LECTURE NOTES ON MAT 313 OPTIMIZATION THEORY 3UNITS

Course Contents:
1. Linear programming models.
2. The simplex method: Formulation and theory.
3. Quality integer programming.
4. Transportation problem.
5. Two-person-zero- sum game.
6. Non-linear programming.
7. Quadratic programming.
8. Kuhn- tucker methods.
9. Optimality criteria.
10. Simple variable optimization.
11. Multivariable techniques.
12. Gradient methods.

REFERENCE BOOKS:
1. Dictionary of Mathematics by V.P. Jaggi

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 CHAPTER ONE

LINEAR PROGRAMMING MODELS

Introduction: A model is a general term denoting any abstract or idealized representation of a
real life system/situation or simply idealized representation of a real life system. Models provide
a concise framework for analyzing a decision problem in a systematic manner and in this respect
two basic components are essential for constructing a model: the objective of the system and the
constraints imposed on the system.

TYPES OF OR-MODELS:

The most important aspect of OR-models is the symbolic or mathematical model. It is assumed
that all the relevant variables, parameters and constraints as well as the objective function are
quantifiable. Thus, if are the decision variables of the problem under
study and if the system is subjected to constraints, the general mathematical model can be
written in the form:

Optimize (objective)

s. t.

} (constraints)

In addition to mathematical model, simulation and heuristic models are used. Simulation models
imitate the behavior of the system over a period of time. This is achieved by specifying a number
of events that are points whose occurrence signifies that important information pertaining to the
behavior of the system can be gathered.

LINEAR PROGRAMMING MODELS

A linear programming is a mathematical technique applicable when the relationship among

variables can be expressed as directly proportional (linear) functions.

Every linear programming problem consists of a mathematical statement called ‘an objective
function’. This function is to be either maximized or minimized depending on the nature of the
problem. For example, profit would be maximized but cost would be minimized. Also, involved
is a setoff constraints equations which can either be in form of inequalities or equalities of the
different resources available and the proportion of each resource necessary to make a unit of the
item of interest such as manufactured parts, personal policies, inventories etc.

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 FORMULATION OF LINEAR PROGRAMMING MODELS

The usefulness of linear programming as tool for optimal decision making and resource
allocation is based on its applicability to many diversified decision making problems as
determining the most profitable product mix, scheduling inventory, planning manpower
management etc. It has been used for pollution control, personal allocation, capital budgeting and
financial personnel selection.

The effective use and application require, as a first step is the formation of the model when the
problem is presented. The three basic steps in formulating a linear programming model are as
follows:

Step 1: Identify the decision variables to be determined and express them in terms of algebraic
equations.

Step 2: Identify all the limitations and constraints in the given problem and then express them as
linear inequalities or equalities in term of above identified decision variables.

Step 3: Identify the objective (criterion) which is to be optimized (maximized or minimized) and
express it as a linear function of the above defined variables.

We present below some illustrations on the formulation of linear programming models in various
situations drawn from different area of management.

Example 1: Production Planning Problem (PPP)

A tailor has the following materials available. 26 square metres of cotton, 21square metres of
silk and 25 square metres of wool. He can make out two products from these three materials,
namely dress and suite. A dress requires the following: 4 square metres of cotton, 1 square metre
of silk and 1 square metre of wool. A suite requires 1 square metre of cotton, 3 square metres of
silk and 5 square metres of wool. If the gross profit realized from a dress and a suite is
respectively #40 and #60. Formulate the above as a linear programming model.

Solution: The information needed in order to formulate the above problem is summarized in
the table below:

Product/Material Dress Suite Material

Cotton 4 1 26
Silk 1 3 21
Wool 1 5 25
Profit #40 #60
Let be the number of dresses to be made and be the number of suites to be made. Then, the
total profit

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which is the objective function of the problem.

The following are constraints or limitations of the problem:

(a). Only 26 square metres available for cotton to be used, hence we have

(b). Limitation on silk would imply that

(c). Limitation on wool also means

(d). and finally, at worst the tailor would make no garment implies that

Rewriting all together, we have the linear programming model to be as follows:

(Cotton constraint)

(Silk constraint)

(Wool constraint)

(Non negative constraint)

Example 2: Cost Minimization Problem (CMP)

A manufacturer is to market a new fertilizer which is to be a mixture of two ingredients A and B.

The properties of the two ingredients are as follows:

Ingredient A contains 20% Bone meal, 30% Nitrogen, 40% Lime and 10% Phosphate and it cost
#3.50 per kilogram. Ingredient B contains 40% Bone meal, 10% Nitrogen, 45% Lime and 5%
phosphate and it cost #2.50 per kilogram. Furthermore, it is decided that:

(i). The fertilizer will be sold in bags containing a minimum of 50 kilograms.

(ii). It must contain at most 12% nitrogen.

(iii). It must contain at most 6% phosphate.

(iv). It must contain at least 20% bone meal.

Formulate the above problem as a LPM.

Solution: Let be the number of kilograms of ingredient A and be the number of kilograms
of ingredients B. The objective function is:

Minimize

The following are the constraints or limitations:

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(a). Total weight constraints:

(b). Bone meal constraints:

(c). Nitrogen constraints:

(d). Phosphate constraints:

(e). Non negative constraints:

GRAPHICAL SOLUTION METHOD

One way of solving a linear programming problem after its formulation is the use of graph. This
is possible if the decision variables are not more than three. It is very handy when the decision
variables are two since a graph in 2-dimensions is easier to draw than that in 3-dimensions;
anything above three dimensions may be different.

Example 3: Suppose a manufacturer produces liquids and . Because of past sales experience,
the market researcher estimates that at least twice as much as is needed. The manufacturing
capacity of the plant allows for a total of 9 units to be manufactured. If each unit of liquid in a
profit of #200 and the profit for each units of is #100. How much of each should be produced
to maximize the profit?.

Solution: Let be the amount of to be produced and let be the amount of to be produced.
We may state the given problem mathematically as follows:

Max

such that:

In the next section, we develop a technique (the simplex algorithm) for solving such problems in
general, but we can solve this particular one geometrically, first we sketch the set of points in
that satisfy the set of constraints (shaded part fig 1). This region is called the feasible region.

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 -- 𝑦 𝑥

-- 𝑦 𝑥

0 1 2 3

If a point is in the region, it satisfies all of the constraints and is called feasible ; if it is not in the
region; it violates at least one of them and is called infeasible.

Different points in the feasible region give different values of the objective function. For
example, the region (0,0) is feasible and gives a point of 2(0)+0=0.

Similarly, (1.5) is feasible and gives profit of 2(1) + 5=7, which is better than 0, we seek the
point or points of the feasible region that yield maximal profit corresponding to a fixed value of
, the set of solutions to the equation is the line (called the objective line) with slope
-2 and intercept . In otherwords, all points along the line correspond to the
same value. Remember that we are interested only in those points that lie in the feasible
region, and we want to be as large as possible (fig. 2).

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11 -- 𝑦 𝑥
10
-- 𝑦 𝑥
9
_____ parallel
8
7 _____ parallel
6 _____ parallel
5
4

3
2
1

0
1 2 3 4 5 6 7 8
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 CHAPTER TWO

THE SIMPLEX METHOD

Simplex method is a general purpose approach employed in solving linear programming
problems that are too large to be solved graphically. At this time, the simplex method is by far
the most widely used algebraic procedure for solving LPP. Computer programs based on this
method can routinely solve LPP with thousands of variables and constraints.

An algebraic overview of the Simplex Method

We introduce the problem that we will use to demonstrate the Simplex method with:

Lowtech Industries import electronic components that are used to assemble two different models
of personal computers. One model is called the LT Deskpro Computer and the other model is
called LT Portable Computer. Lowtech management is currently interested in developing a
weekly production schedule for both products.

The Deskpro Computer generates a profit contribution of N50 per unit, and the portable
computer generates a profit contribution of N40 per unit. For next week’s production a
maximum of 150 hours of assembly time can be made available. Each unit of the Deskpro
requires 3 hours of assembly time and each unit of the portables requires 5 hours of assemble
time. In addition, Lowtech currently has only 20 portable display components in inventory; thus
no more than 20 units of the Portable Computer may be assembled. Finally, only 300 square feet
of warehouse space can be made available for new production. Assembly of each Deskpro
Computers requires 8 square feet of warehouse space. Similarly, each Portable requires 5 square
feet.

Solution: Let no of units of the Deskpro assembled and let no of units of the
Portable assembled. The complete mathematical model for this problem is presented below:

Max

s. t. Assembly time

Portable display

Warehouse capacity

Adding a slack variable to each of the constraints permits us to write the problem in standard
form:

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 Max

s. t.

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