest to the origin.
6DATA005W Operational Research & Optimisation 31

Special cases
Special types of problems include those with:
• Multiple optimal solutions
• Infeasible solutions
• Unbounded solutions
6DATA005W Operational Research & Optimisation 32

Multiple optimal solutions

max 40x1 + 30x 2


s.t.1x1 + 2x 2 ≤ 40
4x 2 + 3x 2 ≤ 120
x1, x 2 ≥ 0
6DATA005W Operational Research & Optimisation 33

Infeasible problem
max 5x1 + 3x 2
s.t.4x1 + 2x 2 ≤ 8
x1 ≥ 4
x2 ≥ 6
x1, x 2 ≥ 0
6DATA005W Operational Research & Optimisation 34

Unbounded problem

max 4x1 + x 2
s.t.x1 ≥ 4
x2 ≤ 2
x1, x 2 ≥ 0
6DATA005W Operational Research & Optimisation 35

Characteristics of LP problems
• A decision among alternative actions is required.
• The decision is represented in the model by decision
variables.
• The problem encompasses a goal, expressed as an objective
function, that the decision maker wants to achieve.
• Restrictions (represented by constraints) exist that limit the
extent of achievement of the objective.
• The objective and constraints must be definable by linear
mathematical functional relationships.
6DATA005W Operational Research & Optimisation 36

LP application examples
• Extended reading

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