Chapter 1: Introduction

1.1. Development of operation research

1.2. Definitions and scope of operations research
1.3. Overview of the operations research modeling approach
1.4. Applications of operations research

Chapter 2:Linear Programming

2.1. Basic Concepts in Linear Programming
2.2. Formulations of LP
2.2. Assumptions of linear programming
2.3. Methods of Solving LP
2.3.1. The Graphic Method
2.3.2. The Simplex Method
2.4. Tie Breaking in simplex method
2.5. The artificial variable (The Big M) technique
2.6. Minimization

Chapter 3: Duality theory and sensitivity analysis

1.1. The essence of Duality theory
1.2. Economic interpretation of Duality
1.3. Primal-Dual relationship
1.4. The role of duality theory in sensitivity analysis
1.5. Sensitivity analysis
Chapter 4: Integer Programming
4.1. Need For Integer Programming
4.2. Gomory’s Fractional Method
4.3. Branch- and- Bound Method

Chapter 5: Special types of linear programming

5.1. Transportation problem
5.1.1. Formulation/construction of the model
5.1.2. Methods of solving Transportation problems
5.1.3. Special Cases in Transportation problem
5.2. Assignment problem
5.2.1. Formulation/construction of the model
5.2.2. Methods of solving assignment problems
5.2.3. Special cases in assignment problems
Chapter 6: Network Analysis with CPM and PERT
6.1. Basic concepts on net work
6.2. The critical path method (CPM)
6.3. Program evaluation and review technique (PERT)
 Chapter 1: Introduction

Origin and Development of operation research:

The formal activities of Operations Research (OR) were initiated in

England during World War II when a team of British scientists set out to
make decisions regarding the best utilization of war material. Following
the end of the war, the ideas advanced in military operations were
adapted to improve efficiency and productivity in the civilian sector.
Today, OR is a dominant and indispensable decision making tool.
•In 1948, an OR club was formed in England which later changed its
name to the Operations research society of UK.

•In 1952, the operations research society of America (ORSA) was

founded.

•In 1953, The institute of management science (TIMS) was founded as

international society to identify, extend and unify scientific knowledge
pertaining to management.
• In India OR came into existence in1949, an OR unit was established
at Regional Research Laboratory, Hyderabad for planning &
organizing research. At the same time Prof. RS verma also setup an
OR team at defense science laboratory to solve problems of store,
purchase & planning.

• In 1953, Prof. P.C.Mahalanobis established an OR team in the Indian

Statistical Institute, Kolkata to solve problems related to national
planning & survey. In 1957 Operations Research Society of India
(ORSI) was founded.
 The nature of operations research

 As its name implies, operations research involves “research on operations.”

 Thus, operations research is applied to problems that concern how to conduct and
coordinate the operations (i.e., the activities) within an organization.

 The nature of the organization is essentially immaterial, and, in fact, OR has been
applied extensively in such diverse areas as manufacturing, transportation,
construction, telecommunications, financial planning, health care, the military, and
public services, to name just a few.

 Therefore, the breadth of application is unusually wide.

The operation research can be defined as:
(i) It is the application of scientific methods, techniques and tools to problems
involving the operations of a system so as to provide those in the control of the
system with optimum solutions to the problems.

(ii) O.R. is a tool for taking decisions which searches for the optimum results in
parity with the overall objectives and constraints of the organization.

(iii) O.R. is a scientific method of providing executive department with a

quantitative basis of decisions regarding the operations under their control based
on the scientific method of analysis.
• OR is a science of Optimization; Optimization means maximizing profits and
minimizing cost.

• OR is the systematic method oriented study of the basic structure,

characteristic, functions and relationships of an organization to provide the
executive with a sound, scientific and quantitative basis for decision making.
• Operations Research is the research of operations. An operation may be
called a set of acts required for the achievement of a desired outcome.
• OR is a scientific approach to problem solving for executive management.
(H.M. Wagner)
 Phases in Operation Research Study:
The main objective of operation research is to provide better quantitative
information’s for making decision.

 The procedure for making decisions with the OR study generally involves
the following three phases:
(i) Judgment Phase:
i. Determination of operation.
ii. Determination of objectives.
iii. Determination of effectiveness of measures.
iv. Determination of type of problem, its origin and causes.
(ii) Research Phase:
i. Observation and data collection for better understanding of the problem.
ii. Formulation of relevant hypothesis and models.
iii. Analysis of available information and verification of hypothesis.
iv. Production and generation of results and consideration of alternatives.

(iii) Action Phase:

i. Recommendations for remedial action to those who first posed the
problem, this includes the assumptions made, scope and limitations, alternative
courses of ac­tion and their effect.

ii. Putting the solution to work: implementation.

  Scope of Operation Research:

1. In Agriculture
• Optimum allocation of land to various crops in accordance with the
climate conditions.
• Optimum distribution of water from various resources like canal for
irrigation purposes.
2. In Finance
• to maximize the per capita income with minimum resources.
• to find out the profit plan for the company
• to determine the best replacement policies
3. In Industry
• for deciding optimum allocation of various limited resources such as
men, machines, material, money, time etc.
• Complexity, Scattered Responsibility
• Knowledge Explosion
4. In Marketing
• Where to distribute the products for sale so that the total cost of
transportation is minimum
• the minimum per unit sale price ?
• the size of the stock to meet the future demand ?
• how to select best adv. media w.r.t. time, cost etc. ?
• how, when & what to purchase at the minimum possible cost ?
5. In Personnel Management
• to appoint the most suitable person on minimum salary.
• to determine the best age of retirement for the employees.
• to find out the no. of persons to be appointed on full time basis when
the workload is seasonal.
6. In production Management
• to find out the no. & size of items to be produced.
• in scheduling & sequencing the production run by proper allocation of machines.
• in calculating the optimum product mix.
• to select, locate & design the sites for the production plants.
Main characteristics of operations research (O.R.) are follows:
(i) Inter-Disciplinary Team Approach:
This requires an inter-disciplinary team includ­ing individuals with
skills in mathematics, statistics, economics, engineering, mate­rial
sciences, computer etc.
(ii) Holistic Approach to the System:
While evaluating any decision, the important interactions and their impact on
the whole organization against the functions originally involved are reviewed.

(iii) Methodological Approach:

O.R. utilizes the scientific method to solve the problem

(iv) Objective Approach:

O.R. attempts to find the best or optimal solution to the prob­lem under
consideration, taking into account the goals of the organization.
  Methodology of Operation Research:
Operation Research, is a scientific approach for decision-making, and
therefore must follow following steps:
1. Formulating the Problem:
The problem must be first clearly defined. It is common to start the O.R. study
with tentative formulation of the problem, which is reformulated over and again
during the study. The study must also consider economical aspects.
While formulating the O.R. study, analysts must analyze following major
components:

(i) The environment:

Environment involves physical, social and economical factors which are likely
to affect the problem under consideration.
(ii) Decision-makers:
Operation analyst must study the decision-maker and his rela­tionship to the
problem at hand.

(iii) Objectives:
Considering the problem as whole, objectives should be defined.

(iv) Alternatives:
The O.R. study determines as to which alternative course of action is most
effective to achieve the desired objectives. Expected reactions of the
competitors to the alternative must also be considered.
2. Deriving Solution:
Models are used to determine the solution either by simulation or by
mathematical analysis.

Mathematical analysis for deriving optimum solution includes ana­lytical or

numerical procedure, and uses various branches of mathematics.

3. Testing the Model and Solution:

A properly formulated and correctly manipulated model is useful in predicting
the effect of changes in control variables on the overall system effectiveness.

The validity of the solution is checked by comparing the results with those ob­
tained without using the model.
4. Establishing Controls over the Solution:
The solution derived from a model remains effective so long as the uncontrolled
variables retain their values and the relationship.

5. Implementing the Solution:

Solution so obtained should be translated into operating procedure to make it
easily understandable and applied by the concerned persons.

After apply­ing the solution to the system, O.R. group must study the response of
the system to the changes made.
 Operation Research Models:
Operation Research model is an idealized representation of the real life situation
and repre­sents one or more aspects of reality.
Objective of the model is to provide a means for analyzing the behavior of the
system for improving its performance.
Classification of Models:
The models we use in operations research may broadly classified as:.

Descriptive and Mathematical Models

(i) Descriptive Model

A descriptive model explains or gives a description of the system giving
various variables, constraints and objective of the system or problem.
Below the statement of the problem, which is exactly a descriptive model.
The drawback of this model is as we go on reading and proceed;

it is very difficult to remember about the variables and constraints, in case

the problem or description of the system is lengthy one.

It is practically impossible to keep on reading, as the manager has to

decide the course of action to be taken timely.

Hence these models, though necessary to understand the system, have

limited use as far as operations research is concerned.

The general form of a descriptive Model

Statement: A company manufactures two products X and Y, by using the three

machines A, B, and C.

Each unit of X takes 1 hour on machine A, 3 hours on machine B and 10 hours

on machine C.

 Similarly, product Y takes one hour, 8 hours and 7 hours on Machine A, B, and

C respectively.

In the coming planning period, 40 hours of machine A, 240 hours of machine
Each unit of X brings a profit of Rs 5/- and Y brings Rs. 7 per unit.

 How much of X and Y are to be manufactured by the company for

maximizing the profit?

The team of specialists prepares this statement after studying the system.

 As per requirement this must include the variables, constraints, and

objective function.
(ii) Mathematical Model

• Below we have identified the variables, constraints and objective in

the problem statement and given them mathematical symbols x and y
and a model is built in the form of an inequality of ≤ type.

• Objective function is also given. This is exactly a mathematical

model, which explains the entire system in mathematical language,
and enables the operations research person to proceed towards
solution.
• The general form of a mathematical model is:

• Maximise Z = 5x + 7y OBJECTIVE FUNCTION.

• 1x + 1y ≤ 40

• 3x + 8y ≤ 240 CONSTRAINTS FUNCTION.

• 10x + 7y ≤ 350 and

• Both x and y are ≥ 0 NON-NEGATIVITY CONSTRAINT

• Since model is only an approximation of the real situation, hence it

may not include all the variables
Applications of Operation Research:
These techniques are applied to a very wide range of problems.
Here only some of the common applications are being mentioned:
(i) Distribution or Transportation Problems:
In such problems, various centers with their demands are given and various
warehouses with their stock positions are also known, then by using linear
programming technique, we can find out most economical distribution of the
products to various centers from various warehouses.

(ii) Product Mix:

These techniques can be applied to determine best mix of the products for a
plant with available resources, so as to get maximum profit or minimum cost of
produc­tion.
(iii) Production Planning:
These techniques can also be applied to allocate various jobs to different
machines so as to get maximum profit or to maximize production or to
minimize total production time.

(iv) Assignment of Personnel:

Similarly, this technique can be applied for assignment of different personnel
with different aptitude to different jobs so as to complete the task within a
minimum time.

(v) Agricultural Production:

We can also apply this technique to maximize cultivator’s profit, involving
cultivation of number of items with different returns and cropping time in
different type of lands having variable fertility.
(vi) Financial Applications:
Many financial decision making problems can be solved by using linear
programming technique.

Some of them are:

(i) To select best portfolio in order to maximize return on investment out of
alternative investment opportunities like bonds, stocks etc.

Such problems are generally faced by the managers of mutual funds, banks and
insurance companies.

(ii) In deciding financial mix strategies, involving the selection of means for
financing firm, projects, inventories etc.
 Chapter 2:

Linear Programming Models (Resource Allocation Models)

2.1. INTRODUCTION.
A model, which is used for optimum allocation of scarce or limited
resources to competing products or activities under such assumptions as
certainty, linearity, fixed technology, and constant profit per unit, is linear
programming.
Linear Programming is one of the most versatile, powerful and useful
techniques for making managerial decisions.
Linear Programming Technique are used for solving operation problems having
many variables subject to certain restrictions.

In such problems, objectives are—profit, costs, quantities manufactured etc.

whereas restrictions may be e.g. policies of government, capacity of the plant,
demand of the product, availability of raw materials, water or power and storage
capacity etc.

Whenever we want to allocate the available limited resources for various

competing activities for achieving our desired objective, the technique that helps

us is LINEAR PROGRAMMING
Linear programming uses a mathematical model to describe the problem of
concern.

The adjective linear means that all the mathematical functions in this model are
required to be linear functions.

The word programming does not refer here to computer programming; rather,
it is essentially a synonym for planning.

Thus, linear programming involves the planning of activities to obtain an

optimal result, i.e., a result that reaches the specified goal best (according to the
mathematical model) among all feasible alternatives.
 2.2. Properties of linear programming model

Any linear programming model (problem) must have the following properties:
(a) The relationship between variables and constraints must be linear.
(b) The model must have an objective function.
(c) The model must have structural constraints.
(d) The model must have non-negativity constraint.
2.2.1. General Linear Programming Problem
A general mathematical way of representing a Linear Programming Problem
(L.P.P.) is as given below:

Z = c1x1 + c2 x2 + … cn xn subjects to the conditions, OBJECTIVE FUNCTION

a11x1 + a12 x2 + a13 x3 + …+ a1j xj (≥, =, ≤) b1 Structural Constraints

a21 x1 + a22 x2 + a23 x3 + …+ a2j xj ( ≥, =, ≤) b2

am1x1 + am2x2 + am3x3 +…+ amj xj (≥, =, ≤) bm

and all xj are ≥0 NON NEGETIVITY CONSTRINT.

Where j = 1, 2, 3, … n and m= 1,2……n

all cj s, bi s and aij s are constants and xj s are decision variables.

To show the relationship between left hand side and right hand side the

symbols ≤ , = , ≥ are used.

Any one of the signs may appear in real problems.

Generally ≤ sign is used for maximization Problems and ≥ sign is used

for minimization problems and in some problems, which are known as

mixed problems we may have all the three signs.
The word optimize in the above model indicates either maximize or minimize.

The linear function, which is to be optimized, is the objective function.

The inequality conditions shown are constraints of the problem.

Finally all xi s should be positive, hence the non-negativity function.

The steps for formulating the linear programming are:

1. Identify the unknown decision variables to be determined and assign

symbols to them.

2. Identify all the restrictions or constraints in the problem and express

them as linear equations or inequalities of decision variables.

3. Identify the objective or aim and represent it also as a linear function of

decision variables.
 Construct linear programming model for the following problems:
Example 2.1. A company manufactures two products X and Y, which require, the
following resources. The resources are the capacities machine M1, M2, and M3.
The available capacities are 50, 25, and 15 hours respectively in the planning
period. Product X requires 1 hour of machine M2 and 1 hour of machine M3.
Product Y requires 2 hours of machine M1, 2 hours of machine M2 and 1 hour of
machine M3. The profit contribution of products X and Y are Rs.5/- and Rs.4/-
respectively.
In the above problem, Products X and Y are competing candidates or
variables.

Machine capacities are available resources.

Profit contribution of products X and Y are given.

To formulate the model, let the company manufactures x units of X and y units
of Y. As the profit contributions of X and Y are Rs.5/- and Rs. 4/- respectively.

The objective of the problem is to maximize the profit Z, hence objective

function is:
2.2.1. Basic Assumptions
The following are some important assumptions made in formulating a linear
programming model: .

1. It is assumed that the decision maker here is completely certain (i.e.,

deterministic conditions) regarding all aspects of the situation, i.e., availability
of resources, profit contribution of the products, technology, courses of action
and their consequences etc.

2. It is assumed that the relationship between variables in the problem and the
resources available i.e., constraints of the problem exhibits linearity.
3. We assume here fixed technology. Fixed technology refers to the fact that the
production requirements are fixed during the planning period and will not change
in the period.

4. It is assumed that the profit contribution of a product remains constant,

irrespective of level of production and sales.

5. It is assumed that the decision variables are continuous. It means that the
companies manufacture products in fractional units. For example, company
manufacture 3.2 barrels of oil etc. This is referred to as the assumption of
divisibility.
6. It is assumed that only one decision is required for the planning period.

This condition shows that the linear programming model is a static model,

which implies that the linear programming problem is a single stage decision
problem. (Note: Dynamic Programming problem is a multistage decision
problem).

7. All variables are restricted to nonnegative values (i.e., their numerical value
will be ≥ 0).
2.3. Maximization models
Example 2. A retail store stocks two types of shirts A and B. These are packed in
attractive cardboard boxes. During a week the store can sell a maximum of 400
shirts of type A and a maximum of 300 shirts of type B. The storage capacity,
however, is limited to a maximum of 600 of both types combined. Type A shirt
fetches a profit of Rs. 2/- per unit and type B a profit of Rs. 5/- per unit.

Formulate a mathematical model of the problem.

Solution: Here shirts A and B are problem variables. Let the store stock ‘a’ units
of A and ‘b’ units of B. As the profit contribution of A and B are Rs.2/- and Rs.5/-
respectively, objective function is:
Maximize Z = 2a + 5b subjected to condition (s.t.)
Structural constraints are, stores can sell 400 units of shirt A and 300 units of
shirt B and the storage capacity of both put together is 600 units. Hence the
structural constraints are:
1a + 0b ≤ 400 and 0a + 1b ≤ 300 for sales capacity and
1a + 1b ≤ 600 for storage capacity.

And non-negativity constraint is both a and b are ≥ 0. Hence the model is:
Maximize Z = 2a + 5b s.t.
1a + 0b ≤ 400
0a + 1b ≤ 300
1a + 1b ≤ 600 and
Both a and b are ≥ 0.
2.4. Minimization models
Example 3. A patient consult a doctor to check up his ill health. Doctor examines
him and advises him that he is having deficiency of two vitamins, vitamin A and
vitamin D. Doctor advises him to consume vitamin A and D regularly for a
period of time so that he can regain his health. Doctor prescribes tonic X and
tonic Y, which are having vitamin A, and D in certain proportion. Also advises
the patient to consume at least 40 units of vitamin A and 50 units of vitamin D
daily. The cost of tonics X and Y and the proportion of vitamin A and D that
present in X and Y are given in the table below.

Formulate L.P.P. to minimize the cost of tonics.

2.5. Methods for the solution of a linear programming problem
 Linear Programming, is a method of solving the type of problem in which
two or more candidates or activities are competing to utilize the available
limited resources, with a view to optimize the objective function of the
problem.

 The objective may be to maximize the returns or to minimize the costs.

 The various methods available to solve the problem are:

1. The Graphical Method when we have two decision variables in the problem.
 (To deal with more decision variables by graphical method will become
complicated, because we have to deal with planes instead of straight lines.

 Hence in graphical method let us limit ourselves to two variable problems.

2. The Systematic Trial and Error method, where we go on giving various

values to variables until we get optimal solution.

 This method takes too much of time and laborious, hence this method is not
discussed here.
3. The Vector method. In this method each decision variable is considered as a
vector and principles of vector algebra is used to get the optimal solution.

 This method is also time consuming, hence it is not discussed here.

4. The Simplex method. When the problem is having more than two decision
variables, simplex method is the most powerful method to solve the problem.
2.5.1. Graphical Method
 In graphical method, the inequalities (structural constraints) are considered to
be equations.

This is because; one cannot draw a graph for inequality.

Only two variable problems are considered, because we can draw straight
lines in two-dimensional plane (X- axis and Y-axis).
 The characteristics of Graphical method are:
(i) Generally the method is used to solve the problem, when it involves two
decision variables.

(ii) For three or more decision variables, the graph deals with planes and
requires high imagination to identify the solution area.

(iii) Always, the solution to the problem lies in first quadrant.

(iv) This method provides a basis for understanding the other methods of
solution.
Example. A company manufactures two products, X and Y by using three machines A, B,
and C.

Machine A has 4 hours of capacity available during the coming week.

Similarly, the available capacity of machines B and C during the coming week is 24 hours
and 35 hours respectively.

One unit of product X requires 1 hour of Machine A, 3 hours of machine B and 10 hours
of machine C.

Similarly one unit of product Y requires 1 hour, 8 hour and 7 hours of machine A, B and C
respectively.

When one unit of X is sold in the market, it yields a profit of Rs. 5/- per product and that
of Y is Rs. 7/- per unit.


Machine B When x = 0 , y = 24/8 = 3 and when y = 0 x = 24/3 = 8
Machine C When x = 0, y = 35/10 = 3.5 and when y = 0, x = 35 / 7 = 5.
These values we can plot on a graph, taking product X on x-axis and product Y
on y- axis.
 The above Figure 2.5 shows the feasible area for all the three machines
combined.

This is the fact because a products X and Y are complete when they are
processed on machine A, B, and C.

The area covered by all the three lines PQ. RS, and TU form a closed polygon
is the feasible area for the three machines.

This means that all the points on the lines of polygon and any point within the
polygon satisfies the inequality conditions of all the three machines.
 To find the optimal solution, we use the following method

 Here we find the co-ordinates of corners of the closed polygon ROUVW

and substitute the values in the objective function.

In maximization problem, we select the co-ordinates giving maximum

value.

And in minimization problem, we select the co-ordinates, which gives

minimum value.
In the problem the co-ordinates of the corners are: R = (0, 3.5), O = (0,0), U =
(3.5,0), V = (2.3, 1.6) and W = (1.6,2.4). Substituting these values in objective
function:
• Z (0, 3.5) = 5 × 0 + 7 × 3.5 = Rs. 24.50, at point R
• Z (0, 0) = 5 × 0 + 7 × 0 = Rs. 00.00, at point O
• Z (3.5, 0) = 5 × 3.5 + 7 × 0 = Rs. 17.5 at point U
• Z (2.3, 1.6) = 5 × 2.5 + 7 × 1.5 = Rs. 22.70 at point V
• Z (1.6, 2.4) = 5 × 1.6 + 7 × 2.4 = Rs. 24.80 at point W

 Hence the optimal solution for the problem is company has to manufacture
1.6 units of product X and 2.4 units of product Y, so that it can earn a
maximum profit of Rs. 24.80 in the planning period.
2. Linear Programming Models Solution by Simplex Method
 As discussed earlier, there are many methods to solve the Linear Programming Problem,
such as
 Graphical Method,

 Trial and Error method,

 Vector method and

 Simplex Method.

Though we use graphical method for solution when we have two problem variables, the
other method can be used when there are more than two decision variables in the problem
 Among all the methods, SIMPLEX METHOD is most powerful method.

 The Simplex tableau is optimal, if in the 0th row there are no negative
coefficients in any NBVs.

If the tableau is optimal the algorithm terminates, and the optimal value and
decision can be read from the BV and RHS columns.
• Determine the leaving variable In Step 3 we chose some variable to enter as a new
BV. Now we have to make one of the old BVs to leave to be a NBV. Now each BV in a
Simplex tableau is associated to some row. The leaving BV will the one associated to
the row that wins the ratio test (the smallest value is the winner)

RHS of row
Coefficient of entering variable in row

The idea of the ratio test is, that we shall increase the entering variable as much as
possible. At some point the increasing of the entering variable will force one of the BVs
to become zero. This BV will then leave. The ratio test picks up the row associated to the
leaving variable.
 Determine the entering variable If the BFS is not optimal, we have to change
the BVs. One of the NBVs will become a BV (entering), and one of the old BVs
will become a NBV (leaving).

The entering variable will be the one with smallest coefficient in the 0th row.
Indeed, this way we increase the value of the objective z the most
Comparisons between graphical and simplex methods
1. The graphical method is used when we have two decision variables in the
problem.
 Whereas in Simplex method, the problem may have any number of decision
variables.

2. In graphical method, the inequalities are assumed to be equations, so as to

enable to draw straight lines.

 But in Simplex method, the inequalities are converted into equations by:
Adding a SLACK VARIABLE in maximisation problem and
subtracting a SURPLUS VARIABLE in case of minimisation problem.
3. In graphical solution the Isoprofit line moves away from the origin to towards
the far off point in maximisation problem and

 In minimisation problem, the Isocost line moves from far off distance towards
origin to reach the nearest point to origin.

4. In graphical method, the areas outside the feasible area (area covered by all the
lines of constraints in the problem) indicates idle capacity of resource

 Where as in Simplex method, the presence of slack variable indicates the idle
capacity of the resources.
5. In graphical solution, if the isoprofit line coincides with more than one point of
the feasible polygon, then the problem has second alternate solution.

 In case of Simplex method if the net evaluation row has zero for non-basis
variable the problem has alternate solution.
  Basic Linear Algebra
 Matrices and Vectors
Matrices
D E F I N I T I O N ■ A matrix is any rectangular array of numbers. ■
  Matrix Operations
o The Scalar Multiple of a Matrix
Given any matrix A and any number c (a number is sometimes referred to as a scalar), the matrix cA is
obtained from the matrix A by multiplying each element of A by c. For example,
o Addition of Two Matrices
 MAXIMISATION CASE

Problem : A factory manufactures two products A and B on three machines X, Y,

and Z. Product A requires 10 hours of machine X and 5 hours of machine Y a one
our of machine Z. The requirement of product B is 6 hours, 10 hours and 2 hours
of machine X, Y and Z respectively. The profit contribution of products A and B
are birr. 23/– per unit and birr. 32 /– per unit respectively. In the coming planning
period the available capacity of machines X, Y and Z are 2500 hours, 2000 hours
and 500 hours respectively. Find the optimal product mix for maximizing the
profit by simplex methods .
 Let the company manufactures a units of A and b units of B. Then the
inequalities of the constraints (machine capacities) are:
 Now the above inequalities are to be converted into equations.

 Take machine X: One unit of product A requires 10 hours of machine X and

one unit of product B require 6 units.

 But company is manufacturing a units of A and b units of B, hence both put

together must be less than or equal to 2,500 hours.

 Suppose a = 10 and b = 10 then the total consumption is 10 × 10 + 6 × 10 =

160 hours. That is out of 2,500 hours, 160 hours are consumed, and 2,340 hours
are still remaining idle.
 So if we want to convert it into an equation then 100 + 60 + 2,340 = 2,500.

 As we do not know the exact values of decision variables a and b how much to
add to convert the inequality into an equation.

 For this we represent the idle capacity by means of a SLACK VARIABLE

represented by S.

 Slack variable for first inequality is S1, that of second one is S2 and that of
‘n’th inequality is Sn.
 Regarding the objective function, if we sell one unit of A it will fetch the
company Rs. 23/– per unit and that of B is Rs. 32/– per unit.

 If company does not manufacture A or B, all resources remain idle. Hence the
profit will be Zero birr.

 This clearly shows that the profit contribution of each hour of idle resource is
zero.
 In Linear Programming language, we can say that the company has capacity of
manufacturing 2,500 units of S1, i.e.,

 S1 is an imaginary product, which require one hour of machine X alone.

 Similarly, S2 is an imaginary product requires one hour of machine Y alone

 and S3 is an imaginary product, which requires one hour of machine Z alone.

 In simplex language S1, S2 and S3 are idle resources.

 The profit earned by keeping all the machines idle is Rs.0/–.

 Hence the profit contributions of S1, S2 and S3 are Rs.0/– per unit.
 By using this concept, the inequalities are converted into equations as shown
below:

 In Simplex version, all variables must be available in all equations. Hence

the Simplex format of the model is:
 The interpretation of the elements in the first table
1. In the first column, programme column, are the problem variables or basis
variables that are included in the solution or the company is producing at
the initial stage. These are S1, S2 and S3, which are known as basic
variables.

2. The second column, labeled as Profit per unit in birr shows the profit co-
efficient of the basic variables i.e., Cb.

3. In the quantity column, that is 3rd column, the values of the basic variables in
the programme or solution i.e, S1, S2 and S3 i.e., 2500, 2000 and 500
respectively. The variables that are not present in this column are known as
non-basic variables. The values of non-basis variables are zero.
4. In any programme, the profit contribution, resulting from manufacturing the
quantities of basic variables in the quantity column is the sum of product of
quantity column element and the profit column element. In the present table
the total profit is Z = 2500 × 0 + 2000 × 0 + 500 × 0 = Rs. 0.00.

5. The number in the net evaluation row, Cj – Zj row gives the net effect of
exchange between one unit of each variable and basic variables.

 In general, select the variable, which is having higher opportunity cost as the
incoming variable (or select the variable, which is having highest positive
number in the net evaluation row.

 Hence the opportunity cost of product ‘b’ is higher than that of ‘a’, hence ‘b’
will be the incoming variable. This column is known as KEY COLUMN.
 Divide the capacity column elements by key column numbers to get
REPLACEMENT RATIO COLUMN ELEMENTS, which show that how
much of variable ‘b’ can be manufactured in each department, without violating
the given constraints.

 Select the lowest replacement ratio and mark a tick (√) at the end of the row,
which indicates OUT GOING VARIABLE/ KEY ROW. In the problem 200
units is the limiting ratio, which falls against S2, i.e., S2 is the outgoing
variable.
 This means that the entire capacity of machine Y is utilized.

 By manufacturing 200 units of ‘b’,

 6 × 200 = 1200 hours of machine X is consumed and
 2 × 200 = 400 hours of machine Z is consumed.
 Still 2500 –1200 = 1300 hours of machine X and
 500 – 400 = 100 units of machine Z remains idle

 The element at the intersection of key column and key row is known as KEY
NUMBER. This is known as key number because with this number we have to
get the next table.
 For getting the revised programme, we have to transfer the rows of table 1 to
table 2. To do this the following procedure is used.

Step 1: To Write the incoming variable ‘b’ in place of out going variable S2.
Enter the profit of ‘b’ in profit column. Do not alter S1 and S3. While doing so
DO NOT ALTER THE POSITION OF THE ROWS.

Step 2: Transfer of key row: DIVIDE ALL ELEMENTS OF KEY ROW BY

RESPECTIVE KEY COLUMN NUMBER.
Step 3: Transfer of Non-Key rows: NEW ROW NUMBER = (old row number –
corresponding key row number) × fixed ratio.
Fixed ratio = Key column number of the row/key number.

Step 4: Elements of Net evaluation row are obtained by: Objective row element
at the top of the row – Σ new key column element × new profit column element.

Step 5: Select the highest positive element in net evaluation row or highest
opportunity cost and mark the column by an arrow to indicate key column
(incoming variable).
Step 6: Find the replacement ratios by dividing the capacity column element in
the row by key column element of the same row and write the ratios in
replacement ratio column. Select the limiting (lowest) ratio and mark with a tick
mark to indicate key row (out going variable).

 The element at the intersection of key column and key row is known as key
number.

 Continue these steps until we get:

(i) For maximisation problem all elements of net evaluation row must be either
zeros or negative elements.
(ii) For Minimisation problem, the elements of net evaluation row must be either
zeros or positive elements.
ASSIGNMENT
 CHAPTER 3
DUALITY THEORY AND SENSITIVITY ANALYSIS
 One of the most important discoveries in the early development of linear
programming was the concept of duality and its many important ramifications.

 This discovery revealed that every linear programming problem has associated
with it another linear programming problem called the dual.

 The relationships between the dual problem and the original problem (called
the primal) prove to be extremely useful in a variety of ways.
 One of the key uses of duality theory lies in the interpretation and
implementation of sensitivity analysis.

 Sensitivity analysis is a very important part of almost every linear

programming study.

 Because most of the parameter values used in the original model are just
estimates of future conditions, the effect on the optimal solution if other
conditions prevail instead needs to be investigated.
 The dual problem uses exactly the same parameters as the primal problem,
but in different locations.
 Consequently,

(1) The parameters for a constraint in either problem are the coefficients of
a variable in the other problem and

(2) The coefficients for the objective function of either problem are the
right sides for the other problem.
 Primal-Dual Relationships

 Weak duality property: If x is a feasible solution for the primal problem and

y is a feasible solution for the dual problem, then cx ≤ yb

 Strong duality property: If x* is an optimal solution for the primal problem

and y* is an optimal solution for the dual problem, then cx* = y*b.
 Complementary solutions property (CSP): At each iteration, the simplex
method simultaneously identifies a feasible solution x for the primal problem

and a complementary solution y for the dual problem, where cx = yb.

 Complementary optimal solutions property: At the final iteration, the

simplex method simultaneously identifies an optimal solution x* for the

primal problem and a complementary optimal solution y* for the dual problem,

where cx* = y*b.

 Therefore, If x is not optimal for the primal problem, then y is not feasible

for the dual problem.

Symmetry property: For any primal problem and its dual problem, all
relationships between them must be symmetric because the dual of this dual
problem is this primal problem.
 Economic interpretation of duality

The economic interpretation of duality is based directly upon the typical

interpretation for the primal problem (linear programming problem in our
standard form).
 The role of duality theory in sensitivity analysis

 A knowledge of sensitivity analysis often enables the analyst to determine

from the original solution how changes in an LP’s parameters change its
optimal solution.

 Sensitivity analysis basically involves investigating the effect on the optimal

solution of making changes in the values of the model parameters aij, bi, and

cj.
 However, changing parameter values in the primal problem also changes
the corresponding values in the dual problem. Because of the primal-dual
relationships it is easy to move back and forth between the two problems as
desired.

In some cases, it is more convenient to analyze the dual problem directly in
order to determine the complementary effect on the primal problem.
 Therefore, one main purpose of sensitivity analysis is to identify the sensitive
parameters (i.e., the parameters whose values cannot be changed without
changing the optimal solution).
ASSIGNMENT
Convert the following dual problem to their respective primal problem.
1. 2.
 CHAPTER 4
INTEGER PROGRAMMING

4.1. Need for Integer Programming

 An integer programming model is one where one or more of the decision
variables has to take on an integer value in the final solution.

 Solving an integer programming problem is much more difficult than solving

an LP problem.
4.2. Types of integer programming problems

 PURE-INTEGER PROBLEMS

– require that all decision variables have integer solutions.

 MIXED-INTEGER PROBLEMS

– Require some, but not all, of the decision variables to have integer values in the
final solution, whereas others need not have integer values.

 0–1 INTEGER PROBLEMS

– Require integer variables to have value of 0 or 1, such as situations in which

decision variables are of the yes-no type.
 Methods for solving ILP problems

1. Rounding–Off A non–integer solution

2. Gomory’s Fractional Method also called as Cutting–Plane Method (developed

by: Ralph E. Gomory)

3. Branch–and–Bound Method (Developed By: A.H. Land and A. G. Doing)

4. The Additive algorithm for Zero–One integer programming problems

(Developed By: E. Balas)
 Cutting–Plane Method
 An Algorithm for solving pure integer and mixed integer programming
problems has been developed by Ralph E. Gomory as follows.

1. Relax the integer requirements.

2. Solve the resulting LP problem using Simplex Method.

3. If all the basic variables have integer values, Optimality of the Integer
programming problem is reached. So go step 7; otherwise go to step 4.
4. Examine the constraints corresponding to the current optimal solution.
 For each Basic Variable with non-integer solution in the current optimal
table, find the fractional part, fi ,

 Therefore, bi = [bi] + fi, where [bi] is the integer part of bi, and

fi is the fractional part of bi.

5. Choose the largest fraction among various fi ; i.e. Max (fi).

 Develop an additional constraint (Gomory’s constraint / fractional cut) as
shown:

 –fi = Si – Summation ((fi)(Non–Basic Variable))

6. Add the fractional cut as the last row in the latest optimal table and proceed
further using simplex method, and find the new optimum solution.

 If the new optimum solution is integer then go to step 7; otherwise go to step.

7. Print the integer solution [X’s and Z – Values]

Branch–and–bound method

BRANCHING:

 Selection of an integer value of a decision variable to examine for a possible

integer solution to a problem

 “If the solution to the linear programming problem contains value of the
decision variable “X1” is 2.5, then two more problems will be created by using
each of the following constraints. X1 ≤ 2 and X1 ≥ 3.
BOUND:

 Its an upper or lower limit on the value of the objective function.

 LOWER BOUND: is the value of the objective function corresponding to the

truncated values (integer parts) of the decision variables of the problem.

 UPPER BOUND: The upper bound is the value of the objective function
corresponding to the linear programming solution.
 FATHOMED SUBPROBLEM / NODE: A problem is said to be fathomed if
any one of the following three conditions is true:

1. The values of the decision variables of the problem are integer.

2. The upper bound of the problem which has non–integer values for its decision
variables is not greater than the current best lower bound.

3. The problem has infeasible solution.

This means that further branching from this type of fathomed nodes is not
necessary.
 Branch & bound algorithm applied to maximization problem:

1. Solve the given linear programming problem graphically or using iterative

method. Set, the current best lower bound ZB as ∞.

2. Check, Whether the problem has integer solution. If yes, print the current
solution as the optimal solution and stop; Otherwise go to Step–3.

3. Identify the variable Xk which has the maximum fractional part as the
branching variable.
4. Create two more problems by including each of the following constraints to
the current problem and solve them.

a. Xk ≤ Integer part of Xk

b. Xk ≥ Next Integer of Xk

5. If any one of the new sub-problems has infeasible solution or fully integer
values for the decision variables, the corresponding node is fathomed.
 5

Special types of linear programming

5.1. Transportation problem

 The transportation model deals with a special class of linear programming
problem in which the objective is to transport a homogeneous commodity from
various origins or factories to different destinations or markets at a total
minimum cost.
 Approach to solution to a transportation problem by using transportation algorithm

 The steps used in getting a solution to a transportation problem is given below:

 Initial Basic Feasible Solution

Step 1. Balancing the given problem.

 Balancing means check whether sum of availability constraints must be equals to

sum of requirement constraints.
 That is Σbi = Σd j .

 Once they are equal, go to step two. If not by opening a Dummy row or Dummy
column balance the problem. The cost coefficients of dummy cells are zero.
Step II. A .Basic feasible solution can be obtained by three methods, they are

(a) North - west corner method.

(b) Least - cost cell method. (Or Inspection method Or Matrix minimum - row
minimum - column minimum method)

(c) Vogel's Approximation Method, generally known as VAM.

Properties of a Basic feasible Solution

1. The allocation made must satisfy the rim requirements, i.e., it must satisfy availability
constraints and requirement constraints.

2. It should satisfy non negativity constraint.

3. Total number of allocations must be equal to (m + n – 1),

where 'm' is the number of rows and

'n' is the number of columns.

 Consider a value of m = 4 and n = 3, i.e. 4 × 3 matrix.

 This will have four constraints of ≤ type and three constraints of ≥ type.


a) North- west corner method
b) Solution by Least cost cell (or inspection) Method:
 ASSIGNMENT
1. Use the graphical method find corner-point
feasible solutions (CPF solutions) and corner-point infeasible
solutions ?
Maximize Z = 3x1 + 5x2,
subject to
x1 ≤ 4
2x2 ≤12
3x1 + 2x2 ≤ 18
and
x1 ≥ 0, x2 ≥ 0

2. From the above equation Find optimal solution using simplex tableau
step by step
THE END !!!