Linear

Linear and
and Integer
Integer
Programming
Programming Models
Models

1
 2.1 Introduction to Linear
Programming
A Linear Programming model seeks to
maximize or minimize a linear function,
subject to a set of linear constraints.
The linear model consists of the following
components:
◦ A set of decision variables.
◦ An objective function.
◦ A set of constraints.

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 Introduction to Linear
Programming
The Importance of Linear Programming
◦ Many real world problems lend themselves to
linear
programming modeling.
◦ Many real world problems can be approximated
by linear models.
◦ There are well-known successful applications in:
 Manufacturing
 Marketing
 Finance (investment)
 Advertising
 Agriculture

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 Introduction to Linear
Programming
The Importance of Linear Programming
◦ There are efficient solution techniques that
solve linear programming models.
◦ The output generated from linear programming
packages provides useful “what if” analysis.

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 Introduction to Linear
Programming
Assumptions of the linear programming
model
◦ The parameter values are known with certainty.
◦ The objective function and constraints exhibit
constant returns to scale.
◦ There are no interactions between the decision
variables (the additivity assumption).
◦ The Continuity assumption: Variables can take
on any value within a given feasible range.

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The Galaxy Industries Production
Problem –
A Prototype Example

Galaxy manufactures two toy doll

models:
◦ Space Ray.
◦ Zapper.
 Resources are limited to
◦ 1000 pounds of special plastic.
◦ 40 hours of production time per week.

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The Galaxy Industries Production
Problem –
A Prototype Example
 Marketing requirement
◦ Total production cannot exceed 700 dozens.
◦ Number of dozens of Space Rays cannot exceed
number of dozens of Zappers by more than 350.

• Technological input
– Space Rays requires 2 pounds of plastic and
3 minutes of labor per dozen.
– Zappers requires 1 pound of plastic and
4 minutes of labor per dozen.
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The Galaxy Industries Production
Problem –
A Prototype Example
 The current production plan calls for:
◦ Producing as much as possible of the more profitable product,
Space Ray ($8 profit per dozen).
◦ Use resources left over to produce Zappers ($5 profit
per dozen), while remaining within the marketing guidelines.

• The current production plan consists of:

Space Rays = 450 dozen 8(450) + 5(100)
Zapper = 100 dozen
Profit = $4100 per week
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Management is seeking a
production schedule that will
increase the company’s profit.

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A linear programming model
can provide an insight and an
intelligent solution to this problem.

10
Decisions variables:
◦ X1 = Weekly production level of Space Rays (in
dozens)
◦ X2 = Weekly production level of Zappers (in
dozens).
Objective Function:
◦ Weekly profit, to be maximized

The Galaxy Linear Programming

Model
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Max 8X1 + 5X2 (Weekly profit)
subject to
2X1 + 1X2  1000 (Plastic)
3X1 + 4X2  2400 (Production Time | 40 hrs.)
X1 + X2  700 (Total production)
X1 - X2  350 (Mix)
Xj> = 0, j = 1,2 (Nonnegativity)

The Galaxy Linear Programming

Model
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2.3 The Graphical Analysis of
Linear Programming
The set of all points that satisfy all the
constraints of the model is called
a

FEASIBLE REGION

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Using a graphical presentation
we can represent all the
constraints,
the objective function, and the
three
types of feasible points.

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Graphical Analysis – the Feasible
Region
X2

The non-negativity constraints

X1

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 Graphical Analysis – the Feasible
Region
X2

1000 The Plastic constraint

2X1+X2  1000
700 Total production constraint:
X1+X2  700 (redundant)
500

Infeasible
Production Feasible
Time
3X1+4X2  2400 X1
500 700

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 Graphical Analysis – the Feasible
Region
X2
1000 The Plastic constraint
2X1+X2 1000
700 Total production constraint:
X1+X2 700 (redundant)
500
Infeasible
Production mix
constraint:
Production Feasible X1-X2  350
Time
3X1+4X22400
X1
500 700
Interior points. Boundary points. Extreme points.
• There are three types of feasible points 17
Solving Graphically for an Optimal
Solution
18
 X2 Start at some arbitrary profit, say profit = $2,000...
1000 Then increase the profit, if possible...
...and continue until it becomes infeasible

700 Profit =$4360

500

X1
19

500
The search for an optimal solution
Summary of the optimal solution
Space Rays = 320 dozen
Zappers = 360 dozen
Profit = $4360
◦ This solution utilizes all the plastic and all the
production hours.

◦ Total production is only 680 (not 700).

◦ Space Rays production exceeds Zappers

production by only 40 dozens.
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Extreme points and optimal
solutions
◦ If a linear programming problem has an
optimal solution, an extreme point is optimal.

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 Multiple optimal solutions
• For multiple optimal solutions to exist, the objective
function must be parallel to one of the constraints

•Any weighted average of

optimal solutions is also an
optimal solution.

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 2.4 The Role of Sensitivity
Analysis of the Optimal
Solution
Is the optimal solution sensitive to changes
in input parameters?

Possible reasons for asking this question:

◦ Parameter values used were only best estimates.
◦ Dynamic environment may cause changes.
◦ “What-if” analysis may provide economical and operational
information.

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 Sensitivity Analysis of
Objective Function
Coefficients.

 Range of Optimality
◦ The optimal solution will remain unchanged as long as
 An objective function coefficient lies within its range of
optimality
 There are no changes in any other input parameters.

◦ The value of the objective function will change if the

coefficient multiplies a variable whose value is nonzero.

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 Sensitivity Analysis of
Objective Function Coefficients.
1000 X2

M
Ma ax 4
x3
.75 X1 +
X 5X
1 +
Ma

5X 2
x8

2
X1
+5

500
X2

Max
2X + 5X
1
2

X1

500 800 25
 Sensitivity Analysis of
Objective Function Coefficients.
X2
1000
Ma
x8
X1

Range of optimality: [3.75, 10]

+5
X2

Ma
x1

500
0 X1

Ma
x3
+5

.7 5
X1
X2

+5
X2

400 600 800 X1 26

Reduced cost
Assuming there are no other changes to the input
parameters, the reduced cost for a variable Xj that has
a value of “0” at the optimal solution is:
◦ The negative of the objective coefficient increase of the
variable Xj (-Cj) necessary for the variable to be
positive in the optimal solution
◦ Alternatively, it is the change in the objective value per
unit increase of Xj.

Complementary slackness
At the optimal solution, either the value of a variable is
zero, or its reduced cost is 0.

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 Sensitivity Analysis of
Right-Hand Side Values

In sensitivity analysis of right-hand sides of

constraints we are interested in the
following questions:
◦ Keeping all other factors the same, how much
would the optimal value of the objective function
(for example, the profit) change if the right-hand
side of a constraint changed by one unit?
◦ For how many additional or fewer units will this
per unit change be valid?

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Sensitivity Analysis of
Right-Hand Side Values
 Anychange to the right hand side of a binding
constraint will change the optimal solution.

 Any change to the right-hand side of a non-

binding constraint that is less than its slack or
surplus, will cause no change in the optimal
solution.

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Assuming there are no other changes to
the input parameters, the change to the
objective function value per unit increase
to a right hand side of a constraint is
called the “Shadow Price”

Shadow Prices

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 The Plastic
constraint X2
When more plastic becomes available (the
plastic constraint is relaxed), the right hand
side of the plastic constraint increases.
1000
2X 1 Maximum profit = $4360
2X 1

+1
+1

x 2<
x 2<

=10
Maximum profit = $4363.4
=10

01
500
00

Shadow price =
4363.40 – 4360.00 = 3.40
Shadow Price – graphical
Production time demonstration X 1
constraint
500

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Assuming there are no other changes to
the input parameters, the range of
feasibility is
◦ The range of values for a right hand side of a
constraint, in which the shadow prices for the
constraints remain unchanged.
◦ In the range of feasibility the objective function
value changes as follows:
Change in objective value =
[Shadow price][Change in the right hand side
value]

Range of Feasibility
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The Plastic
Range of Feasibility
constraint X2

Increasing the amount of

2X 1

plastic is only effective until a

+1

1000
x 2<

new constraint becomes active.

=10

Production mix A new active

00

constraint constraint
X1 + X2 700
500
This is an infeasible solution
Production time
constraint

X1

500 33
The Plastic Range of Feasibility
constraint 2X 1 X2

Note how the profit increases

+1

1000
as the amount of plastic
x 2

increases.
100
0

500

Production time
constraint

X1

500 34
 Range of Feasibility
X2

Less plastic becomes available (the

1000 plastic constraint is more restrictive).
Infeasible
solution The profit decreases

500
2X1 + 1X2  1100

A new active
constraint
X1

500 35
The correct interpretation of shadow
prices
◦ Sunk costs: The shadow price is the value of
an extra unit of the resource, since the cost of
the resource is not included in the calculation
of the objective function coefficient.

◦ Included costs: The shadow price is the

premium value above the existing unit value
for the resource, since the cost of the
resource is included in the calculation of the
objective function coefficient.

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Other Post - Optimality Changes

Addition of a constraint.
Deletion of a constraint.
Addition of a variable.
Deletion of a variable.
Changes in the left - hand side
coefficients.

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 2.7 Models Without Unique Optimal
Solutions

• Infeasibility: Occurs when a model has no feasible point.

• Unboundness: Occurs when the objective can become
infinitely large (max), or infinitely small (min).
• Alternate solution: Occurs when more than one point
optimizes the objective function

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 Infeasible Model

No point, simultaneously,
lies both above line 1 and
below lines 2 and 3
2
.

3 1
46
Unbounded
solution
the Ma
xim

Ob
jec ize
Th ive t
ef Fu
ea nct
reg sib ion
ion le

48
 The Navy is considering changing the makeup of the content of
Navy Sea Rations (NSR), the canned food containing certain
minimum quantities of vitamin A, vitamin D, Iron, and other
nutrients. TexFoods is the current supplier. Each 2 ounce portion of
the TexFoods product costs the Navy $0.60 and supplies 20% of
the required vitamin A, 25% of the required vitamin D, and 50% of
the required Iron.

 CalRation is an alternative supplier. Each 2 ounce portion of their

product would cost the Navy $0.50 and supplies 50% of the
required vitamin A, 25% of the required vitamin D, and 10% of the
required Iron.

 Each SERVING of NSR must meet (or exceed) 100% of the

minimum requirements for vitamin A, vitamin D, and Iron. Thus a
serving made ENTIRELY of the TexFoods product would weigh
10 ounces and cost $3.00 whereas a serving made entirely of the
CalRations product would weigh 20 ounces and cost $5.00.

Cost Minimization Problem 52

Cost Minimization
Diet Problem

• Mix two sea ration products: Texfoods, Calration.

• Minimize the total cost of the mix.
• Meet the minimum requirements of Vitamin A,
Vitamin D, and Iron.

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 Cost Minimization Diet Problem
 Decision variables
◦ X1 (X2) -- The number of two-ounce portions of
Texfoods
◦ (Calration) product used in a serving.
 The Model
Minimize 0.60X1 + 0.50X2
Cost per 2 oz.
Subject to
20X1 + 50X2  100 Vitamin A
25X1 + 25X2  100 Vitamin D
50X1 + 10X2  100 Iron
% Vitamin A
provided per 2 oz. X1, X2  0
% required

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The Diet Problem - Graphical solution

10
The Iron constraint

Feasible Region

Vitamin “D” constraint

Vitamin “A” constraint

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2 4 5
 Cost Minimization Diet Problem
Summary of the optimal solution
◦ Texfood product = 1.5 portions (= 3 ounces)
Calration product = 2.5 portions (= 5 ounces)

◦ Cost =$ 2.15 per serving.

◦ The minimum requirement for Vitamin D and

iron are met with no surplus.

◦ The mixture provides 155% of the

requirement for Vitamin A.

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 Computer Solution of Linear
Programs With Any Number of
Decision Variables

 Linear programming software packages solve

large linear models.
 Most of the software packages use the
algebraic technique called the Simplex
algorithm.
 The input to any package includes:
◦ The objective function criterion (Max or Min).
◦ The type of each constraint: .
◦ The actual coefficients for the problem. , , 
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