Paper II: Technical Subject
2. Industrial Engineering
2.3 Operational Research
Linear Programming, Problem Formulation, Simplex Method,
Duality and Sensitivity Analysis
2022 January 6
1
2-1
Linear Programming (LP): An Overview
Developed by Russian Mathematician C.V. Kantorovich
Objectives of business decisions frequently involve
maximizing profit or minimizing costs.
Linear programming uses linear algebraic relationships to
represent a firm’s decisions, given a business objective, and
resource constraints.
Assumptions:
Certainty, Additivity, Linearity, Divisibility, Non-Negativity
Application:
Agriculture, Production Management, Military, Financial
management, marketing, personnel management
2
Components of LP
• Decision variables - mathematical symbols representing
levels of activity of a firm.
• Objective function - a linear mathematical relationship
describing an objective of the firm, in terms of decision
variables - this function is to be maximized or minimized.
• Constraints – requirements or restrictions placed on the
firm by the operating environment, stated in linear
relationships of the decision variables.
• Parameters - numerical coefficients and constants used in
the objective function and constraints .
3
LP: Model Formulation Steps
Step 1 : Clearly define the decision variables
Step 2 : Construct the objective function
Step 3 : Formulate the constraints
4
LPP: Problem Formulation
A manufacturing company produces two types of products A and B. The
production department can produce 50 units of A and 25 units of B per day.
However, there are only 60 man-hours are available daily to assemble the
products. The profit per unit on A and B are Rs 30 and 20 and assembly time
is 2.5 hr and 1.5 hr respectively. the company assures the client at least 24
products in total will be supplied. Formulate the problem as an LP model.
Let X1 and X2 are no. of units of A and B to be produced per day. (Decision
Variables)
Now, Objective function is to maximize the profit, Z= 30X1 + 20X2
Defining Constraints,
Production constraint, X1 ≤ 50, X2 ≤ 25
Assembly line constraint, 2.5X1 + 1.5X2 ≤ 60
Supply Constraint, X1 + X2 ≥ 24
Minimum Production Constraint, X1 ≥ 0, X2 ≥ 0 (Non-negative constant)5
LPP: Problem Formulation
Hence LP problem can be summarized as follows.
Max. Z= 30X1 + 20X2
Subject to,
X1 ≤ 50
X2 ≤ 25
2.5X1 + 1.5X2 ≤ 60
X1 + X2 ≥ 24
X1 ≥ 0, X2 ≥ 0
6
LP : A Maximization Example
• Product mix problem - Beaver Creek Pottery Company
• How many bowls and mugs should be produced to maximize
profits given labor and materials constraints?
• Product resource requirements and unit profit:
Resource Requirements
Labor Clay Profit
Product
(Hr./Unit) (Lb./Unit) ($/Unit)
Bowl 1 4 40
Mug 2 3 50
7
LP: A Maximization Example
Resource 40 hrs of labor per day
Availability: 120 lbs of clay
Decision x1 = number of bowls to produce per day
Variables: x2 = number of mugs to produce per day
Objective Maximize Z = $40x1 + $50x2
Function: Where Z = profit per day
Resource 1x1 + 2x2 40 hours of labor
Constraints: 4x1 + 3x2 120 pounds of clay
Non-Negativity x1 0; x2 0
Constraints:
8
LP: A Maximization Example
Complete Linear Programming Model:
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40
4x1 + 3x2 120
x1, x2 0
9
LP: Graphical Solution
• Graphical solution is limited to linear programming models
containing only two decision variables (can be used with three
variables but only with great difficulty).
• Graphical methods provide visualization of how a solution for
a linear programming problem is obtained.
10
LP: Graphical Solution
X2 is mugs
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40
4x2 + 3x2 120
x1 , x 2 0
X1 is bowls
11
LP: Graphical Solution
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40
4x2 + 3x2 120
x1 , x 2 0
12
LP: Graphical Solution
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40
4x2 + 3x2 120
x1 , x 2 0
Labor Constraint Area 13
LP: Graphical Solution
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40
4x2 + 3x2 120
x1 , x 2 0
Clay Constraint Area 14
LP: Graphical Solution
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40
4x2 + 3x2 120
x1 , x 2 0
15
LP: Graphical Solution
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40
4x2 + 3x2 120
x1 , x 2 0
16
LP: Graphical Solution
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40
4x2 + 3x2 120
x1 , x 2 0
Solutions at All Corner Points 17
LP: A Minimization Example
Two brands of fertilizer available - Super-gro, Crop-quick.
Field requires at least 16 pounds of nitrogen and 24 pounds of
phosphate.
Super-gro costs $6 per bag, Crop-quick $3 per bag.
Problem: How much of each brand to purchase to minimize total
cost of fertilizer given following data ?
Chemical Contribution
Nitrogen Phosphate
Brand
(lb/ bag) (lb/ bag)
Super-gro 2 4
Crop-quick 4 3
18
LP: A Minimization Example
Decision Variables:
x1 = bags of Super-gro
x2 = bags of Crop-quick
The Objective Function:
Minimize Z = $6x1 + 3x2
Where: $6x1 = cost of bags of Super-Gro
$3x2 = cost of bags of Crop-Quick
Model Constraints:
2x1 + 4x2 16 lb (nitrogen constraint)
4x1 + 3x2 24 lb (phosphate constraint)
x1, x2 0 (non-negativity constraint)
19
LP: A Minimization Example
Minimize Z = $6x1 + $3x2
subject to: 2x1 + 4x2 16
4x2 + 3x2 24
x1 , x 2 0
Graph of Both Model Constraints 20
LP: A Minimization Example
Minimize Z = $6x1 + $3x2
subject to: 2x1 + 4x2 16
4x2 + 3x2 24
x1 , x 2 0
Feasible Solution Area 21
LP: A Minimization Example
Minimize Z = $6x1 + $3x2
subject to: 2x1 + 4x2 16
4x2 + 3x2 24
x1 , x 2 0
Optimum Solution Point 22
An Infeasible Problem
Every possible solution
violates at least one constraint:
Maximize Z = 5x1 + 3x2
subject to: 4x1 + 2x2 8
x1 4
x2 6
x1 , x 2 0
Graph of an Infeasible Problem
23
LP: Simplex Method
The more than 3
variables need more
than 3 dimensions
which is not possible.
Simplex method
provides a
systematic algorithm
consists of moving
from one basic
feasible solution to
another.
24
LP: Simplex Method
• A manufacturing company manufactures two products. The demand for
both products is strong enough. The profits on product A and B are Rs 16
and Rs 10 respectively. The production capacity of the plant is limited. The
plant has daily supply of 24 units of raw material, 21 units of labour and 30
units of machine time. Each unit of product A requires 4 units of raw
material, 3 units of labour and 2 units of machine time. Similarly, Each unit
of product B requires 2 units of raw material, 3 units of labour and 5 units
of machine time.
• Formulate the linear programming model and determine how much of
each product should be manufactured to maximize the total profit by
using simplex method.
• Given,
Products Raw Labour Machine Profit
material TIme
A 4 3 2 16
B 2 3 5 10
24 21 30 25
Slack Variables
Standard form requires that all constraints be in the
form of equations (equalities).
A slack variable is added to a constraint (weak
inequality) to convert it to an equation (=).
A slack variable typically represents an unused
resource.
A slack variable contributes nothing to the objective
function value.
26
Sensitivity Analysis
27
Sensitivity Analysis
28
Sensitivity Analysis
29
Sensitivity Analysis
30
Sensitivity Analysis
31
Duality
• For every linear program problem there is a
corresponding optimization problem, which uses
the same set of data and describes the original
problem known as dual. The original problem is
primal.
• If the objective of primal problem is maximization of
a objective function, the objective function of dual
problem is minimization of objective function and
vice versa.
• Dual has one constraint for each variable of the
primal problem.
• Dual has one variable for each constraint of the
primal problem.
32
Duality
Time Required to Process Time available
Department Part A Part B (Hr.)
Lathe 5 6 70
Welding 3 2 48
Grinding 1 1 30
Profit per unit Rs 1000 Rs 1500
If owner himself operates the
plant If the plant is given for rent
X1 and X2 are no. of part A and Y1, Y2 and Y3 are the rental charge per hr
part B produced of lathe, welding and grinding department
Max. Z= 1000 X1 + 1500 X2 Min. Z*= 70Y1 + 48Y2 + 30Y3
Subject to, Subject to,
5X1 + 6X2 ≤ 70 5Y1 + 3Y2 + Y3 ≥ 1000
3X1 + 2X2 ≤ 48 6Y1 + 2Y2 + Y3 ≥ 1500 Dual
X1 + X2 ≤ 30 Primal Y1, Y2 ≥ 0
X1, X2 ≥ 0 33
Duality
Primal
Max. Z=20X1 + 10X2
Subject to,
5X1 + 4X2 ≤ 24
2X1 + 5X2 ≤ 13 Dual
X1, X2 ≥ 0 Min. Z* = 24Y1 + 13Y2
Subject to,
5Y1 + 2Y2 ≥ 20
4Y1 + 5Y2 ≥ 10
Y1,Y2 ≥ 0
34
Duality
Primal
Max. Z=20X1 + 10X2
Subject to,
5X1 + 4X2 ≤ 24 Dual
2X1 + 5X2 ≥ 13 Min. Z*= 24 Y1 – 13Y2
X1, X2 ≥ 0 Subject to,
5Y1 - 2Y2 ≥ 20
4Y1 - 5Y2 ≥ 10
Changing ≥ sign into ≤ Y1,Y2 ≥ 0
5X1 + 4X2 ≤ 24
-2X1 - 5X2 ≤ -13
X1, X2 ≥ 0
35
Duality
Primal Converting all ≤ into ≥
Min. Z=X1+2X2 Min. Z=X1+2X2
Subject to, Subject to,
2X1 + 4X2 ≤ -2X1 - 4X2 ≥ -160
160 -X1+X2 ≥ - 30
X1-X2=30 X1-X2 ≥ 30
X1 ≥ 10 X1 ≥ 10
X1,X2 ≥ 0 X1,X2 ≥ 0
Primal
Min. Z=X1+2X2 Dual
Subject to, Max. Z*= -160Y1 - 30Y2 +30Y3+10Y4
2X1 + 4X2 ≤ 160 Subject to,
X1-X2 ≤ 30 -2Y1-Y2+Y3+Y4 ≤ 1
X1-X2 ≥ 30 -4Y1+Y2-Y3 ≤ 2
X1 ≥ 10
Y1,Y2,Y3,Y4 ≥ 0
X1,X2 ≥ 0 36
Thank You .
37