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Topic 3 Ch4 Sensitivity Analysis

This document discusses sensitivity analysis for linear programming models. Sensitivity analysis helps determine how sensitive the optimal solution is to changes in the objective function coefficients, constraint coefficients, and right-hand side values. It examines how changes to these values could impact the optimal solution without changing it, or cause an alternate optimal solution. The document provides an example problem and explains how to interpret the sensitivity reports produced by the solver, including allowable increases/decreases, shadow prices, and reduced costs. It warns that the results may not be reliable if the original solution is degenerate.

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67 views33 pages

Topic 3 Ch4 Sensitivity Analysis

This document discusses sensitivity analysis for linear programming models. Sensitivity analysis helps determine how sensitive the optimal solution is to changes in the objective function coefficients, constraint coefficients, and right-hand side values. It examines how changes to these values could impact the optimal solution without changing it, or cause an alternate optimal solution. The document provides an example problem and explains how to interpret the sensitivity reports produced by the solver, including allowable increases/decreases, shadow prices, and reduced costs. It warns that the results may not be reliable if the original solution is degenerate.

Uploaded by

simonwang173
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Topic 3

Sensitivity Analysis
Preview

(Same as Ch2 Follow-up questions)


(Same as Ch3 Preview questions)

03/25/2024 2
Think what if …….
• Businesses rarely know with certainty what costs will
be incurred or

• The exact amount of resources that will be consumed


or available in a given situation or time period.

03/25/2024 3
Introduction

We assume that values of all model


coefficients are known with
certainty.

Such certainty rarely exists.

Sensitivity analysis helps answer


questions about how sensitive the
optimal solution is to changes in
various coefficients in a model.
Agenda
• The purpose of sensitivity analysis
• Approaches to sensitivity analysis
• An example problem
• The answer report
• The sensitivity reports
• The limits report
• Summary
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General Form of a
Linear Programming (LP) Problem
MAX (or MIN): c1X1 + c2X2 + … + cnXn
Subject to: a11X1 + a12X2 + … + a1nXn <= b1
:
ak1X1 + ak2X2 + … + aknXn <= bk
:
am1X1 + am2X2 + … + amnXn = bm
 How sensitive is a solution to changes in the
ci, aij, and bi?
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The purpose of sensitivity analysis
• How sensitive an LP model’s solution is
to changes or estimation?

(1)the objective function coefficients


(2)the constraint coefficients
(3)the RHS values for the constraints

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Approaches to Sensitivity Analysis

• Change the data and re-solve the model!


– Sometimes this is the only practical
approach.
• Solver also produces sensitivity reports that can
answer various questions…
Solver’s Sensitivity Report

• Answers questions about:


– Amounts by which objective function coefficients
can change without changing the optimal solution.
– The impact on the optimal objective function value
of changes in constrained resources.
– The impact on the optimal objective function value
of forced changes in decision variables.
– The impact changes in constraint coefficients will
have on the optimal solution.
Software Note

When solving LP problems, be sure to use an LP


algorithm/engine as this allows Solver to provide
more sensitivity information than it could
otherwise do.
Once Again, We’ll Use The
Blue Ridge Hot Tubs Example...
Blue Ridge Hot Tubs produces two types of hot tubs:
Aqua-Spas & Hydro-Luxes.

Aqua-Spa Hydro-Lux
Pumps 1 1
Labor 9 hours 6 hours
Tubing 12 feet 16 feet
Unit Profit $350 $300

There are 200 pumps, 1566 hours of labor, and 2880 feet
of tubing available.
• Dataset: Fig 4-1
MAX : 350X1 + 300X2 Profit

Subject to: 1X1 + 1X2 <= 200 Pump constraint

Labor constraint
9X1 + 6X2 <= 1,566

12X1 + 16X2 <= 2,880 Tubing constraint

Nonnegativity
X1, X2 >=0 conditions

03/25/2024 12
The Answer Report
The Sensitivity Report
How Changes in Objective Coefficients
X2
Change the Slope of the Level Curve
250
original level curve

200
new optimal solution

150
original optimal solution

100
new level curve

50

0
0 50 100 150 200 250 X1
How Changes in Objective Coefficients
Change the Slope of the Level Curve

Dataset: Fig 4-4


MBSE05

03/25/2024 17
Changes in
Objective Function Coefficients
Values in the “Allowable Increase” and
“Allowable Decrease” columns for the
Changing Cells indicate the amounts by which
an objective function coefficient can change
without changing the optimal solution,
assuming all other coefficients remain
constant.
Alternate Optimal Solutions

Values of zero (0) in the “Allowable Increase”


or “Allowable Decrease” columns for the
Changing Cells indicate that an alternate
optimal solution exists.
Changes in Constraint RHS Values
• The shadow price of a constraint indicates the amount by
which the objective function value changes given a unit
increase in the RHS value of the constraint, assuming all
other coefficients remain constant.

• Shadow prices hold only within RHS changes falling


within the values in “Allowable Increase” and “Allowable
Decrease” columns.

• Shadow prices for nonbinding constraints are always zero.


Comments About Changes
in Constraint RHS Values

• Shadow prices only indicate the changes that occur in


the objective function value as RHS values change.
• Changing a RHS value for a binding constraint also
changes the feasible region and the optimal solution (see
graph on following slide).
• To find the optimal solution after changing a binding
RHS value, you must re-solve the problem.
How Changing an RHS Value Can Change the
Feasible Region and Optimal Solution
X2
250

Suppose available labor hours


200 increase from 1,566 to 1,728.

150 old optimal solution

old labor constraint


100

new optimal solution


50
new labor constraint

0
0 50 100 150 200 250 X1
How Changing an RHS Value Can Change the
Feasible Region and Optimal Solution
Other Uses of Shadow Prices

• Suppose a new Hot Tub (the Typhoon-Lagoon) is being


considered. It generates a marginal profit of $320 and
requires:
– 1 pump (shadow price = $200)
– 8 hours of labor (shadow price = $16.67)
– 13 feet of tubing (shadow price = $0)
• Q: Would it be profitable to produce any?
A: $320 - $200*1 - $16.67*8 - $0*13 = -$13.33 = Yes or No?
• Dataset: Fig 4-8

MAX : 350X1 + 300X2 +320X3


Subject to: 1X1 + 1X2 +1X3 <= 200

9X1 + 6X2 +8X3<= 1,566

12X1 + 16X2 +13X3<= 2,880

X1, X2, X3>=0

03/25/2024 25
03/25/2024 26
The Meaning of Reduced Costs

• The reduced cost for each product equals its per-


unit marginal profit minus the per-unit value of
the resources it consumes (priced at their shadow
prices).
Key Points - I

• The shadow prices of resources equate the


marginal value of the resources consumed with the
marginal benefit of the goods being produced.
• Resources in excess supply have a shadow price
(or marginal value) of zero.
Key Points-II

• The reduced cost of a product is the difference


between its marginal profit and the marginal value
of the resources it consumes.
• Products whose marginal profits are less than the
marginal value of the goods required for their
production will not be produced in an optimal
solution.
Analyzing Changes in
Constraint Coefficients

• Q: Suppose a Typhoon-Lagoon required only 7 labor


hours rather than 8. Is it now profitable to produce
any?
A: $320 - $200*1 - $16.67*7 - $0*13 = $3.31 =
Yes!
• Q: What is the maximum amount of labor Typhoon-
Lagoons could require and still be profitable?
A: We need $320 - $200*1 - $16.67*L3 - $0*13 >=0
The above is true if L3 <= 120/16.67 = 7.20
A Warning About Degeneracy
• The solution to an LP problem is degenerate if the
Allowable Increase or Decrease on any constraint is
zero (0).
• When the solution is degenerate:
1. The methods mentioned earlier for detecting alternate
optimal solutions cannot be relied upon.
2. Do not provide answers to the question.
Summary
• An LP model is sensitive to various changes that might
occur in the model or its optimal solution.

• Analyzed by re-solving or by solver which provides a


significant amount of sensitivity information
automatically.

• Always first check for the presence of degeneracy.

• Do not provide answers to all questions if the solution is


degenerate.
03/25/2024 32
Follow-up questions

(see Word file)


p174: 4.3-5

03/25/2024 33

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