Chapter 2

Linear Programming Models

(LPM)
 Contents
• INTRODUCTION
• LINEAR PROGRAMMING APPLICATIONS
AREAS
• FORMULATING LP MODELS
• SOLVING LPP
– GRAPHICAL METHOD
– SPECIAL CASES IN GRAPHICAL METHOD
– SIMPLEX METHOD
• Maximization case
• Minimization case
– SPECIAL ISSUES
 LEARNING OBJECTIVES
 Understand basic assumptions and properties of
linear programming (LP).
 Formulate linear programming models
 Use graphical solution procedures for LP problems
 Apply the steps of simplex methods for solving
linear problems.
 Understand special situations such as optimal
solutions in LP problems.
 INTRODUCTION
 Management decisions in many organizations involve
trying to make most effective use of resources
(machinery, labor, money, time, warehouse space, and
raw materials) in order to:
Produce products - such as computers, automobiles,
or clothing or
Provide services - such as package delivery, health
services, or investment decisions.
 To solve problems of resource allocation one may use
mathematical programming.
 INTRODUCTION
• Mathematical programming is used to find the
best or optimal solution to a problem that
requires a decision or set of decisions about
how best to use a set of limited resources to
achieve a state goal of objectives.
Steps involved in mathematical programming
• Conversion of stated problem into a mathematical
model that abstracts all the essential elements of the
problem.
• Exploration of different solutions of the problem.
• Finding out the most suitable or optimum
solution.
 INTRODUCTION
• In 1947, George Danzig developed the use of
algebra for determining solutions to problems
that involved the optimal allocation of scarce
resources.
– Linear: all the mathematical relations used in the
problem are straight-line relations.
– Programming: the method of determining a
particular program or plan of action.
• LP: mathematical techniques for determining
the optimum allocation of resources and
obtaining a particular objective when there are
alternative uses of the limited or constrained
resources.
• A model consisting of linear relationships
representing a firm’s objective and resource
constraints.
• Used to determine a level of operational
activity in order to achieve an objective,
subject to restrictions called constraints.
• It is applicable to problems in which the total
effectiveness can be expressed as linear
function of individual allocations
• The limitations on resources give rise to linear
equation or inequalities of the individual
allocations.
 LINEAR PROGRAMMING MODELS
• Linear programming models (LPM) are
mathematical representations of LP problems.
• LPM have certain characteristics in common.
• These characteristics can be grouped as
components and assumptions.
– Components - the structure of a model.
– Assumptions - the conditions under which
the model is valid.
 Structure of LP Model
Max/min z = c1x1 + c2x2 + ... + cnxn
Subject to:
a11x1 + a12x2 + ... + a1nxn (≤, =, ≥) b1
a21x1 + a22x2 + ... + a2nxn (≤, =, ≥) b2
am1x1 + am2x2 + ... + amnxn (≤, =, ≥) bm
xj = decision variables
bi = constraint levels
cj = objective function coefficients
aij = constraint coefficients
 COMPONENTS OF LP MODELS
Objective and Objective Function: the objective will be
either maximization or minimization.
– LPM consists of a mathematical statement of the objective
called the objective function.
Decision variables: Unknown quantities to be solved for.
Constraints: Restrictions that may reflect availabilities of
resources, legal/contractual/technological
requirements, or they may reflect other limits based on
forecasts, customer orders, company policies,…
 Constraints can be arranged into three groups:
– System constraints – involve more than one decision variable.
– Individual constraints – involve only one variable, and
– Non-negativity constraints – specify that no variable will be
allowed to take on a negative value.
• A constraint has four elements:
– A right hand side (RHS) quantity: the limit for that
constraint. It must be a constant.
– An algebraic sign: indicates whether the limit is an
upper bound, lower, or an equality.
– The decision variables: the number of units of
different products.
– The impact that one unit of each decision variable
will have on the right-hand side quantity of the
constraint.
• Parameters: are fixed values that specify the impact
that one unit of each decision variable will have on the
objective and on any constraint it pertains to as well as
the numerical value of each constraint.
The following simple example illustrates the
components of LP models:
•
 Activity

Can you give some of the examples

of LP models which consist of unit
and system constraint and discuss
the components of each constraint
in the model?
 Linear Programming Assumptions
i. Linearity. The linearity requirement is that each decision
variable has a linear impact on the objective function and in
each constraint in which it appears. It is required that the same
coefficient apply over the entire range of possible value so the
decision variable.
ii. Divisibility. The divisibility requirement pertains to potential
values of decision variables. It is assumed that non-integer
values are acceptable. For example: 3.5 TV sets/hr
iii. Certainty. The parameters values are known and constant.
Moreover, all the relevant constraints identified and represented in the
model are as they are.
iv. Non-negativity. The non-negativity constraint is that negative
values of variables are unrealistic and, therefore, will not be
considered in any potential solution; only positive values and zero will
be allowed.
 Activity

Can you give examples for each of

the above assumptions? What will
happen if the assumptions are not
met?
 Advantages of Linear Programming

• Linear programming helps in attaining the

optimum use of scarce productive resources.
• LP techniques improve quality of decisions. The
decision making approach of the user of this
technique becomes less subjective.
• Highlighting of bottlenecks in the production
process is one of the most advantages of this
technique.
• LP also helps in re-evaluation of a basic plan for
changing conditions.
 Limitations of Linear Programming
• LP treats all relationships among decision
variables as linear.
• There is no guarantee that we will get integer
valued solutions.
• Does not take in to consideration the effect of
time and uncertainty.
• Deals only with a single objective.
• Parameters appearing in the model are
assumed to be constant but, in real life
situation they are frequently neither known
nor constant.
 LINEAR PROGRAMMING APPLICATIONS
1. A Product Mix Problem-The decision maker wishes to produce
the combination of products that will maximize total income.
2. A Blending Problem-The problem is to determine how much of
each commodity should be purchased and blended
3. A Production Scheduling Problem-The problem is to determine
the production schedule that minimizes the sum of production
and storage costs.
4. A Transportation Problem-The problem is to determine the
amount to be shipped from each origin to each destination such
that the total cost of transportation is a minimum.
5. A Flow Capacity Problem-The problem is to determine the
maximum flow, or capacity of the network.
6. Portfolio selection: Allocating a fixed dollar amount among a
variety of investments, such as bonds, sockets, real states, etc.
 FORMULATING LP MODELS
Steps
• Identify the problems & decision variables.
• Determine the objective function.
• Identify the constraints.
• Determine appropriate values for
parameters & determine whether an upper
limit, lower limit or equality is called for.
• Use this information & build a model.
• Validate the model.
 Example1: product mix
ABC private limited company is engaged in the production
of power and traction transformers. Both of these
categories of transformers pass through three basic
processes: core preparation, core to coil assembly, and
vapor phase drying. A power transformer yields a
contribution of Birr 50,000 and traction transformer
contributes Birr 10,000. The time required in the
production of these two products in terms of hours for
each of the processes is as follows.
Power transformer Traction
Transformer
Core preparation 75 15
Core to Coil Assembly 160 30
Vapor Phase Drying 45 10
If the capacities available are 1000, 1500, and 750 machine
hours in each processes respectively, formulate the
problem as LP?
 Solution
Step1. Identify decision variables
LetX1 = the no of power transformers to be produced.
X2= the no of traction transformer to be produced
Step2. Determine Objective Function
Zmax = 50,000X1+ 10,000X2
This is because, each unit of X1 contributes Birr 50,000
and X2 contributes Birr 10,000 to objective function.
Step 3. Identify constraints
Here we have structural and non-negativity constraints
Step 4. Determining Parameters
Parameters are identified in the table of the problem.
Step 3 and 4 can be performed simultaneously as:
 75X1 + 15X2 < 1000 hrs- Core preparation process
160X1 + 30X2 < 1500 hrs-
Core to Coil Assembly
45X1 + 10X2 < 750 hrs- Vapor Phase Drying
X1, X2 > 0
Step 5. Building and validating the model
Zmax = 50,000X1+ 10,000X2
Subject to:
75X1 + 15X2 < 1000 hrs
160X1 + 30X2 < 1500 hrs
45X1 + 10X2 < 750 hrs
X1, X2 > 0
 Investment Application
• An individual investor has Birr 70,000 to
divide among several investments. The
alternative investments are municipal bonds
with an 8.5% return, certificates of deposits
with a 10% return, Treasury bill with a 6.5%
return, and income bonds with a 13% return.
The investor wants to know how much to
invest in each alternative in order to maximize
the return. The following guidelines have been
established for diversifying the investment and
lessening the risk perceived by the investor.
• No more than 20% of the total investment should be
in an income bonds.
• The amount invested in certificates of deposit should
not exceed the amount invested in other three
alternatives.
• At least 30% of the investment should be in treasury
bills and certificates of deposits.
• The ratio of the amount invested in municipal bonds
to the amount invested in treasury bills should not
exceed one to three.
• The investor wants to invest the entire Birr 70,000
Required: Formulate a LP model for the problem.
• The complete LPM for this problem can
be summarized as:
Zmax = 0.085 X1+ 0.1X2+ 0.065X3+0.13X4
Subjected to:
X4 <14,000
X2 - X1 -X3 - X4 < 0
X2 + X3 > 21,000
3X1-X3 < 0
X1 + X2 + X3 + X4 = 70,000,
X1, X2, X3,X4 > 0
 Marketing Application
• Supermarket store chain has hired an advertising firm
to determine the types and amount of advertising it
should have for its stores. The three types of
advertising available are radio and television
commercials, and news papers advertisements. The
retail chain desires to know the number of each type
of advertisement it should purchase in order to
maximize exposure. It is estimated that each ad or
commercial will reach the following potential audience
and cost the following amount.
• Type of Advertisement Exposure Cost
• Television commercial 20,000 Birr 15,000
• Radio commercial 12,000 6,000
• News paper advertisement 9,000 4,000
The company must consider the following
resource constraints.
o The budget limit for advertising is Birr 100,000
o The television station has time available for 4
commercials.
o The radio station has time available for 10
commercials.
o The news paper has space available for 7 ads.
o The advertising agency has time and staff
available for producing no more than a total of
15 commercials and/or ads.
The complete linear programming model for this
problem is summarized as:

Zmax = 20,000X1 + 12,000X2 + 9,000X3

Sub. to:
15,000X1 + 6,000X2 + 4,000X3 ≤ Birr 100,000
X1 ≤ 4
X2 ≤ 10
X3 ≤ 7
X1 + X2 + X3 ≤ 15
X1 , X 2 , X 3 ≥ 0
 Chemical mixture
• A chemical corporation produces a chemical mixture
for the customer in 1000- pound batches. The mixture
contains three ingredients- Zinc, mercury and
potassium. The company wants to know the amount of
each ingredient to put in the mixture that will meet all
the requirements of the mix and minimize total cost.
• The customer has supplied the following formula
specifications for each batch of mixture.
– The mixture must contain at least 200 lb of mercury
– The mixture must contain at least 300 lb of zinc
– The mixture must contain at least 100 lb of potassium
The cost per pound of mixture for mercury is Birr 4, of
zinc Birr 8 and of potassium Birr 9.
Required: Formulate LPM for the problem
Solution
Zmin = 4x1 + 8x2 + 9x3
Subject to:
X1≥ 200 lb
X2 ≥ 300 lb
X3 ≥ 100 lb
x1 + x2 + x3 = 1000 lb
x1, x2 , x3 ≥ 0
 Activity
• An electronic company produces three types of parts
for automatic machines. It purchases casting of the
parts from the local foundry and then finishes parts on
drilling, shaping and polishing machines.
• The selling prices of parts A, B, and C respectively are
Birr8, 10, 14. All parts made can be sold. Casting for
parts A, B and C respectively costs Birr 5, 6 and 10.
The shop possesses only one of each type of machine.
Costs per hour to run each of the three machines are
Birr 20 for drilling, 30 for shaping, and 30 for
polishing. The capacities (parts per hour) for each part
on each machine are shown in the following table:
 Machine Capacity per hour
Part A Part B Part C

• Drilling 25 40 25
• Shaping 25 20 20
• Polishing 40 30 40
The management of the shop wants to know
how many parts of each type it should
produce per hour in order to maximize profit
for an hour’s run. Formulate this problem as
an LP model so as to maximize total profit to
the company.
 Solving LP problem: Graphical method

1. Plot model constraint on a set of coordinates in

a plane

2. Identify the feasible solution space on the

graph where all constraints are satisfied
simultaneously

3. Locate the optimal solution

• How many product A and Product B
should be produced to maximize profits
given labor and materials constraints?
• Product resource requirements and unit
profit:
Resource Requirements
Row
Labor Profit
Product mater
(hr/unit) ($/unit)
(lb/unit)
Product
1 4 40
A
Product
2 3 50
B
Resource 40 120
 Computing Optimal Values
Maximize Z = $40x1 + $50x2
subject to: 1x1 + 2x2  40
4x1 + 3x2  120
x 1 , x2  0
40x – x1 + 2x2 = 40
2

4x1 + 3x2 = 120

30 – 4 x1 + 3 x2 120 lb
4x1 + 8x2 = 160
20P – -4x1 - 3x2 = -120
5x2 = 40
10 – x1 + 2 x2 40 hr
8
x2 = 8
0–
| | |R | x1
10 20 24 30 40 x1 + 2(8) = 40
x1
Z = $40(24) + $50(8) = 24
= $1,360
Points x1 x2 Z=40x1+50x2
O 0 0 0
P 0 20 1000
Q 24 8 1360
R 30 0 1200
0
 Slack (unused) = Requirement – Production
 1x1 + 2x2  40……..24 +2(8)=40 …….(40-40=0)
---Slack = Zero hours of labor
 4x1 + 3x2  120…….4(24) +3(8)=120…..(120-120=0)
---Slack = Zero pounds of Row Material
 Exercise
• A firm is about to start production of two new
microcomputers, X1 and X2. Each requires limited
resources of assembly time, inspection time, &
storage space. Other information is given below:
Type 1 Type 2
• Profit per unit $60 $50
• Assembly time per unit 4 hrs 10 hrs
• Inspection time per unit 2 hrs 1 hrs
• Storage space per unit 3 cubic feet 3 cubic feet
Availability of company resources:
• Resources Amount available
• Assembly time 100 hrs
• Inspection time 22 hrs
• Storage space 39 cubic feet
 Solve using graphical methods?
 Minimization Problem
CHEMICAL CONTRIBUTION
Brand Nitrogen (lb/bag)Phosphate (lb/bag)
Gro-plus 2 4
Crop-fast 4 3

Minimize Z = $6x1 + $3x2

subject to
2x1 + 4x2  16 lb of nitrogen
4x1 + 3x2  24 lb of phosphate
x1, x2 0
 Graphical Solution
x2

14 –
x1 = 0 bags of Gro-plus
12 – x2 = 8 bags of Crop-fast

10 – Z = $24
A
8– Z = 6x1 + 3x2
6–

4–
B
2–
C
| | | | | | |
0–
2 4 6 8 10 12 14 x1
Intersection points of the two lines can be
acquired by equating the two lines.
2x1 + 4x2 =16 2x1 + 4x2 = 16
4x1 + 3x2 = 24 2x1 + 4 (8/5) = 16
-4x1 + -8x2 = -32 2x1 + 32/5 = 16
4x1 + 3x2 = 24 2x1 = 16 – 32/5
-5x2 = -8 2x1 = 48/5
x1 = 4.8
x2 = 8/5

Points x1 x2 Total cost

A 0 8 24
B 4.8 1.6 32.6
C 8 0 48
 Exercise
Zmin = 0.1x+0.07y
Subject to:
6x+2y > 18
8x+10y > 40
y>1
x,y > 0
Find the values of x and y which makes the
objective function minimum?
 Solution
Coordinates
Corner point x y Zmin
A 0 9 0.63
B 25/11 24/11 0.38
C 15/4 1 0.445
 Graphical Solutions for the Special
Cases of LP
Unboundedness: Unboundedness occurs when
the decision variable increased indefinitely
without violating any of the constraints.
Max Z = 10X1 + 20X2
Subject to 2X1 + 4X2 > 16
X1 + 5X2 > 15
X1, X2 > 0
ii) Redundant Constraints: is a constraint does
not form a unique boundary of the feasible
solution space
iii) Infeasibility: In some cases after plotting all
the constraints on the graph, feasible area
(common region) that represents all the constraint
of the problem cannot be obtained.
For example,
Max Z = 3X1+2X2
Subject to: 2X1 + X2 < 2
3X1 + 4X2 > 12
X 1 , X2 > 0
iv. Multiple optimal solutions: when there are two
conditions that should be satisfied for an alternative
optimal solution
Max Z = 8X1+16X2
Subject to: X1 + X2 < 200 ……. C1
3X1 + 6X2 < 900 ……. C2
X2 < 125 ……. C3
X 1 , X2 > 0

In the problem above, using extreme point method and

solving for values of corner points simultaneously, the
objective function assumes its maximum value of 2,400 at
two corner points B (50,125) and C (100,100).
 Mix of constraints
Both maximization and minimization problems
may consist of constraints connected to RHS
with a mix of algebraic signs ( <, >, =).
Example
Z Min a) 1500x+2400y
Subjected to: 4x+Y>24 …I
2x+3y>42 …II
X+4y>36 …III
X<14 …IV
y<14 …V
x, y>0
 Activity
How would the above optimal
solution change if only objective
function is modified as
Zmin1600x+2400y while all other
constraints remain as they are?
 Exercise
Maximize Z = X1 + 3X2
Subject to
X1 + 2X2 ≤ 9
X1 + 4X2 ≤ 11
X1 + X2 ≥ 2
X1, X2 ≥ 0
 Simplex Algorithm
• The graphical method is restricted to problems
with two decision variables.
• The simplex method is an iterative or step by
step method is efficient method for solving
linear programming problems.
• The simplex method is an algebraic procedure
that starts with a feasible solution that is not
optimal and systematically moves from one
feasible solution to another until an optimal
solution is found.
Steps in simplex method:
1.Formulate the LPM of the real world problem
2. Write the problem in standard form
Characteristics:
 All are equations.
 All right hand sides are non-negative
 All variables are non-negative
Standardization/Tableau Form/
Types of constraint Standard form
≤ Add a slack variable
= Add an artificial variable
≥ subtract a surplus variable
and add an artificial variable
MaxZ = C1X1+ C2X2 + ... +CnXn + OS1 + OS2 +... +0Sm
Subject to a11X1+a12X2+... + a1nxn+s1i =b1
a2lX1+a22X2+... + a2nXn+S2 = b2
amlXl + am2 X2 +... + amNxn + Sm = bm
, where X1, X2... Xn and S1, S2 ... Sm are non-negative.
4. Develop the initial tableau: the initial tableau always represents
the “Do Nothing” strategy, so that the decision variables are initially
non-basic.
A. List the variables across the top of the table and write
the objective function coefficient of each variable jut
above it.
B. There should be one row in the body of the table for each
constraint. List the slack variables in the basis column,
one per raw.
C. In the Cj column, enter the objective function coefficient of
zero for each slack variable.
D. Compute values for row Zj
E. Compute values for Cj – Zj.
Initial simplex tableau
5. Test if the current solution is optimum or not.
If all the elements or entries in the Cj- Zj row (i.e.,
index row) are negative or zero (for maximization)
and positive or zero(for minimization), then the
current solution is optimum. Otherwise,
6. Further, iterate towards an optimum solution.
To improve the current feasible solution, we
replace one current basic variable (called the
departing variable) by a new non-basic variable
(called the entering variable).
– Entering variable: For a maximization problem (the one which
has the largest positive value in Cj-Z row),
– Leaving variable: the one with the smallest non-negativity ratio
for quantity divided by respective positive pivot column entries.
Divide each element of the pivot raw (including quantity)
by the pivot element to get the corresponding value in
the new tableau. The divided raw values is called the
replacement raw.
For each raw other than the pivot raw
New row element= old raw element – (raw element in
pivot column X corresponding replacement value.)
7. Evaluate the new solution by constructing a
second simplex tableau
• Note that: if the solution is not optimal the steps
will be repeated again and again until the optimal
solution is obtained!
Example: Maximization case
Max Z = 60X1+50X2+0S1+0S2+0S3
Subject to 4X1+10X2+S1 = 100
2X1+ X2+S2 = 22
3X1+ 3X2+S3 = 39
X 1, X2 > = 0
Initial Simplex tableau
 Exercise
Maximize Z= 40x1 +35x2
Subject to:
2x1+3x2 < 60
4x1+ 3x2 < 96
X1, x2 > 0
Minimization Problems
• In a minimization problem, the entering
variable is identified as the one which has the
largest negative Cj-Zj row value in the simplex
tableau.
• The artificial variables in a minimization
problem will be expressed in the objective
function with a large positive coefficient so
that they are quickly eliminated as we proceed
with the solution.
 Big M/Charnes Penalty/ Method
• If Z is to be minimized, then a very large positive price
(called penalty) is assigned to each artificial variable.
• If Z is to be maximized, a very large negative cost
(penalty) is assigned to each of these variables.
the characteristics of Big-M Method:
– High penalty cost (or profit) is assumed as M
– M as a coefficient is assigned to artificial variable A in the
objective function Z.
– Applied to minimization as well as maximization problems
– Coefficient of S (slack/surplus) takes zero values in the
objective function Z
– For minimization problem, the incoming variable corresponds to
the highest negative value of Cj-Zj.
– The solution is optimal when there is no -ve value of Cj-Zj.(For
minimization case)
Example: Assume the following minimization
problem.
Min Z = 7X1+9X2
Subject to 3X1+6X2 ≥ 36
8X1+4X2 ≥ 64
X1 , X 2 ≥ 0
• We introduce both surplus and artificial
variables into both constraints as follows.
Min Z = 7X1+9X2+0S1+0S2+MA1+MA2
Subject to 3X1+6X2 –S1+A1 = 36
8X1+4X2-S2+A2 = 64
X1 , X 2 ≥ 0
The third tableau represents a final tableau
since it is the optimal solution with entirely
zeros and non-negative values in the Cj-Zj row.
Therefore, the optimal solution is: X1 = 20/3 and
X2 = 8/3 and value of objective function is
212/3.
 Activity
Minimize Z= 4X1 + 3X2
Subject to
X1 +3X2≥ 9
2X1+ 3X2≥ 12
X1 + X2≥ 5
X1, X2≥ 0
 SIMPLEX MAXIMIZATION WITH MIXED
CONSTRAINTS (= AND >= )
The Big M Method—introducing slack, surplus
and artificial variables
• If any problem constraint has negative
constants on the right side, multiply both
sides by -1 to obtain a constraint with a non-
negative constant.
• Introduce a slack variable in ≤ constraints.
• Introduce a surplus variable and an artificial
variable in each ≥ constraint.
• Introduce artificial variable in '='constraint.
• Form the simplex tableau for the modified
problem and solve it.
Special Issues:
1.Unbounded solution: occur if there are no non-
negative ratios for the quantity divided by substitution
rates.
2. Multiple optimal solution: where the objective
function is parallel to one of the constraints. If a zero
appears in the column of a non-basic variable; i.e., a
variable that is not in solution.
3. Degeneracy: occurs if there will be a tie for the
lowest non-negative ratio for quantity divided by
substitution rate.
4. Infeasibility: recognized by the presence of an
artificial variable with a non-zero value in a solution
that appears optimal (i.e., a tableau in which the signs
of the values in row C-Z indicate optimality).
Any Questions?