LINEAR
PROGRAMMING
Presentation OUTLINE
❑What is Linear Programming?
❑Definitions/Terminologies
❑Linear Programming Problem/applications
❑Solving Linear Programming Problems – The
Graphical Method
Linear Programming
What is Linear Programming?
➢ In technical/mathematical perspective:
▪ technique that helps find the optimum solution for a given problem - an
optimum solution is a solution that is the best possible outcome of a
given particular problem
➢In simple terms:
▪ it is the method to find out how to do something in the best
possible way (optimum solution) with given limited resources
(constraints)
▪ to optimize utilization of resources to achieve the best possible
result in a particular objective
Linear Programming
Linear programming has nothing to do with computer programming.
The use of the word “programming” here means “choosing a course of
action.”
Linear programming involves choosing a course of action when the
mathematical model of the problem contains only linear functions.
Linear Programming (LP) Problem
❑ The maximization or minimization of some quantity is the objective in
all linear programming problems.
❑ All LP problems have constraints that limit the degree to which the
objective can be pursued.
❑ A feasible solution satisfies all the problem's constraints.
❑ An optimal solution is a feasible solution that results in the largest
possible objective function value when maximizing (or smallest when
minimizing).
❑ A graphical solution method can be used to solve a linear program with
two variables.
Optimization
process of finding the best way of making decisions that satisfy a set of constraints
▪3 main elements of an optimization problem:
▪objective function: object to be optimized
example: profit, time, and costs
▪decision variables:
example: amount of money to invest
▪constraint set or feasible region: restrictions
Optimization Problem (Mathematical Model)
Example:
*minimize cost in production;
*maximize profit
Example:
*amount of money to
invest
Example:
*total investment should
not be more than 80%
Definition/
Terminologies
Definition/Terminologies
▪Decision variable: an unknown quantity that represents a decision to
be made
▪Constraint: restriction or requirement that limits the values of the
decision variables
▪Objective function: a function on the decision variables to be
maximized or minimized.
▪Feasible solution: a solution that satisfies all constraints
▪Optimum solution: the best solution among all of the possible one
that supports the objective of the problem
Linear Programming
Problems/applications
Linear Programming Problems*
▪Manufacturing Problem: deals with the number of units that should
be produced or sold in order to maximize profits when each product
requires fixed manpower, machine hours, and raw materials.
▪Transportation Problems: used to determine the transportation
schedule to find the cheapest way of transporting a product from
plants /factories situated at different locations to different markets.
* N OT E: t h e r e a r e m a n y o t h e r d i f f e r e n t l i n e a r p r o g r a m m i n g p r o b l e m s
Linear Programming Problems*
▪Portfolio management: identifying optimal investment policy in terms
of risk and return; entails putting together a good investment mix,
allocating assets based on risk and financial goals, and expanding
resources to avoid losing money
▪Trade execution: finding the best possible means to execute a client's
trade for security is important in finance activities, importantly for
brokers.
* N OT E: t h e r e a r e m a n y o t h e r d i f f e r e n t l i n e a r p r o g r a m m i n g p r o b l e m s
Solving Linear
Programming Problems
– The Graphical Method
✓ a set that has a boundary around the feasible set
Feasible set: ✓ a linear programming problem with a bounded set
bounded always has an optimal solution.
Vertex (corner point) of the
feasible set
✓ a set that has no bound and continues indefinitely
Feasible set: ✓ a linear programming problem with an unbounded set may or
may not have an optimal solution, but if there is an optimal
unbounded solution, it occurs at a corner point
Vertex (corner point) of the
feasible set
Example
Use the graphical method to solve the following linear programming problem:
Maximize R = 4x + 11y
Subject to:
x + y ≤ 3
2x + y ≤ 4
x >= 0
y >= 0
STEP 1:
Solution Graph the system of constraints to
produce the feasible set.
Step 1.1: Rewrite each inequality as an equation
x + y ≤ 3 → x+y= 3 (1)
2x + y ≤ 4 → 2x + y = 4 (2)
x >= 0 (3)
y >= 0 (4)
STEP 1:
Solution Graph the system of constraints to
produce the feasible set.
Step 1.2: To graph each contraint, find the intercepts
Equation (1) x+y= 3
x-intercept y-intercept
x+y=3 x+y=3
x+0=3 0+y=3
x=3 y=3
Therefore, the x- and y-intercepts for equation (1) are:
(3,0) and (0,3)
STEP 1:
Solution Graph the system of constraints to
produce the feasible set.
Step 1.2: To graph each contraint, find the intercepts
Equation (2) 2x + y = 4
x-intercept y-intercept
2x + y = 4 2x + y = 4
2x + 0 = 4 2(0) + y = 4
2x = 4 0+y=4
x=2 y=4
Therefore, the x- and y-intercepts for equation (2) are:
(2,0) and (0,4)
STEP 1:
Solution Graph the system of constraints to
produce the feasible set.
Step 1.2: To graph each contraint, find the intercepts
Equation (3) x >= 0
Equation (4) y >= 0
represents the x-axis and y-axis, respectively that together
represent the first quadrant
STEP 1:
Solution Graph the system of constraints to
produce the feasible set.
Equation (1) x + y = 3
intercepts:
(3,0) and (0,3)
Equation (2) 2x + y = 4 (0,4) Equation (2)
intercepts: Equation (1) (0,3)
(2,0) and (0,4)
Equations (3) and (4)
represent the x-axis and y- (3,0) Equation (1)
axis, respectively, that is
>=0 (positive), Quadrant I
should be shaded
(2,0) Equation (2)
STEP 2:
Solution Find each vertex (corner point) of the
feasible set.
Choose test point to determine
which half plane to shade.
Ex: Test point (0,0)
x + y ≤ 3
0 + 0 ≤ 3
0 ≤ 3 True
(0,3)
(1,2) 2x + y ≤ 4
2(0) + 0 ≤ 4
0 ≤ 4 True
-----------------
(0,0) Ex: Test point (3,4)
2x + y ≤ 4
2(3) + 4 ≤ 4
(2,0) 6 + 4 ≤ 4
10 ≤ 4 False
STEP 3:
Solution
Substitute each vertex into the objective function
to determine which vertex optimizes the objective
function.
Solution STEP 4:
State the solution to the problem.
Optimal Solution:
The maximum value is 33 and it occurs at (0, 3) .
Thank you for your attention.
