Introduction to Linear Programming

Linear Programming Problem Problem Formulation A Simple Maximization Problem Graphical Solution Procedure Extreme Points and the Optimal Solution Computer Solutions A Simple Minimization Problem Special Cases
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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. 3

Linear Programming (LP) Problem

If both the objective function and the constraints are linear, the problem is referred to as a linear programming problem. Linear functions are functions in which each variable appears in a separate term raised to the first power and is multiplied by a constant (which could be 0). Linear constraints are linear functions that are restricted to be "less than or equal to", "equal to", or "greater than or equal to" a constant.

Problem Formulation

Problem formulation or modeling is the process of translating a verbal statement of a problem into a mathematical statement. Formulating models is an art that can only be mastered with practice and experience. Every LP problems has some unique features, but most problems also have common features. General guidelines for LP model formulation are illustrated on the slides that follow.
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Guidelines for Model Formulation

Understand the problem thoroughly. Describe the objective. Describe each constraint. Define the decision variables. Write the objective in terms of the decision variables. Write the constraints in terms of the decision variables.
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Example 1: A Simple Maximization Problem

Max s.t. 5x1 + 7x2 x1 < 6 2x1 + 3x2 < 19 x1 + x2 < 8 x1 > 0 and x2 > 0
Objective Function Regular Constraints Non-negativity Constraints

Example 1: Graphical Solution

First Constraint Graphed

x2
8

7
6 5 4 3 2 1 1 2 3 4 5 6 7 Shaded region contains all feasible points for this constraint

x1 = 6

(6, 0)
8 9 10

x1
8

Example 1: Graphical Solution

Second Constraint Graphed

x2
8

(0, 6 1/3)

7
6 5 4 3 2 1 Shaded region contains all feasible points for this constraint 1 2 3 4 5 6 7 8 9 10

2x1 + 3x2 = 19

(9 1/2, 0)

x1
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Example 1: Graphical Solution

Third Constraint Graphed

x2
(0, 8)
8

7
6 5 4 3 2 1 Shaded region contains all feasible points for this constraint 1 2 3 4 5 6 7 8

x1 + x2 = 8

(8, 0)
9 10

x1
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Example 1: Graphical Solution

Combined-Constraint Graph Showing Feasible Region x2

8

x1 + x2 = 8

7
6 5 4 3 2 1 1

x1 = 6

Feasible Region
2 3 4 5 6 7 8

2x1 + 3x2 = 19

10

x1
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Example 1: Graphical Solution

Objective Function Line

x2
8

7
6 5 4 3 2 1 1

(0, 5) Objective Function 5x1 + 7x2 = 35

(7, 0)
2 3 4 5 6 7 8 9 10

x1
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Example 1: Graphical Solution

Selected Objective Function Lines x2

8 7

6
5 4

5x1 + 7x2 = 35 5x1 + 7x2 = 39 5x1 + 7x2 = 42

3
2 1 1 2 3 4 5 6 7 8

10

x1
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Example 1: Graphical Solution

Optimal Solution
x2
8

7
6 5 4 3 2 1 1 2 3

Maximum Objective Function Line 5x1 + 7x2 = 46 Optimal Solution (x1 = 5, x2 = 3)

10

x1
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Summary of the Graphical Solution Procedure for Maximization Problems

Prepare a graph of the feasible solutions for each of the constraints. Determine the feasible region that satisfies all the constraints simultaneously. Draw an objective function line. Move parallel objective function lines toward larger objective function values without entirely leaving the feasible region. Any feasible solution on the objective function line with the largest value is an optimal solution.

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Slack and Surplus Variables

A linear program in which all the variables are nonnegative and all the constraints are equalities is said to be in standard form. Standard form is attained by adding slack variables to "less than or equal to" constraints, and by subtracting surplus variables from "greater than or equal to" constraints. Slack and surplus variables represent the difference between the left and right sides of the constraints. Slack and surplus variables have objective function coefficients equal to 0.

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Slack Variables (for < constraints)

Example 1 in Standard Form

Max s.t.

5x1 + 7x2 + 0s1 + 0s2 + 0s3 x1 + s1 = 6 2x1 + 3x2 + s2 = 19 x1 + x2+ s3 = 8 x1, x2 , s1 , s2 , s3 > 0
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s1 , s2 , and s3 are slack variables

Slack Variables

Optimal Solution Third x2

8 7

Constraint: x1 + x2 = 8
s3 = 0

First Constraint: x1 = 6 s1 = 1 Second Constraint: 2x1 + 3x2 = 19 s2 = 0

5 6 7 8 9 10

6
5 4 3 2 1

Optimal Solution (x1 = 5, x2 = 3)

1 2 3 4

x1
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Extreme Points and the Optimal Solution

The corners or vertices of the feasible region are referred to as the extreme points. An optimal solution to an LP problem can be found at an extreme point of the feasible region. When looking for the optimal solution, you do not have to evaluate all feasible solution points. You have to consider only the extreme points of the feasible region.
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Example 1: Extreme Points

x2
8 7 6 5 4

5 (0, 6 1/3)

3
2 1

4 (5, 3)

Feasible Region
1 (0, 0)
1 2 3 4 5 6

3 (6, 2) 2 (6, 0)
7 8 9 10

x1
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Computer Solutions

LP problems involving 1000s of variables and 1000s of constraints are now routinely solved with computer packages. Linear programming solvers are now part of many spreadsheet packages, such as Microsoft Excel. Leading commercial packages include CPLEX, LINGO, MOSEK, Xpress-MP, and Premium Solver for Excel. The Management Scientist, a package developed by the authors of your textbook, has an LP module.
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Interpretation of Computer Output

In this chapter we will discuss the following output:

objective function value values of the decision variables reduced costs slack and surplus

In the next chapter we will discuss how an optimal solution is affected by a change in:
a coefficient of the objective function the right-hand side value of a constraint

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Example 1: Spreadsheet Solution

Partial Spreadsheet Showing Problem Data

A 1 2 3 4 5 6 Constraints #1 #2 #3 Obj.Func.Coeff. B C LHS Coefficients X1 X2 1 0 2 3 1 1 5 7 D RHS Values 6 19 8

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Example 1: Spreadsheet Solution

Partial Spreadsheet Showing Solution

A B C Optimal Decision Variable Values X1 X2 5.0 3.0 46.0 RHS Limits 6 19 8 D

8 9 10 11 12 13 14 15 16 17

Maximized Objective Function Constraints #1 #2 #3 Amount Used 5 19 8

<= <= <=

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Example 1: Spreadsheet Solution

Interpretation of Computer Output

We see from the previous slide that: Objective Function Value Decision Variable #1 (x1) Decision Variable #2 (x2) Slack in Constraint #1 Slack in Constraint #2 Slack in Constraint #3 = 46 = 5 = 3 = 6 5=1 = 19 19 = 0 = 8 8=0
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Example 2: A Simple Minimization Problem

LP Formulation

Min

5x1 + 2x2

s.t.

2x1 + 5x2 > 10 4x1 - x2 > 12 x1 + x2 > 4 x1, x2 > 0

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Example 2: Graphical Solution

Graph the Constraints

Constraint 1: When x1 = 0, then x2 = 2; when x2 = 0, then x1 = 5. Connect (5,0) and (0,2). The ">" side is above this line. Constraint 2: When x2 = 0, then x1 = 3. But setting x1 to 0 will yield x2 = -12, which is not on the graph. Thus, to get a second point on this line, set x1 to any number larger than 3 and solve for x2: when x1 = 5, then x2 = 8. Connect (3,0) and (5,8). The ">" side is to the right. Constraint 3: When x1 = 0, then x2 = 4; when x2 = 0, then x1 = 4. Connect (4,0) and (0,4). The ">" side is above this line.
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Example 2: Graphical Solution

Constraints Graphed
x2
6 5 4 3 2 1 1 2 3 4 5 6

Feasible Region 4x1 - x2 > 12

x1 + x 2 > 4
2x1 + 5x2 > 10

x1
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Example 2: Graphical Solution

Graph the Objective Function Set the objective function equal to an arbitrary constant (say 20) and graph it. For 5x1 + 2x2 = 20, when x1 = 0, then x2 = 10; when x2= 0, then x1 = 4. Connect (4,0) and (0,10). Move the Objective Function Line Toward Optimality Move it in the direction which lowers its value (down), since we are minimizing, until it touches the last point of the feasible region, determined by the last two constraints. 29

Example 2: Graphical Solution

Objective Function Graphed x2 Min 5x1 + 2x2

6
5 4 3 2 1

4x1 - x2 > 12 x1 + x2 > 4 2x1 + 5x2 > 10

x1
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Example 2: Graphical Solution

Solve for the Extreme Point at the Intersection of the Two Binding Constraints 4x1 - x2 = 12 x1+ x2 = 4 Adding these two equations gives: 5x1 = 16 or x1 = 16/5 Substituting this into x1 + x2 = 4 gives: x2 = 4/5
Solve for the Optimal Value of the Objective Function 5x1 + 2x2 = 5(16/5) + 2(4/5) = 88/5
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Example 2: Graphical Solution

Optimal Solution x2
6
5 4 3 2 1

4x1 - x2 > 12 x1 + x2 > 4

Optimal Solution: x1 = 16/5, x2 = 4/5,

5x1 + 2x2 = 17.6

2x1 + 5x2 > 10

1 2 3 4 5 6

x1
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Summary of the Graphical Solution Procedure for Minimization Problems

Prepare a graph of the feasible solutions for each of the constraints. Determine the feasible region that satisfies all the constraints simultaneously. Draw an objective function line. Move parallel objective function lines toward smaller objective function values without entirely leaving the feasible region. Any feasible solution on the objective function line with the smallest value is an optimal solution.
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Surplus Variables

Example 2 in Standard Form Min 5x1 + 2x2 + 0s1 + 0s2 + 0s3

s.t.

2x1 + 5x2 - s1 > 10 4x1 - x2 - s2 > 12 x1 + x2 - s3 > 4 x1, x2, s1, s2, s3 > 0

s1 , s2 , and s3 are surplus variables

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Example 2: Spreadsheet Solution

Partial Spreadsheet Showing Problem Data

A B C LHS Coefficients X1 X2 2 5 4 -1 1 1 5 2 D RHS 10 12 4

1 2 Constraints 3 #1 4 #2 5 #3 6 Obj.Func.Coeff.

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Example 2: Spreadsheet Solution

Partial Spreadsheet Showing Formulas

A B C Decision Variables X1 X2 D

9 10 11 Dec.Var.Values 12 13 Minimized Objective Function =B6*B11+C6*C11 14 15 Constraints Amount Used Amount Avail. 16 #1 =B3*$B$11+C3*$C$11 >= =D3 17 #2 =B4*$B$11+C4*$C$11 >= =D4 18 #3 =B5*$B$11+C5*$C$11 >= =D5

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Example 2: Spreadsheet Solution

Partial Spreadsheet Showing Solution

A B C Decision Variables X1 X2 3.20 0.800 17.600 Amount Avail. 10 12 4 D

9 10 11 Dec.Var.Values 12 13 Minimized Objective Function 14 15 Constraints Amount Used 16 #1 10.4 17 #2 12 18 #3 4

>= >= >=

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Example 2: Spreadsheet Solution

Interpretation of Computer Output

We see from the previous slide that: Objective Function Value Decision Variable #1 (x1) Decision Variable #2 (x2) Surplus in Constraint #1 Surplus in Constraint #2 Surplus in Constraint #3 = = = = = = 17.6 3.2 0.8 10.4 - 10 = 0.4 12.0 - 12 = 0.0 4.0 - 4 = 0.0
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Special Cases

Infeasibility No solution to the LP problem satisfies all the constraints, including the non-negativity conditions. Graphically, this means a feasible region does not exist. Causes include: A formulation error has been made. Managements expectations are too high. Too many restrictions have been placed on the problem (i.e. the problem is over-constrained).
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Example: Infeasible Problem

Consider the following LP problem.

Max s.t. 2x1 + 6x2 4x1 + 3x2 < 12 2x1 + x2 > 8 x1, x2 > 0

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Example: Infeasible Problem

There are no points that satisfy both constraints, so there is no feasible region (and no feasible solution). x2
10

8
6 4 2

2x1 + x2 > 8

4x1 + 3x2 < 12

10

x1
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Special Cases
Unbounded The solution to a maximization LP problem is unbounded if the value of the solution may be made indefinitely large without violating any of the constraints. For real problems, this is the result of improper formulation. (Quite likely, a constraint has been inadvertently omitted.)

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Example: Unbounded Solution

Consider the following LP problem.

Max s.t. 4x1 + 5x2 x1 + x2 > 5 3x1 + x2 > 8 x1, x2 > 0

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Example: Unbounded Solution

The feasible region is unbounded and the objective function line can be moved outward from the origin without bound, infinitely increasing the objective x2 function.
10 8 6 4 2 2 4 6 8 10 x1 + x2 > 5 3x1 + x2 > 8

x1
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