Linear Programming

Jessica Faith Worrell

What is Linear Programming?

A specialized mathematical decisionmaking aid used in industry and government Helps interpret data and examine the way things work or should work Goal is to find optimal solutions to problems

History
Early 1800s
Fourier, a French mathematician, formulated the linear programming problem

1900s
Kantorovich, a Russian mathematician, also developed the problem Goal was to improve economic planning in the USSR

History
World War II provided both the urgency and the funds for such research. Efficient resource allocation was required for large scale military planning such as fleets of cargo ships and convoys

History
1947- George Dantzig along with associates at the US Department of the Air Force developed the simplex method 1951- T.C. Koopmans developed a special linear programming solution used to plan the optimal movement of ships back and forth across the Atlantic during the war 1975 Nobel Prize in Economic Science

Applications
Petroleum refineries
Maximize the value of oil inputs subject to constraints on refinery equipment and gasoline blend requirements

Find best locations for pipelines Find best routes and schedules for tankers 5-10% of total computing time

Applications
Armour Company
Processed cheese spread specifications

HJ Heinz Company
Shipment schedules between factories and warehouses

Agriculture
Minimize cost for cattle feed

Most Common Applications

Minimize cost while meeting product specifications Maximize profit with optimal production processes or products Minimize cost in transportation routes Determine best schedules for production and sales

Problem
A company manufactures two types of hand calculators, Model 1 and Model 2. Model 1 takes one hour to manufacture while Model 2 takes four hours. The cost of manufacturing is $30 and $20 for each Model 1 and 2, respectively. The company has 1,600 hours of labor time available and $18,000 in running costs. The profit on each Model 1 is $10 and each Model 2 is $8.

Solution
Involves analyzing systems of linear equations Two methods
Geometric Computational

Geometric Solution
Four inequalities, or constraints, to consider:
Time constraint
x + 4y < 1,600

Monetary constraint
30x + 20y < 18,000

Nonnegativity constraint
x > 0 and y > 0

Feasible Set
The set of all possible solutions to the family of inequalities Size depends on the amount of constraints

Geometric Solution
Goal is to maximize the profit where P = 10x + 8y Must be a point that lies in the feasible set

Geometric Solution
Maximum will occur at a vertex of the feasible set.
P= P= P= P= 0 at A (0, 0) 3200 at B (0, 400) 6400 at C (400, 300) 6000 at D (600, 0)

Maximum profit is $6,400 when 400 Model 1 calculators are produced and 300 Model 2.

Computational Method
Simplex method developed by Dantzig Involves using matrices to systematically check each corner of the feasible set Dantzig chose to go along an edge guaranteed to maximize profit Must have linear equations

Simplex Method
Change inequalities to equalities
x + 4y + u = 1600 30x + 20y + v = 18000

Rewrite profit function

-10x - 8y + f = 0

Simplex Method
Initial Simplex Tableau: 1 4 1 0 0 1600 30 20 0 1 0 18000 -10 -8 0 0 1 0 x y u v f Corresponds to vertex A Basic variables Nonbasic variables

u v f

Simplex Method
After using elementary row operations to produce a one in place of the pivot, and zeroes in the rest of the column, we get a second matrix 0 10/3 1 -1/30 0 1000 u 1 2/3 0 1/30 0 600 x 0 -4/3 0 1/3 1 6000 f Corresponds to vertex D

Simplex Method
Now, with 10/3 as the pivot, the resulting matrix is as follows: 0 1 3/10 -1/100 0 300 y 1 0 -1/5 6/150 0 400 x 0 0 2/5 24/75 1 6400 f Corresponds to the point C Final Simplex Tableau

Simplex Method
The final matrix gives the following equations:
y + 3/10 u - 1/100 v = 300 x - 1/5 u + 6/150v = 400 2/5 u + 24/75 v + f = 6400

where u = 0, v = 0, y = 300, x = 400 and f = 6400. Thus, maximum profit is $6400.

Advantages of Simplex Method

Yields the same answer More practical for problems involving more than two variables Readily programmable for a computer

Minimization

Must find the maximum of -f

Then the minimum is the negative value of that maximum

Possible Outcomes
Every linear programming problem falls into one of three categories: The feasible set is empty.
If constraints are contradictory, such as x + 2y > 4 and x + 2y < -2

Possible Outcomes
The cost function is unbounded on the set.
If two vertices of the feasible set satisfy the maximum or minimum, then every point of the line also does. Leads to flexibility in production schedule.

Possible Outcomes
The cost has a maximum or a minimum on the feasible set
There is one point that is the optimal solution

The first two possibilities are uncommon for real problems in economics

Requirements
Requires linearly proportional relationships
Resources to be consumed by an activity must be linearly proportional to the activity

All activities must obey a materials balance

Sum of the resource inputs = Sum of product outputs

Conclusion
Linear Programming offers industry a way to inform the decision makers of all the important information and the most favorable decision. It is an asset to companies in todays growing economy.