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Linear Programming Problem LPP

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Introduction
A model consisting of linear relationships representing a firms objective which is to be either maximized (in the case of profit, production) or minimized (in the case of men, materials and so on) and has to be expressed as a linear function of the decision variables and resource constraint. Linear programming is a method of mathematical programming that involves optimisation of a certain function, called objective function, subject to certain constraints and restrictions.

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Introduction
Linear means that the relationships handled are those represented in straight lines. i.e. the relationships in form of y = a+bx Programming means taking decisions systematically.

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Basic Concepts

Linear assumption- straight line or proportional relationships among the relevant variables. Process and its level- combination of particular inputs to produce a particular output. Criterion function- objective function which states the determinants of the quantity either to be maximized or minimized. Constraints or inequalities- restrictions imposed upon decision variables. Feasible solution- possible solutions which can be worked upon given constraints.
Optimum solution- best of the feasible solutions.

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Applications
Personal Assignment problem Transportation problem Efficiency on operation of system of Dams Optimum Estimation of Executive compensation

Agricultural applications
Military applications Production management Marketing management Manpower management Physical distributions
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Components of LPP

Objective Function
To maximise or minimise

Constraints
Involving , =, or sign Usually, a maximisation problem has type of constraints and a minimisation problem has type. But a given problem can have constraints involving any of the signs.

Non-negativity Condition
Variables to be non-negative

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Components of LPP

Maximize Z = 50x1 + 75x2 + 60x3 Subject to 5x1 + 8x2 + 7x3 480 4x1 + 2x2 + 3x3 240 x1 2x2 + x3 20 x1 , x2 , x3 0

Non-negativity condition

Constraints

Objective Function

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Assumptions underlying Linear Programming

Proportionality- assumed to have constant return to
scale

Additivity- total of all the activities is given by the

sum total of each activity conducted separately.

Continuity- the decision variables are continuous.

Certainty- prior knowledge of all the coefficients in
the objective function, constraints and resource values

Finite Choices- finite number of choices are available to decision maker .

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Linear Programming Problem

LP is a mathematical modeling technique used to determine a level of operational activity in order to achieve an objective, subject to restrictions called constraints Another necessary requirement is that decision variables should be interrelated and non-negative. The resources must be limited.

In most linear programming problems, the decision variables are permitted to take any non-negative values that satisfy the constraints.
There are some problems in which the variables have integral values only. These problems are not LPP, but very often they can be solved by LPP techniques.
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Mathematical Formulation of LPP

The procedure for mathematical formulation of LPP consists of the following steps: Step 1 Identify the decision variables of the problem. Step 2 Formulate the objective function to be optimised (maximised or minimised) as a linear function of the decision variables. Step 3 Formulate the constraints of the problem such as resource limitations, market conditions, interrelation between variables and others as linear equation or in-equations in terms of the decision variables. Step 4 Add the non-negativity constraint so that negative values of the decisions variables do not have any valid physical interpretation. The objective function, the set of constraint and the non-negative constraint together form a linear programming problem.
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Statements of Basic Theorems And Properties

GENERAL FORMULATION OF LPP In order to find the values of n decision variables x1, x2,, xn to maximise or minimise the objective function z = c1 x1 + c2 x2 + + cn xn (2.3.1) and also satisfy m-constraints Max/min subject to: z = c1x1 + c2x2 + ... + cnxn a11x1 + a12x2 + ... + a1nxn (, =, ) b1 a21x1 + a22x2 + ... + a2nxn (, =, ) b2 : am1x1 + am2x2 + ... + amnxn (, =, ) bm

xj = decision variables bi = constraint levels cj = objective function coefficients aij = constraint coefficients
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Statements of Basic Theorems and Properties

The constraints may be in the form of an inequality ( or ) or even in the form of an equation (=) and finally satisfying the non-negativity restrictions x1 0, x2 0, , xj 0, xn 0 (2.3.3)

By convention, the values of right hand side parameters bi (i = 1, 2, 3, , m) are restricted to non-negative values only.
Any negative can be changed to positive by multiplying 1 on both sides (in this case direction of inequality will change).

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Standard Form of LPP

Step 1 All the constraints should be converted to equations excepts for the non-negativity restrictions which remain as inequalities ( 0). Constraints of the inequality type can be changed to equations by (adding or subtracting) the left side of each such constraint by nonnegative variables slack variables / surplus variables. Step 2 The right side element of each constraint should be made non-negative, if required. Step 3 All variables must have non-negative values

Step 4 The objective function should be maximization form The minimization of a function f (x) is equivalent to the maximization of the negative expression of this function f (x), that is, Min f (x) = Max { f (x)}
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General Form of LPP

The general form of LPP with constraints is: Maximise z = c1 x1 + c2 x2 + + cn xn + 0 xn + 1 + + 0xn + m subject to a11 x1 + + a1n xn + xn + 1 = b1 a21 x1 + + a2n xn + xn + 2 = b2 = am1 x1 + + amn xn + xn + m = bm x1 0, x2 0, , xn + m 0.

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General Form of LPP

Definition If the constraints of a general LPP be n aij xj bi i = 1, 2, , k (2.3.4)
j=1

then non-negative variables si which are introduced to convert the inequalities (2.3.4) to the equalities n n aij xj + si = bi i = 1, 2, , k
j=1

are called slack variables

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Example of LPP
Example: A manufacturer makes Products A and B and sells at the profit of Rs. 2 and 3. Each product is processed of machines G and H. Type A requires 1 minute processing time on G and 2 min on H. Type B requires 1 min on G and 1 min on H. The machine G is available for not more than 6 hours and 40 min . While H is available for 10 hours during any working day. Formulate problem as linear programming problem.

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Solution of LPP
Time of Products Machine Type A (X1) G H Profit per unit 1 2 Rs. 2 Type B (X2) 1 1 Rs. 3 Available time (Min.)

400 600

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Solution of LPP
Find X1 and X2 such that profit ; Maximize Z= 2X1 + 3 X2 Subject to Constraints X1 + X2 400 (Available time on G) 2X1 + X2 600 (Available time of H)
X1, X2 0 (Non Negative constraint)

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Example 2 of LPP
Example: An animal feed company must produce 200 kgs of a mixture consisting of ingredients X1 and X2 daily. X1 costs Rs 3 / kg and X2 Rs 8 /kg. Not more than 80 kg of X1 can be used and at least 60 kg of X2 must be used. Find how much of each ingredient should be used if the company wants to minimize cost?

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Solution of LPP 2
Find X1 and X2 such that profit ; Minimize Z= 3X1 + 8 X2 Subject to Constraints X1 + X2 = 200 (Total mix to be produced) X1 80 (Max use of X1) X2 60 (Min Use of X2)

X1 0 (Non Negative Constraint)

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General Form of LPP

Definition If the constraints of a general LPP be n aij xj bi i = k, k+1, k +2
j=1

(2.3.5)

then non-negative variables si which are introduced to convert the inequalities (2.3.) to the equalities n n aij xj - si = bi i = k, k+1, k +2
j=1

are called surplus variables

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Matrix Form of LPP

The linear programming problem in the standard form (2.3.1), (2.3.2), (2.3.3) can be expressed in matrix form as follows: Maximise z = CX (objective function) subject to AX = b, b 0 (constraint equation) X 0 (non-negativity restriction) where
X = ( x1, x2, , xn, xn + 1, , xn + m) C = ( c1, c2, , cn, 0, 0, , 0)

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Matrix Form of LPP

Definition Let XB = B1 b be a basic feasible solution to the LPP. Maximise z = CX where AX = b, and X = 0, let CB be the cost vector corresponding to XB. For each column vector aj in A, which is not a column vector of B, let

aj = aij bi.
j=1

Then the number zj = CBi aij is called the evaluation i=1

corresponding to aj and the number (zj cj) is called the net evaluation corresponding to aj where cj is the jth component of C.

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Definition
Solution to a LPP A set X = {x1, x2, , xn + m} of variables is called a solution to a LPP, if satisfies the set of constraints (2.3.2) only. Feasible solution Any set X = {x1, x2, , xn + m} of variables is called a feasible solution of the LPP, if it satisfies the set of constraints (2.3.2) and non-negativity restrictions (2.3.3). Basic solution A basic solution to (2.3.2) is a solution obtained by setting any n variables (among m + n variables) equal to zero and solving for remaining m variables provided the determinant of the coefficients of these m variables is non-zero. Such m variables (any of them may be zero) are called basic variables, and the remaining variables which are set as zero are called non-basic variables.
The number of basic solutions must be atmost m + n Cm. Basic feasible solution A basic solution to a LPP is called as a basic feasible solution if it satisfies the non-negative restriction.

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Solution to LPP
There are two types of basic feasible solutions. (i) Non-degenerate All m basic variables are positive, and remaining n variables will be zero. (ii) Degenerate A basic feasible solution is degenerate, if one or more basic variables are zero. Optimum basic feasible solution A basic feasible solution to a LPP is said to be its optimum solution if it optimises (maximises or minimises) the objective function. Unbounded solution If the value of the objective function z can be increased or decreased indefinitely, such solutions are called unbounded solutions.

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Fundamental Theorem of LPP

THEOREM The collection of all feasible solutions to linear programming problems constitute a convex set whose extreme points correspond to the basic feasible solutions. THEOREM If an LPP has a feasible solution, then it also has a basic feasible solution. THEOREM (Replacement of a Basis vector) Let an LPP have a basic feasible solution. If we drop one of the basis vectors and introduce a non-basis vector in the basis set, then the new solution obtained is also a basic feasible solution.

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Fundamental Theorem of LPP

THEOREM (Unbounded Solution) Let there exist a basic feasible solution to a given LPP. If for at least one j, for which yij < 0 (i = 1, 2, , m) and zj cj is negative, then there does not exist any optimum solution to this LPP.

THEOREM (condition of optimality)

A sufficient condition for the initial basic feasible solution to an LPP to be optimum (maximum) is that zj cj 0 for all j for which the column vector aj A is not in the basis B.

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