Optimization and

Linear Programming

Rini Novrianti Sutardjo Tui

The Optimal Decision Problem

Decision which incurs the least cost among

the set of permissible decisions

The decisions can be

ranked according to
whether they incur
greater or lesser cost

The set of all

permissible
decisions is
known

The cost of
each
decision is
known

Optimization Methods

Dynamic
Programming

Linear
Programming
Discrete-time
Optimal Control

Non-linear
Programming

Linear Programming (LP)

Standard form of LP problem with m constraints and n variables
Maximize/minimize

: Z = c1x1 + c2x2 + + cnxn

Constraints

: a11x1 + a12x2 + + a1nxn = b1

a21x1 + a22x2 + + a2nxn = b2

am1x1 + am2x2 + + amnxn = bm

x1 0 ; x2 0 ; ; xn 0
b1 0 ; b2 0 ; ; bm 0

Linear Programming in Vector Form

Amxn =
Maximize/minimize

: Z = cx

Constraints

: Ax = b

x0
b0

a11 a12
a
21 a22
... ...

am1 am 2

x1
x
xn1 2
...

xn

... a1n
... a2 n
... ...

... amn

b1
b
bm1 2
...

bm

c1n c1 c2 ... cn

Prerequisites of LP Model
Function of objective is
maximize or minimize

Constant in right
side of constraints
is non-negative

All constraints are stated

as equations

All variables are nonnegative

Linear Programming Model

x2

x1 = 8

15
Minimize

: Z = 40x1 + 36x2

Constraints

x1

8
x2 10

10

x2 = 10

5x1 + 3x2 45

x1 0 ; x 2 0

5
A (8, 5/3)

x1

Simplex Method
Simplex
For complex and broad
problem of linear
programming

All
constraints
have to be
equations, if not
then slack variable or
surplus variable is
needed.

Constant in
right side of
constraint
equations has
to be nonnegative, if not
then it has to be
transformed to
positive value.

General Model of Simplex Method

Maximize
Function of Objective: Maximize
Z C1X1-C2X2- . . . . . CnXn-0S1-0S2-. . .-0Sn = NK

Function of Constraints:
a11X11+a12X12+. . . .+a1nXn+ S1+0S2+. . .+0Sn = b1
a21X21+a22X22+. . . .+a2nXn+ 0S1+1S2+. . .+0Sn = b2
. ..
. .. .. . ..=
am1Xm1+am2Xm2+. . . .+amnXn+ S1+0S2+. . .+1Sn = bm
Activities Variables

Slack Variables

General Model of Simplex Method

Minimize
Function of Objective: Minimize
Z C1X1-C2X2- . . . . . CnXn-0S1-0S2-. . .-0Sn = RhV

Function of Constraints:
a11X11+a12X12+. . . .+a1nXn - S1 -0S2-. . . - 0Sn = b1
a21X21+a22X22+. . . .+a2nXn - 0S1-1S2 -. . . - 0Sn = b2
. ..
. .. .. . ..=
am1Xm1+am2Xm2+. . . .+amnXn- S1- 0S2 -. . . -1Sn = bm
Activities Variables

Surplus Variables

Solving Simplex Model

Formulate LP problem into standard form of LP

Transform LP model into simplex model

Formulate simplex table

Take steps of solving

Simplex Model

Column table of
basic variables

Row table of Cj - Zj

Table of Matrix

Linear Programming

COLUMN TABLE OF MATRIX

OF BASIC VARIABLES

Example Step 1
Maximize:
Linear Programming Method
Function of Objective:
Maximize: Z=8X1 + 6X2 (in thousand IDR)
Function of Constraints:
Material A : 4X1 + 2X2 60
Material B : 2X1 + 4X2 48
X1, X2 0

Step 2
Simplex Model:
Function of Objective: Maximize
Z 8X16 X20S1- 0S2 = 0

Function of Constraints:
4X1+2X2+ S1+ 0S2 = 60
2X1+4X2+0S1+ 1S2 = 48
X1, X2, S1, S2 0

Step 3 1
Simplex Table
Basic
Variables

X1

X2

S1

S2

RhV

Step 3 2
Simplex Table
Basic
Variables
Z
S1
S2

X1

X2

S1

S2

RhV

Step 3 3
Simplex Table
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1
S2

Step 3 4
Simplex Table
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1

60

S2

Step 3 5
Simplex Table
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1

60

S2

48

Step 4 1
First iteration Iteration-0
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1

60

S2

48

Step 4 2
Iteration-1: Determining key column
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1

60

S2

48

Key column: column with biggest negative

value of coefficients of function of constraints.

Step 4 3
Iteration-1: Determining key row
Basic
Variables

X1

X2

S1

S2

RhV

Index

-8

-6

S1

60

15

S2

48

24

Key number
Index value: RV/key column
Key row: row with smallest index value (positive).

Step 4 4
Iteration-1: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

15

Z
X1
S2

New key row: (previous key row)/key number

Other row value: (previous row value) ( (new
key row) x key column of the row itself).

Step 4 5
Iteration-1: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

X1

15

S2

18

New key row: (previous key row)/key number

Other row value: (previous row value) (new
key row) x key column of the row itself

Step 4 6
Iteration-1: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

-2

120

X1

15

S2

18

New key row: (previous key row)/key number

Other row value: (previous row value) (new
key row) x key column of the row itself

Step 4 7
Iteration-2: Determining key column
Basic
Variables

X1

X2

S1

S2

RhV

-2

120

X1

15

S2

18

Step 4 8
Iteration-2: Determining key row
Basic
Variables

X1

X2

S1

S2

RhV

Index

-2

120

X1

15

30

S2

18

Step 4 9
Iteration-2: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

Index

- 1/6

1/3

Z
X1
X2

Step 4 10
Iteration-2: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

Index

5/3

2/3

132

X1

1/3

- 1/6

12

X2

- 1/6

1/3

Solution

X1 = 12

Optimal
Zmax =
IDR
132,000

X2 = 6

Linear Programming

ROW TABLE OF MATRIX OF

CJ - ZJ

Example Step 1
Maximize:
Linear Programming Method
Function of Objective:
Maximize: Z=3X + 5Y
Function of Constraints:
2X 8
3Y 15
6X + 5Y 30
X, Y 0

Step 2
Simplex Model:
Function of Objective: Maximize
Z=3X+5Y+0S1+0S2+0S3

Function of Constraints:
2X+0Y+ 1S1+ 0S2+0S3 = 8
0X+3Y+ 0S1+ 1S2+0S3 = 15
6X+5Y+ 0S1+ 0S2+1S3 = 30
X,Y, S1, S2 , S3 0

Step 3 Enter each coefficient into

simplex table
Basic Var.

Obj.

Cj

S1

S2

S3

S1

S2

15

S3

30

Zj

Cj-Zj

Qty. Ratio

Step 4 Determine key column

Basic Var.

Obj.

Cj

S1

S2

S3

S1

S2

15

S3

30

Zj

Cj-Zj

Key column: column with biggest positive

value of Cj Zj (maximize), or column with
biggest negative value of Cj Zj (minimize).

Qty. Ratio

Step 5 Determine key row

Basic Var.

Obj.

Cj

S1

S2

S3

Qty. Ratio

S1

8/0 = ~

S2

15

15/3 = 5

S3

30

30/5 = 6

Zj

Cj-Zj

Quantity _ ratio

Q _ value
coefficient _ of _ var iables _ of _ key _ column _ of _ responding _ row

Key row: row with the smallest value of

quantity ratio.

Step 6 Determine pivot point

Basic Var.

Obj.

Cj

S1

S2

S3

Qty. Ratio

S1

8/0 = ~

S2

15

15/3 = 5

S3

30

30/5 = 6

Zj

Cj-Zj

Step 7 Change value of key row

New value : previous key row value/pivot point

New value for row S2:

15/3
5

0/3

3/3

0/3

1/3
1/3

0/3
0

Step 8 Change value of non-key

row
New value = previous value (FR x previous value of key row)
FR (fixed ratio) is coefficient of variables of key column of corresponding row/pivot point

Row S1:
FR = 0/3 = 0,

Since value of FR is 0, therefore for row S1, new value = previous value
Row S2:
FR = 5/3,
30

(5/3) x 15

-5/3

Step 9 Change table in step 3

Basic Var.

Obj.

Cj

S1

S2

S3

S1

1/3

S3

-5/3

Zj

5/3

Cj-Zj

-5/3

Change in basic variable: variables of key

column (Y) replace variable of key row (S2)

Qty. Ratio

Step 10 Optimality test

Simplex table is considered optimal if value of Cj- Zj 0 for case of
maximize and value of Cj Zj 0 for case of minimize.

Table in step 9 indicates that there is still positive value of Cj-Zj,

therefore optimal condition has not been reached yet.
Repeat step 3 9 until optimized solution is achieved.

Step 11 Repeat step 3 9

Basic
Var.

Obj.

Cj

S1

S2

S3

S1

38/6

5/9

-2/6

1/3

5/6

-5/18

1/6

Zj

15/18

3/6

Cj-Zj

-15/18

-3/6

Qty. Ratio

Solution

X = 5/6

Optimal
Z = (3 x
5/6) + (5 x
5) = 27.5

Y=5

M i n i n g

M a n a g e m e n t