CHAPTER

CHAPTER TWO
TWO
LINEAR
LINEAR
PROGRAMMING
PROGRAMMING
MODEL
MODEL
 Definitions
Definitionsof
ofLinear
Linear
Programming(LP
Programming(LP))
 Linear programming uses a mathematical model to find
the best allocation of scarce resources to various
activities so as to maximize profit or minimize cost.

 Linear programming is used to find the best (Optimal

solution) to a problem that requires a decision about
how best to use a set of limited resources to achieve
objectives.

 Linear Programming is applied for determining the

optimal allocation of re­sources like raw materials,
machines, manpower, etc. by a firm
Meaning
Meaningof
oflinear
linearprogramming
programming

 The term “Linear Programming” consists of two words as linear

and programming. The word “linear” defines the relationship
between multiple variables with degree one. The word
“programming” defines the process of selecting the best solution
from various alternatives.

 Thus, Linear programming is a mathematical model used to solve

problems that can be represented by a system of linear equations
and inequalities.

 Both the objective function and the constraints must be

formulated in terms of a linear equality or inequality.

1–3
 Applications
Applicationsof
oflinear
linearprogramming
programmingproblem
problem

 Product mix: is used when a company produce several different

products, each of which requires the use of limited production resources
such as raw material, labour, and equipment
 Linear programming is to determine the quantity of each product to be
produced to maximize the company’s profit or minimize its cost.
 Blending problems: Blending problems refer to situations in which a
number of components (or commodities) are mixed together to yield
one or more products.
 The objective here is to determine how much of each commodity
should be purchased and blended
 Applications
Applicationsof
oflinear
linearprogramming
programmingproblem
problem

 Portfolio selection: Deals with the problems of finding the most

attractive investment options among several options.
 The objective is to find the allocation which maximizes the total
expected return or minimizes risk under certain limitations.
 Diet problems: The goal of the diet problem is to select a set of foods
that will satisfy a set of daily nutritional requirement at minimum cost.
 Steps
Stepsof
ofLPP
LPP

1) Identify problem as solvable by linear

programming
2) Formulate a mathematical model
3) Solve the model
4) Implementation
 Formulation
Formulationof
ofmathematical
mathematicalmodel
model

 The term formulation refers to the process of converting the

verbal description and numerical data into mathematical

expressions, which represents the relationship among relevant

decision variables, objective and constraints

 The basic components of linear programming are

• Objective function

• Decision variables

• Constraints

• Parameters

• Non-negativity constraints
 Components
Componentsof
ofLP
LPmodel…
model…

 Decision Variables – These are the quantities to be determined

and are represented by mathematical symbols (x1,x2,x3…)

 Constraints – refers to limitations on resources like Labour,

material, machine, time, warehouse space, capital, energy, etc.

 Objective function defines the criterion for evaluating the

solution. The objective function may measure the profit or cost that

occurs as a function of the amounts of various products produced.

 Parameters - numerical coefficients and constants used in the

objective function and constraints.

 Steps
Stepsin
informulating
formulatingLP
LPmodels
models

a) Identify the decision variables and assign symbols to them like

x1,x2,x3 & so on
b) Formulate the objective function in terms of the decision variables.
c) Identify and express all the constraints in terms of inequalities in
relation the decision variable.
d) Determine appropriate values for parameters and
determine whether an upper limit(≤), lower limit(≥), or equality(=)
is called for.
 ≤ is used if maximum amount of a resource is given
(Maximization case)
 ≥ is used if the minimum amount of resource is given
(Minimization case)
 = is used if the exact amount of resource is known
e) Add the non-negativity constraints.
Linear
Linearprogramming
programmingmodel
modelformat
format
 formulation…
formulation…

Where,
 The cj s are coefficients representing the per unit profit (or cost) of
decision variable
 The aij’s are referred as technological coefficients which represent
the amount of resource used by each decision variable( activity)
 The bi represents the total availability of the ith resource. It is
assumed that bi ≥ 0 for all i. However, if any bi < 0, then both sides
of constraint i is multiplied by –1 to make bi > 0 and reverse the
inequality of the constraint.
 The expression (≤, =, ≥) means that in any specific problem each
constraint may take only one of the three possible forms: (i) less
than or equal to (≤) (ii) equal to (=) (iii) greater than or equal to (≥)
Example
Example11

Suppose a firm produces two products A and B. For producing each unit of
product A, 4 Kg of Raw material and 6 labor hours are required. While, for the
production of each unit of product B, 3 kg of raw material and 5 labor hours is
required. The total availability of raw material and labor hours is 60 Kg and 90
Hours respectively (per week). The unit profit of Product A LP is 35 Birr and of
product, B is 40 Birr.
 Develop the given problem as linear programing and determine amount of
product A and B should be produced to maximize the firm’s profit.
Maximize Z = 35x1+ 40x2
Subject to:
4x1 + 3,x2 ≤ 60 (Raw Material Constraint)
6x1, + 5x2 ≤ 90 (Labor Hours Constraint)
x1, x2 ≥ 0 (Non-negativity Constraint)
Example
Example22

A manufacturer produces three types of product A, B and c. Each A model

requires 4 hours of grinding and 2 hours of polishing; each B model requires
2 hours of grinding and 5 hours of polishing. whereas each C model requires
3 hours of grinding and 3 hours of polishing The manufacturer has 2
grinders and 3 polishers. Each grinder works for 40 hours a week and each
polisher works for 60 hours a week. Profit on model A is 3, on model B is 4
and on model C is 5 birr. . Whatever is produced in a week is sold in the
market. How should the manufacturer allocate his production capacity to
the two types of models so that he may make the maximum profit in a
week?

Maximize Z = 3x1 + 4x2+ 5x3

subject to the constraints:
4x1 + 2x2 + 3x3 ≤ 80
2x1 + 5x2 +3x3 ≤ 180
Where, x1 and x2 ≥ 0
Example
Example33

The ABC Furniture Company produces tables and chairs. The production
process for each involves cutting, drilling and painting. Each table takes 3
hours of cutting and 2 hours in the drilling and 1 hour painting shop. Each
chair requires 4 hours in cutting and 2 hours in drilling and 1 hour in
painting. This week the company have production period, 50 hours of
cutting, 60 hours drilling and 35 hours of painting. Each table and chair
produced has production cost of Birr 6000 and 4500 Birr respectively. ABC
Furniture's problem is to determine the best possible combination of tables
and chairs to manufacture in order to minimize total production cost.

Minimize Z=6000x1 + 4500x2

S.t
3x1 + 4x2 ≥ 50
2x1 + 2x2 ≥ 60
x1 + x2 ≥ 35
Where, x1 and x2 ≥ 0
Example
Example44

• A dietician wishes to mix two types of foods in such a way that

vitamin contents of the mixture contain at least 8 units of vitamin A
and 10 units of vitamin C. Food I contains 2 units/kg of vitamin A and
1 unit/kg of vitamin C. Food II contains 1 unit/kg of vitamin A and 2
units/kg of vitamin C. It costs birr 50 per kg to purchase Food I and
birr .70 per kg to purchase Food II. Formulate this problem as a linear
programming problem to minimise the cost of such a mixture.
Minimise Z=50x1+70x2
subject to the constraints
2x1+x2 ≥8
x1+2x2≥10
x1,x2 ≥0
Example
Example55

An investor has 100,000 to invest. The investor has decided to use three
vehicles for generating income: Municipal Bonds, a Certificate Of Deposit
(CD), and a Money Market Account. After reading a financial newsletter,
the investor has also identified several additional restrictions on the
investments:

a) No more than 40 percent of the investment should be in bonds.

b) The proportion allocated to the money market account should be at

least double the amount in the CD.

c) The annual return will be 8 percent for bonds, 9 percent for the CD,
and 7 percent for the money market account. Assume the entire
amount will be invested.

Formulate the LP model for this problem, ignoring any transaction costs
and the potential for different investment lives. Assume that the investor
wants to maximize the total annual return.
Example
Example66

The Bright Paper Company produces three-ring notebook paper in a standard and
small size. Both sizes are produced in the same manufacturing processes, which
consist of steps of cutting the pages, punching three holes, and wrapping the
sheets up in packages of 100. The company measures its production in packages
of 100 sheets. A package of standard paper costs Br. 0.80 to produce and sells for
Br. 1.95. A package of small page costs Br. 0.55 to produce and sells for Br. 1.25.
All of the production can be sold. The information on the production system, which
consists of two paper cutters, one punch, and two wrappers is as shown below
Basic
Basicassumptions
assumptionsof
oflinear
linear
programming
programmingmodel
model
Assumptions
Assumptionsof
oflinear
linearprogramming…
programming…
1.Proportionality/ Linearity: any change in the constraint inequalities
will have the proportional change in the objective function. Thus, if the
output is doubled, the profit would also be doubled.
2.Additivity: the total profit of the objective function is determined by
the sum of profit contributed by each product separately. Similarly, the
total amount of resources used is determined by the sum of resources
used by each product separately.
3.Divisibility /continuity: the values of decision variables can be
fractions although fraction values have no sense sometimes
4.Certainty: the parameters of objective function coefficients and the
coefficients of constraint inequalities is known with certainty. Such as
profit per unit of product, availability of material and labor per unit,
requirement of material and labor per unit are known and is given in the
linear programming problem.
5.Finite Choices: the decision variables assume non-negative values b/c
the output in the production problem can not be negative.
Solving
SolvingLinear
LinearProgramming
Programming
Problems
Problems
There are generally two methods of solving LPP
• Graphic method

• Simplex method
 Steps
Stepsof
ofGraphic
GraphicApproach
Approach

1. Develop an LP model for the given problem

2. Plot constraints on graph paper and decide the feasible region
a) Replace the inequality sign in each constraint by an equality sign and
determine the (x1,x2) coordinates points
b) Draw these straight lines on the graph and decide the area of feasible
solutions according to the inequality sign of the constraint.
c) Shade the common portion of the graph that satisfies all the constraints
simultaneously drawn so far.
d) The final shaded area is called the feasible region (or solution space) of
the given lp problem. Any point inside this region is called feasible
solution and this provides values of x1 and x2 that satisfy all the
constraints.
• 3. Examine extreme points of the feasible solution space to find an optimal
solution
(a) Determine the coordinates of each extreme point of the feasible
solution space.
(b) Compute and compare the value of the objective function at each
extreme point.
(c) Identify the extreme point that gives optimal (max. or min.) value of
the objective function.
Example
Example11Maximization
Maximizationcase
case

Maximize Z = 35+ 40
Subject to:
4 + 3 ≤ 60
6 + 5 ≤ 90
, ≥0
Example
Example22Maximization
Maximizationcase
case

Maximize Z = 10+ 15
Subject to:

6 + 3 ≤ 48
3 + 5 ≤ 60
, ≥0
Example:
Example:Minimization
Minimization case
case

Minimise Z=3+4
Subject to
4+2 ≥ 80
2+5 ≥ 180
, ≥0
Example
Example11Maximization
Maximizationcase
case

Maximize Z = 120+ 100

Subject to:
2 + 2 ≤ 20
4 + 2 ≤ 32
+ 3 ≤ 24
, ≥0
Some
Somespecial
specialissues
issues

 Individual constraints problem

– If the constrain has only one variable
 No feasible solutions
– LP is infeasible if there exist no solution that satisfies all of the constraints.
 Unbounded problems
– Exists when the value of the objective function can be increased without
limit.
 Redundant constraints
– A constraint that does not form a unique boundary of the feasible solution
space; its removal would not alter the feasible solution space.
 Multiple optimal solutions
– Problems in which different combinations of values of the decision
variables yield the same optimal value.
 Infeasible
InfeasibleSolution
Solution

Max Z = 3+2
Subject to:
2+ ≤ 2
3+ 4 ≥ 12
, ≥0
AnUnbounded
AnUnboundedSolution
SolutionSpace
Space

Max z = 40 + 60
Subject to
2 + ≥ 70
+ ≥ 40
+ 3≥ 90
, ≥0
Examples
Examplesof
ofRedundant
Redundant
Constraints
Constraints
Multiple
MultipleOptimal
OptimalSolutions
Solutions

Max z = 8 + 6
Subject to
8 + 6 ≤ 48
≤ 4.5
≤ 6
,≥0
Individual
Individualand
andmixed
mixedconstraints
constraints
Simplex
SimplexMethod
Method

– The Simplex Method is an iterative technique that begins with a

feasible solution that is not optimal, through algebraic
manipulation, the solution is improved until no further
improvement is possible.
– Advantages and Characteristics

• More realistic approach as it is not limited to problems with

two decision variables
• Systematically examines basic feasible solutions for an
optimal solution.
Simplex
SimplexProcedure
Procedurefor
foraaMaximization
MaximizationProblem
Problem

1. Standardization of the constraints. Add a slack variable to the left

side, thereby making it an equality.
2. Develop the initial tableau.
a) List the variables across the top of the table and write the
objective function coefficient of each variable just above it.
b) There should be one row in the body of the table for each
constraint. List slack variables in the basis column, one per
row.
c) In the C column, enter the objective function coefficient of 0
for each slack variable.
d) Compute values for row Z.
e) Compute values for row C – Z.
Simplex
Simplexprocedure
procedureforforaamaximization
maximizationproblem
problem
(cont’d)
(cont’d)
• Subsequent Tableaus

 Identify the variable with the largest positive value in row C – Z. This
variable will come into solution next.
 Using the constraint coefficients in the entering variable’s column, divide
each one into the corresponding Quantity column value. The smallest
nonnegative ratio that results indicates which variable will leave the
solution mix.
 Compute replacement values for the leaving variable: Divide each
element in the row by the row element that is in the entering variable
column. These are the pivot row values for the next tableau. Enter them
in the same row as the leaving variable and label the row with the name
of the entering variable. Write the entering variable’s objective function
coefficient next to it in column C.
Simplex
SimplexProcedure
ProcedureforforaaMaximization
MaximizationProblem
Problem
(cont’d)
(cont’d)
• Subsequent Tableaus (cont’d)

4. Compute values for each of the other constraint equations:

 Multiply each of the pivot row values by the number in the entering
variable column of the row being transformed (e.g., for the first row, use
the first number in the entering variable’s column; for the third row, use
the third number in the entering variable’s column).
 Then subtract the resulting equation from the current equation for that row
and enter the results in the same row of the next tableau.

5. Compute values for row Z: For each column, multiply each row coefficient
by the row value in column C and then add the results. Enter these in the
tableau.
6. Compute values for row C – Z: For each column, subtract the value in row
Z from the objective function coefficient listed in row C at the top of the
tableau.
 Simplex
Simplex Procedure
Procedure for
for aa Maximization
Maximization
Problem
Problem (cont’d)
(cont’d)
• Subsequent Tableaus (cont’d)
4. Examine the values in the bottom row. If all values are zero or negative,
the optimal solution has been reached. The variables that comprise the
solution are listed in the basis column and their optimal values can be
read in the corresponding rows of the quantity column. The optimal value
of the objective function will appear in row Z in the Quantity column.
5. If the solution is not optimal, repeat steps 1–7 of this section until the
optimal solution has been attained.
Developing
Developing the
the Initial
Initial Simplex
Simplex Tableau
Tableau
• Notation used in the simplex tableau:
Table
Table Developing
Developingthe
theinitial
initialsimplex
simplextable
table
Table
Table Completed
CompletedInitial
InitialTableau
Tableaufor
forthe
theServer
ServerProblem
Problem

A simplex solution in a maximization problem is

optimal if the C–Z row consists entirely of zeros
and negative numbers (i.e., there are no positive
values in the bottom row). When this has been
achieved, there is no opportunity for improving
the solution.
Table
Table Determining
Determiningthe
theEntering
Enteringand
andExiting
ExitingVariables
Variables

Select the leaving variable as the one that has

the smallest nonnegative ratio of quantity
divided by substitution rate.
Table
Table Starting
Startingthe
theSecond
SecondTableau
Tableau

Table
Table Initial
InitialTableau
Tableau
Table
Table The
ThePivot
PivotRow
Rowofofthe
theSecond
SecondTableau
Tableau

Table
Table Revised
RevisedFirst
FirstRow
Rowand
andPivot
PivotRow
Rowofofthe
theSecond
SecondTableau
Tableau
Table
Table Partially
PartiallyCompleted
CompletedSecond
SecondTableau
Tableau
Table
Table Completed
CompletedSecond
SecondTableau
Tableau

Interpreting the second tableau

At this point, variables s1, x1, and s3 are in solution. Not only are they listed in the
basis, they also have a 0 in row C – Z. The solution at this point is s1 = 56, x1 =
11, and s3 = 6.

Note, too, that x2 and s2 are not in solution. Hence, they are each equal to zero.
The profit at this point is 660, which is read in the Quantity column in row Z. Also,
note that each variable in solution has a unit vector in its column.
Table
Table Determining
Determiningthe
theExiting
ExitingVariable
Variable
Table
Table Pivot
PivotRow
RowValues
Valuesfor
forthe
theThird
ThirdTableau
Tableau

Table
Table Partially
PartiallyCompleted
CompletedThird
ThirdTableau
Tableau
 Table
Table Completed
CompletedThird
ThirdTableau
Tableau

Interpreting the Third Tableau

In this tableau, all of the values in the bottom row are either
negative or zero, indicating that no additional potential for
improvement exists. Hence, this tableau contains the optimal
simplex solution, which is
s1 = 24
x1 = 9
x2 = 4
 Maximization
MaximizationWith
WithMixed
MixedConstraints
Constraints
and
andMinimization
MinimizationProblem
Problem

 In dealing with problems that have mixed constraints, some

combination of slack, surplus and artificial variables will be called for.
 Artificial variables are added to equality constraints.
 In ≥ constraint, we should subtract a surplus variable and add
artificial variable.
 Surplus variables are assigned a coefficient of zero in the objective
function. Artificial Variables are assigned a very large negative value
(- M) in maximization problems and a very large positive value (+ M)
in minimization problems.
 Example
Example

3X1 + 4X2 = 40

3X1 + 4X2 + A1 = 40

5X1 + 3X2 ≥ 100

5X1 + 3X2 – S1 + A1 = 100

Maximize: 20X1 + 10X2 + 0S1 + 0S2 – MA2

What types of constraint functions are involved?

Two constraints: the first one is ≤ constraint and the second is ≥ constraint

Minimize: 4X1 + 3X2 + 0S1 + 0S2 + MA3

What types of constraint functions are involved?

Three constraints: the first and the second are ≤ constraint and the third one
is = constraint
Example
Example::Solve
Solvethis
thismaximization
maximizationproblem
problemusing
usingthe
the
simplex
simplexapproach
approach
Table
Table Initial
InitialTableau
Tableau
Table
Table The
TheSecond
SecondTableau
Tableau
Table
Table The
TheThird
ThirdTableau
Tableau
Table
Table The
TheFinal
FinalTableau
Tableau
Example:
Example:Solve
Solvethis
thisMinimization
MinimizationProblem
ProblemUsing
Usingthe
theSimplex
Simplex
Method
Method
Table
Table Initial
InitialTableau
Tableau
Table
Table Second
SecondTableau
Tableau
Table
Table Third
ThirdTableau
Tableau
Some
Some Special
Special Issues
Issues
Unbounded Solutions

– A solution is unbounded if the objective function can be

improved without limit.

– An unbounded solution will exist if there are no positive
values in the pivot column.
Degeneracy
– A conditions that occurs when there is a tie for the lowest
nonnegative ratio which, theoretically, makes it possible
for subsequent solutions to cycle (i.e., to return to
previous solutions).
Table
Table Second
SecondTableau
Tableau
Some
Some Special
Special Issues
Issues (cont’d)
(cont’d)
 Multiple Optimal Solutions
– Occur when the same maximum value of the objective
function might be possible with a number of different
combinations of values of the decision variables because
the objective function is parallel to a binding constraint.
– Multiple optimal solution exists , if the non basic variables
have, a zero coefficient in the C-Z row. The other optimal
solution is obtained by bringing the non basic variable into
the solution.
Table
Table Final
FinalTableau
Tableaufor
forModified
ModifiedServer
ServerProblem
Problemwith
with
an
an
Alternative
AlternativeOptimal
OptimalSolution
Solution
Table
Table The
TheAlternate
AlternateOptimal
OptimalSolution
Solutionfor
forthe
theModified
Modified
Server
ServerProblem
Problem
Some
Some Special
Special Issues
Issues (cont’d)
(cont’d)

 Infeasibility
– A problem in which no combination of decision and
slack/surplus variables will simultaneously satisfy all
constraints.
– Can be the result of an error in formulating a problem or it can
be because the existing set of constraints is too restrictive to
permit a solution.
– Recognized by the presence of an artificial variable in a
solution that appears optimal (i.e., a tableau in which the signs
of the values in row C – Z indicate optimality), and it has a
nonzero quantity.
Table
Table Simplex
SimplexTableaus
Tableausfor
forInfeasibility
InfeasibilityProblem
Problem