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Sensitivity Analysis

The document discusses sensitivity analysis in linear programming (LP) problems. Sensitivity analysis helps determine how sensitive the optimal solution is to changes in the coefficients and right-hand side values of the constraints. It can show the allowable increases and decreases to coefficients before changing the optimal solution. The shadow prices indicate how much the objective function value changes with a one-unit change in right-hand side values. Reduced costs and shadow prices can be used to determine if introducing new products or constraints would be profitable. Simultaneous changes to multiple coefficients require resolving the LP problem.

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Sahil Chaudhary
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52 views21 pages

Sensitivity Analysis

The document discusses sensitivity analysis in linear programming (LP) problems. Sensitivity analysis helps determine how sensitive the optimal solution is to changes in the coefficients and right-hand side values of the constraints. It can show the allowable increases and decreases to coefficients before changing the optimal solution. The shadow prices indicate how much the objective function value changes with a one-unit change in right-hand side values. Reduced costs and shadow prices can be used to determine if introducing new products or constraints would be profitable. Simultaneous changes to multiple coefficients require resolving the LP problem.

Uploaded by

Sahil Chaudhary
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Sensitivity Analysis

Introduction

• When solving an LP problem we assume


that values of all model coefficients are
known with certainty.
• Such certainty rarely exists.
• Sensitivity analysis helps answer
questions about how sensitive the
optimal solution is to changes in various
coefficients in a model.
General Form of a
Linear Programming MAX (or MIN): c1X1 + c2X2 + … + cnXn
(LP) Problem Subject to: a11X1 + a12X2 + … + a1nXn <= b1
:
ak1X1 + ak2X2 + … + aknXn <= bk
:
am1X1 + am2X2 + … + amnXn = bm

▪ How sensitive is a solution to changes in the


ci, aij, and bi?
Approaches to
Sensitivity
Change the
Analysis data and re-
Solver also
produces
solve the sensitivity
model! reports that can
• Sometimes this is answer various
the only practical
approach.
questions…
Solver’s Answers questions about:
Sensitivity • Amounts by which objective function coefficients can
Report change without changing the optimal solution.

• The impact on the optimal objective function value


of changes in constrained resources.

• The impact on the optimal objective function value


of forced changes in decision variables.

• The impact changes in constraint coefficients will


have on the optimal solution.
Once Again, We’ll Use The
Blue Ridge Tubs Example...
• MAX: 350X1 + 300X2 } profit
• S.T.: 1X1 + 1X2 <= 200 } pumps
• 9X1 + 6X2 <= 1566 } labor
• 12X1 + 16X2 <= 2880 } tubing
• X1, X2 >= 0 } nonnegativity
Microsoft Excel 16.0 Sensitivity Report
Worksheet: Production Report
Report Created: 15-01-2023 23:51:12

Variable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$B$5 Number to Make Aqua-Spas 122 0 350 100 50
$C$5 Number to Make Hydro-Luxes 78 0 300 50 66.6666667

Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$D$9 Pumps Req'd Used 200 200 200 7 26
$D$10 Labor Req'd Used 1566 16.6666667 1566 234 126
$D$11 Tubing Req'd Used 2712 0 2880 1E+30 168
How Changes in Objective
Coefficients Change the Slope
of the Level Curve?
How Changes in Objective Coefficients Change
the Slope of the Level Curve
X2
250
original level curve

200
new optimal solution

150
original optimal solution

100
new level curve

50

0
0 50 100 150 200 250 X1
Values in the “Allowable Increase” and

Changes in “Allowable Decrease” columns for the

Objective Decision Cells indicate the amounts by which


an objective function coefficient can change
Function without changing the optimal solution,
Coefficients assuming all other coefficients remain
constant.
Alternate Values of zero (0) in the “Allowable Increase”
or “Allowable Decrease” columns for the
Optimal Decision Cells indicate that an alternate
Solutions optimal solution exists.
• The shadow price of a constraint indicates
the amount by which the objective function
Changes in value changes given a unit increase in the
RHS value of the constraint, assuming all
Constraint other coefficients remain constant.
• Shadow prices hold only within RHS changes
RHS Values falling within the values in “Allowable
Increase” and “Allowable Decrease” columns.
• Shadow prices for nonbinding constraints
are always zero.
• Shadow prices only indicate the changes
that occur in the objective function value
as RHS values change.
• Changing a RHS value for a binding
constraint also changes the feasible region
and the optimal solution (see graph on
following slide).
• To find the optimal solution after changing
a binding RHS value, you must re-solve the
problem.
How Changing an RHS Value Can Change the Feasible
Region and Optimal Solution
X2
250

Suppose available labor hours


200 increase from 1,566 to 1,728.

150 old optimal solution

old labor constraint


100

new optimal solution


50
new labor constraint

0
0 50 100 150 200 250 X1
• Suppose a new Tub (the Typhoon-Lagoon) is
being considered. It generates a marginal
profit of $320 and requires:
Other Uses • 1 pump (shadow price = $200)
of Shadow • 8 hours of labor (shadow price = $16.67)
• 13 feet of tubing (shadow price = $0)
Prices • Q: Would it be profitable to produce any?
A: $320 - $200*1 - $16.67*8 - $0*13 = -
$13.33 = No!
• The reduced cost for each product equals its per-unit
The Meaning of marginal profit minus the per-unit value of the
Reduced Costs resources it consumes (priced at their shadow prices).
• Resources in excess supply have a shadow
price (or marginal value) of zero.
• The reduced cost of a product →
(marginal profit) – (the marginal value of
the resources) it consumes
Key Points • Products whose marginal profits are less
than the marginal value of the goods
required for their production will not be
produced in an optimal solution.
Analyzing • Q: Suppose a Typhoon-Lagoon required only 7 labor

Changes in hours rather than 8. Is it now profitable to produce


any?
Constraint • A: $320 - $200*1 - $16.67*7 - $0*13 = $3.31 = Yes!
Coefficients
• Q: What is the maximum amount of labor Typhoon-
Lagoons could require and still be profitable?

• A: We need $320 - $200*1 - $16.67*L3 - $0*13 >=0


The above is true if L3 <= 120/16.67 = 7.20
• More than one RHS or OFC value changes
• The 100% Rule

Simultaneous
Changes
Solver Table
https://host.kelley.iu.edu/albrightbooks/Free_downloads.htm

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