Chapter 3

An Introduction to Linear Programming

 Linear Programming Problem

 Problem Formulation
 A Maximization Problem
 Graphical Solution Procedure
 A Minimization Problem
 Special Cases

1
 Linear Programming (LP) Problem

 A mathematical programming problem is one

that seeks to maximize an objective function
subject to constraints.
 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.

2
 LP Solutions

 The maximization or minimization of some

quantity is the objective in all linear
programming problems.
 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.

3
 Problem Formulation

 Problem formulation or modeling is the process

of translating a verbal statement of a problem
into a mathematical statement.

4
 Guidelines for Model Formulation

 Understand the problem thoroughly.

 Write a verbal description of the objective.
 Write a verbal description of each constraint.
 Define the decision variables.
 Write the objective in terms of the decision
variables.
 Write the constraints in terms of the decision
variables.

5
 Example

maximize z = 5 x1 + 4 x2
Subject to
6 x1 + 4 x2 ≤ 24
x1 + 2 x2 ≤ 6
- x1 + x2 ≤ 1
x2 ≤ 2
x1 , x2 ≥ 0

6
 Graphical LP solution
 The determination of the solution space that defines the
feasible solutions that satisfy all the constrains of the
model.
Replace the inequalities with equations
Plot the resulting straight lines
Test if (0,0) in the solution (if the origin does not
satisfy the inequality then the directional arrow must
point in the opposite site)
If the line pass through the origin, then use another
reference point to effect the desired result.
 The determination of the optimum solution from among
all the points in the feasible solution space. (it is one of
the corner points)

7
 Example 1: A Maximization Problem

 LP Formulation
Max z = 5x1 + 7x2

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

x1, x2 > 0

8
 Example 1: Graphical Solution

 Constraint #1 Graphed
x2
8

6
x1 < 6
5

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

9
 Example 1: Graphical Solution

 Constraint #2 Graphed
x2

8 (0, 6 1/3)
7

6
2x1 + 3x2 < 19
5

4
3

1
(9 1/2, 0)

1 2 3 4 5 6 7 8 9 10 x1

10
 Example 1: Graphical Solution

 Constraint #3 Graphed
x2
(0, 8)
8

6
x1 + x2 < 8
5

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

11
 Example 1: Graphical Solution

 Combined-Constraint Graph
x2
8
x1 + x2 < 8
7

6
x1 < 6
5

2 2x1 + 3x2 < 19

1

1 2 3 4 5 6 7 8 9 10
x1

12
 Example 1: Graphical Solution

 Feasible Solution Region

x2
8

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

13
 Example 1: Graphical Solution

 Objective Function Line

x2
8

7
(0, 5)
6

5 5x1 + 7x2 = 35
4

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

14
 Example 1: Graphical Solution

 Optimal Solution
x2
8
5x1 + 7x2 = 46
7

5 Optimal Solution
4

1 2 3 4 5 6 7 8 9 10 x1

15
 Graphical Solution:
Example
x2
50 –

40 – 4 x1 + 3 x2 120 lb

30 –
Area common to
both constraints
20 –
x1 + 2 x2 40 hr
10 –
| | | | | |
10 20 30 40 50 60 x1
0–
16
 Computing Optimal
Values
x1 + 2x2 = 40
x2
40 – 4x1 + 3x2 = 120
4 x1 + 3 x2 120 lb
4x1 + 8x2 = 160
30 –
-4x1 - 3x2 = -120
5x2 = 40
20 –
x2 = 8
x1 + 2 x2 40 hr
10 –
x1 + 2(8) = 40
0– | | | | x1 x1 = 24
10 20 30 40
Z = $50(24) + $50(8) = $1,360

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 Extreme Corner Points
x1 = 0 bowls
x2 x2 =20 mugs
Z = $1,000 x1 = 224 bowls
x2 =8 mugs
40 –
Z = $1,360 x1 = 30 bowls
30 – x2 =0 mugs
Z = $1,200
20 – A

10 –
B
0– | | | C|
10 20 30 40 x1

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 Objective Function
x2
40 – 4x1 + 3x2 120 lb

Z = 70x1 + 20x2
30 – Optimal point:
x1 = 30 bowls
A x2 =0 mugs
20 –
Z = $2,100

B
10 –
x1 + 2x2 40 hr
| | | C |
0– 10 20 30 40 x
1
19
 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.

20
 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.

21
 Example 1

 Standard Form
Max z = 5x1 + 7x2 + 0s1 + 0s2 + 0s3

s.t. x1 + s1 = 6
2x1 + 3x2 + s2 = 19
x1 + x2 + s3 =
8
x1, x2 , s1 , s2 , s3 > 0

22
 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: Graphical Solution

 The Five Extreme Points

7
5
6

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

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 Reduced Cost

 The reduced cost for a decision variable whose

value is 0 in the optimal solution is the amount
the variable's objective function coefficient
would have to improve (increase for
maximization problems, decrease for
minimization problems) before this variable
could assume a positive value.
 The reduced cost for a decision variable with a
positive value is 0.

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 Example 2: A Minimization Problem

 LP Formulation
Min z = 5x1 + 2x2

s.t. 2x1 + 5x2 > 10

4x1 - x2 > 12
x1 + x2 > 4

x1, x2 > 0

26
 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. 27
 Example 2: Graphical Solution

 Constraints Graphed

x2 Feasible Region

5
4x1 - x2 > 12

4 x1 + x2 > 4
3
2x1 + 5x2 > 10
2

x1
1 2 3 4 5 6

28
 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.

29
 Example 2: Graphical Solution

 Objective Function Graphed

x2 Min z = 5x1 + 2x2

5
4x1 - x2 > 12

4 x1 + x2 > 4
3
2x1 + 5x2 > 10
2

x1
1 2 3 4 5 6

30
 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
 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
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 Example 2: Graphical Solution

 Optimal Solution

x2 Min z = 5x1 + 2x2

5
4x1 - x2 > 12

4 x1 + x2 > 4
3
2x1 + 5x2 > 10
2
Optimal: x1 = 16/5
1
x2 = 4/5
x1
1 2 3 4 5 6

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 Feasible Region

 The feasible region for a two-variable linear

programming 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. 33
 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.
 Unbounded
(See example on upcoming slide.)

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 Example: Infeasible Problem

 Solve graphically for the optimal solution:

Max z = 2x1 + 6x2

s.t. 4x1 + 3x2 <

12
2x1 + x2 > 8

x1, x2 > 0

35
 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
36
 Example: Unbounded Problem

 Solve graphically for the optimal solution:

Max z = 3x1 + 4x2

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

x1, x2 > 0

37
 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.
x2

3x1 + x2 > 8
8
Max 3x1 + 4x2
5
x1 + x2 > 5

x1
2.67 5
38