CH 3:

Linear Programming (Graphical Method):

Sensitivity Analysis
Introduction to Sensitivity Analysis

Sensitivity analysis (or post-optimality analysis) is used to

determine how the optimal solution is affected by changes,
within specified ranges, in:
 the objective function coefficients
 the right-hand side (RHS) values

Sensitivity analysis is important to a manager who must

operate in a dynamic environment with imprecise estimates of
the coefficients.

Sensitivity analysis allows a manager to ask certain what-if

questions about the problem.

Slide 2
Graphical Sensitivity Analysis
For LP problems with two decision variables, graphical
solution methods can be used to perform sensitivity analysis
on
 the objective function coefficients, and
 the right-hand-side values for the constraints.

Max Z = 5x1 + 7x2

s.t. x1 < 6 (1)

2x1 + 3x2 < 19 (2)
x1 + x 2 < 8 (3)

x1, x2 > 0
Slide 3
Example 1
x2
8 x1 + x2 < 8 (3)
Max 5x1 + 7x2
7
6 x1 < 6 (1)
5
Optimal Solution:
4 x1 = 5, x2 = 3, Z= 46
3
2x1 + 3x2 < 19 (2)
2
1
x1
1 2 3 4 5 6 7 8 9 10
Slide 4
Objective Function Coefficients
The range of optimality for each coefficient provides the range
of values over which the values of decision variables will
remain optimal (i.e., the same).
Note that the objective function value will change if the
coefficient/s of the decision variable/s is/are changed.

E.g., Suppose now the new objective function is

Maximize Z = 6x1 + 7x2.
What is the new optimal solution (i.e., x1, x2, and Z)?

Slide 5
Example 1
Changing Slope of Objective Function
x2
Coincides with
8 x1 + x2 < 8 (3)
constraint line
7
6 Objective function
5 line for 5x1 + 7x2
5
4 Coincides with
2x1 + 3x2 < 19 (2)
3 Feasible constraint line
Region 4
2
3
1
1 2
x1
1 2 3 4 5 6 7 8 9 10
Slide 6
Range of Optimality

Graphically, the limits of a range of optimality are found by

changing the slope of the objective function line within the
limits of the slopes of the binding constraint lines.

Slope of an objective function line, Max c1x1 + c2x2, is -c1/c2,

and the slope of a constraint, a1x1 + a2x2 = b, is -a1/a2.

Example:
Objective function: 5x1 + 7x2
Slope of objective function = - 5/7

Slide 7
Example 1
Range of Optimality for c1
The slope of the objective function line is -c1/c2. The slope of
the first binding constraint, x1 + x2 = 8, is -1 and the slope of
the second binding constraint, 2x1 + 3x2 = 19, is -2/3.
Find the range of values for c1 (with c2 staying 7) such
that the objective function line slope lies between that of the
two binding constraints:
-1 < -c1/7 < -2/3
Multiplying through by -7 (and reversing the inequalities):
14/3 < c1 < 7

Slide 8
Example 1
Range of Optimality for c1
Would a change in c1 from 5 to 7 (with c2 unchanged) cause a
change in the optimal values of the decision variables (i.e., x1
and x2)?

The answer is ‘no’ because when c1 = 7, the condition 14/3 < c1

< 7 is satisfied.

What about the optimal value of the objective function, Z?

Would a change in c1 from 5 to 8 (with c2 unchanged) cause a

change in the optimal x1, x2 and Z? Why?

Slide 9
Example 1
Range of Optimality for c2
Find the range of values for c2 ( with c1 staying 5) such that the
objective function line slope lies between that of the two binding
constraints:
-1 < -5/c2 < -2/3

Multiplying by -1: 1 > 5/c2 > 2/3

Inverting, 1 < c2/5 < 3/2

Multiplying by 5: 5 < c2 < 15/2

Slide 10
Example 1
Range of Optimality for c2
Would a change in c2 from 7 to 6 (with c1 unchanged) cause a
change in the optimal values of the decision variables?

The answer is ‘no’ because when c2 = 6, the condition 5 < c2 <

15/2 is satisfied.

Would a change in c2 from 7 to 8 (with c1 unchanged) cause a

change in the optimal decision variables and optimal objective
function value? Why?

Slide 11
 Important Notes

• The range of optimality for objective function coefficients is only

applicable for changes made to one coefficient at a time.
• All other coefficients are assumed to be fixed.
• If two or more coefficients are changed simultaneously, further
analysis is usually necessary.
• However, when solving two-variable problems graphically, the
analysis is fairly easy.
• Simply compute the slope of the objective function (-Cx1/Cx2 )
for the new coefficient values.
• If this ratio is > the lower limit on the slope of the objective
function and < the upper limit, then the changes made will not
cause a change in the optimal solution.

Slide 12
Example 1
Simultaneous Changes in c1 and c2
Would simultaneously changing c1 from 5 to 7 and changing
c2 from 7 to 6 cause a change in the optimal solution? (Recall
that these changes individually did not cause the optimal
solution to change.)

Recall that the objective function line slope must lie between
that of the two binding constraints:
-1 < -c1/c2 < -2/3
The answer is ‘yes’ the optimal solution (i.e., x1, x2 and Z)
changes because -7/6 does not satisfy the above condition.

Slide 13
Right-Hand Sides

• Let us consider how a change in the right-hand side for a

constraint might affect the feasible region and perhaps cause a
change in the optimal solution.
• The change in the value of the optimal solution per unit
increase in the right-hand side is called the dual value.
• The range of feasibility is the range over which the dual value
is applicable.
• As the RHS increases sufficiently, other constraints will
become binding and limit the change in the value of the
objective function.

Slide 14
Dual Value (Shadow Price)
• Graphically, a dual value is determined by adding +1 to the right
hand side value in question and then resolving for the optimal
solution in terms of the same two binding constraints.
• The dual value is equal to the difference in the values of the
objective functions between the new and original problems.

• Note that all the optimal values (i.e., all the decision variables
and objective function value) will change when you change the
right hand side value/s of the binding constraint/s.
• The dual value for a nonbinding constraint is 0.

Slide 15
Example 1
Dual Values
Constraint 1: Since x1 < 6 is not a binding constraint, its dual
price is 0.

Constraint 2: Change the RHS value of the second constraint to

20 and resolve for the optimal point determined by the last two
constraints:
2x1 + 3x2 = 20 and x1 + x2 = 8.
The solution is x1 = 4, x2 = 4, z = 48. Hence,
the dual price = znew - zold = 48 - 46 = 2.

Constraint 3: Change the RHS value of the third constraint to 9

and resolve for the optimal point determined by the last two
constraints: 2x1 + 3x2 = 19 and x1 + x2 = 9.
The solution is: x1 = 8, x2 = 1, z = 47.
The dual price is znew - zold = 47 - 46 = 1. Slide 16
Range of Feasibility
• Note that when the right hand side value of a binding constraint
is changed all the values (i.e., x1, x2 and Z) of the optimal solution
will also change.

• Graphically, the range of feasibility is determined by finding the

values of a right hand side coefficient such that the same two lines
that determined the original optimal solution continue to
determine the optimal solution for the problem.

• The range of feasibility for a change in the right hand side value is
the range of values for this coefficient in which the original dual
value remains constant.

Slide 17