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Lesson on Linear Programming using Excel
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Modeling with Linear Programming
otal of $500, which may be played only once. The exact outeo,
cima aol acum a priori Because of this uncertainty, the gamblers strategy .
ane avze the minimum return produced by the three outcomes. How should the
antler allocate the $500 among the four choices? Solve the model using Solver og
RMI (in The gambler’ net return may be positive ero.or negative)
Lewis (1996). Monthly bills in a household are received monthly (e-g., utilities and ho,
7. onenea: Cluarterly (eg.-estimated tax payments), semiannually insurance) ge™
annus (eg aubscription renewals and dues). The following table provides the mony,
bills for next year.
40 Chapter 2
Aug. Sep. Oct. Nov. Dec,
1000 900 1100 1300 1600
May June July
1500
Month | Jan. Feb. Mar. Apr.
800 1200 400 700 600
To account for these expenses, the family sets aside $1000 per month, which is the averag.
of the total divided by 12 months If the money is deposited in a regular savings account,
i .d it stays in the account at least 1 month. The bank
can earn 4% annual interest, provide \
also offers 3-month and 6-month certificates of deposit that can earn 5.5% and 7% annua
interest, respectively. Develop a 12-month investment schedule that will maximize the
family’s total return for the year. State any assumptions or requirements needed to reach
a feasible solution. Solve the model using Solver of AMPL.
900
4.2 Production Planning and Inventory Control
There is a wealth of LP applications to production planning and inventory control. This
section presents three examples. The first deals with production scheduling to meet a single.
period demand. The second deals with the use of inventory in a multiperiod production
system to meet future demand, and the third deals with the use of inventory and worker
hiring/firing to “smooth” production over a multiperiod planning horizon.
Example 2.4-2 (Single-Period Production Model)
In preparation for the winter season, a clothing company is manufacturing parka and goose
overcoats, insulated pants, and gloves. All products are manufactured in four different depart.
ments: cutting, insulating, sewing, and packaging. The company has received firm orders for its
products. The contract stipulates a penalty for undelivered items. Devise an optimal production
plan for the company based on the following data:
Time per units (hr)
Department Parka’ Goose Pa Gloves Capacity (hr)
Cutting 30 30 96 15 1000
Insulating 25 35 10 1000
Sewing 45 50 2 1000
Packaging AS AS 05 1000
Demand 800 750 600 500
Unit profit $30 $40 $20 $10
Unit penalty $15 $20 $10 $8
pee A ce eee2.4 Linear Programming Applications 41
Mathematical Model: The variables of the problem are
44, = number of parka jackets
x = number of goose jackets
X3 = number of pairs of pants
X4 = number of pairs of gloves
‘The company is penalized for not meeting demand. The objective then is to maximize the net
Profit, defined as
Net profit = Total profit — Total penalty
The total profit is 30x, + 40x. + 20x; + 10x4. To compute the total penalty, the demand con:
straints can be written as
1 + 5, = 800, x2 + 52 = 750, x3 + 33 = 600, x4 + 54 = 500,
x, = 0,5, 20,j = 1,2,3,4
The new variable 5; represents the shortage in demand for product j, and the total penalty can be
computed as 15s, + 20s, + 10s; + 854. The complete model thus becomes
Maximize z = 30x, + 40x, + 20x3 + 10x4 — (155, + 20s, + 10s; + 854)
subject to
30x, + 30x) + 25x53 + .15x4 < 1000
25x, + 35x2 + 30x; + .10x4 < 1000
45x, + 50x2 + 40x; + .22x4 = 1000
15x, + .15x, + .10x3 + .05x4 = 1000
800, x2 + 5) = 750, x3 + 53 = 600, x4 + 54 = 500
=0,j = 1,2,3,4
xy+tH=
x; = 0,
Solution:
The optimum solution (obtained using file amplEx2.4-2.txt) is z = $64,625, x; = 800, x2 = 750;
x3 = 387.5, x4 = 500, 51 = 52 = 54 = 0,53 = 212.5. The solution satisfies all the demand for
both types of jackets and the gloves. A shortage of 213 (rounded up from 212.5) pairs of pants
will result in a penalty cost of 213 x $10 = $2130.
Example 2.4-3 (Multiple Period Production-Inventory Model)
Acme Manufacturing Company has a contract to deliver 100, 250, 190, 140, 220, and 110 home
windows over the next 6 months. Production cost (labor, material, and utilities) per window
. $48, $52, and $50 over the next 6 months.
cturing cost, Acme can produce more win-
e extra units for delivery in later months. This
varies by period and is estimated to
To take advantage of th
dows than needed in a giveri mot:316 Chapter 9 integer Linear Programming
Hor convenience, a problem is defined as a pure integer Program when o,
integerianad ntc8e®: Else, itis a mixed integer program (MIP) Invalving mixta the
integer and continuous variables, me ot
9.1.1 Capital Budgeting
Decisions about whether or not to undertake a project is usually made under limited.
Considerations and preset priorities The next example deals with one of these situations
Example 9.1-1_ (Project Selection) on
Five projects are being evaluated over a 3-year planning horizon. The following table gives y
expected returns for each project and the associated yearly expenditures. the
Expenditures ($ millionyyear
Project 1 2 3 Returns ($ milion)
H 3 i 8 20
2 4 7 10 0
3 3 9 2 20
4 7 4 1 15
5 8 6 10 30
Available funds (§ million) 25 25 25
Which projects should be selected over the 3-year horizon?
‘The problem reduces to a “yes-no” decision for each project. Define the binary variable x, a5
i
ae { 1, if project jis selected
_
0, if project j is not selected
The ILP model is
Maximize z = 20x, + 40x, + 20x3 + 15x4 + 30x
subject to
Sey + dx, + 3x3 + Tay + 8x5 < 25
X1 + Ixy + 9x, + 4x4 + 6x5 < 25
8x, + 10x, + 2x3 + x4 + 10x5 < 25
Hy X2y X35 X45 X5 = (0,1)
The optimum integer solution (obtained by AMPL, Solver, or TORA)! is x
==
43 = 4
75 = O,with z = 95 ($ million). The solution excludes project 5 from the product nix.
"To use TORA, select Integer Progr
screen, and select Automated B&H
the targeted variables must be de
Parameters dialogue box when yeu adc
same as in linear programn
integer (or binary) in
var x{J}>=0, integer
tovar x{J} binary;
om Main Meni. After entering the problem data, goto outpt
‘nun solution. Solver use is the same as in LP except that
“he integer option (int of bin) is available in the Solver
*'s\, AMPL implementation for integer programming she
ne variables are declared integers by adding the key word
* the targeted variables, For example, the statement
ger for all je J.Ifxjis binary, the statements changed
‘option solver cplex; must precede solve; .9.1 Illustrative Applications
Remarks. It is interesting to compare the continuous LP sol solution. The LP ‘
optimum, obtained by replacing x, = (0,1) with on pimitsoen ate | yale x, = 5789, '
a2 = 42 = 44" 1 Xs = 7368, and @ = 108.68 ($ million), {he solution is meaningless because '
binary *1 and x5 assume fractional values. We may round the solution to the closest integer,
which yields x1 © xs = 1. However, the resulting solution violates the constraints. Moreover, the
concept of rounding is meaningless here because 4) Tepresents a““yes-no” §
PROBLEM SET 9.1A2
1. Modify and solve the capital budgeti 1 -1 to account for the
following additional restrictions, 1 Of Example 91-1 to account for
(a) Project 5 must be selected if either Project 1 or project 3 is selected.
(b) Projects 2 and 3 are mutually exclusive.
2. Five items are to be loaded in a vessel, The wei for item i
4 tabulated bac e weight w), volume v,, and value r; for
Item? Unit weight, 1, (tons) Unit volume, vi (yd*) Unit worth, 7, ($100)
: 5 1 4
2 8 8 7
3 3 6 6
4 2 5 5
5 7 4 4
NA)
The maximum allowable cargo weight and volume are 112 tons and 109 yd,
respectively. Formulate the ILP model, and find the most valuable cargo.
*3, Suppose that you have 7 full wine bottles, 7 half-full, and 7 empty. You would like to
divide the 21 bottles among three individuals so that each will receive exactly 7.
Additionally, each individual must receive the same quantity of wine. Express the y
problem as ILP constraints, and find a solution. (Hint: Use a dummy objective function in
which all the objective coefficients are zeros.)
4, An eccentric sheikh left a will to distribute a herd of camels among his three children:
Tarek receives at least one-half of the herd, Sharif gets at least one third, and Maisa gets
at least one-ninth. The remainder goes to charity. The will does not specify the size of the
herd except to say that it is an odd number of camels and that the named charity receives
exactly one camel. Use ILP to determine how many camels the sheikh left in the estate
and how many each child got.
5. The three children of a farm couple are sent to the market to sell 90 apples. Karen, the
oldest, carries 50 apples; Bill, the middle one, carries 30; and John, the youngest, carries
only 10. The parents have stipulated five rules: (a) The selling price is either $1 for
7 apples or $3 for 1 apple, or a combination of the two prices. (b) Each child may exercise
one or both options of the selling price. (c) Each of the three children must return with
exactly the same amount of money. (d) Each child’s income must be in whole dollars
(no cents allowed). (¢) Ehe amount received by each child must be the largest possible
Problems 3 to 6 are adap
Pp. 39-182, 1994. Problem
puzzles/puzzles1.html.
Yahan, El Hombre que Calculaba, Editoriat Limusa, Mexico Cit
adapted from puzzles compiled in http://www.chlond.demon.cou