Linear Programming

REFERENCES:
FREDERICK HILLIER & GERALD LIEBERMAN.
Introduction to Operations Research.
Ninth Edition

WARNING
Slides information was taken from referenced
book. As they may contain typing mistake, it
is recommended to consult from books
located at the library. The slides are a quick
and general guide for the topics covered in
class.

Linear Programming (LP)

What
kind of
proble
ms
does it
addres
s?

The general problem of allocating limited

resources among competing activities in
the best possible way.
The one common ingredient in each of
these situations is the necessity for
allocating resources to activities by
choosing the levels of those activities.
Any problem whose mathematical model
fits the very general format for the linear
programming problem.

Definition
LP 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

Fuente:
http://www2.hawaii.edu/~suthers/courses/ics311f11/Notes/Topic-22/linearprogramming-example-2a-nolines.jpg

Definition
The word
programming does
not refer here to
computer
programming;
rather, its
essentially a
synonym for
planning.
LP involves the
planning of
activities to obtain

Fuente:
http://t3.gstatic.com/images?
q=tbn:ANd9GcQg9D8YJrBWJS9txQ1Se5sWr6vAZHRgepdv1SYefDlz6qe7nIRy

Some situations in which applies

LP

Staffs programming
Agricultural planning
Portafolio selection
Selection of shipping
patterns
Allocations of
productions facilities
The design of
radiation therapy
Product mix type

LP Step by Step

Decision
Variables

Parameters

Constraints

Objecti
ve

What should
you decide?

What
information is
available to
make the
decision?

Which are the

conditions
that limit the
decision?

How to
quantify the
impact of the
decision?

The LP Model
Parameter
s*

Variables

Performan
ce
measure

Problem
size
variables
functional
constraints

* The input constants for the

The LP Model
=
Value of overall measure of performance
=Level of activity (for =1,2,, ). Decision
variables.
= Increase in that would result from each unit
increase in level of activity . Contribution to
objective function.
= Amount of resource that is available for
allocation to activities (for =1,2,, ).
Resources.
= Amount of resource consumed by each unit of
activity . Resource consumption.

Understanding sum notation

max Z c1 x1 c2 x2 ... cn xn
Subject
to:

Objec
tive
Functi

A Standard Form of the Model

Subject to:

a21 x1 a22 x2 ... a2 n xn b2

Functional
constraints

a11 x1 a12 x2 ... a1n xn b1

.
x , x ,..., x
1

Variable
type
constraint
s

am1 x1 am 2 x2 ... amn xn bm

max Z c1 x1 c2 x2 ... cn xn
Subject
to:

Objec
tive
Functi

A Standard Form of the Model

Subject to:

a21 x1 a22 x2 ... a2 n xn b2

Functional
constraints

a11 x1 a12 x2 ... a1n xn b1

.
x , x ,..., x
1

Variable
type
constraint
s

am1 x1 am 2 x2 ... amn xn bm

A Standard Form of the

Model

Other Forms
Minimizing rather than maximizing the objective
function:
Some functional constraints with a greater-than-or-equal-to
inequality:

for some values of

Some functional constraints in equation form:

for some values of
Deleting the nonnegativity constraints for some decisions
variables:

(unrestricted in sign) for some values of

Assumptions of LP
Proportionali
ty

The contribution of each activity to

the value of the objective function is
proportional to the level of the
activity
The contribution of each activity to
the left-hand side of each functional
constraint () is proportional to the
level of the activity
Consequently, this assumption rules
out any exponent other than 1 for
any variable in any term of any
function.

Assumptions of LP
Proportionality

Assumptions of LP
Proportionality
20
18

Contribution
from X1 to Z
16
14
12
10
8
6
4
2
0

X1

Assumptions of LP

Additivi
ty

Every function in a LP model is the sum

of the individual contributions of the
respective activities.

The joint profit (or costs) is different

than the sum of the individual profits
(or costs) when each one is produced
by itself.
Consequently, this assumption rules out
any cross-product terms, namely, terms
involving the product of two or more
variables ().

Assumptions of LP
Additivity

Case
3 x1 23x2 0.5 x1 x2

Case
2
4
3 x1 2 x2 0.1x1 x2

Assumptions of LP
Additivity
16
14
12
10 Z
Value of
8
6
4
2
0

(2,0)

(0,3)

(2,3)
(X1,X2)

Assumptions of LP

Divisibili
ty

It concerns the values allowed for the

decision variables.

Decision variables are allowed to have

any values, including noninteger values,
that satisfy the functional and
nonnegativity constraints.
These variables are not restricted to
just integer values. Its being assumed
that the activities can be run at
fractional levels.

Assumptions of LP

Certain
ty

It concerns the parameters of the

model, namely, the coefficients in the
objective function, the coefficients in
the functional constraints and the righthand sides of the functional constraints
().
The value assigned to each parameter
of a LP model is assumed to be a
known constant.
In real applications, the certainty
assumption is seldom satisfied
precisely. For this reason its usually
important to conduct sensitivity
analysis after a solution is found that is
optimal under the assumed parameter
values.

Prototype Example
The Wyndor Glass CO1
Determine what the production rates should be for the
two products in order to maximize their total profit,
subject to the restrictions imposed by the limited
production capacities available in the three plants.
Each product will be produced in batches of 20, so the
production rate is defined as the number of batches
produced per week.
Any combination of production rates that satisfies
these restrictions is permitted, including producing
none of one product and as much as possible of the
other.
See printed material

LLIER & LIEBERMAN. Introduction to Operations Research.

Prototype Example
The Wyndor Glass CO1

LLIER & LIEBERMAN. Introduction to Operations Research.

Prototype Example
The Wyndor Glass CO1

Decision
Variables

Objective
Function

Subject to:

Functional
constraints

LLIER & LIEBERMAN. Introduction to Operations Research.

Variable
type
constraints

Prototype Example
The Wyndor Glass CO1

Graphical
Solution

LIER & LIEBERMAN. Introduction to Operations Research.

Terminology for Solutions of the

Model
Feasible Region
The resulting region of permissible values of decision variables that satisfy all of the
constraints (both functional and variables type). Its the collection of all feasible
solutions.

Infeasible
solution

Its a solution for which at least one constraint is violated.

Optimal solution
Its a feasible solution that has the most favorable value of the objective function

Corner-Point
Feasible

(CPF)

Its a solution that lies at a corner of the feasible region. CPF solutions also are
commonly referred to as extreme points or vertices.

Relationship between
optimal solutions and CPF solutions

The best
CPF
solution
must be
an optimal
solution

One
optimal
solution
It must
be a CPF
solution

Relationship between
optimal solutions and CPF solutions
1. Identify all
CPF and its
respective Z
value
2. Find the best
CPF
3. Calculate
some points
inside feasible
region that
surround the
best CPF

LIER & LIEBERMAN. Introduction to Operations Research. .

Find Optimal Solution by

Graphical Method
Gradient Vector:

Other cases
Multiple optimal
solutions
No optimal solutions
Unbounded objective

Multiple optimal solutions

Multiple optimal solutions

CONVEX
COMBINATION
Z 3 x1 2 x2 18

Every point on the line segment between (2,6) and (4,3) is optimal.
All optimal solutions are a weighted average of these two optimal
CPF solutions.

For example:

No optimal solutions

Unbounded objective