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Linear Programming Introduction To Sensitivity Analysis

This document provides an introduction to sensitivity analysis for linear programming problems. It discusses how sensitivity analysis can be used to determine how changes to objective function coefficients or right-hand side values would impact the optimal solution. Shadow prices and ranges of optimality and feasibility are defined. Several examples are provided and questions are given to illustrate how to perform sensitivity analysis on linear programming problems.

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90 views18 pages

Linear Programming Introduction To Sensitivity Analysis

This document provides an introduction to sensitivity analysis for linear programming problems. It discusses how sensitivity analysis can be used to determine how changes to objective function coefficients or right-hand side values would impact the optimal solution. Shadow prices and ranges of optimality and feasibility are defined. Several examples are provided and questions are given to illustrate how to perform sensitivity analysis on linear programming problems.

Uploaded by

Dr Malla
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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LINEAR PROGRAMMING

Introduction to Sensitivity
Analysis

Professor Ahmadi

1
Chapter 3
Linear Programming:
Sensitivity Analysis and Interpretation of Solution

 Introduction to Sensitivity Analysis


 Graphical Sensitivity Analysis
 Spreadsheet Solution & Sensitivity Analysis

2
Sensitivity Analysis

 Sensitivity analysis (or post-optimality analysis) is


used to determine how the optimal solution is
affected by changes, within specified ranges, in:
• the objective function coefficients
• the right-hand side (RHS) values
 Sensitivity analysis is important to the manager who
must operate in a dynamic environment with
imprecise estimates of the coefficients.
 Sensitivity analysis allows the manager to ask certain
what-if questions about the problem.

3
The Right Hand Sides: Shadow Price (Dual Price)

 A shadow price for a right hand side value (or resource


limit) is the amount the objective function will change per
unit increase in the right hand side value of a constraint.
 The range of feasibility for a change in the right hand side
value is the range of values for this coefficient in which the
original shadow price remains constant.
 Graphically, a shadow price is determined by adding +1 to
the right hand side value in question and then resolving
for the optimal solution in terms of the same two binding
constraints.
 The shadow price is equal to the difference in the values of
the objective functions between the new and original
problems.
 The shadow price for a non-binding constraint is 0.
4
Example

 Refer to the “Woodworking” example of chapter 2,


where X1 = Tables and X2= Chairs. The problem is
shown below.

 Max. Z= $100X1+60X2
 
s.t. 12X1+4X2 < 60 (Assembly time in hours)
4X1+8X2 < 40 (Painting time in hours)

The optimum solution was X1=4, X2=3, and Z=$580.


Answer the following questions regarding this problem.

5
Answer the following Questions:
1. Compute the range of optimality for the contribution of X1
(Tables)
 

 
2. Compute the range of optimality for the contribution of X2
(Chairs)
 
 

3. Determine the dual Price (Shadow Price) for the assembly stage.

 
 
4. Determine the dual Price (Shadow Price) for the painting stage.

6
Example 2: Your Turn

 Refer to The Olympic Bike Co. (From Chapter 2)


• Solve this Problem and find the optimum solution.

Max 10x1 + 15x2 (Total Weekly Profit)

s.t. 2x1 + 4x2 < 100 (Aluminum Available)


3x1 + 2x2 < 80 (Steel Available)

x1, x2 > 0 (Non-negativity)

7
Example 2: Olympic Bike Co.

 Range of Optimality
Question:
Suppose the profit on deluxe frames is increased to $20.
Is the above solution still optimal? What is the value of
the objective function when this unit profit is increased
to $20?
Answer:

8
Example 2: Olympic Bike Co.

 Range of Optimality
Question:
If the unit profit on deluxe frames were $6 instead of
$10 would the optimal solution change?
Answer:

9
Range of Feasibility

 The range of feasibility for a change in a right-hand


side value is the range of values for this parameter in
which the original shadow price remains constant.

10
Example 2: Olympic Bike Co.

 Range of Feasibility and Relevant Costs


Question:
If aluminum were a relevant cost, what is the maximum
amount the company should pay for 50 extra pounds of
aluminum?
Answer:

11
Example 3

 Consider the following Minimization linear program:

Min Z = 6x1 + 9x2 ($ cost)

s.t. x1 + 2x2 < 8


10x1 + 7.5x2 > 30
x2 > 2
x1, x2 > 0

Use Excel to solve this problem.

12
Example 3

 Optimal Solution
According to the output:

x1 = 1.5
x2 = 2.0
Z (the objective function value) = 27.00.

13
Example 3

 Range of Optimality
Question:

Suppose the unit cost of x1 is decreased to $4. Is the


current solution still optimal? What is the value of the
objective function when this unit cost is decreased to
$4?
Answer:

14
Example 3
 Range of Optimality
Question:

How much can the unit cost of x2 be decreased without


concern for the optimal solution changing?
Answer:

15
Example 3
 Range of Feasibility
Question:

If the right-hand side of constraint 3 is increased by 1,


what will be the effect on the optimal solution?
Answer:

16
A Note on Sunk Cost and Relevant Cost

 A resource cost is a relevant cost if the amount paid for


it is dependent upon the amount of the resource used
by the decision variables.
 Relevant costs are reflected in the objective function
coefficients.
 A resource cost is a sunk cost if it must be paid
regardless of the amount of the resource actually used
by the decision variables.
 Sunk resource costs are not reflected in the objective
function coefficients.

17
Reduced Cost

 The reduced cost for a decision variable whose value


is 0 in the optimal solution is the amount the
variable's objective function coefficient would have to
improve (increase for maximization problems,
decrease for minimization problems) before this
variable could assume a positive value.
 The reduced cost for a decision variable with a
positive value is 0.

18

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