Chapter 2

Introduction to Linear Programming

 Linear Programming Problem
 Problem Formulation
 A Maximization Problem
 Graphical Solution Procedure
 Extreme Points and the Optimal Solution
 A Minimization Problem
 Special Cases

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 Linear Programming (LP) Problem
 The maximization or minimization of some
quantity is the objective in all linear
programming problems.
 All LP problems have constraints that limit the
degree to which the objective can be pursued.
 A feasible solution satisfies all the problem's
constraints.
 An optimal solution is a feasible solution that
results in the largest possible objective function
value when maximizing (or smallest when
minimizing).
 A graphical solution method can be used to
solve a linear program with two variables.

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 Linear Programming (LP) Problem
 If both the objective function and the constraints
are linear, the problem is referred to as a linear
programming problem.
 Linear functions are functions in which each
variable appears in a separate term raised to
the first power and is multiplied by a constant
(which could be 0).
 Linear constraints are linear functions that are
restricted to be "less than or equal to", "equal
to", or "greater than or equal to" a constant.

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 Problem Formulation
 Problem formulation or modeling is the process
of translating a verbal statement of a problem
into a mathematical statement.

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 Guidelines for Model Formulation
 Understand the problem thoroughly.
 Describe the objective.
 Describe each constraint.
 Define the decision variables.
 Write the objective in terms of the decision
variables.
 Write the constraints in terms of the decision
variables.

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 Example 1: A Maximization Problem
 LP Formulation

Max 5x1 + 7x2

s.t. x1 < 6
2x1 + 3x2 < 19
x1 + x2 < 8

x1, x2 > 0

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 Example 1: Graphical Solution
 Constraint #1 Graphed
x2

8
7
6
x1 < 6
5
4
3
2 (6, 0)
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution
 Constraint #2 Graphed
x2

8 (0, 6 1/3)
7
6
5
4 2x1 + 3x2 < 19
3
2 (9 1/2, 0)
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution
 Constraint #3 Graphed
x2
(0, 8)
8
7 x1 + x2 < 8
6
5
4
3
2
(8, 0)
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution
 Combined-Constraint Graph
x2
x1 + x2 < 8
8
7
6
x1 < 6
5
4
3 2x1 + 3x2 < 19
2
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution
 Feasible Solution Region
x2

8
7
6
5
4
3
Feasible
2 Region
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution
 Objective Function Line
x2

8
7
(0, 5)
6 Objective Function
5 5x11 + 7x22 = 35
4
3
2
(7, 0)
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution
 Optimal Solution
x2
Objective Function
8 5x11 + 7x22 = 46
7
Optimal Solution
6
(x11 = 5, x22 = 3)
5
4
3
2
1
x1
1 2 3 4 5 6 7 8 9 10

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 Summary of the Graphical Solution
Procedure
for Maximization Problems
 Prepare a graph of the feasible solutions for
each of the constraints.
 Determine the feasible region that satisfies all
the constraints simultaneously.
 Draw an objective function line.
 Move parallel objective function lines toward
larger objective function values without entirely
leaving the feasible region.
 Any feasible solution on the objective function
line with the largest value is an optimal solution.

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 Slack and Surplus Variables
 A linear program in which all the variables are
non-negative and all the constraints are
equalities is said to be in standard form.
 Standard form is attained by adding slack
variables to "less than or equal to" constraints,
and by subtracting surplus variables from
"greater than or equal to" constraints.
 Slack and surplus variables represent the
difference between the left and right sides of
the constraints.
 Slack and surplus variables have objective
function coefficients equal to 0.

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 Example 1: Standard Form

Max 5x1 + 7x2 + 0s1 + 0s2 + 0s3

s.t. x1 + s1 =
6
2x1 + 3x2 + s2 =
19
x1 + x2 + s3 =
8

x1, x2 , s1 , s2 , s3 > 0

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 Extreme Points and the Optimal Solution
 The corners or vertices of the feasible region are
referred to as the extreme points.
 An optimal solution to an LP problem can be
found at an extreme point of the feasible region.
 When looking for the optimal solution, you do
not have to evaluate all feasible solution points.
 You have to consider only the extreme points of
the feasible region.

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 Example 1: Extreme Points

x2

8
7 5
6
5
4
4
3
Feasible 3
2
Region
1
1 2
x1
1 2 3 4 5 6 7 8 9 10

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 Computer Solutions
 Computer programs designed to solve LP
problems are now widely available.
 Most large LP problems can be solved with just a
few minutes of computer time.
 Small LP problems usually require only a few
seconds.
 Linear programming solvers are now part of
many spreadsheet packages, such as Microsoft
Excel.

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 Interpretation of Computer Output
 In this chapter we will discuss the following
output:
• objective function value
• values of the decision variables
• reduced costs
• slack/surplus
 In the next chapter we will discuss how an
optimal solution is affected by a change in:
• a coefficient of the objective function
• the right-hand side value of a constraint

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 Example 2: A Minimization Problem
 LP Formulation

Min 5x1 + 2x2

s.t. 2x1 + 5x2 > 10

4x1 - x2 > 12
x1 + x2 > 4

x1, x2 > 0

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 Example 2: Graphical Solution
 Graph the Constraints
Constraint 1: When x1 = 0, then x2 = 2; when x2 =
0, then x1 = 5. Connect (5,0) and (0,2). The ">"
side is above this line.
Constraint 2: When x2 = 0, then x1 = 3. But setting
x1 to 0 will yield x2 = -12, which is not on the graph.
Thus, to get a second point on this line, set x1
to any number larger than 3 and solve for x2:
when
x1 = 5, then x2 = 8. Connect (3,0) and
(5,8). The ">" side is to the right.
Constraint 3: When x1 = 0, then x2 = 4; when x2 =
0, then x1 = 4. Connect (4,0) and (0,4). The ">"
side is above this line.
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 Example 2: Graphical Solution
 Constraints Graphed

x22 Feasible Region

4x11 - x22 > 12

5

4 x11 + x22 > 4

3
2x11 + 5x22 > 10
2

1
x11
11 22 33 44 55 66

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 Example 2: Graphical Solution
 Graph the Objective Function
Set the objective function equal to an
arbitrary constant (say 20) and graph it. For 5x1
+ 2x2 = 20, when x1 = 0, then x2 = 10; when
x2= 0, then x1 = 4. Connect (4,0) and (0,10).
 Move the Objective Function Line Toward
Optimality
Move it in the direction which lowers its
value (down), since we are minimizing, until it
touches the last point of the feasible region,
determined by the last two constraints.

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 Example 2: Graphical Solution
 Constraints Graphed

x22 Min z = 5x11 + 2x22

4x11 - x22 > 12

5

4 x11 + x22 > 4

3
2x11 + 5x22 > 10
2

1
x11
11 22 33 44 55 66

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 Example 2: Graphical Solution
 Solve for the Extreme Point at the Intersection
of the Two Binding Constraints
4x1 - x2 = 12
x1+ x2 = 4
Adding these two equations gives:
5x1 = 16 or x1 = 16/5.
Substituting this into x1 + x2 = 4 gives: x2 =
4/5

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 Example 2: Graphical Solution
 Solve for the Optimal Value of the Objective
Function
Solve for z = 5x1 + 2x2 = 5(16/5) + 2(4/5) =
88/5.
Thus the optimal solution is
x1 = 16/5; x2 = 4/5; z = 88/5

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 Example 2: Graphical Solution
 Optimal Solution

x22 Min z = 5x11 + 2x22

4x11 - x22 > 12

5

4 x11 + x22 > 4

3 2x11 + 5x22 > 10

2 Optimal: x11 = 16/5

1
x22 = 4/5
x11
11 22 33 44 55 66

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 Feasible Region

 The feasible region for a two-variable LP problem

can be nonexistent, a single point, a line, a
polygon, or an unbounded area.
 Any linear program falls in one of three
categories:
• is infeasible
• has a unique optimal solution or alternate
optimal solutions
• has an objective function that can be increased
without bound
 A feasible region may be unbounded and yet
there may be optimal solutions. This is common
in minimization problems and is possible in
maximization problems.
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 Special Cases
 Alternative Optimal Solutions
In the graphical method, if the objective
function line is parallel to a boundary constraint
in the direction of optimization, there are
alternate optimal solutions, with all points on
this line segment being optimal.
 Infeasibility
A linear program which is overconstrained so
that no point satisfies all the constraints is said
to be infeasible.
 Unboundedness
(See example on upcoming slide.)

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 Example: Infeasible Problem
 Solve graphically for the optimal solution:

Max 2x1 + 6x2

s.t. 4x1 + 3x2 < 12

2x1 + x2 > 8

x1, x2 > 0

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 Example: Infeasible Problem
 There are no points that satisfy both constraints,
hence this problem has no feasible region, and
no optimal solution.
x2

8 2x1 + x2 > 8

4x1 + 3x2 < 12

4

x1
3 4
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 Example: Unbounded Problem
 Solve graphically for the optimal solution:

Max 3x1 + 4x2

s.t. x1 + x2 > 5
3x1 + x2 > 8

x1, x2 > 0

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 Example: Unbounded Problem
 The feasible region is unbounded and the
objective function line can be moved parallel to
itself without bound so that z can be increased
infinitely. x 2

3x1 + x2 > 8
8
Max 3x1 + 4x2

5
x1 + x2 > 5

x1
2.67 5
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 End of Chapter 2

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