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LINEAR PROGRAMMING

DEFINITION
Linear programming involves the use of straight line relationships to maximize or minimize
some function, usually called the “objective function”.
It describes graphical and mathematical procedures that seek the optimum allocation of
scarce or limited resources to competing products or activities.

All linear programming problems have 3 common characteristics:


a) a linear objective function
b) a set of linear structural constraints
c) a set of non-negativity constraints

Objective Function
It is a mathematical statement of what management wishes to achieve. It could be
maximization of profit (or contribution), minimization of cost or some other measurable
objective.

Structural Constraints
These are the physical limitations on the objective function. They could be constraints in
terms of budgets, labour, raw materials, markets, social acceptability, legal requirements
or contracts.

Non-negativity Constraints
They limit the solution to positive (and meaningful) answers only.

Solution of LP Problem
Any solution always involves the following 4 stages:
• Identifying the relevant variables in the problem
• Expressing the objective function
• Stating the structural and non-negativity constraints
• Solving the problem

Example
A firm uses three types of factor input, namely labour, capital and raw material in
producing two products, X and Y. Each unit of X contributes GH¢2 to profit whereas each
unit of Y contributes GH¢3 to profit. To produce one unit of X requires one unit of labour,
one unit of capital and two units of raw material. To produce one unit of Y requires one
unit of labour, two units of capital, and one unit of raw material. The firm has 50 units of
labour, 80 units of capital and 80 units of raw material available.
Required:
(a) Formulate the linear programming model
(b) Find the feasible output combination of products X and Y which will maximise
profit for the producer.
(c) What is the value of total profit at this combination?

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Solution

X Y Total Available
Contribution GH¢2 GH¢3
Labour 1 1 50
Capital 1 2 80
Raw Material 2 1 80

Maximise: Z = 2X + 3Y
Subject to:
1X + 1Y ≤ 50 ... Labour
1X + 2Y ≤ 80 … Capital
2X + 1Y ≤ 80 … Raw Material
X ≥ 0, Y ≥ 0 ... Non-negativity

X + Y = 50 X + 2Y = 80 2X + Y = 80
If X = 0 If X = 0 If X = 0
Y =50 2Y = 80 = Y = 40 Y = 80
If Y = 0 If Y = 0 If Y = 0
X = 50 X = 80 X = 40

Point Coordinates Contribution


(X,Y) (¢)
0 (0,0) 0
A (0,40) 120
B (20,30) 130
C (30,20) 120
D (40,0) 80

Point B Point C

Labour X + Y = 50 (1) R/material 2X + Y = 80 (1)


Capital X + 2Y = 80 (2) Labour X + Y = 50 (2)

(2) – (1): (1) – (2):


Y = 30 X = 30
X = 20 Y = 20

B: 2(20) + 3(30) = 40 + 90 = 130


C: 2(30) + 3(20) = 60 + 60 = 120
D: 2(40) + 3(0) = 80 + 0 = 80
The output that will maximise profits for the producer:
X = 20 units
Y = 30 units
The maximum profit at the optimum output combination is GH¢130

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MINIMIZATION PROBLEM

The procedure for solving a minimization problem by linear programming is the same as
that for a maximization problem except that:

• The minimum value for the objective function will involve a line which is feasible but
nearest to the origin and therefore the lowest value.

• The feasible region will reflect inequalities of the greater than or equal to variety.
(≥)

Example
A travel company operates two types of vehicles A and B. Vehicle A can carry 40
passengers and 30 tons of baggage; vehicle B can carry 60 passengers but only 15 tons
of baggage. The travel company is contracted to carry at least 960 passengers and 360
tons of baggage per journey. If vehicle A costs GH¢10 to operate per journey and vehicle
B costs GH¢12 to operate per journey, what choice of vehicles will minimise the total cost
per journey?

Solution
Minimise Total Cost: Z = 10A + 12B

Subject to:
40A + 60B ≥ 960 Passengers
30A + 15B ≥ 360 Baggage
A≥0; B≥0 Non-negativity

Point Coordinates Total Cost (GH¢)


(A, B)
E (0, 24) 288
F (6, 12) 204
G (24, 0) 240

Point F
40A + 60B = 960 (1)
30A + 15B = 360 (2)
(1) divided by 4:
10A+15B = 240 (1a)
(2) – (1a):
20A = 120
A = 120/20 = 6
From (1):
40(6) + 60B = 960

960 − 240 720


B= = = 12
60 60

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The company will minimise its total costs by providing 6 vehicles of type A and 12 vehicles
of type B per journey. It will cost the company ¢204.

Practice Questions

Question 1
A farmer can produce yams (X) or maize (Y) with his resources. He makes a net profit of
GH¢70 per acre on yams (X) and GH¢100 per acre on maize. He draws up the following
summary statement of his resources and input equipment:

Requirement per acre:


Resource Yams Maize Amount Available
(X) (Y)
Labour 12 man days 3 man days 1,080 man days
Equipment 3 machine days 5 machine days 450 machine days
Land 1 acre 1 acre 100 acres

Required:
a) Formulate the LP problem for the farmer
b) Find the number of acres he should devote to each product in order to maximise
total net profit.
c) What is his net profit in this situation?

Question 2
Adom Tool Company (ATC) is a privately held firm that competes in the consumer and
industrial market for construction tools. It only produces wrenches and pliers. Wrenches
and pliers are made from steel, and the process involves molding the tools on a molding
machine and then assembling the tools on an assembly machine. The data below are the
production summary of ATC:

Wrenches Pliers Availability


Steel (lbs) 1.5 1.0 27,000 lbs/day
Molding Machine (hours) 1.0 1.0 21,000 hours/day
Assembling Machine (hours) 0.3 0.5 9,000 hours/day
Demand Limit (tools/day) 15,000 16,000
Contribution to Earnings (GH¢/1000 units) 13 10

If ATC would like to plan for the daily production of wrenches and pliers at its plant so as to
maximise the contribution to earnings:
a) How many wrenches and pliers should ATC plan to produce per day in order to
maximise the contribution to earnings?
b) What would be the total contribution to earnings from this plan?
c) Which resources would be most critical in this plan?

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Binding and Non-binding Constraints
A constraint is said to be binding or active if it is satisfied at equality at the optimal
solution. It is also referred to as the scarce or critical resource.

A constraint is said to be non-binding or inactive if it is satisfied with strict inequality at


the optimal solution.

Example:

The firm that uses 3 types of factors: Labour, Capital and Raw Material in producing
products X and Y.

Required:
What factors are binding and which ones are non-binding?

Solution
The constraints are:
Labour: X + Y ≤ 50
Capital: X + 2Y ≤ 80
Raw Material: 2X + Y ≤ 80

The optimal solution:


X = 20; Y = 30

Labour Constraints
Substituting X and Y values:
20 + 30 = 50

This means that all the labour resources available are utilised. Therefore, it is a binding
constraint.

Capital Constraint:
Substituting X and Y values:
20 + 2(30) = 20 + 60 = 80

Capital is also a binding constraint.

Raw Material
Substituting values for X and Y:
2(20) + 30 = 70 < 80
This implies that raw material is non-binding because not all of the 80 units available are
used. Only 70 units (out of the 80) are used.

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Notes:
1) In a production process where raw material not used must be discarded after
the batch of production then 10 units of the raw material will be discarded.
2) Capital and labour are scare resources while raw material is not scarce.

SENSITIVITY ANALYSIS
This is concerned with the issue of how the optimal solution to a linear optimisation model
changes relative to change in the data that underlines the problem at hand. One example
is the shadow price.

Shadow Prices on Constraints


The shadow price of a constraint is the amount of change in the optimal objective function
value as the RHS of that constraint is increased by one unit, and all other problem data are
kept fixed.
• The shadow price also goes by a variety of other names:
- dual price
- marginal price
- marginal cost
- marginal value
- opportunity cost
• The shadow price for a non-binding resource is zero.
• One shadow price for each constraint.

∆(optimal value of objective function )


• Shadow Pr ice =
∆( RHS Value )

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THE SIMPLEX ALGORITHM

Definition
An algorithm is a set of rules or a systematic procedure for finding the solution to a
problem.
The simplex algorithm is a method (or computational procedure) for determining basic
feasible solutions to a system of equations and testing solutions for optimality.

SLACK & SURPLUS VARIABLES


These are variables (Si) incorporated into each inequality (each structural constraint) in the
system to convert them to a system of linear equations.

Examples
To use the simplex algorithm to maximise profits
Π = 5x1 + 3x2

Subject to:
6x1 + 2x2 ≤ 36
5x1 + 5x2 ≤ 40
2x1 + 4x2 ≤ 28
x1, x2 ≥ 0

The Initial Simplex Tableau (or table):

i) Convert the inequalities to equations by adding slack variables:


6x1 + 2x2 + S1 = 36
5x1 + 5x2 + S2 = 40
2x1 + 4x2 + S3 = 28
x1, x2 ≥ 0

ii) Set up an initial simplex tableau composed of the coefficients of the constraint
equations and the column vector of constants set above a row of indicators which
are the negatives of the coefficients of the objective function and a zero coefficient
for each slack variable.

The constant column entry of the last row is also zero, corresponding to the value of
the objective function at the origin (when x1 = x2 = 0)

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The Initial Simplex Tableau:

x1 x2 S1 S2 S3 Constant
6 36 / 6 = 6*
2 1 0 0 36 40 / 5 = 8
5 5 0 1 0 40 28 / 2 = 14
2 4 0 0 1 28_____
Z row 5 3 0 0 0 0

Indicators

Finding the Pivot value:


• Select the highest figure in the Z row (i. e. 5 under x1).
• Divide value in the constant column by its corresponding value under x1
• The Pivot element is the x1 value that gave the lowest (i. e. 6) and must be
circled.

We divide through the pivot row by the pivot element and get:

x1 x2 S1 S2 S3 Constant
1 1/3 1/6 0 0 6
5 5 0 1 0 40
2 4 0 0 1 28_____
5 3 0 0 0 0

Having reduced the pivot element to 1, we clear the pivot column through row
operation:

Here subtract 5 times row 1 from row 2;


2 times row 1 from row 3;
Subtract 5 times row 1 from row 4.

This gives the second tableau:

x1 x2 S1 S2 S3 Constant
1 1/3 1/6 0 0 6
0 10/3 -5/6 1 0 10
0 10/3 -1/3 0 1 16_____
0 -4/5 5/6 0 0 30

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This is repeated until there is no positive element in the Z row.

The Final Simplex Tableau:

x1 x2 S1 S2 S3 Constant
1 0 ¼ -1/10 0 5
0 1 -¼ 3/10 0 3 Slack value for 3rd
0 0 ½ -1 1 6______ inputs
0 0 ½ 2/5 0 34 Max
Profit
Shadow Prices

x1 = 5, x2 = 3

Max π = 34

Shadow prices for input 1 = ½ or 0.5


Shadow prices for input 2 = 2/5 or 0.4
Shadow prices for input 3 = 0

6 units of the third input are left unused.

Marginal Value or Shadow Price


The value of the indicator under each slack variable in the final tableau expresses the
marginal value or shadow price of the input associated with the variables.

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