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Unit II Method of Programming

The document covers methods of programming, focusing on linear programming, duality, sensitivity analysis, post-optimality analysis, and deterministic dynamic programming. It explains the standard form of linear programming, the importance of duality, and its applications, as well as the principles and methods of dynamic programming. Additionally, it includes an assignment section with questions related to the topics discussed.

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nikhildhakne24
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8 views3 pages

Unit II Method of Programming

The document covers methods of programming, focusing on linear programming, duality, sensitivity analysis, post-optimality analysis, and deterministic dynamic programming. It explains the standard form of linear programming, the importance of duality, and its applications, as well as the principles and methods of dynamic programming. Additionally, it includes an assignment section with questions related to the topics discussed.

Uploaded by

nikhildhakne24
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Unit II Method of programming

Linear programming: duality and it's applications, sensitivity analysis, post optimality analysis,
deterministic dynamic programming: multi stage decision processes, principle of optimality, recursive
equations, application and various methods of DP
1. Linear Programming (LP)
Definition: A mathematical technique for optimization where a linear objective function is maximized
or minimized subject to a set of linear constraints.
Standard Form:
Maximize:
Z = c₁x₁ + c₂x₂ + ... + cₙxₙ
Subject to:
a₁₁x₁ + a₁₂x₂ + ... + a₁ₙxₙ ≤ b₁
...
x₁, x₂, ..., xₙ ≥ 0
2. Duality in Linear Programming
Concept:
Every linear programming problem (called the Primal) has a corresponding Dual problem. Solving the
dual gives the same optimal value as the primal.
Why Duality is Important:
Helps in economic interpretation of LP problems.
Provides bounds on the primal problem.
Useful in sensitivity and post-optimality analysis.
Dual of a Max Problem:
If the primal is: Maximize Z = cᵀx
Subject to: Ax ≤ b, x ≥ 0
Then the dual is:
Minimize W = bᵀy
Subject to: Aᵀy ≥ c, y ≥ 0
3. Applications of Duality:
Resource allocation
Cost minimization
Evaluating the shadow prices (marginal worth of resources)
Sensitivity analysis and economic interpretation
4. Sensitivity Analysis
Definition: Study of how changes in the coefficients of the objective function or the right-hand side
(RHS) of constraints affect the optimal solution.
Purpose:
Determine robustness of the optimal solution.
Identify critical constraints or variables.
Types:
Change in objective function coefficients
Change in RHS of constraints
Addition of new constraints or variables
5. Post Optimality Analysis
Definition: Analysis done after obtaining the optimal solution to understand the impact of changes in
parameters without re-solving the entire problem.
Steps Involved:
Identify changes in data.
Update the solution using sensitivity ranges or dual prices.
Recompute the optimal solution if necessary.
6. Deterministic Dynamic Programming (DP)
Definition: A method used to solve complex problems by breaking them down into simpler stages.
Each stage involves a decision, and the solution is obtained by combining solutions of sub-problems.
Key Characteristics:
Multistage decision process
Deterministic environment (no randomness)
Recursive relationships
7. Multistage Decision Processes
Concept: Problem is broken into multiple stages, and at each stage, a decision is made considering
future impacts.
Example Applications:
Inventory control
Capital budgeting
Shortest path problems
8. Principle of Optimality (Bellman’s Principle)
Statement: An optimal policy has the property that whatever the initial state and initial decision are,
the remaining decisions must constitute an optimal policy with regard to the state resulting from the
first decision.
9. Recursive Equations
Role in DP: Used to express the solution to a problem in terms of solutions to sub-problems.
Form:
Let fₙ(x) be the optimal value of the decision problem starting from stage n given state x. Then,
fₙ(x) = max/min [ gₙ(x, u) + fₙ₊₁(T(x,u)) ]
Where:
gₙ(x,u) is the immediate return
T(x,u) is the transition function
10. Applications of Dynamic Programming
Resource allocation
Equipment replacement
Project scheduling
Route planning
Financial planning
11. Methods of Solving DP Problems
Forward Recursion: From initial to final stage
Backward Recursion: From final stage to initial stage (common method)
Tabular Methods: For discrete problems
Graphical Methods: Useful for small-stage problems like shortest path

Assignment No- 2
1. Define Linear Programming and state its standard form.
2. What are the assumptions made in a linear programming problem?
3. What is duality in Linear Programming?
4. Derive the dual of a given primal maximization problem.
5. Why is duality important in Linear Programming?
6. What is sensitivity analysis in LP?
7. What is post-optimality analysis and why is it important?
8. How can sensitivity ranges and dual prices be used in post-optimality analysis?
9. What is deterministic dynamic programming?
10. What are the main characteristics of problems suitable for DP?
11. Define multistage decision processes and provide practical examples.
12. State and explain Bellman’s Principle of Optimality.
13. How is DP used in inventory control or project scheduling?

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