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Linear programming
Introduction
Many management decisions involve trying to make the most
effective use of an organizations resources.
Resources typically include machinery, labor, money, time,
warehouse space, or raw materials.
Resources may be used to produce products (such as
machinery, furniture, food, or clothing) or services (such as
schedules for shipping and production, advertising policies,
or investment decisions).
Linear programming (LP) is a widely used mathematical
technique designed to help managers in planning and
decision making relative to resource allocation.
Despite the name, linear programming, and the more general
category of techniques called mathematical programming,
have very little to do with computer programming.
In the world of Operations Research, programming refers to
modeling and solving a problem mathematically.
Computer programming has, however, played an important
role in the advancement and use of LP to solve real-life LP
problems
2
gi(x1, x2 , , xn)
{}
bi
i =1,,m
xj 0, j = 1,,n
3
Model Components
xj are called decision variables. These are things
that you control and you want to determine its
values
gi(x1, x2 ,, xn)
{}
(ii) additivity
linearity
(iii) divisibility
(iv) certainty
14
Explanation of LP Assumptions
(i) activity js contribution to objective function is cjxj
and usage in constraint i is aijxj
both are proportional to the level of activity j
(volume discounts, set-up charges, and nonlinear
efficiencies are potential sources of violation)
(ii) cross terms such as x x may not
1 5
appear in the objective or constraints.
15
Explanation of LP Assumptions
(iii) Fractional values for decision variables are permitted
(iv) Data elements aij , cj , bi , uj are known with certainty
Nonlinear or integer programming models should be
used when some subset of assumptions (i), (ii) and
(iii) are not satisfied.
Stochastic models should be used when a problem
has significant uncertainties in the data that must be
explicitly taken into account [a relaxation of
assumption (iv)].
16
Applications Of LP
1. Product mix problem
2. Diet problem
3. Blending problem
4. Media selection problem
5. Assignment problem
6. Transportation problem
7. Portfolio selection problem
8. Work-scheduling problem
9. Production scheduling problem
10. Inventory Problem
11. Multi period financial problem
12. Capital budgeting problem
17
Example
Price/quart
Cost/quart
Fruit needed
Orange juice
1 Kg.
Grapefruit juice
0.5
2 Kg.
Pineapple juice
2.5
1.5
1.25 Kg.
18
0.25 Kg each
All in - one
Solution
Decision variables
X1 = # of containers of orange juice
X2 = # of containers of grapefruit juice
X3 = # of containers of pineapple juice
X4 = # of containers of All-in-one juice
Objective function
Max Z = 2 X1 + 1.5 X2 + 1 X3 + 2 X3
Constraints
Orange constraints
X 1 0.25 X 4 400
Grapefruit constraint
2 X 2 0.25 X 4 300
Pineapple constraints
1.25 X 3 0.25 X 4 200
X 2 0.3( X 1 X 2 X 3 X 4) Max. of grapefruit
X1 7
20
2. Diet problem
Example
My diet requires that all the food I eat come from one of
the four basic food groups (chocolate cake, ice
cream, soda, and cheesecake). At present, the
following four foods are available for consumption:
brownies, chocolate ice cream, cola, and pineapple
cheesecake. Each brownie costs 50 cents, each scoop
of chocolate ice cream costs 20 cents, each bottle of
cola costs 30 cents, and each piece of pineapple
cheesecake costs 80 cents. Each day, I must ingest at
least 500 calories, 6 oz of chocolate, 10 oz of sugar,
and 8 oz of fat. The nutritional content per unit of
each food is shown in the following table. Formulate a
linear programming model that can be used to satisfy
my daily nutritional requirements at minimum costs.
21
Diet problem
Calories
Chocolate
Sugar
Fat
Brownie
400
3 ounce
200
Cola (1 bottle)
150
Pineapple cheesecake
(1piece)
500
2 ounce 2 ounce
22
Diet problem
Solution
Decision variables: as always, we begin by
determining the decisions that must be made
by the decision maker: how much of each food
type should be eaten daily. Thus, we define the
decision variables:
X1 = number of brownies eaten daily
X2 = number of scoops of chocolate ice cream
eaten daily
X3 = number of bottles of cola drunk daily
X4 = number of pieces of pineapple cheesecake
eaten daily
23
Diet problem
Objective function: my objective
function is to minimize the cost of my
diet. The total cost of my diet may be
the determined from the following
relation:
Total cost of diet = (cost of brownies) +
(cost of ice cream) + (cost of cola) + (cost
of cheesecake)
Thus, the objective function is:
Min Z = 50 X1 + 20 X2 + 30 X3 + 80 X4
24
Diet problem
Constraints: the decision variables must satisfy the
following four constraints:
Constraint 1: daily calorie intake must be at least 500
calories.
Constraint 2: daily chocolate intake must be at least 6
oz.
Constraint 3: daily sugar intake must be at least 10 oz.
Constraint 4: daily fat intake must be at least 8 oz.
To express constraint 1 in terms of the decision
variables, note that (daily calorie intake) = (calorie in
brownies) + (calories in chocolate ice cream) + (calories
in cola) + (calories in pineapple cheesecake)
Therefore,
the daily calorie intake = 400 X1 + 200 X2 + 150 X3 + 500
X4 must be greater than 500 ounces
By the same way the other three constraints can be
25
formulated.
Diet problem
The four constraints are:
400 X1 + 200 X2 + 150 X3 + 500 X4 500
3 X1 + 2 X2 6
2 X1 + 2 X2 + 4 X3 + 4 X4 10
2 X1 + 4 X2 + X3 + 5 X4 8
Nonnegativity constraints: it is clear that
all decision variables are restricted in
sign, i.e., Xi 0, for all i = 1, 2, 3, and 4
26
Diet problem
Combining the objective function, constraints,
and nonnegativity constraints, the LP model is
as follows:
Min Z = 50 X1 + 20 X2 + 30 X3 + 80 X4
st.
400 X1 + 200 X2 + 150 X3 + 500 X4 500
3 X1 + 2 X 2 6
2 X1 + 2 X2 + 4 X3 + 4 X4 10
2 X1 + 4 X2 + X3 + 5 X4 8
Xi 0, for all i = 1, 2, 3, and 4
The optimal solution to this LP is X1 = X4 = 0,
X2 = 1, and Z = 90 cents
27
3. Blending problem
Example
The Low Knock Oil company produces two grades of cut rate
gasoline for industrial distribution. The grades, regular and
economy, are produced by refining a blend of two types of crude
oil, type X100 and type X220. each crude oil differs not only in
cost per barrel, but in composition as well. The accompanying
table indicates the percentage of crucial ingredients found in each
of the crude oils and the cost per barrel for each. Weekly demand
for regular grade of Low Knock gasoline is at least 25000 barrels,
while demand for the economy is at least 32000 barrels per week.
At least 45% of each barrel of regular must be ingredient A. At
most 50% of each barrel of economy should contain ingredient B.
the Low Knock management must decide how many barrels of
each type of crude oil to buy each week for blending to satisfy
demand at minimum cost .
Crude oil
type
X100
X220
Blending problem
Solution
Let
X1 = # of barrels
X2 = # of barrels
economy
X3 = # of barrels
X4 = # of barrels
economy
0.05 X2 0.25 X4 0
Xi 0, i = 1, 2, 3, 4
The optimal solution is: X1 = 15000, X2 = 26666.6, X3 = 10000,
X4 = 5333.3, and Z = 1,783,600
29
Media Selection
Medium
Audience
Reached per
ad
Cost per
ad
Maximum
ads per
week
TV spot (1 minute)
5000
800
12
Daily newspaper
(full-page ad)
8500
925
Radio spot
(30 second, prime time)
2400
290
25
Radio spot
(1 minute, afternoon)
2800
380
20
Media selection
Solution
Let
X1 = number
X2 = number
X3 = number
X4 = number
of
of
of
of
5. Assignment problem
Example
A law firm maintains a large staff of young attorneys
who hold the title of junior partner. The firm
concerned with the effective utilization of this
personnel resources, seeks some objective means of
making lawyer-to-client assignments. On march 1,
four new clients seeking legal assistance came to the
firm. While the current staff is overloads and
identifies four junior partners who, although busy,
could possibly be assigned to the cases. Each young
lawyer can handle at most one new client.
Furthermore each lawyer differs in skills and
specialty interests.
Seeking to maximize the overall effectiveness of the new
client assignment, the firm draws up the following
table, in which he rates the estimated effectiveness
(of a scale of 1 to 9) of each lawyer on each new case.
33
Assignment problem
Client case
Lawyer
Divorce
Corporate
merger
embezzlement
exhibitionism
Adam
Brook
Carter
Darwin
34
Assignment problem
Solution
Decision variables:
1 if attorney i is assigned to case j
Let Xij =
0 otherwise
Where : i = 1, 2, 3, 4 stands for Adam, Brook,
Carter, and Darwin respectively
j = 1, 2, 3, 4 stands for divorce,
merger, embezzlement, and exhibitionism
respectively.
The LP formulation will be as follows:
35
Assignment problem
Max Z = 6 X11 + 2 X12 + 8 X13 + 5 X14 + 9 X21 + 3 X22 +
5 X23 + 8 X24 + 4 X31 + 8 X32 + 3 X33 + 4 X34 +
6 X41 +7 X42 + 6 X43 + 4 X44
St.
X11 + X21 + X31 + X41 = 1
(divorce case)
(merger)
(embezzlement)
(exhibitionism)
(Adam)
(Brook)
(Carter)
(Darwin)
The optimal solution is: X13 = X24 = X32 = X41 = 1. All other
variables are equal to zero.
36
6. Transportation problem
Example
The Top Speed Bicycle Co. manufactures and markets a
line of 10-speed bicycles nationwide. The firm has
final assembly plants in two cities in which labor
costs are low, New Orleans and Omaha. Its three
major warehouses are located near the larger market
areas of New York, Chicago, and Los Angeles.
The sales requirements for next year at the New York
warehouse are 10000 bicycles, at the Chicago
warehouse 8000 bicycles, and at the Los Angeles
warehouse 15000 bicycles. The factory capacity at
each location is limited. New Orleans can assemble
and ship 20000 bicycles; the Omaha plant can
produce 15000 bicycles per year. The cost of shipping
one bicycle from each factory to each warehouse
differs, and these unit shipping costs are:
37
Transportation problem
New Orleans
New
York
$2
Chicago
3
Los
Angeles
5
Omaha
Transportation problem
Solution
To formulate this problem using LP, we again employ the
concept of double subscribed variables. We let the first
subscript represent the origin (factory) and the second
subscript the destination (warehouse). Thus, in
general, Xij refers to the number of bicycles shipped
from origin i to destination j. Therefore, we have six
decision variables as follows:
X11
X12
X13
X21
X22
X23
=
=
=
=
=
=
#
#
#
#
#
#
Transportation problem
Min Z = 2 X11 + 3 X12 + 5 X13 + 3 X21 + X22 + 4
X23
St
X11 + X21 = 10000 (New York demand)
X12 + X22 = 8000 (Chicago demand)
X13 + X23 = 15000 (Los Angeles demand)
X11 + X12 + X13 20000 (New Orleans Supply
X21 + X22 + X23 15000 (Omaha Supply)
Xij 0 for i = 1, 2 and j = 1, 2, 3
The optimal solution is: X11 = 10000, X12 = 0, X13 = 8000, X21 =
0, X22 = 8000, X23 = 7000, and Z = $96000
40
7. Portfolio selection
Example
The International City Trust (ICT) invests in
short-term trade credits, corporate bonds, gold
stocks, and construction loans. To encourage
a diversified portfolio, the board of directors
has placed limits on the amount that can be
committed to any one type of investment. The
ICT has $5 million available for immediate
investment and wishes to do two things: (1)
maximize the interest earned on the
investments made over the next six months,
and (2) satisfy the diversification requirements
as set by the board of directors. The specifics
of the investment possibilities are:
41
Portfolio selection
Investment
Interest
earned
%
Trade credit
Corporate bonds
7
11
Maximum
investment
($ Million)
1
2.5
Gold stocks
Construction loans
19
15
1.5
1.8
Portfolio selection
Solution
To formulate ICTs investment problem as
a linear programming model, we
assume the following decision variables:
X1 = dollars invested in trade credit
X2 = dollars invested in corporate bonds
X3 = dollars invested in gold stocks
X4 = dollars invested in construction
loans
43
Portfolio selection
Time
0-4
4-8
8-12
12-16
16-20
20-0
FTEs
15
10
40
70
40
35
45
46
Decision Variables
xt = # of full-time employees that begin work in shift t
yt = # of part-time employees that work shift t
(4 12.95)
(8 15.20)
Min
s.t.
121.6 (x1 +
x6
x1 +
x1
x2 +
x2
x3 +
x3
x4 +
x4
x5 +
x5
x6 +
5
6
5
6
5
6
5
6
5
6
5
6
+ y6)
y1
15
y2
10
y3
40
y4
70
y5
40
y6
35
All shifts
must be
covered
xt, yt 0
Graphical solution
A Graphical Solution Procedure (LPs with 2 decision variables
can be solved/viewed this way.)
1. Plot each constraint as an equation and then decide which
side of the line is feasible (if its an inequality).
2. Find the feasible region.
3. find the coordinates of the corner (extreme) points of the feasible
region.
LP Formulation
Min z = 5x1 + 2x2
s.t.
Feasible Region
4x1 - x2 > 12
x1 + x2 > 4
(16/5,4/5)
(10/3, 2/3)
(5,0)
x1
52
Solve for the Extreme Point at the Intersection of the second and third
Constraints
4x1 - x2 = 12
x1+ x2 = 4
Adding these two equations gives:
5x1 = 16 or x1 = 16/5.
Substituting this into x1 + x2 = 4 gives: x2 = 4/5
Solve for the extreme point at the intersection of the first and third constraints
2x1 + 5x2 =10
x1 + x2= 4
Multiply the second equation by -2 and add to the first equation, gives
3x2 = 2 or x2 = 2/3
Substituting this in the second equation gives x1 = 10/3
Point
(16/5, 4/5)
(10/3, 2/3)
(5, 0)
Z
88/5
18
25
53
Max
s.t.
z = 5x1 + 7x2
x1
< 6
2x1 + 3x2 < 19
x1 + x2 < 8
x1, x2 > 0
54
x1 < 6
5
4
3
2
(6, 0)
10
x1
55
Constraint #2 Graphed
x2
(0, 6 1/3)
8
7
6
5
4
3
2
(9 1/2, 0)
10
x1
56
Constraint #3 Graphed
x2
(0, 8)
8
7
x1 + x2 < 8
6
5
4
3
2
(8, 0)
10
x1
57
x1 + x2 < 8
8
7
x1 < 6
6
5
4
3
2
1
10
x1
58
Feasible
Region
2
1
10
x1
59
(0, 19/3)
6
5
(5, 3)
4
4
3
(0, 0)
Feasible
Region
(6, 2)
2
1
(6, 0)
10
x1
60
61
Point
x2
(0,0)
(6,0)
30
(6,2)
44
(5,3)
46
(0,19/3)
44.33
Optimal Solution
5
4
3
2
10
x1
62
Feasible Region
The feasible region for a two-variable linear
programming problem can be nonexistent, a single
point, a line, a polygon, or an unbounded area.
Any linear program falls in one of three categories:
is infeasible
Special Cases
Alternative Optimal Solutions
In the graphical method, if the objective function
line is parallel to a boundary constraint in the
direction of optimization, there are alternate
optimal solutions, with all points on this line
segment being optimal.
Infeasibility
A linear program which is overconstrained so that
no point satisfies all the constraints is said to be
infeasible.
Unbounded
For a max (min) problem, an unbounded LP occurs
in it is possible to find points in the feasible region
with arbitrarily large (small) Z
65
z1
z2
z3
Maximize z = 3x1 x2
2
1
x1 0, x2 0
0
0
x1
66
z = 2x1 + 6x2
4x1 + 3x2 < 12
2x1 + x2 > 8
x1 , x2 > 0
67
2x1 + x2 > 8
3 4
x1
68
s.t.
z = 3x1 + 4x2
x1 + x2 > 5
3x1 + x2 > 8
x1 , x2 > 0
69
x1 + x2 > 5
2.67
x1
70
45 x1
10 x1
28 x1
6 x1
15 x1
+
+
+
+
+
60 x2
20 x2
12 x2
15 x2
10
0 x2
x1 40
x2 100
Objective Function
1800
1440
2040
2400
A
B
C
D
Structural
constraints
E
F
x1 0, x2 0
Where x1 is the quantity produced
from product Q, and x2 is the
quantity of product P
nonnegativity
71
Assignment:
Complete the
problem to find the
optimal solution
Max Q
E
200
D
160
120
Max P
80
40
0
B
0
40
(
1
)
Q
72
Possible Outcomes of an LP
1. Infeasible
2. Unbounded -