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Sensitivity Analysis Part 1

This document discusses sensitivity analysis in linear programming (LP) problems. Specifically, it examines how changes to the right-hand side constraints, which represent available resources, impact the optimal solution. It provides an example problem about allocating machine hours to product lines. It then calculates the dual prices, or shadow prices, which represent the change in optimal value from a one-unit change in a resource. This allows determining which resources provide higher returns and whether increasing a constrained resource is economically justified.

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Jerome Fernandez
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49 views26 pages

Sensitivity Analysis Part 1

This document discusses sensitivity analysis in linear programming (LP) problems. Specifically, it examines how changes to the right-hand side constraints, which represent available resources, impact the optimal solution. It provides an example problem about allocating machine hours to product lines. It then calculates the dual prices, or shadow prices, which represent the change in optimal value from a one-unit change in a resource. This allows determining which resources provide higher returns and whether increasing a constrained resource is economically justified.

Uploaded by

Jerome Fernandez
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPTX, PDF, TXT or read online on Scribd
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SENSITIVITY

ANALYSIS

MARY JOYCE P. ALCAZAR


Instructor I
Department of Industrial Engineering and Technology
College of Engineering and Information Technology
Cavite State University – Main Campus

First Semester, AY 2018 – 2019


SENSITIVITY ANALYSIS

- is concerned with how changes in an


LP’s parameters affect the optimal
solution.
SENSITIVITY ANALYSIS

This topic demonstrates the general idea of sensitivity


analysis. Two cases will be considered:
A. Sensitivity of the optimum solution to changes in
the availability of the resources (right-hand side of
the constraints)
B. Sensitivity of the optimum solution to changes in
unit profit or unit cost (coefficients of the objective
function)
A. CHANGES IN THE RIGHT-
HAND SIDE

Example:
JobCo produces two products on two machines. A unit
of product 1 requires 2 hours on machine 1 and 1 hour
on machine 2. For product 2, a unit requires 1 hour on
machine 1 and 3 hours on machine 2. The revenues per
unit of products 1 and 2 are $30 and $20, respectively.
The total daily processing time available for each
machine is 8 hours. Determine the optimal solution.
A. CHANGES IN THE RIGHT-
HAND SIDE
DECISION VARIABLES
Let: x1 = the number of units of product 1 to be produced daily
x2 = the number of units of product 2 to be produced daily
z = total daily profit
OBJECTIVE FUNCTION
Max z = $30x1 + $20x2
CONSTRAINTS (Subject To)
2x1 + x2 ≤ 8 (processing time available for Machine 1)

x1 + 3x2 ≤ 8 (processing time available for Machine 2)


NON-NEGATIVITY CONSTRAINTS
x1 , x 2 ≥ 0
A. CHANGES IN THE RIGHT-
HAND SIDE
A. CHANGES IN THE RIGHT-
HAND SIDE

What will happen if we increase the capacity of


Machine 1 from 8 hours to 9 hours?
A. CHANGES IN THE RIGHT-
HAND SIDE
A. CHANGES IN THE RIGHT-
HAND SIDE

The rate of change in optimum z resulting from


changing machine 1 capacity from 8 hours to 9 hours
can
   be computed as follows:
A. CHANGES IN THE RIGHT-
HAND SIDE

  
A. CHANGES IN THE RIGHT-
HAND SIDE

The computed rate provides a direct link between


the model input (resources) and its output (total
revenue) that represents the unit worth of a resource –
that is, the change in the optimal objective value per
unit change in the availability of the resource.
A. CHANGES IN THE RIGHT-
HAND SIDE

Referring to the example, this means that a unit


increase (decrease) in machine 1 capacity will increase
(decrease) revenue by $14.
A. CHANGES IN THE RIGHT-
HAND SIDE

Although unit worth of a resource is an apt


description of the rate of change of the objective
function, the technical name dual or shadow price is
now standard in the LP literature.
A. CHANGES IN THE RIGHT-
HAND SIDE

The dual price of $14/hr


remains valid for changes
(increases or decreases) in
machine 1 capacity that
move its constraint parallel
to itself to any point on the
line segment.
A. CHANGES IN THE RIGHT-
HAND SIDE
This means that the range of
applicability of the given dual price
can be computed as:

Minimum machine 1 capacity


(at 0, 2.67)
= (2*0)+(1*2.67) = 2.67 hrs
Maximum machine 1 capacity (at
8,0)
= (2*8)+(1*0) = 16 hrs
A. CHANGES IN THE RIGHT-
HAND SIDE

We can thus conclude that the


dual price of $14/hr will remain
valid for the range:

2.67 hrs ≤ Machine 1 capacity ≤ 16 hrs


QUIZ 7

1. Determine the dual price for Machine 2 capacity and


the range for which it is applicable. (100 points)

(30 minutes)
QUIZ 7

Answer:
The dual price for Machine 2 which is $2/hr will
remain applicable for the range:

4 hrs ≤ Machine 2 capacity ≤ 24 hrs


A. CHANGES IN THE RIGHT-
HAND SIDE

The computed limits for machine 1 and 2 are


referred to as the feasibility ranges.
A. CHANGES IN THE RIGHT-
HAND SIDE

The dual prices allow making economic decisions


about the LP problem, as the following questions
demonstrate:
A. CHANGES IN THE RIGHT-
HAND SIDE
1. If JobCo can increase the capacity of both
machines, which machine should receive higher
priority?
A. CHANGES IN THE RIGHT-
HAND SIDE
1. If JobCo can increase the capacity of both
machines, which machine should receive higher
priority?

The dual prices for machine 1 and 2 are $14/hr and $2/hr,
respectively. This means that each additional hour of machine
1 will increase revenue by $14, as opposed to only $2 for
machine 2. Thus, priority should be given to machine 1.
A. CHANGES IN THE RIGHT-
HAND SIDE
2. A suggestion is made to increase the capacities of
machines 1 and 2 at the additional cost of $10/hr. Is
this advisable?
A. CHANGES IN THE RIGHT-
HAND SIDE
2. A suggestion is made to increase the capacities of
machines 1 and 2 at the additional cost of $10/hr. Is
this advisable?

For machine 1, the additional net revenue per hour will be


14 – 10 = $4 and for machine 2, the net will be 2 – 10 = - $8.
Hence, only the capacity of machine 1 should be increased.
QUIZ 8

1. If the capacity of machine 1 is increased from the


present 8 hours to 13 hours, how will this increase
impact the optimum revenue? (50 points)

(10 minutes)
QUIZ 8
Answer:

The dual price for machine 1 is $14 and is applicable


in the range (2.67 – 16 hrs). The proposed increase to 13
hours falls within the feasibility range. Hence, the
increase in revenue is $14*(13-8) = $70, which means
that the total revenue will be increased to (current
revenue + change in revenue) = 128 + 70 = $198.

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