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Introduction To The Mathematics of Operations Research With Mathematica 2. Ed Edition Hastings Download

The document is about the second edition of 'Introduction to the Mathematics of Operations Research with Mathematica' by Kevin J. Hastings, published in 2006. It discusses the evolution of operations research, the integration of technology in teaching, and the book's focus on mathematical models and problem-solving techniques. The new edition aims to enhance interactivity and problem-solving emphasis while incorporating modern pedagogical approaches and software tools like Mathematica.

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100% found this document useful (2 votes)
30 views51 pages

Introduction To The Mathematics of Operations Research With Mathematica 2. Ed Edition Hastings Download

The document is about the second edition of 'Introduction to the Mathematics of Operations Research with Mathematica' by Kevin J. Hastings, published in 2006. It discusses the evolution of operations research, the integration of technology in teaching, and the book's focus on mathematical models and problem-solving techniques. The new edition aims to enhance interactivity and problem-solving emphasis while incorporating modern pedagogical approaches and software tools like Mathematica.

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Introduction to the mathematics of operations research
with Mathematica 2. ed Edition Hastings Digital Instant
Download
Author(s): Hastings, Kevin J
ISBN(s): 9781574446128, 1574446126
Edition: 2. ed
File Details: PDF, 7.42 MB
Year: 2006
Language: english
Introduction to the
Mathematics of
Operations Research
with Mathematica®
Second Edition
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Kevin J. Hastings, Introduction to the Mathematics of Operations Research
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Introduction to the
Mathematics of
Operations Research
with Mathematica®
Second Edition

Kevin J. Hastings
Knox College
Galesburg, Illinois, U.S.A.

Boca Raton London New York

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Taylor & Francis Group, an informa business
Published in 2006 by
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To my wife Gay Lynn, without whose patience and advice
during the course of a never-ending stream of books, I would
never be able to live as a complete human being.

vii
viii
PREFACE
In the time that has elapsed since the first edition of the book, titled
Introduction to the Mathematics of Operations Research, was published in
1989, changes have occurred in the discipline of Operations Research. The
field is in the midst of a crisis, partly a result of unnecessarily poor image and
partly because of real problems. The result is that its members question the
future of operations research. Meanwhile, better, faster, and more widely
available technology has made its way into the workplace of the O.R.
professional and into the mathematics curriculum, and lively discussion has
taken place about pedagogy, especially revolving around the passivity of
many students and the need to get them more actively involved with their
courses. I saw that the time had certainly come to revisit the first edition of
this book in an attempt to attune the book to current circumstances.
The first edition sprang from the following observations (paraphrased
from its preface). In industry, problems involving such areas as
telecommunications, scheduling, inventory, production, transportation, and
finance abound. Besides the inherent interest of these problems, there is also
aesthetic beauty in the mathematics. Operations Research is both an
assemblage of descriptive and analytical techniques to facilitate decision
making in business and industry, and a way of approaching problems. There
are concrete questions such as: what is the best way to schedule servers at a
service facility, what is the best mix of several kinds of products using scarce
raw materials, and how does one best maintain a machine that is deteriorating
with time? But looked at as a problem-solving approach, O.R. involves
defining and modeling the problem precisely, with enough detail to capture its
essence without making the problem intractable; deciding on objectives;
coming up with a solution, often an algorithm to improve a current
configuration; implementing that algorithm; and finally observing the
consequences of the answer. Much as in computer programming, the solution
process is often a cycle in which the researcher goes back to the beginning to
refine the model, the objectives, or the algorithm one or more times. The point
of view taken by the first edition of this book was that the vast assortment of
apparently unrelated questions in the field of O.R. is unified by the common
features of the mathematical models used to describe them, and the way of
going about solving problems. So the text was designed to show the
mathematics that underlies the applied problems, and subsequently to show
the “real-world” problems as examples of the application of the mathematical
and algorithmic thinking that will live on indefinitely as the passage of time
changes the kinds of problems that capture the attention of practitioners.

ix
x Preface

Also, it is as true now as it was fifteen years ago that there is a general
shortage of faculty experienced in O.R, especially at the small university and
private college level. The breadth of Operations Research and the
corresponding voluminous nature of most sources add to the difficulty of
course design for the non-specialist. I wanted a concise book whose focus
was on the mathematics of Operations Research, which would be a more
suitable introduction to the subject in a mathematical sciences department
with limited resources than other texts might be.
There is much in the first edition that remains meaningful, and which
validates the approach, given the criticism that has been leveled from inside
and outside of the field of Operations Research. One hears that Operations
Research groups are being phased out in many organizations because the
groups are not worth the investment. Criticisms usually include: our O.R.
people are trained to execute a few algorithms under stringent assumptions but
when it comes to an actual messy problem that does not fit a stereotype they
are lost; or, O.R. people prefer to do their esoteric research on some little
corner of the field about which only a few people really care. But my first
book took the point of view that a student of Operations Research cannot and
should not simply step through every method for every problem in every
application area without a feel for the core of the field or an understanding of
the complete problem-solving process. I believe that the subject is still vital,
useful, and an excellent part of an undergraduate mathematics major because
it gives deeper perspective on mathematics and its use, it exposes students to
mathematical modeling in situations grounded in reality, and, done correctly,
it greatly enhances their general reasoning and problem-solving ability. Even
if the phrase “Operations Research” dies out and even if O.R. departments
disappear, these kinds of skills will always be valuable to organizations in the
private and public sectors. And at least a few specific topics will always
occupy an important position in applied mathematics: representations of
problems using graphs, optimization of linear functions subject to linear
constraints, modeling and prediction of random events occurring through time,
and the optimal control of such random events. This is, and will remain, the
governing structure of the book: Graph Theory, Linear Programming,
Stochastic Processes, and Dynamic Programming.
The challenge in producing a new edition was to retain the character of
the book, yet take into account new developments in the spheres of
mathematics pedagogy and the field of O.R. In keeping with the comments
above, the following are the main areas in which the second edition differs
from the first:

1. The book is more interactive. Self-check questions, and suggestions to


investigate the material further are interspersed in the development.

2. Technology is smoothly integrated into the development in such a way as to


expose new issues and possibilities, enhance students’ desire to experiment,
and drastically reduce computational burden.
Preface xi

3. The problem sets emphasize problem solving even more. Longer projects
are included that do not fit into existing molds, for which the students must
develop their own techniques.

4. A few new topics are included for more breadth: the traveling salesman
problem and other famous graph theory problems are introduced briefly in a
new section of Chapter 1, simulation has been integrated into Chapters 4 and
5, and a treatment of Brownian motion has been appended to Chapter 5, which
permits examples of problems in the growing field of mathematical finance to
be presented.

5. The review of topics from probability has been moved to an appendix, so as


not to interrupt the flow unnecessarily. Students taking this course ought to
have a course in probability as a prerequisite anyway.

6. Not the least important, answers to selected exercises are in another


appendix. Publication timing problems in the first edition prevented them
from being included there.

The integration of technology requires special discussion. At the time I


wrote the first edition there were lots of programs to execute the simplex
algorithm for linear programming, and a few others for other kinds of special
problems, but there was no common environment for doing operations
research, from pictorial representation, to symbolic derivation, to
computation, to technical typesetting of reports. Since then there have arisen
such environments. In fact, it has become possible to have an electronic, fully
executable version of the printed text with which the students can interact
directly; in short, a living textbook. While there are several possible symbolic
algebra-graphical packages that can suffice, and countless other very powerful
and very specialized professional programs, I prefer the one that I think will
be left standing after intense competition: Mathematica. This package is
extremely general, and more importantly, programmable, and with the advent
of its most recent versions (3.0 and higher) it provides the ability for students
to create professionally typeset mathematical documents with text integrated
with computation. Mathematica already has facilities to support much of the
material in the book, and what it does not have directly is easily
programmable. I have found that it helps to teach the meaning of the simplex
algorithm very well, and greatly simplifies the burdensome computations in
graph theory and dynamic programming. Its simulation capability is quite
good because it provides simple tools that students can adapt, and in the
process learn more about model building and better understand the system
they are trying to simulate. I have also found students doing significantly
higher quality work when asked to turn in typeset Mathematica notebooks
than they do by hand. Perhaps the professional appearance of their product
gives them more of a sense of pride in it, which induces them to do even better
work next time. In fact, the program is such an integral part of this second
xii Preface

edition that the title has been modified to: Mathematics of Operations
Research with Mathematica. This is a completely self-contained printed text,
accompanied by an electronic version, together with a package of useful
commands that I have written. The electronic version is in the form of
Mathematica notebooks, one per section, and all Mathematica input cells will
be live, so that the students can reexecute commands, edit them, devise new
ones, etc. In this way, the student can direct his or her own study, which
increases greatly the level of involvement, and one hopes, the level of
comprehension and problem-solving.
Here are a few of the ways in which Mathematica has significant impact
on the book:

1. A Mathematica tool for drawing labeled graphs allows students to redraw


graphs in graph algorithms conveniently.

2. Students can experiment with large powers of adjacency matrices of large


graphs to verify the theorem about path counting in Chapter 1, and to check
regularity of Markov chains in Chapter 5.

3. Students are asked to implement some algorithms in Mathematica, which


forces more thorough understanding.

4. Students can make good use of Mathematica’s equation-solving tools to


construct feasible regions of linear programming problems in Chapters 2 and
3, and to use the “dictionary” method to solve them without headaches, and
yet with understanding of how the method proceeds from step to step.

5. In Chapters 4 and 5, students can write simulators in Mathematica for


processes such as Markov chains, Poisson processes, and Brownian motions,
not only to observe their properties, but also to aid their understanding of the
defining conditions of those processes.

6. Naturally recursive problems such as first passage times and absorption


probabilities can be solved recursively in Mathematica.

7. Theoretically simple but tedious probabilistic computations regarding


Poisson processes and queues in Chapter 6 are made easier to carry out using
Mathematica’s distribution tools.

8. Mathematica’s symbolic algebra ability can be used to greatly simplify the


task of solving dynamic programming problems, permitting longer time
horizons and larger state and action spaces to be used, and focusing attention
back on the modeling aspect of such problems where it belongs.

9. In general, the shift in emphasis from hand to computer computations


facilitates examination of sensitivity of solutions to parameter changes.
Preface xiii

It remains true that Operations Research is an endless source of


interesting problems, which has never failed in my experience to stimulate the
students of mathematics who I have taught, and to open their eyes to ideas and
applications that they never before imagined. My wish continues to be that
students take this book as a jumping-off point to further work in Operations
Research or related areas such as Statistics, Management, Applied
Mathematics, or Finance, as many of my students have done.
Finally, I would like to think the staff at Taylor & Francis publishing,
including Kevin Sequeira and Fred Coppersmith, for all their help in bringing
this project to fruition.

Kevin J. Hastings
Knox College
August 31, 2005
xiv Preface
Notes on Electronic Book xv

Note on Mathematica Packages and Electronic Book


This is a book that exists not only in the print medium but also electronically.
The CD that accompanies the print version contains Mathematica notebooks,
one per section, which together contain all of the material in the book and
which should run quite well in Mathematica versions 5.0 or later, and perhaps
(with no guarantees) in earlier versions. It also contains special packages that
I have written with commands to support the book. To use them, simply make
a new folder called KnoxOR in the AddOns/ExtraPackages directory of your
Mathematica folder, and copy into it from the CD the files Graphs.m,
LinearProgramming.m, StochasticProcesses.m, and DynamicProgramming.m.
When you boot up Mathematica and open one of the notebook files, you
will notice that the output cells are not included; but if you select the Kernel
menu command to execute all initialization cells, then the output that is
contained in the printed text should be regenerated automatically. Some
graphics in GraphicsArray cells will need to be resized to look well, and in
general graphics would need to be sized and centered in order to look
precisely like those in the printed text. The manufacturer of Mathematica,
Wolfram Research, has made some changes since I first started this edition of
the book and wrote the packages, including relocating some of its commands
that my packages call on into different packages, and they may do so again in
the future. So far, these path problems have not affected the notebooks so
badly that any commands would not run, although warning messages are
generated. In particular, the notebooks that use the StochasticProcesses.m
package produce shadowing warnings relative to the names Type,
Distribution, Absolute, and Relative. I decided to leave things as they were so
that the notebooks would run on earlier versions of Mathematica, but if
problems develop, you are encouraged to look using a text editor at the four
".m" packages near the top of the file to see what Mathematica packages are
being loaded in, and correct the names of those packages as the warning
messages indicate.
In its most recent versions, Mathematica has come up with a more
refined ShowGraph command in its DiscreteMath`Combinatorica` package,
which probably outshines the DisplayGraph command in my
KnoxOR`Graphs` package. This change also took place as I was writing. But
instead of rewriting the whole text I decided to stay with my own version,
which is somewhat more attuned to what I wanted to use it for anyway. You
might want to experiment with ShowGraph yourself.
Finally, bear in mind that the usual copyright privileges apply to the
electronic version; you should no sooner share the notebook files with others
than allow others to duplicate the printed text.
xvi Notes on Electronic Book
Contents xvii

Contents

Chapter 1 - Graph Theory and Network Analysis .................................... 1


1.1 Definitions and Examples .................................................................... 2
1.2 Spanning Trees ................................................................................... 24
Undirected Spanning Trees ................................................................. 25
Directed Spanning Trees ..................................................................... 36
1.3 Minimal Cost Networks ...................................................................... 47
Undirected Graphs .............................................................................. 47
Directed Graphs .................................................................................. 56
1.4 Critical Path Algorithm ..................................................................... 72
1.5 Maximal Flow Problems ................................................................... 91
Problem Description ........................................................................... 91
Main Results and Algorithm ............................................................... 94
Examples .......................................................................................... 102
1.6 Maximum Matching Problems ........................................................ 113
Definitions and Problem Description ................................................ 113
Matching Algorithm ......................................................................... 118
Examples .......................................................................................... 124
1.7 Other Problems of Graph Theory .................................................... 135
Graph Coloring Problem ................................................................... 136
Shortest Paths Problem ..................................................................... 138
Traveling Salesman Problem ............................................................ 139

Chapter 2 - Linear Programming ........................................................... 143


2.1 Two-Variable Problems ................................................................... 145
2.2 Geometry of Linear Programming ................................................... 159
2.3 Simplex Algorithm for the Standard Maximum Problem ................. 170
The Simplex Algorithm .................................................................... 170
Special Behavior ............................................................................... 176
Tableau Method ................................................................................ 184
2.4 Duality and the Standard Minimum Problem .................................. 193

Chapter 3 - Further Topics in Linear Programming ............................ 211


3.1 Non-Standard Problems ................................................................... 213
3.2 Transportation Problem ................................................................... 227
3.3 Sensitivity Analysis ......................................................................... 242
Discussion of the Problem ................................................................ 242
Matrix-Geometric View of the Simplex Method .............................. 244
Determining Sensitivity of Parameters ............................................. 249
xviii Contents

Chapter 4 - Markov Chains ..................................................................... 261


4.1 Definitions and Examples ................................................................ 263
Simulation ......................................................................................... 268
4.2 Short-Run Distributions ................................................................... 274
4.3 First Passage Times ......................................................................... 284
4.4 Classification of States .................................................................... 292
4.5 Limiting Probabilities ...................................................................... 303
Main Results ..................................................................................... 303
Long-Run Discounted Cost ............................................................... 311
4.6 Absorption Probabilities .................................................................. 318

Chapter 5 - Continuous Time Processes ................................................. 327


5.1 Poisson Processes ............................................................................ 327
Definitions and Main Results ............................................................ 327
Examples .......................................................................................... 332
5.2 Birth and Death Processes ............................................................... 340
Preliminaries ..................................................................................... 340
Kolmogorov Equations ..................................................................... 345
5.3 Renewal Processes ........................................................................... 355
Introduction ....................................................................................... 355
Short-Run Distributions .................................................................... 356
Long-Run Results ............................................................................. 360
Renewal Reward Processes ............................................................... 363
5.4 Queueing Theory ............................................................................. 368
Preliminaries ..................................................................................... 368
Simple Poissonian Queues ................................................................ 370
M/G/1 Queue .................................................................................... 376
G/M/1 Queue .................................................................................... 380
5.5 Brownian Motion ............................................................................. 386
Relation to Random Walks ............................................................... 386
Definition and Properties of Standard Brownian Motion ................. 389
Brownian Motion with Drift ............................................................. 394

Chapter 6 - Dynamic Programming ....................................................... 403


6.1 The Markovian Decision Model ...................................................... 403
Deterministic Dynamic Programming .............................................. 404
Stochastic Dynamic Programming: The Finite Horizon Problem ..... 406
Examples .......................................................................................... 411
6.2 The Finite Horizon Problem ............................................................ 418
Dynamic Programming Algorithm, Stochastic Case ......................... 421
Examples .......................................................................................... 425
6.3 The Discounted Reward Problem .................................................... 435
Method of Successive Approximations ............................................ 435
Examples .......................................................................................... 440
6.4 Policy Improvement ........................................................................ 449
Main Theorem and Policy Improvement Algorithm ......................... 449
Contents xix

Examples .......................................................................................... 453


6.5 Optimal Stopping of a Markov Chain .............................................. 461
Dynamic Programming Approach .................................................... 461
Linear Programming Approach ........................................................ 468
6.6 Extended Applications ..................................................................... 476
American Option Problem ................................................................ 477
Inventory Problem ............................................................................ 483
Conclusion ........................................................................................ 494

Appendix A - Probability Review ........................................................... 501

Appendix B - Answers to Selected Exercises ........................................... 530

Appendix C - Glossary of Mathematica Commands .............................. 547

References ................................................................................................. 558

Index .......................................................................................................... 562


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