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DBM
Quantitative Techniques in Management
Semester - 1
Session - 9
OPERATION RESEARCH
Management Science
is the study and development of
techniques for the formulation and
analysis of management and related
business problems. Operations research
models are often helpful in this process.
Objective Coefficients
are the coefficients of the variables in the
objective function. In a production
problem these typically represent unit
profit or unit cost. In the conventional
literature these are known as the cs.
Technological Coefficients
also known as exchange coefficients,
these are the coefficients of the variables
in the constraints. In a production problem
these typically represent the unit resource
requirements. In the conventional
literature these are known as the as.
Canonical Form
refers to an LP problem with an objective
function, all of the variables are nonnegative and where all of the variables
and their coefficients are on the left-hand
sides of the constraints, and all of the
parameters are on the right-hand sides of
the constraints.
Standard Form
refers to an LP problem in canonical form.
In addition, all of the constraints are
expressed as equalities and every variable
is represented in the same order of
sequence on every line of the linear
programming problem.
Amount
Available
Table
Chair
Wood
30
20
300
Labor
10
110
Unit
Profit
MAX Z = 6 XT + 8 XC
s.t.
30 XT + 20 XC < 300
5 XT + 10 XC < 110
where: XT, XC > 0
Graphical LP Solution
Procedure
1)
2)
3)
4)
5)
6)
7)
8)
Exercises:
Use the graphical solution procedure to
determine the optimal solutions for the
following linear programming problems.
For each, show the feasible solution
region, the direction of improvement, the
most attractive corner, and solve for the
decision variables and the objective
function.
Problem #1
MIN Z = 3A 2B
s.t. 5A + 5B > 25
3A < 30
6B < 18
3A + 9B < 36
where: A, B > 0
A=2
B=3
Z=0
Problem #2
MAX Z = 6X 3Y
s.t. 2X + 2Y < 20
6X > 12
4Y > 4
4X + Y < 20
where: X, Y > 0
X = 19/4
Y=1
Z = 51/2
Problem #3
MAX Z = 5S 5T
s.t. 3T < 18
4S + 4T < 40
2S < 14
6S - 15T < 30
3S > 9
where: S, T > 0
S=7
T = 4/5
Z = 31
Special LP Cases
For each of the following problems use the
graphical solution procedure to try to
determine the optimal solutions. You may
find it difficult to proceed in some cases,
and in all cases the results are interesting.
In each case proceed as far as you can.
Special Case #1
MAX Z = 4X1 + 3X2
s.t.
INFEASIBLE Problem
Special Case #2
MAX Z = 4X1 + 3X2
s.t.
Redundant
Constraint
UNBOUNDED Problem
Special Case #3
MAX Z = 4X1 + 4X2
s.t.
X1= 3
X2 = 2
Z = 20
X1= 1
X2 = 4
Z = 20
Formulating LP Problems
As is true with most forms of decision
modeling, the most difficult aspect is
defining the problem. Once the problem is
defined the rest of the decision process
follows relatively easily. Formulate the
following as linear programming problems:
Problem #1
Acme Widgets produces four products: A, B, C and D. Each unit of
product A requires 2 hours of milling, one hour of assembly and $2
worth of in-process inventory. Each unit of product B requires one
hour of milling, 3 hours of assembly and $5 worth of in-process
inventory. Each unit of product C requires 2 1/2 hours of milling, 3 1/2
hours of assembly and $4 worth of in-process inventory. Finally, each
unit of product D requires 5 hours of milling, no assembly time and
$16 worth of in-process inventory. The firm has 1,200 hours of milling
time and 1,300 hours of assembly time available. Each unit of
product A returns a profit of $40; each unit of B has a profit of $36;
each unit of product C has a profit of $24; and each unit of product D
has a profit of $48. Not more than 120 units of product A can be sold
and not more than 96 units of product C can be sold. Any number of
units of products B and D may be sold. However, at least 100 units of
product D must be produced and sold to satisfy a contract
requirement. It is otherwise assumed that whatever is produced can
be sold. Formulate the above as a linear programming problem to
maximize profits to the firm.
Problem #2
The Thrifty Loan Company is planning its operations for the next year.
The company makes five types of loans. The loans are listed along
with the annual return on the loans:
Legal requirements and company policy place the following limits upon
the various types of loans:
Signature loans cannot exceed 10% of the total amount of loans. The
amount of signature and furniture loans together cannot exceed 20% of
the total amount of loans. First mortgages must be at least 40% of the
total mortgages and at least 20% of the total amount of loans. Second
mortgages may not exceed 25% of the total amount of loans. The firm
can lend a maximum of $1.5 million.
Formulate the above as a linear programming problem to maximize the
revenues from loans.
Problem #3
Roscoe owns a used furniture store. He has 500 square feet of
floor space available for new purchases. The following pieces
of furniture are available to him:
Roscoe does not want to stock more sofas than beds. For
each patio set stocked he wants to have at least one of
everything else. He has $450 allocated for these
purchases. Formulate the above as a linear programming
problem to maximize Joe's profit from his purchases.
Problem #4
The marketing department for Omni World Enterprises would like to allocate next year's
advertising budget among the various media to maximize the return to the firm. The
year's expenditures for advertising are not to exceed $2 million, with not more than
$1.1 million spent during the first six months. The media used are newspapers,
magazines, radio and television. Spending on the different media is restricted by the
following company policies:
1.
At least $200,000 is to be spent on newspapers and magazines combined in each
half of the year.
2.
At most, 80% of the advertising expenditures are to be spent on television in each
six-month period.
3.
At least $50,000 is to be spent on radio for the year.
4.
At least 25% of the advertising expenditures on television are to be spent in the
second six-month period.
Returns from a dollar spent on advertising in each medium are as follows:
Linear Programming
The Simplex Method
Important Note
Linear programming requires linear
inequalities
In other words, first degree inequalities
only! Good: ax + by + cz < 3
Bad: ax2 + log2y > 7
Brief History
Was not prominent until around 1947
Emerging computers made mathematical
modeling in decision making attractive.
Traditional Method
x = 1.71
y = .86
z = 4.29
Problems...
More variables?
Cannot eyeball the answer?
Simplex Method
George B. Dantzig in 1951
Need to convert equations
Slack variables
+ 2x + y = 0 (Objective Equation)
+ x + 5y = 8
+ 2x + 3y = 6
s2
s3 + 3x + y = 6
The Essence
Simplex method is an algebraic procedure
However, its underlying concepts are
geometric
Understanding these geometric concepts
helps before going into their algebraic
equivalents
Constraint boundaries
Feasible region
Corner-point solutions
Corner-point feasible (CPF)
solutions
Adjacent CPF solutions
Edges of the feasible region
X2
(0,9)
(0,6)
(2,6)
(4,6)
(4,3)
(0,0)
(4,0)
(6,0)
X1
Initialization
(Find initial CPF solution)
Is the
current
CPF
solution
No
optimal?
Move to a better
adjacent CPF solution
Yes
Stop
X2
(0,6)
Z=30
(2,6)
Z=36
(4,3)
Z=27
(0,0)
(4,0)
Z=0
Z=12
X1
Initial CPF
Optimality test
If not optimal, then move to a
better adjacent CPF solution:
Consider the edges that
emanate from current CPF
Move along the edge that
increases Z at a faster rate
Stop at the first constraint
boundary
Solve for the intersection of
the new boundaries
Back to optimality test
Key Concepts
Initial Assumptions
All constraints are of the form
All right-hand-side values (bj, j=1, ,m)
are positive
Augmented Form
Original Form
Maximize
subject to
x1
4
2x2 12
3x1+ 2x2 18
x1,x2 0
subject to
Z = 3x1+
x1
5x2
+s1
2x2 + s2= 12
3x1+2x2 + s3 = 18
x1,x2 0
=4
X2
(0,9,4,-6,0)
Maximize
Z=
subject to
3x1+
x1
+s1
3x1+
(0,6,4,0,6)
(2,6,2,0,0)
(2,3,2,6,6)
(4,6,0,0,-6)
(4,3,0,6,0)
(0,2,4,8,14)
(0,0,4,12,18)
(4,0,0,12,6)
5x2
2x2
2x2
+s2
+s3
=4
= 12
= 18
Augmented solution
(6,0,-2,12,0)
X1
Z = 3x1+ 5x2
x1
2x2
3x1+ 2x2
+s1
+s2
=4
= 12
+s3 = 18
Z = 3x1+ 5x2
x1
2x2
3x1+ 2x2
+s1
+s2
=4
= 12
+s3 = 18
Z = 3x1+ 5x2
x1
2x2
3x1+ 2x2
+s1
+s2
=4
= 12
+s3 = 18
Optimal?
Z = 3x1+ 5x2
x1
2x2
3x1+ 2x2
+s1
+s2
=4
= 12
+s3 = 18
Z = 3x1+ 5x2
subject to
x1
2x2
3x1+ 2x2
+s1
+s2
=4
= 12
+s3 = 18
(1)
(2)
(3)
Constraint (1):
Constraint (2):
Constraint (3):
3x1- 5x2
x1
2x2
3x1+ 2x2
=0
+s1
+s2
=4
= 12
+s3 = 18
(0)
(1)
(2)
(3)
3x1+
+ 5/2 s2
x1
+s1
x2
3x1
+ 1/2 s2
- s2
= 30
=4
=6
+ s3 = 6
(0)
(1)
(2)
(3)
3x1+
+ 5/2 s2
x1
+s1
x2
3x1
+ 1/2 s2
- s2
= 30
=4
=6
+ s3 = 6
(0)
(1)
(2)
(3)
3x1+
+ 5/2 s2
x1
+s1
x2
3x1
+ 1/2 s2
- s2
= 30
=4
=6
+ s3 = 6
(0)
(1)
(2)
(3)
3x1+
+ 5/2 s2
x1
+s1
x2
3x1
+ 1/2 s2
- s2
= 30
=4
=6
+ s3 = 6
(0)
(1)
(2)
(3)
+ 3/2 s2 + s3
+s1
x2
x1
= 36
+ 1/3 s2 - 1/3 s3 = 2
+ 1/2 s2
=6
- 1/3 s2 + 1/3 s3 = 2
(0)
(1)
(2)
(3)
Wyndor Glass
Z-
3x1 - 5x2
x1
=0
+s1
2x2
3x1+ 2x2
+s2
(0)
=4
= 12
+s3 = 18
(1)
(2)
(3)
x1
x2
s1
s2
s3
r.h.s.
x1
x2
s1
s2
s3
r.h.s.
-3
-5
s1
s2
12
s3
18
Optimality test (If all the coefficients of the cost function are non-negative)
Entering variable (steepest ascent) pivot column (The most negative in the cost function) (-5 is the most negative, x2 is the pivot column))
Leaving variable (minimum ratio test) pivot row (r.h.s./pivot column, pick least positive) (Ratios are 0/-5, 4/0, 12/2), minimun is 6(2 is pivot element)
s2 is leaving variable and x2 is entering variable.
Make the pivot element 1 by making row operations and other elements in the pivot coloumn as 0)
Gaussian elimination
x1
x2
s1
s2
s3
r.h.s.
-3
-5
s1
s2
12
s3
18
Basic
variable
x1
x2
s1
s2
s3
r.h.s.
-3
5/2
30
s1
x2
1/2
s3
-1
Basic
variable
x1
x2
s1
s2
s3
r.h.s.
-3
5/2
30
s1
x2
1/2
s3
-1
Optimality test (If all the coefficients of the cost function are non-negative)
Entering variable (steepest ascent) pivot column (The most negative in the cost
function) (-3 is the most negative, x1 is the pivot column))
Leaving variable (minimum ratio test) pivot row (r.h.s./pivot column, pick least
positive) (Ratios are 4/1, 6/0, 6/3), minimun is 2 (3 is pivot element)
s3 is leaving the basis and x1 is entering variable in the basis.
Make the pivot element 1 by making row operations and other elements in the pivot
coloumn as 0)
Gaussian elimination
x1
x2
s1
s2
s3
r.h.s.
3/2
36
s1
1/3
-1/3
x2
1/2
x1
-1/3
1/3
If there is a tie for the leaving variable, theoretically the way in which
the tie is broken is important
The method can get trapped in an infinite loop (cycling under
degeneracy)
Beyond the scope of this class
Duality of LP problems
Primal
Dual
Maximization
Minimization
Minimization
Maximization
ith variable
ith constraint
jth constraint
jth variable
xi > 0
Primal
Dual
Note:
Before finding its dual, all the constraints should be
transformed to less-than-equal-to or equal-to type for
maximization problem and to greater-than-equal-to or
equal-to type for minimization problem.
It can be done by multiplying with -1 both sides of the
constraints, so that inequality sign gets reversed.
Primal
Dual
Maximize Z 4 x1 3 x 2
Minimize
Subject to
Subject to
2
x 2 6000
3
x1 x 2 2000
x1
x1 4000
x1 unrestricted
x2 0
y1 y 2 y 3 4
2
y1 y 2 3
3
y1 0
y2 0
y3 0
Primal-Dual relationships
If one problem (either primal or dual) has an optimal
feasible solution, other problem also has an optimal
feasible solution. The optimal objective function value is
same for both primal and dual.
If one problem has no solution (infeasible), the other
problem is either infeasible or unbounded.
If one problem is unbounded the other problem is
infeasible.
4.