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Linear Programming: After Completing This Chapter, Students Will Be Able To

This document provides an overview of linear programming (LP), including: 1. The basic assumptions and properties of LP problems including having a linear objective function and constraints. 2. How to graphically solve LP problems with two variables using corner points and isoprofit lines. 3. Special issues in LP like infeasibility, unboundedness, redundancy, and alternative optimal solutions. 4. The role of sensitivity analysis in understanding how changes impact the optimal solution. The chapter outline then details how to formulate an LP problem using an example of determining the optimal product mix to maximize profit given resource constraints.

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UTTAM KOIRALA
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© © All Rights Reserved
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0% found this document useful (0 votes)
197 views

Linear Programming: After Completing This Chapter, Students Will Be Able To

This document provides an overview of linear programming (LP), including: 1. The basic assumptions and properties of LP problems including having a linear objective function and constraints. 2. How to graphically solve LP problems with two variables using corner points and isoprofit lines. 3. Special issues in LP like infeasibility, unboundedness, redundancy, and alternative optimal solutions. 4. The role of sensitivity analysis in understanding how changes impact the optimal solution. The chapter outline then details how to formulate an LP problem using an example of determining the optimal product mix to maximize profit given resource constraints.

Uploaded by

UTTAM KOIRALA
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
You are on page 1/ 61

Linear Programming

After completing this chapter, students will be able to:

1. Understand the basic assumptions and properties of linear


programming (LP)
2. Graphically solve any LP problem that has only two variables
by both the corner point and isoprofit line methods
3. Understand special issues in LP such as infeasibility,
unboundedness, redundancy, and alternative optimal
solutions
4. Understand the role of sensitivity analysis

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Chapter Outline
Introduction
Requirements of a Linear Programming Problem
Formulating LP Problems
Graphical Solution to an LP Problem
Solving Minimization Problems
Four Special Cases in LP
Sensitivity Analysis

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Introduction
• Many management decisions involve trying to make the most
effective use of limited resources
– Machinery, labor, money, time, warehouse space, raw materials
• Linear programming (LP) is a widely used mathematical
modeling technique designed to help managers in planning
and decision making relative to resource allocation
• Belongs to the broader field of mathematical programming
• In this sense, programming refers to modeling and solving a
problem mathematically

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Component of Linear Programming

• Model Formulation
• Solution (Graphical/Simplex/Software)
• Sensitivity Analysis
– Impact of change in RHS of Active Constraint
– Impact of change in RHS of Inactive Constraints
– Impact of change in coefficient of objective
function

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Requirements of a Linear Programming
Problem
• LP has been applied in many areas over the past 50 years
• All LP problems have 4 properties in common
1. All problems seek to maximize or minimize some quantity (the
objective function)
2. The presence of restrictions or constraints that limit the degree to
which we can pursue our objective
3. There must be alternative courses of action to choose from
4. The objective and constraints in problems must be expressed in
terms of linear equations or inequalities

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Formulating LP Problems
Steps involved in model formulation
• Formulating a linear program involves developing a
mathematical model to represent the managerial problem
• The steps in formulating a linear program are
1. Completely understand the managerial problem being
faced
2. Identify the objective and constraints
3. Define the decision variables
4. Use the decision variables to write mathematical
expressions for the objective function and the
constraints

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Formulating LP Problems
• One of the most common LP applications is the product
mix problem
• Two or more products are produced using limited
resources such as personnel, machines, and raw
materials
• The profit that the firm seeks to maximize is based on
the profit contribution per unit of each product
• The company would like to determine how many units
of each product it should produce so as to maximize
overall profit given its limited resources

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Flair Furniture Company
 The Flair Furniture Company produces inexpensive tables
and chairs
 Processes are similar in that both require a certain amount
of hours of carpentry work and in the painting and
varnishing department
 Each table takes 4 hours of carpentry and 2 hours of
painting and varnishing
 Each chair requires 3 of carpentry and 1 hour of painting
and varnishing
 There are 240 hours of carpentry time available and 100
hours of painting and varnishing
 Each table yields a profit of $70 and each chair a profit of
$50
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Flair Furniture Company
 The company wants to determine the best combination of tables and chairs to
produce to reach the maximum profit

HOURS REQUIRED TO
PRODUCE 1 UNIT
(T) (C) AVAILABLE HOURS
DEPARTMENT TABLES CHAIRS THIS WEEK
Carpentry 4 3 240

Painting and varnishing 2 1 100

Profit per unit $70 $50

Table 7.2

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Flair Furniture Company

The decision variables representing the actual decisions we


will make are
T = number of tables to be produced per week
C = number of chairs to be produced per week
 The objective is to
Maximize profit
 The constraints are
1. The hours of carpentry time used cannot exceed 240
hours per week
2. The hours of painting and varnishing time used
cannot exceed 100 hours per week
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Flair Furniture Company
 We create the LP objective function in terms of T and C
Maximize profit = $70T + $50C
 Develop mathematical relationships for the two constraints
 For carpentry, total time used is
(4 hours per table)(Number of tables produced)
+ (3 hours per chair)(Number of chairs produced)
 We know that
Carpentry time used ≤ Carpentry time available
4T + 3C ≤ 240 (hours of carpentry time)

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Flair Furniture Company
 Similarly
Painting and varnishing time used
≤ Painting and varnishing time available
2 T + 1C ≤ 100 (hours of painting and varnishing time)

This means that each table produced requires two hours of


painting and varnishing time

 Both of these constraints restrict production capacity and affect total profit

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Flair Furniture Company
 The values for T and C must be nonnegative

T ≥ 0 (number of tables produced is greater than or equal


to 0)
C ≥ 0 (number of chairs produced is greater than or
equal to 0)

 The complete problem stated mathematically

Maximize profit = $70T + $50C

subject to

4T + 3C ≤240 (carpentry constraint)------------(1)


2T + 1C ≤100 (painting and varnishing constraint)—(2)
T, C ≥ 0 (non negativity constraint)

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Graphical Solution to an LP Problem

 The easiest way to solve a small LP problems is


with the graphical solution approach
 The graphical method only works when there are
just two decision variables
 When there are more than two variables, a more
complex approach is needed as it is not possible to
plot the solution on a two-dimensional graph
 The graphical method provides valuable insight
into how other approaches work

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Graphical Representation of a Constraint

100 –
– This Axis Represents the Constraint T ≥ 0
80 –
Number of Chairs


60 –

40 – This Axis Represents the
– Constraint C ≥ 0
20 –

|– | | | | | | | | | | |
0 20 40 60 80 100 T
Figure 7.1 Number of Tables

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Graphical Representation of a Constraint

• The first step in solving the problem is to identify a


set or region of feasible solutions
• To do this we plot each constraint equation on a
graph
• We start by graphing the equality portion of the
constraint equations
4T + 3C = 240
• We solve for the axis intercepts and draw the line

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Graphical Representation of a Constraint

• When Flair produces no tables, the carpentry


constraint is ( When T = 0)
4(0) + 3C = 240
3C = 240
C = 80
• Similarly for no chairs (When C=0)
4T + 3(0) = 240
4T = 240
T = 60
• This line is shown on the following graph

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Graphical Representation of a Constraint

C
Graph of carpentry constraint equation
100 –

80 – (T = 0, C = 80)
Number of Chairs


60 –

40 –

(T = 60, C = 0)
20 –

|– | | | | | | | | | | |
0 20 40 60 80 100 T
Figure 7.2 Number of Tables

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Graphical Representation of a Constraint

C  Any point on or below the constraint plot


will not violate the restriction
100 –  Any point above the plot will violate the
– restriction
80 –
Number of Chairs


60 –

(30, 40) (70, 40)
40 –

20 –
– (30, 20)
|– | | | | | | | | | | |
0 20 40 60 80 100 T
Figure 7.3 Number of Tables

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Graphical Representation of a Constraint

100 – (T = 0, C = 100)

80 – Graph of painting and varnishing
Number of Chairs

– constraint equation
60 –

40 –

(T = 50, C = 0)
20 –

|– | | | | | | | | | | |
0 20 40 60 80 100 T
Figure 7.4 Number of Tables

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Trial Point = 0,0
4T + 3C ≤ 240
• Putting the value of trial point in constraint 1
• 0 <= 240
• True
• Arrow goes towards the trail point (0,0)

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Graphical Representation of a Constraint
(Just for understanding/not required to solve the problem)

• The point (30, 40) lies on the plot and exactly satisfies the
constraint
4(30) + 3(40) = 240 (exact-do not take as a trial point)
• The point (30, 20) lies below the plot and satisfies the constraint
4(30) + 3(20) = 180 (You can take this as a trial point)
(true so that arrow goes towards this point)
• The point (70, 40) lies above the plot and does not satisfy the
constraint
4(70) + 3(40) = 400
(False so that feasible region lies on opposite side of trial point)

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For constraint 2 (painting and varnishing
constraint)
2T + 1C ≤ 100
Taking only equality
2T + 1C = 100
When T = 0, C = 100 (0,100)
When C =0, T = 50 (50, 0)
First value of T and C
(We have to maintain the order)

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Graphical Representation of a Constraint

C  Feasible solution region for Flair Furniture

100 –

80 – Painting/Varnishing Constraint
Number of Chairs


60 –

40 –

Carpentry Constraint
20 – Feasible
Region

|– | | | | | | | | | | |
0 20 40 60 80 100 T
Figure 7.5 Number of Tables

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Testing (Trial) Point
For constraint 2
Trail point = 0,0
0<=100
True
Arrow goes towards the trial point
Feasible region lies on same side of trial point

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Corner Point Objective Function
Max 70T +50 C

(0,0) 0
(0,80) 4000
(30,40) (OS) 4100 (max) (OV)
(50,0) 3500

Here corner point 30,40 gives the max value hence this point is termed as optimal solution
and the corresponding value 4100 is termed as objective function value.

Any constraint passing through the optimal solution is termed as active constraint.
For this example both are active constraints because both pass through the optimal
solution.

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Summary of Graphical Solution Methods

CORNER POINT METHOD

1. Graph all constraints and find the feasible region.

2. Find the corner points of the feasible reason.

3. Compute the profit (or cost) at each of the feasible corner points.

4. select the corner point with the best value of the objective function found in
Step 3. This is the optimal solution.

For max problem Take maximum value

For min problem Take minimum value

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Software Solution (LINDO)
Max 70T +50C
4T + 3C ≤ 240 (carpentry constraint)-----------(1) Row 2
2T + 1C ≤ 100 (painting and constraint)—(2) Row 3

LP OPTIMUM FOUND AT STEP 2

OBJECTIVE FUNCTION VALUE

1) 4100.000 Optimal Value (OV = 4100)

VARIABLE VALUE REDUCED COST


T 30.000000 0.000000
C 40.000000 0.000000 Optimal Solution (T= 30 and C = 40)

For active there is dual


ROW SLACK OR SURPLUS DUAL PRICES
2) 0.000000 15.000000
(One unit increase in
3) 0.000000 5.000000 RHS of 1st constraint
increases the profit by
15 Rs
• Both are active constraints (0 Slack/surplus means active and non zero means inactive)

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RANGES IN WHICH THE BASIS IS UNCHANGED:

OBJ COEFFICIENT RANGES


VARIABLE CURRENT ALLOWABLE ALLOWABLE
COEF INCREASE DECREASE
T 70.000000 30.000000 3.333333
C 50.000000 2.500000 15.000000

RIGHTHAND SIDE RANGES


ROW CURRENT ALLOWABLE ALLOWABLE
RHS INCREASE DECREASE
2 240.000000 60.000000 40.000000
3 100.000000 20.000000 20.000000

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Solving Minimization Problems
• Many LP problems involve minimizing an objective such as
cost instead of maximizing a profit function
• Minimization problems can be solved graphically by first
setting up the feasible solution region and then using
either the corner point method or an isocost line approach
(which is analogous to the isoprofit approach in
maximization problems) to find the values of the decision
variables (e.g., X1 and X2) that yield the minimum cost

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Holiday Meal Turkey Ranch
 Holiday Meal Turkey Ranch data

COMPOSITION OF EACH POUND


OF FEED (OZ.)
MINIMUM MONTHLY
REQUIREMENT PER
INGREDIENT BRAND 1 FEED BRAND 2 FEED TURKEY (OZ.)
A 5 10 90
B 4 3 48
C 0.5 0 1.5
Cost per pound 2 cents 3 cents

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Holiday Meal Turkey Ranch
• The Holiday Meal Turkey Ranch is considering buying two
different brands of turkey feed and blending them to
provide a good, low-cost diet for its turkeys
Let
X1 = number of pounds of brand 1 feed purchased
X2 = number of pounds of brand 2 feed purchased
Minimize cost (in cents) = 2X1 + 3X2
subject to:
5X1 + 10X2 ≥ 90 ounces (ingredient constraint A)
4X1 + 3X2 ≥ 48 ounces (ingredient constraint B)
0.5X1 ≥ 1.5 ounces(ingredient constraint C)
X1 ≥ 0 (nonnegativity constraint)
X2 ≥ 0 (nonnegativity constraint)
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Holiday Meal Turkey Ranch
X2
• Using the corner

point method
• First we construct the
20 – Ingredient C Constraint
feasible solution
Pounds of Brand 2
region
15 – Feasible Region
• The optimal solution
a
will lie at on of the 10 –
corners as it would in Ingredient B Constraint
a maximization 5– Ingredient A Constraint
b
problem
| | | | c | |
0–
5 10 15 20 25 X1
Figure 7.10 Pounds of Brand 1
4/28/2020 Prepared by: Pravat Uprety 33
• From Graph the extreme /corner points are

Corner point/Extreme point Objective Function Value


Min 2X1 + 3X2

(3,12) 42
(8.4, 4.8) 31.2 (Min)
(18,0) 36

Here corner point (8.4, 4.8) gives the min value i.e. 31.2
Optimal Solution (OS) = 31.2
Optimal Value (OV) = 8.4, 4.8

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Holiday Meal Turkey Ranch
• Substituting these value back into the objective function
we find
Cost = 2X1 + 3X2

Cost at point a= 2(3) + 3(12) = 42

Cost at point b= 2(8.4) + 3(4.8) = 31.2 (Min Value)

Cost at point c= 2(18) + 3(0) = 36


 The lowest cost solution is to purchase 8.4 pounds of brand 1 feed and 4.8
pounds of brand 2 feed for a total cost of 31.2 cents per turkey

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Four Special Cases in LP

• Four special cases and difficulties arise at times


when using the graphical approach to solving LP
problems
– Infeasibility
– Unboundedness
– Redundancy
– Alternate Optimal Solutions

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Four Special Cases in LP

• No feasible solution
– Exists when there is no solution to the problem that
satisfies all the constraint equations
– No feasible solution region exists
– This is a common occurrence in the real world
– Generally one or more constraints are relaxed until a
solution is found

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Four Special Cases in LP
• A problem with no feasible solution
X2

8–

6–
– Region Satisfying
4– Third Constraint

2–

0– | | | | | | | | | |
2 4 6 8 X1

Figure 7.12 Region Satisfying First Two Constraints


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Four Special Cases in LP

• Unboundedness
– Sometimes a linear program will not have a finite
solution
– In a maximization problem, one or more solution
variables, and the profit, can be made infinitely large
without violating any constraints
– In a graphical solution, the feasible region will be open
ended
– This usually means the problem has been formulated
improperly

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Four Special Cases in LP
• A solution region unbounded to the right
X2

X1 ≥ 5
15 –

X2 ≤ 10
10 –

Feasible Region
5–
X1 + 2X2 ≥ 15
| | | | |
0– 5 10 15 X1

Figure 7.13
4/28/2020 Prepared by: Pravat Uprety 40
Four Special Cases in LP

• Redundancy
– A redundant constraint is one that does not affect the
feasible solution region
– One or more constraints may be more binding
– This is a very common occurrence in the real world
– It causes no particular problems, but eliminating
redundant constraints simplifies the model

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Four Special Cases in LP
• A problem with a X2

redundant 30 –
constraint
25 –
2X1 + X2 ≤ 30

20 –
Redundant
Constraint
15 –
X1 ≤ 25

10 – X1 + X2 ≤ 20
Feasible
5– Region

| | | | | |
0–
Figure 7.14 5 10 15 20 25 30 X1
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Four Special Cases in LP

• Alternate Optimal Solutions


– Occasionally two or more optimal solutions may exist
– Graphically this occurs when the objective function’s
isoprofit or isocost line runs perfectly parallel to one of
the constraints
– This actually allows management great flexibility in
deciding which combination to select as the profit is
the same at each alternate solution

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Four Special Cases in LP
• Example of X2
alternate optimal 8–
solutions
7–
A
6– Optimal Solution Consists of All
Combinations of X1 and X2 Along the AB
5– Segment
4–

3– Isoprofit Line for $8

2–
B Isoprofit Line for $12 Overlays
1 – Feasible Line Segment AB
Region
0– | | | | | | | |
Figure 7.15 1 2 3 4 5 6 7 8 X1
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Active and Inactive Constraints
• Active and Inactive Constraints
If, at optimality (i.e. when evaluated at the optimal solution),
the left hand side of a constraint equals the right hand side,
that constraint is said to be active, or binding. Thus, an
equality constraint is always active. An inequality constraint
may or may not be active.
Geometrically, an active constraint is one that passes through
the optimal solution.
If a constraint is not active, it is said to be inactive.
Geometrically, an inactive constraint is one that does not pass
through the optimal solution.

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Slack (RHS –LHS for ≤ type for inactive constraints)
• For a constraint of the ≤ type, the difference between the
right hand side and the left hand side (the amount
unused) is called slack. Hence slack relates to a ≤
constraint; it is the amount of a constraint that is unused
by a solution.
For example, if one constraint in a problem is that ≤ 100
hours and the solution requires the use of 90 hours of
labor, then we can say that the labor constraint has a slack
of 10 hours. Thus, slack is the amount by which the left-
hand side of a ≤ constraint is less than the right-hand side
of the constraint.
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Surplus (LHS –RHS for ≥ type for inactive constraints)
• For a constraint of ≥ type, the difference between the
left hand and the right hand side (the excess) is called
surplus. Hence surplus relates to a ≥ constraint; it is the
amount by which a constraint is exceeded by a solution.
For example, if a constraint requires that the number of
units of product A that are made be ≥ 10, and a solution
results in 12 units being produced, we can say that there
is a surplus of 2 units. Thus, surplus is the amount by
which the left hand side of ≥ constraint exceeds the right
hand side.

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Sensitivity Analysis
• Optimal solutions to LP problems thus far have been found
under what are called deterministic assumptions
• This means that we assume complete certainty in the data
and relationships of a problem
• But in the real world, conditions are dynamic and changing
• We can analyze how sensitive a deterministic solution is to
changes in the assumptions of the model
• This is called sensitivity analysis, postoptimality analysis,
parametric programming, or optimality analysis

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Sensitivity Analysis
Change In Impact On OS Impact On OV

R H S of active constraint Yes Yes


(By dual price amount)
R H S of Inactive Constraint No No
(Dual price is zero)
Coefficient of Objective No Yes
Function (By putting the value of OS)
(Applicable within the
given range)

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High Note Sound Company
• The High Note Sound Company manufactures quality CD
players and stereo receivers
• Products require a certain amount of skilled artisanship
which is in limited supply
• The firm has formulated the following product mix LP model

Maximize profit = $50X1 + $120X2


Subject to 2X1 + 4X2 ≤ 80
(hours of electrician’s
time available)
3X1 + 1X2 ≤ 60
(hours of audio
technician’s time
available)
4/28/2020 Prepared by: Pravat Uprety X1, X2 ≥0 50
High Note Sound Company
• The High Note Sound Company graphical solution
X2
(receivers)

60 –

– Optimal Solution at Point a


X1 = 0 CD Players
40 – X2 = 20 Receivers
Profits = $2,400
a = (0, 20) –
b = (16, 12)
20 –
Isoprofit Line: $2,400 = 50X1 + 120X2
10 –
| | | | | |
0–
10 20 30 40 50 60 X1
Figure 7.16 c = (20, 0) (CD players)
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Changes in the
Objective Function Coefficient

• In real-life problems, contribution rates in the objective


functions fluctuate periodically
• Graphically, this means that although the feasible solution
region remains exactly the same, the slope of the isoprofit
or isocost line will change
• We can often make modest increases or decreases in the
objective function coefficient of any variable without
changing the current optimal corner point
• We need to know how much an objective function
coefficient can change before the optimal solution would
be at a different corner point

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Changes in the
Objective Function Coefficient

• Changes in the receiver contribution coefficients


X2

40 – Profit Line for 50X1 + 80X2


(Passes through Point b)

30 –
Profit Line for 50X1 + 120X2
(Passes through Point a)
20 – b
a Profit Line for 50X1 + 150X2
(Passes through Point a)
10 –

c
| | | | | |
0– 10 20 30 40 50 60 X1
Figure 7.17
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Software Output
max 50X1 + 120X2
Subject to
2X1 + 4X2 <= 80
3X1 + 1X2 <= 60

LP OPTIMUM FOUND AT STEP 1

OBJECTIVE FUNCTION VALUE


1) 2400.000

VARIABLE VALUE REDUCED COST


X1 0.000000 10.000000
X2 20.000000 0.000000

Optimal Solution (X1 = 0 and X2 = 20)

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Software Output
Row Slack/Surplus Dual Price
2 0.00 30.00
3 40.00 0.00

RANGES IN WHICH THE BASIS IS UNCHANGED:


OBJ COEFFICIENT RANGES
VARIABLE CURRENT ALLOWABLE ALLOWABLE
COEF INCREASE DECREASE
X1 50.000000 10.000000 INFINITY
X2 120.000000 INFINITY 20.000000

RIGHTHAND SIDE RANGES


ROW CURRENT ALLOWABLE ALLOWABLE
RHS INCREASE DECREASE
2 80.000000 160.000000 80.000000
3 60.000000 INFINITY 40.000000

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Changes in Resources or Right-Hand-Side
Values

• The right-hand-side values of the constraints often


represent resources available to the firm
• If additional resources were available, a higher
total profit could be realized
• Sensitivity analysis about resources will help
answer questions about how much should be paid
for additional resources and how much more of a
resource would be useful

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Changes in Resources or Right-Hand-Side
Values

• If the right-hand side of a constraint is changed, the


feasible region will change (unless the constraint is
redundant)
• Often the optimal solution will change
• The amount of change in the objective function value that
results from a unit change in one of the resources available
is called the dual price or dual value
• The dual price for a constraint is the improvement in the
objective function value that results from a one-unit
increase in the right-hand side of the constraint

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Changes in Resources or Right-Hand-Side
Values

• However, the amount of possible increase in the right-hand


side of a resource is limited
• If the number of hours increased beyond the upper bound,
then the objective function would no longer increase by
the dual price
• There would simply be excess (slack) hours of a resource or
the objective function may change by an amount different
from the dual price
• The dual price is relevant only within limits

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Changes in the Electrician's Time for High Note
Sound

X2 (a)

60 –

40 – Constraint Representing 60 Hours of Audio


Technician’s Time Resource
a
25 –
b Changed Constraint Representing 100 Hours of
20 – Electrician’s Time Resource

| c | | |
0– 20 40 50 60 X1
Figure 7.19
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Changes in the Electrician's Time for High Note
Sound

X2 (b)

60 –

40 – Constraint Representing 60 Hours of Audio


Technician’s Time Resource

Changed Constraint Representing 60 Hours of


20 – a Electrician’s Time Resource
15 –
b
c | | | |
0– 20 30 40 60 X1
Figure 7.19
4/28/2020 Prepared by: Pravat Uprety 60
Thank You

4/28/2020 Prepared by: Pravat Uprety 61

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