10/10/2023

INTRODUCTION TO LINEAR PROGRAMMING

 Linear Programming Problem

DECISION MODELLING  Problem Formulation

MBAA TERM-II  A Simple Maximization Problem
(2023-24)  Graphical Solution Procedure
 Slack & Surplus Variables
 Binding constraints
SESSION 3
LINEAR PROGRAMMING  Extreme Points and the Optimal Solution
[FORMULATION OF THE LP MODEL]  Reduced Cost
 Computer Solutions (Lingo)
Dr. Devendra Kumar Pathak
(M.Tech. & Ph.D., IIT Delhi)  A Simple Minimization Problem
Assistant Professor, 2
Operations Management & Decision Sciences,  Special Cases
Indian Institute of Management (IIM) Kashipur

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SOME POPULAR MANAGEMENT PROBLEMS LINEAR PROGRAMMING (LP) PROBLEM

1. Product Mix Problem (Production Management)  Linear programming involves choosing a course of
action when the mathematical model of the problem
2. Media Selection Problem (Marketing contains only linear functions.
Management)  The maximization or minimization of some quantity is
the objective in all linear programming problems.
3. Portfolio Selection Problem (Finance Management)
4. Workforce scheduling / Staffing Problem (HR  All LP problems have constraints that limit the degree to
which the objective can be pursued.
Management) A feasible solution satisfies all the problem's
constraints.
5. Diet Problem (Food industry, Hospitals etc)
 An optimal solution is a feasible solution that results in
6. Blending Problem (Chemical Industry) the largest possible objective function value when
maximizing (or smallest when minimizing).
7. Production scheduling Problem (Multi-period planning
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/ Aggregate Planning)  A graphical solution method can be used to solve a
linear program with two variables.

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LINEAR PROGRAMMING (LP) PROBLEM PROBLEM FORMULATION

 If both the objective function and the  Problem formulation or modeling is the process of
constraints are linear, the problem is referred to translating a verbal statement of a problem into
as a linear programming problem. a mathematical statement.

 Linear functions are functions in which each

variable appears in a separate term raised to the  Every LP problems has some unique features, but
first power and is multiplied by a constant (which most problems also have common features.
could be 0).

 Linear constraints are linear functions that are

restricted to be "less than or equal to", "equal to",
or "greater than or equal to" a constant.

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GUIDELINES FOR MODEL FORMULATION EXAMPLE 1: A SIMPLE MAXIMIZATION PROBLEM

 Understand the problem thoroughly.  LP Formulation

Objective
 Describe the objective (Max. or Min.) Max 5x1 + 7x2 Function

 Describe each constraint (capacity, time) s.t. x1 < 6 “Regular”

2x1 + 3x2 < 19 Constraints
 Define the decision variables (CI)
x1 + x2 < 8
 Write the objective in terms of the decision Non-negativity
x1 > 0 and x2 > 0 Constraints
variables.

 Write the constraints in terms of the decision

variables.
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EXAMPLE 1: GRAPHICAL SOLUTION EXAMPLE 1: GRAPHICAL SOLUTION

 First Constraint Graphed  Second Constraint Graphed

x2 x2

8 8 (0, 6 1/3)
7 x1 = 6 7
6 6
Shaded region 2x1 + 3x2 = 19
5 contains all 5
4 feasible points 4
for this constraint Shaded
3 3
region contains
2 2 all feasible points
(6, 0) (9 1/2, 0)
1 1 for this constraint
x1 x1
1 2 3 4 5 6 7 8 9 10 12 1 2 3 4 5 6 7 8 9 10 13

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EXAMPLE 1: GRAPHICAL SOLUTION EXAMPLE 1: GRAPHICAL SOLUTION

 Combined-Constraint Graph Showing Feasible Region
 Third Constraint Graphed
x2 (0, 8) x2
x1 + x2 = 8
8 8
7 7
x1 + x2 = 8 x1 = 6
6 6
5 5
4 4
Shaded
3 3
region contains Feasible Region
2x1 + 3x2 = 19
2 all feasible points 2 (set of all feasible solutions)
for this constraint (8, 0)
1 1
x1 x1
1 2 3 4 5 6 7 8 9 10 14 1 2 3 4 5 6 7 8 9 10 15

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EXAMPLE 1: GRAPHICAL SOLUTION EXAMPLE 1: GRAPHICAL SOLUTION

 Objective Function Line Selected Objective Function Lines

x2 x2

8 Arbitrary 8
value
7 7 5x1 + 7x2 = 35
(0, 5)
6 Objective Function 6
5x1 + 7x2 = 35 5x1 + 7x2 = 39
5 5
4 4
3 3 5x1 + 7x2 = 42

2 2
(7, 0)
1 1
x1 x1
1 2 3 4 5 6 7 8 9 10 16 1 2 3 4 5 6 7 8 9 10 17

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EXAMPLE 1: GRAPHICAL SOLUTION SUMMARY OF THE GRAPHICAL SOLUTION PROCEDURE

FOR MAXIMIZATION PROBLEMS

 Prepare a graph of the feasible solutions for each of the

 Optimal Solution
x2 Maximum constraints.
Objective Function Line
8 5x1 + 7x2 = 46
 Determine the feasible region that satisfies all the
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constraints simultaneously.
6 Optimal Solution
5 (x1 = 5, x2 = 3)  Draw an objective function line.
4  Move parallel objective function lines toward larger
3
objective function values without entirely leaving
2
1 the feasible region.
x1  Any feasible solution on the objective function line with19
1 2 3 4 5 6 7 8 9 10 18

the largest value is an optimal solution.

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SLACK AND SURPLUS VARIABLES SLACK VARIABLE (FOR ≤ CONSTRAINTS)

 A linear program in which all the variables are non- Example 1 in Standard Form
negative and all the constraints are equalities is
Max 5x1 + 7x2 + 0s1 + 0s2 + 0s3
said to be in standard form.
s.t. x1 + s1 = 6
 Standard form is attained by adding slack variables 2x1 + 3x2 + s2 = 19
to "less than or equal to" constraints, and by
subtracting surplus variables from "greater than x1 + x 2 + s3 = 8
or equal to" constraints.
x1, x2 , s1 , s2 , s3 > 0
 Slack and surplus variables represent the difference
between the left and right sides of the constraints. s1 , s2 , and s3
Max 5x1 + 7x2
are slack variables
s.t. x1 < 6
 Slack and surplus variables have objective 2x1 + 3x2 < 19
20 21
function coefficients equal to 0. x1 + x2 < 8
x1 > 0 and x2 >0

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SLACK VARIABLE EXTREME POINTS AND THE OPTIMAL SOLUTION

Optimal Solution  The corners or vertices of the feasible region are

x2 Third Non-binding Constraint referred to as the extreme points.
Constraint:
First
8 x1 + x2 = 8 Constraint:
x1 = 6  An optimal solution to an LP problem can be
7
s3 = 0
s1 = 1 found at an extreme point of the feasible region.
6
5
Second  When looking for the optimal solution, you do not
4 Constraint: have to evaluate all feasible solution points.
2x1 + 3x2 = 19
3
Optimal
2 Solution
(x1 = 5, x2 = 3)
s2 = 0  You have to consider only the extreme points
1 of the feasible region.
x1
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1 2 3 4 5 6 7 8 9 10

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EXAMPLE 1: EXTREME POINTS COMPUTER SOLUTIONS

x2  LP problems involving 1000s of variables and 1000s of

constraints are now routinely solved with computer
8 packages.
7  Linear programming solvers are now part of many
5 (0, 6 1/3)
spreadsheet packages, such as Microsoft Excel.
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5
 Leading commercial packages include CPLEX,
4
4 (5, 3) LINGO, MOSEK, Xpress-MP, and Premium Solver
Feasible
3 for Excel.
Region 3 (6, 2)
2
1 1 (0, 0) 2 (6, 0) LINGO
x1
1 2 3 4 5 6 7 8 9 10
(https://www.lindo.com/lindoforms/downlingo.html)
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LINGO LINGO

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LINGO INTERPRETATION OF COMPUTER OUTPUT

 Now we will discuss the following output:

 objective function value

 values of the decision variables

 reduced costs

 slack and surplus

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EXAMPLE 1: LINGO SOLUTION EXAMPLE 1: LINGO SOLUTION

Amount
unused
Max 5x1 + 7x2
s.t. x1 < 6
2x1 + 3x2 < 19 30 31
x1 + x2 < 8
x1 > 0 and x2 > 0

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EXAMPLE 1 EXAMPLE 1

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EXAMPLE 2: A SIMPLE MINIMIZATION PROBLEM EXAMPLE 2: GRAPHICAL SOLUTION

 LP Formulation  Graph the Constraints

Constraint 1: When x1 = 0, then x2 = 2; when x2 = 0,
Min 5x1 + 2x2 then x1 = 5. Connect (5,0) and (0,2). The ">" side is
s.t. 2x1 + 5x2 > 10 above this line.
4x1 - x2 > 12 Constraint 2: When x2 = 0, then x1 = 3. But setting x1
to 0 will yield x2 = -12, which is not on the graph. Thus,
x1 + x2 > 4
to get a second point on this line, set x1 to any
x 1, x 2 > 0 number larger than 3 and solve for x2: when x1 = 5, then
x2 = 8. Connect (3,0) and (5,8). The ">” side is to the
right.

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EXAMPLE 2: GRAPHICAL SOLUTION EXAMPLE 2: GRAPHICAL SOLUTION

Graph the Constraints (continued)  Constraints Graphed

Constraint 3: When x1 = 0, then x2 = 4; when x2 = 0, x2
6
then x1 = 4. Connect (4,0) and (0,4). The ">" side is Feasible Region
above this line. 5
4x1 - x2 > 12
4
x1 + x2 > 4
3

2 2x1 + 5x2 > 10

x1
36 1 2 3 4 5 6 37

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EXAMPLE 2: GRAPHICAL SOLUTION EXAMPLE 2: GRAPHICAL SOLUTION

 Graph the Objective Function Objective Function Graphed

Set the objective function equal to an arbitrary x2 Min 5x1 + 2x2
constant (say 20) and graph it. For 5x1 + 2x2 = 20, 6

when x1 = 0, then x2 = 10; when x2= 0, then x1 = 4. 5

Connect (4,0) and (0,10). 4x1 - x2 > 12
4
 Move the Objective Function Line Toward x1 + x2 > 4
Optimality 3
Move it in the direction which lowers its value 2x1 + 5x2 > 10
2
(down), since we are minimizing, until it touches the
last point of the feasible region, determined by the 1
last two constraints.
x1
38 1 2 3 4 5 6 39

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EXAMPLE 2: GRAPHICAL SOLUTION EXAMPLE 2: GRAPHICAL SOLUTION

 Solve for the Extreme Point at the Intersection of the Optimal Solution
Two Binding Constraints (slack/surplus value 0) x2
4x1 - x2 = 12 6
x 1+ x 2 = 4 4x1 - x2 > 12
5
Adding these two equations gives: x1 + x2 > 4
4
5x1 = 16 or x1 = 16/5 Optimal Solution:
3 x1 = 16/5, x2 = 4/5,
Substituting this into x1 + x2 = 4 gives: x2 = 4/5 5x1 + 2x2 = 17.6
2
Solve for the Optimal Value of the Objective Function 2x1 + 5x2 > 10
1
5x1 + 2x2 = 5(16/5) + 2(4/5) = 88/5
x1
40 1 2 3 4 5 6 41

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SUMMARY OF THE GRAPHICAL SOLUTION PROCEDURE

FOR MINIMIZATION PROBLEMS SURPLUS VARIABLES (FOR ≥ CONSTRAINTS)

Prepare a graph of the feasible solutions for each of the Example 2 in Standard Form
constraints.
Min 5x1 + 2x2 + 0s1 + 0s2 + 0s3
Determine the feasible region that satisfies all the
s.t. 2x1 + 5x2 - s1 = 10
constraints simultaneously. 4x1 - x2 - s2 = 12
Surplus Variables
Draw an objective function line. x1 + x2 - s3 = 4

Move parallel objective function lines toward smaller x 1, x 2, s 1, s 2, s 3 > 0

objective function values without entirely leaving the
Min 5x1 + 2x2 s1 , s2 , and s3 are
feasible region. s.t. 2x1 + 5x2 > 10 surplus variables
4x1 - x2 > 12
Any feasible solution on the objective function line with the
42
Surplus represents the excess
43
x1 + x2 > 4
x1, x2 > 0 amount over & above the required
smallest value is an optimal solution. minimum level

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EXAMPLE 2: LINGO SOLUTION EXAMPLE 2: LINGO SOLUTION

Excess
Amount

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REDUCED COST EXAMPLE 1: LINGO SOLUTION

Reduced Costs
 The reduced cost for a decision variable whose value
is 0 in the optimal solution is:
 It is the amount by which objective function
coefficient of a DV should improve (increase
for maximization problems, decrease for
minimization problems) before this DV can be a
part of optimal solution.

Max 5x1 + 7x2

s.t. x1 < 6
 The reduced cost for a decision variable whose 2x1 + 3x2 < 19
value is > 0 in the optimal solution is 0. x1 + x2 < 8
x1 > 0 and x2 > 0

46 47

46 47

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EXAMPLE: LINGO SOLUTION EXAMPLE: LINGO SOLUTION

Max 42D1 + 87D2

s.t.
3D1 + 6D2  480 Line 1 Capacity
4D1 + 2D2  480 Line 2 Capacity 48 49

48 49

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