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20 Sensitivity Analysis D 2023

This document discusses sensitivity analysis in linear programming (LP). It provides two examples: 1) Sensitivity to changes in resource availability (constraints). For a production problem, it calculates the dual price - the change in optimal value per unit change in a resource. It finds the range where the dual price remains valid. 2) Sensitivity to changes in objective coefficients. For the same problem, it determines the range of coefficient ratios where the optimal solution remains unchanged when the objective function pivots. This range is called the optimality range and allows for changes to coefficients while maintaining optimality.

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Mohammad Ishraq Hossain
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42 views18 pages

20 Sensitivity Analysis D 2023

This document discusses sensitivity analysis in linear programming (LP). It provides two examples: 1) Sensitivity to changes in resource availability (constraints). For a production problem, it calculates the dual price - the change in optimal value per unit change in a resource. It finds the range where the dual price remains valid. 2) Sensitivity to changes in objective coefficients. For the same problem, it determines the range of coefficient ratios where the optimal solution remains unchanged when the objective function pivots. This range is called the optimality range and allows for changes to coefficients while maintaining optimality.

Uploaded by

Mohammad Ishraq Hossain
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Sensitivity Analysis

Dr. A.R.M. Harunur Rashid


• In LP, the parameters (input data) of the model can change within
certain limits with-out causing the optimum solution to change. This
is referred to as sensitivity analysis,
• post-optimal analysis which deals with determining the new optimum
solution resulting from making targeted changes in the input data.
Graphical Sensitivity Analysis

• 1. Sensitivity of the optimum solution to changes in the availability of


the resources (right-hand side of the constraints).

• 2. Sensitivity of the optimum solution to changes in unit profit or unit


cost (coefficients of the objective function).
Example Changes in the Right-Hand Side
• JOBCO produces two products on two machines. A unit of product 1
requires 2 hours on machine 1 and 1 hour on machine 2. For product
2, a unit requires 1 hour on machine 1 and 3 hours on ma-chine 2.
The revenues per unit of products 1 and 2 are $30 and $20,
respectively. The total daily processing time available for each
machine is 8 hours.

• Letting xl and x2 represent the daily number of units of products 1


and 2, respectively, the LP model is given as
• Figure in the next slide illustrates the change in the optimum solution
when changes are made in the capaci-ty of machine 1. If the daily
capacity is increased from 8 hours to 9 hours, the new optimum will
occur at point G. The rate of change in optimum z resulting from
changing machine 1 capacity from 8 hours to 9 hours can be
computed as follows
• The computed rate provides a direct link between the model input
(resources) and its output (total revenue) that represents the unit
worth of a resource (in $/hr)-that is, the change in the optimal
objective value per unit change in the availability of the resource
(machine capacity). This means that a unit increase (decrease) in
machine 1 capacity will increase (decrease) revenue by $14.00.
Although unit worth of a resource is an apt description of the rate of
change of the objective function, the technical name dual or shadow
price is now standard in the LP literature and all software packages
• Looking at Figure , we can see that the dual price of $14.00/hr remains
valid for changes (increases or decreases) in machine 1 capacity that move
its constraint parallel to itself to any point on the line segment BF. This
means that the range of applicability of the given dual price can be
computed as follows:
• Minimum machine 1 capacity [at B = (0,2.67)] = 2 x 0 + 1 x 2.67 = 2.67
hr
• Maximum machine 1 capacity [at F =(8,0)] = 2 x 8 + 1 x 0 = 16 hr
• We can thus conclude that the dual price of $14.00/hr will remain valid for
the range
• 2.67 hrs ≤ Machine 1 capacity ≤ 16 hrs
• Changes outside this range will produce a different dual price (worth per
unit).
Machine 2 capacity changes by moving BF up
or down reflected on DE
• Using similar computations, you can verify that the dual price for
machine 2 capacity is $2.00/hr and it remains valid for changes
(increases or decreases) that move its constraint parallel to itself to
any point on the line segment DE, which yields the following limits:
• Minimum machine 2 capacity [at D = (4,0)] = 1 x 4 + 3 x 0 = 4 hr
• Maximum machine 2 capacity [at E = (8, 0)] = 1 x a + 3 x 8 = 24 hr
• The conclusion is that the dual price of $2.00/hr for machine 2 will
remain applicable for the range
• 4 hr ≤ Machine 2 capacity ≤ 24 hr
• The computed limits for machine 1 and 2 are referred to as the
feasibility ranges.
• The dual prices allow making economic decisions about the LP
problem
• Insight: A suggestion is made to increase the capacities of machines 1
and 2 at the addi-tional cost of $10/hr. For machine 1, the additional
net revenue per hour is 14.00 - 10.00 = $4.00 and for ma-chine 2, the
net is $2.00 - $10.00 = -$8.00. Hence, only the capacity of machine 1
should be increased.
Changes in the Objective Coefficients :
Sensitivity Analysis
• Sensitivity of the optimum solution to changes in unit profit or unit
cost (coefficients of the objective function).
• Figure in the next slide shows the graphical solution space of the
JOBCO problem presented in Example earlier. The optimum occurs at
point C (xl == 3.2, x2 = 1.6, z == 128). Changes in revenue units (i.e.,
objective-function coefficients) will change the slope of z. However, as
can be seen from the figure, the optimum solution will remain at
point C so long as the objective function lies between lines BF and DE,
it means it may change slope its like turning around, the two
constraints that define the optimum point. This means that there is a
range for the coefficients of the objective function that will keep the
optimum solution un-changed at C.
• We can write the objective function in the general format
• Maximize z = c1xl + c2x2
• Imagine now that the line z is pivoted at C and that it can rotate
clockwise and counterclockwise. The optimum solution will remain at
point C so long as z = c1x1 + c2x2 lies between the two lines xl + 3x2 =
8 and 2xl + x2 = 8. This means that the ratio c1/c2 can vary between
1/3 and 2/1[first lines x1’s coefficient is 1 and x2’s coefficient is 3; so
ratio of these two is 1/3], which yields the following condition:
Insight
• Suppose that the unit revenues for products 1 and 2 are changed to
$35 and $25, respectively.
Optimality range
• Suppose that the unit revenue of product 2 is fixed at its current value
of c2 = $20.00.
• This range is referred to as the optimality range for c1 and it implicitly
assumes that c2 is fixed at $20.00.
• We can similarly determine the optimality range for c2 by fixing the
value of c1 at $30.00.

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