INTRODUCTION TO LINEAR PROGRAMMING

1.1 Introduction

Linear Programming; a specific class of mathematical problems, in which a linear

function known as objective function, is maximized (or minimized) subject to a set of linear
equalities and/or inequalities known as constraints. Linear programming problems can be
expressed in canonical form as:

Maximize 𝑐𝑇 𝒙
Subject to 𝐴𝒙 ≤ 𝒃
And 𝒙 ≥ 𝟎,

where 𝒙 represents the vector of variables (to be determined), 𝒄 and 𝒃 are vectors and 𝐴 is a (known)
coefficients of matrix.

This problem class is broad enough to encompass many interesting and important
applications. The objective function may be profit, cost, production capacity or any other measure
of effectiveness, which is to be obtained in the best possible or optimal manner. The constraints
may be imposed by different sources such as market demand, production processes and equipment,
storage capacity, raw material availability, etc.
✓ In mathematics, linear programming (LP) is a technique for optimization of a linear
objective function, subject to linear equality and linear inequality constraints.
✓ Linear programming determines the way to achieve the best outcome (such as maximum
profit or lowest cost) in a given mathematical model and given some list of requirements
represented as linear equations.

1.2 Brief History of Linear Programming

• Linear programming was developed as a discipline in the 1940's, motivated initially by the
need to solve complex planning problems in wartime operations. Its development
accelerated rapidly in the postwar period as many industries found valuable uses for linear
programming.
• The problem of solving a system of linear inequalities dates back at least as far as Fourier,
who in 1827 published a method for solving them,[1] and after whom the method
of Fourier–Motzkin elimination is named.
• The first linear programming formulation of a problem that is equivalent to the general
linear programming problem was given by Leonid Kantorovich in 1939, who also
proposed a method for solving it.[2] He developed it during World War II as a way to plan
expenditures and returns so as to reduce costs to the army and increase losses incurred by
the enemy.
 Leonid Kantorovich
• About the same time as Kantorovich, the Dutch-American economist T. C.
Koopmans formulated classical economic problems as linear programs. The Nobel prize
in econonmics was awarded in 1975 to the mathematician Leonid Kantorovich (USSR)
and the economist Tjalling Koopmans (USA) for their contributions to the theory of
optimal allocation of resources, in which linear programming played a key role.
• In 1941, Frank Lauren Hitchcock also formulated transportation problems as linear
programs and gave a solution very similar to the later Simplex method; [2] Hitchcock had
died in 1957 and the Nobel prize is not awarded posthumously.
• During 1946–1947, George B. Dantzig independently developed general linear
programming formulation to use for planning problems in US Air Force. In 1947, Dantzig
also invented the simplex method that for the first time efficiently tackled the linear
programming problem in most cases. When Dantzig arranged meeting with John von
Neumann to discuss his Simplex method, Neumann immediately conjectured the theory
of duality by realizing that the problem he had been working in game theory was
equivalent. Dantzig provided formal proof in an unpublished report "A Theorem on Linear
Inequalities" on January 5, 1948.[3] Postwar, many industries found its use in their daily
planning.
• The founders of the subject are generally regarded as George B. Dantzig, who devised the
simplex method in 1947, and John von Neumann, who established the theory of duality
that same year.

George Dantzig, founder of Linear Programming John von Neumann

• Dantzig's original example was to find the best assignment of 70 people to 70 jobs. The
computing power required to test all the permutations to select the best assignment is vast;
the number of possible configurations exceeds the number of particles in the observable
universe. However, it takes only a moment to find the optimum solution by posing the
problem as a linear program and applying the simplex algorithm. The theory behind linear
programming drastically reduces the number of possible solutions that must be checked.
 • The linear programming problem was first shown to be solvable in polynomial time
by Leonid Khachiyan in 1979, but a larger theoretical and practical breakthrough in the
field came in 1984 when Narendra Karmarkar introduced a new interior-point method for
solving linear-programming problems.

1.3 Requirements for a Linear Programming Problem

Linear programming can be used for optimization problems if the following conditions are
satisfied:

1. There must be a well-defined objective function which is to be either maximized or

minimized and which can be expressed as a linear function of decision variables.

2. There must be constraints on the amount of extent of attainment of the objective and
these constraints must be capable of being expressed as linear equalities or inequalities
in terms of variables.

3. There must be alternative courses of action. For example, a given product may be
processed by two different machines and problem may be as to how much of the
product to allocate to each machine.

4. Decision variables must be interrelated and non-negative.

5. The resources must be in limited supply.

1.4 Assumptions in Linear Programming

The following four assumptions are made in the linear programming problems.
• Linearity: the amount of resources required for a given activity level is directly
proportional to the level of that activity. For example, if the number of hours
required on a particular machine (for a given activity level) is 5 hours per unit of
that activity, then the total number of hours required on that machine to produce 10
units of that activity is 50 hours.
• Divisibility: this means that fractional values of the decision variables are
permitted.
• Non-negativity: this means that the decision variables are permitted to have only
the values which are greater than or equal to zero.
• Additivity: this means that the total output for a given combination of activity
levels is the algebraic sum of the output of each individual process.
1.5 Modeling with Linear Programming

All linear programming problem consists of three basic components:

1. Decision variable that we seek to determine.

2. Objective (goal) that we need to optimize (maximize or minimize).
3. Constraints that the solution must satisfy.

The proper definition of the decision variables is an essential first step in the development
of the model. Once done, the task of constructing the objective function and the constraints
become more straightforward.
Formulating LP models:
✓ Step 1
➢ Study the given situation.
➢ Find the key decision to be made.
➢ Identify the decision variables of the problem.

✓ Step 2
➢ Formulate the objective function to be optimized.

✓ Step 3
➢ Formulate the constraints of the problem.

✓ Step 4
➢ Add non-negativity restrictions or constraints.

1.6 Examples on the Applications of Linear Programming

In this section, we illustrate the applications of linear programming to various situations

with the help of examples. The objective is to familiarize with some of the areas where this
technique may be applied.
In these examples the stress is laid on the analysis of the situations and formulation of the
linear programming model rather than its solution.
A sample list of applications of the linear programming problem is presented below:
• Product mix problem
• Diet planning problem
• Cargo loading problem
• Capital budgeting problem
• Manpower planning problem.
Some Application Areas of LPP:

✓ Agriculture: Allocation of scarce resources-acreage, labour, water, capital…

✓ Military: Various optimizations pertaining to allocation, transportation, strategies

or so.

✓ Production Management
- Product Mix
- Production Planning
- Assembly Line Balancing
- Blending Problems
- Trim Loss Prevention

✓ Financial Management
- Portfolio Selection
- Profit Planning

✓ Marketing Management
- Media Selection
- Traveling Salesman Problem
- Physical Distribution

✓ Personnel Management
- Staffing Problem
- Determination of Equitable Salaries
- Job Evaluation and Selection
Elementary Examples:

Example 1(Production Allocation Problem)

A firm produces three products. These products are processed on three different machines. The
time required manufacturing one unit of each of the three products and the daily capacities of the
three machines are given in the table below:

Machine Time per unit (minutes) Machine

capacity
Product 1 Product 2 Product 3 (minutes/day)

M1 2 3 2 440
M2 4 - 3 470
M3 2 5 - 430

It is required to determine the daily number of units to be manufactured for each product. The
profit per unit for product 1, 2, and 3 is Rs. 4, Rs. 3 and Rs. 6 respectively. It is assumed that all
the amounts produced are consumed in the market.

Formulation:

Let the number of units of products: 1, 2, and 3 manufactured daily be x1 , x2 and x3 respectively.

Maximize z = 4 x1 + 3x2 + 6 x3
Subject to
2 x1 + 3 x2 + 2 x3  440
4 x1 + 0 x2 + 3 x3  470
2 x1 + 5 x2 + 0 x3  430
x1  0, x2  0, x3  0
Example 2 (Product Mix Problem)

A chemical company produces two products, X and Y. Each unit of product X requires 3 hours on
operation I and 4 hours of operation II, while each unit of product Y requires 4 hours on operation
I and 5 hours on operation II. Total available time for operations I and II is 20 hours and 26 hours
respectively. The production of each units of product Y also results in two units of a by-product Z
at no extra cost.
Product X sells at profit of Rs. 10/unit, while Y sells at profit of Rs. 20/unit. By-product Z brings
a unit profit of Rs. 6 if sold; in case it cannot be sold, the destruction cost is Rs. 4/unit. Forecasts
indicate that not more than 5 units of Z can be sold.
Determine the quantities of X and Y to be produced, keeping Z in mind, so that profit earned is
maximum.

Formulation

Let the number of units of products X, Y and Z produced be x1, x2 , xz , where

x z = Number of units of Z produced.
= Number of units of Z sold + number of units of Z destroyed
= x3 + x4 (say).

The objective is to maximize the profit.

Maximize z = 10 x1 + 20 x2 + 6 x3 − 4 x4
Subject to
3x1 + 4 x2  20 (Time available on operation I)
4 x1 + 5 x2  26 (Time available on operation II)
x3  5 (No. of units of Z sold)
− 2 x2 + x3 + x4 = 0 (No. of units of Z produced)
x1  0, x2  0, x3  0, x4  0
Example 3 (Advertising Media Selection Problem)

An advertising company wishes to plan its advertising strategy in three different media - television,
radio and magazines. The purpose of advertising is to reach a large number of potential customers
as possible. Following data has been obtained from market survey:

Television Radio Magazine I Magazine

II
Cost of an advertising unit Rs.30 000 Rs.20 000 Rs.15 000 Rs.10 000

No. of potential customers 200 000 600 000 150 000 100 000
reached per unit

No. of female customers 150 000 400 000 70 000 50 000

reached per unit

The company wants to spend not more than Rs. 450 000 on advertising. Following are the further
requirements that must be met:
(i) At least 1 million exposures take place among female customers,
(ii) Advertising on magazines be limited to Rs. 150 000,
(iii)At least 3 advertising units be bought on magazine 1 and 2 units on magazine II, and
(iv) The number of advertising units on television and radio should each be between 5 and 10.

Formulation

Let x1 , x2 , x3 , x4 represent the number of these advertising units in television, radio, magazine I and
magazine II respectively.
The objective is to maximize the total number of potential customers.

Maximize z = 105 (2 x1 + 6 x2 + 1.5 x3 + x4 )

Subject to
30 x1 + 20 x2 + 15 x3 + 10 x4  450 (Budget)
15 x1 + 40 x2 + 7 x3 + 5 x4  100 (Female customers)
15 x3 + 10 x4  150 (Expenses on magazine)
x3  3 (No. of units on magazine I)
x4  2 (No. of units on magazine II)
5  x1  10 (No. of units on television)
5  x2  10 (No. of units on radio)
x1  0, x2  0, x3  0, x4  0
Example 4 (War Strategy Problem)

The strategic bomber command receives instructions to interrupt the enemy tank production. The
enemy has 4 key plants located in separate cities, and destruction of any one plant will effectively
halt the production of tanks. There is an accurate shortage fuel, which limits the supply to 45 000
liters for this particular mission. Any bomber sent to any particular city must have at least enough
fuel for the round trip plus 100 liters.
The number of bombers available to the commander and their descriptions are as follows:

Bomber type Description Km/liter Number available

A Heavy 2 40
B Medium 2.5 30

Information about the location of the plants and their probability of being attacked by a medium
bomber and a heavy bomber is given below:

Plant Distance from Probability of destruction

base (km) by
a heavy bomber a medium
bomber
1 400 0.10 0.08
2 450 0.20 0.16
3 500 0.15 0.12
4 600 0.25 0.20

How many each type of bombers should be dispatched, and how should they be allocated among
the four targets in order to maximize the probability of success?

Formulation

Let the bombers sent be xij , where i = type A, B and j = plant 1, 2, 3, 4.

The objective is to maximize the probability of success in destroying at least one plant and this
equivalent to minimizing the probability of not destroying any plant.

Minimize Q =
(1 − 0.1)𝑥𝐴1 (1 − 0.2)𝑥𝐴2 (1 − 0.15)𝑥𝐴3 (1 − 0.25)𝑥𝐴4 (1 − 0.08)𝑥𝐵1 (1 − 0.16)𝑥𝐵2
(1 − 0.12)𝑥𝐵3 (1 − 0.20)𝑥𝐵4

Therefore, the objective is to

0.0457 x A1 + 0.09691 x A2 + 0.07041 x A3 + 0.12483 x A4 + 0.03623 x B1 +

Maximize log 1/Q =
0.07572 x B 2 + 0.05338 x B 3 + 0.09691 x B 4
Subject to
500 x A1 + 550 x A2 + 600 x A3 + 700 x A4 + 420 x B1 + 460 x B 2 +
500 x B 3 + 580 x B 4  45 000
(Limited supply of fuel)
x A1 + x A2 + x A3 + x A4  40
xB1 + xB 2 + xB 3 + xB 4  30 (Limited number of aircrafts)
x A1  0, x A2  0, x A3  0, x A4  0, xB1  0, xB 2  0, xB3  0, xB 4  0 .

Example 5 (A cargo plane problem)

A cargo plane has three compartments for storing cargo: front, centre and rear. These
compartments have the following limits on both weight and space:

Compartment Weight capacity (tonnes) Space capacity (cubic metres)

Front 10 6800
Centre 16 8700
Rear 8 5300

Furthermore, the weight of the cargo in the respective compartments must be the same
proportion of that compartment's weight capacity to maintain the balance of the plane.

The following four cargoes are available for shipment on the next flight:

Cargo Weight (tonnes) Volume (cubic metres/tonne) Profit (£/tonne)

C1 18 480 310
C2 15 650 380
C3 23 580 350
C4 12 390 285

Any proportion of these cargoes can be accepted. The objective is to determine how much (if
any) of each cargo C1, C2, C3 and C4 should be accepted and how to distribute each among the
compartments so that the total profit for the flight is maximized.
Solution
Variables:

We need to decide how much of each of the four cargoes to put in each of the three
compartments. Hence let:

xij be the number of tonnes of cargo i (i=1,2,3,4 for C1, C2, C3 and C4 respectively) that is put
into compartment j (j=1 for Front, j=2 for Centre and j=3 for Rear) where xij >=0 i=1,2,3,4;
j=1,2,3

Note here that we are explicitly told we can split the cargoes into any proportions (fractions) that
we like.

Constraints:

• cannot pack more of each of the four cargoes than we have available

x11 + x12 + x13 <= 18

x21 + x22 + x23 <= 15
x31 + x32 + x33 <= 23
x41 + x42 + x43 <= 12

• the weight capacity of each compartment must be respected

x11 + x21 + x31 + x41 <= 10

x12 + x22 + x32 + x42 <= 16
x13 + x23 + x33 + x43 <= 8

• the volume (space) capacity of each compartment must be respected

480x11 + 650x21 + 580x31 + 390x41 <= 6800

480x12 + 650x22 + 580x32 + 390x42 <= 8700
480x13 + 650x23 + 580x33 + 390x43 <= 5300

• the weight of the cargo in the respective compartments must be the same proportion of
that compartment's weight capacity to maintain the balance of the plane

[x11 + x21 + x31 + x41]/10 = [x12 + x22 + x32 + x42]/16 = [x13 + x23 + x33 + x43]/8

Objective:

The objective is to maximise total profit, i.e.

maximise 310[x11+ x12+x13] + 380[x21+ x22+x23] + 350[x31+ x32+x33] + 285[x41+ x42+x43]

Example 6

A company assembles four products (1, 2, 3, 4) from delivered components. The

profit per unit for each product (1, 2, 3, 4) is £10, £15, £22 and £17 respectively. The
maximum demand in the next week for each product (1, 2, 3, 4) is 50, 60, 85 and 70
units respectively.

There are three stages (A, B, C) in the manual assembly of each product and the man-
hours needed for each stage per unit of product are shown below:
Product
1 2 3 4
Stage A 2 2 1 1
B 2 4 1 2
C 3 6 1 5

The nominal time available in the next week for assembly at each stage (A, B, C) is
160, 200 and 80 man-hours respectively.

It is possible to vary the man-hours spent on assembly at each stage such that workers
previously employed on stage B assembly could spend up to 20% of their time on
stage A assembly and workers previously employed on stage C assembly could spend
up to 30% of their time on stage A assembly.

Production constraints also require that the ratio (product 1 units assembled)/(product
4 units assembled) must lie between 0.9 and 1.15.

Formulate the problem of deciding how much to produce next week as a linear
program.

Solution
Variables

Let

xi = amount of product i produced (i=1,2,3,4)

tBA be the amount of time transferred from B to A

tCA be the amount of time transferred from C to A

Constraints

• maximum demand

x1 <= 50

x2 <= 60

x3 <= 85

x4 <= 70

• ratio

0.9 <= (x1/x4) <= 1.15

i.e. 0.9x4 <= x1 and x1 <= 1.15x4

• work-time

2x1 + 2x2 + x3 + x4 <= 160 + tBA + tCA

2x1 + 4x2 + x3 + 2x4 <= 200 - tBA

3x1 + 6x2 + x3 + 5x4 <= 80 - tCA

• limit on transferred time

tBA <= 0.2(200)

tCA <= 0.3(80)

• all variables >= 0

Objective

maximise 10x1 + 15x2 + 22x3 + 17x4

Note we neglect the fact that the xi variables should be integer because we are told to
formulate the problem as an LP.