Linear and Integer

Programming Models

Dr Surendra Bhosale

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 1 Introduction to Linear Programming
• A Linear Programming model seeks to maximize or minimize a
linear function, subject to a set of linear constraints.

• The linear model consists of the following

components:
– A set of decision variables.
– An objective function.
– A set of constraints.

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 Introduction to Linear Programming
• The Importance of Linear Programming
– Many real world problems lend themselves to linear
programming modeling.
– Many real world problems can be approximated by linear
models.
– There are well-known successful applications in:
• Manufacturing
• Marketing
• Finance (investment)
• Advertising
• Agriculture

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 Introduction to Linear Programming
• The Importance of Linear Programming
– There are efficient solution techniques that solve linear
programming models.
– The output generated from linear programming packages
provides useful “what if” analysis.

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 Introduction to Linear Programming
• Assumptions of the linear programming model
– The parameter values are known with certainty.
– The objective function and constraints exhibit
constant returns to scale.
– There are no interactions between the decision
variables (the additivity assumption).
– The Continuity assumption: Variables can take on
any value within a given feasible range.

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 Galaxy Industries Production Problem –
A Prototype Example
• Galaxy manufactures two toy doll models:
– Space Ray.
– Zapper.
• Resources are limited to
– 1000 pounds of special plastic.
– 40 hours of production time per week.

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 Galaxy Industries Production Problem –
A Prototype Example
• Marketing requirement
– Total production cannot exceed 700 dozens.
– Number of dozens of Space Rays cannot exceed
number of dozens of Zappers by more than 350.

• Technological input
– Space Rays requires 2 pounds of plastic and
3 minutes of labor per dozen.
– Zappers requires 1 pound of plastic and
4 minutes of labor per dozen.
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Galaxy Industries Production Problem –A Prototype Example

• The current production plan calls for:

– Producing as much as possible of the more profitable
product, Space Ray ($8 profit per dozen).
– Use resources left over to produce Zappers ($5 profit
per dozen), while remaining within the marketing
guidelines.
• The current production plan consists of:
Space Rays = 450 dozen
Zapper = 100 dozen 8(450) + 5(100)
Profit = $4100 per week

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 Management is seeking a production
schedule that will increase the
company’s profit.

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 A linear programming model
can provide an insight and an
intelligent solution to this problem.

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 Galaxy Linear Programming Model

• Decisions variables:
– X1 = Weekly production level of Space Rays (in dozens)
– X2 = Weekly production level of Zappers (in dozens).

• Objective Function:
– Weekly profit, to be maximized

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 Galaxy Linear Programming Model

Max 8X1 + 5X2 (Weekly profit)

subject to
2X1 + 1X2 £ 1000 (Plastic)
3X1 + 4X2 £ 2400 (Production Time)
X1 + X2 £ 700 (Total production)
X1 - X2 £ 350 (Mix)
Xj> = 0, j = 1,2 (Nonnegativity)

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 3 Graphical Analysis of Linear Programming

The set of all points that satisfy all the constraints of the
model is called
a

FEASILE REGION

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 Using a graphical presentation
we can represent all the constraints,
the objective function, and the three
types of feasible points.

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 Graphical Analysis – the Feasible Region

X2

The non-negativity constraints

X1

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 Graphical Analysis – the Feasible Region

X2

1000 The Plastic constraint

2X1+X2 £ 1000
700 Total production constraint:
X1+X2 £ 700 (redundant)
500

Infeasible
Production Feasible
Time
3X1+4X2 £ 2400 X1
500 700

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 Graphical Analysis – the Feasible Region
X2
1000 The Plastic constraint
2X1+X2 £ 1000
700 Total production constraint:
X1+X2 £ 700 (redundant)
500
Infeasible
Production mix
constraint:
Production Feasible X1-X2 £ 350
Time
3X1+4X2£ 2400
X1
500 700
Interior points. Boundary points. Extreme points.
• There are three types of feasible points
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 Solving Graphically for an Optimal Solution

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 Search for an optimal solution

X2 Start at some arbitrary profit, say profit = $2,000...

1000 Then increase the profit, if possible...
...and continue until it becomes infeasible

700 Profit =$4360

500

X1
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500
Summary of optimal solution
Space Rays = 320 dozen
Zappers = 360 dozen
Profit = $4360
– This solution utilizes all the plastic and all the production
hours.

– Total production is only 680 (not 700).

– Space Rays production exceeds Zappers production by only

40 dozens.

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 Extreme points and optimal solutions

– If a linear programming problem has an optimal

solution, an extreme point is optimal.

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 Multiple optimal solutions

• For multiple optimal solutions to exist, the objective function must

be parallel to one of the constraints

• Any weighted average of

optimal solutions is also an
optimal solution.

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4 Role of Sensitivity Analysis of the Optimal Solution

• Is the optimal solution sensitive to changes in input

parameters?

• Possible reasons for asking this question:

– Parameter values used were only best estimates.
– Dynamic environment may cause changes.
– “What-if” analysis may provide economical and
operational information.

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Sensitivity Analysis of Objective Function Coefficients.

• Range of Optimality
– The optimal solution will remain unchanged as long as
• An objective function coefficient lies within its range of
optimality
• There are no changes in any other input parameters.

– The value of the objective function will change if the

coefficient multiplies a variable whose value is nonzero.

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 Sensitivity Analysis of
Objective Function Coefficients.
1000 X2

M
Ma ax 4
x3
.75 X1 +
X 5X
1 +
Ma

5X 2
x8

2
X1
+5

500
X2

Max
2X + 5X
1
2

X1

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500 800
 Sensitivity Analysis of
Objective Function Coefficients.

X2
1000
Ma
x8
X1

Range of optimality: [3.75, 10]

+5
X2

Ma
x1

500
0 X1

Ma
x3
+5

.75
X1
X2

+5
X2

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400 600 800 X1 26
• Reduced cost
Assuming there are no other changes to the input
parameters, the reduced cost for a variable Xj that has a
value of “0” at the optimal solution is:
– The negative of the objective coefficient increase of the
variable Xj (-DCj) necessary for the variable to be positive
in the optimal solution
– Alternatively, it is the change in the objective value per
unit increase of Xj.
• Complementary slackness
At the optimal solution, either the value of a variable is
zero, or its reduced cost is 0.

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Sensitivity Analysis of Right-Hand Side Values

• In sensitivity analysis of right-hand sides of constraints we

are interested in the following questions:
– Keeping all other factors the same, how much would
the optimal value of the objective function (for
example, the profit) change if the right-hand side of a
constraint changed by one unit?
– For how many additional or fewer units will this per
unit change be valid?

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Sensitivity Analysis of Right-Hand Side Values
• Any change to the right hand side of a binding constraint
will change the optimal solution.

• Any change to the right-hand side of a non-binding

constraint that is less than its slack or surplus, will cause
no change in the optimal solution.

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 Shadow Prices

• Assuming there are no other changes to the input

parameters, the change to the objective function value
per unit increase to a right hand side of a constraint is
called the “Shadow Price”

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 Shadow Price – graphical demonstration
The Plastic
constraint X2
When more plastic becomes available (the
plastic constraint is relaxed), the right hand
side of the plastic constraint increases.
1000
2X 1

Maximum profit = $4360

2X 1

+1
+1

x 2<
x 2<

=10

Maximum profit = $4363.4

=10

01

500
00

Shadow price =
4363.40 – 4360.00 = 3.40

Production time X1
constraint
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 Range of Feasibility

• Assuming there are no other changes to the

input parameters, the range of feasibility is
– The range of values for a right hand side of a constraint, in
which the shadow prices for the constraints remain
unchanged.
– In the range of feasibility the objective function value changes
as follows:
Change in objective value =
[Shadow price][Change in the right hand side value]

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 Range of Feasibility
The Plastic
constraint X2

Increasing the amount of

2X 1

plastic is only effective until a

+1

1000
x 2<

new constraint becomes active.

=10

Production mix A new active

00

constraint constraint
X1 + X2 £ 700
500
This is an infeasible solution
Production time
constraint

X1

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500 33
 Range of Feasibility
The Plastic
constraint 2X 1 X2

Note how the profit increases

+1

1000
as the amount of plastic
x 2£

increases.
100
0

500

Production time
constraint

X1

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500 34
 Range of Feasibility
X2

Less plastic becomes available (the

1000 plastic constraint is more restrictive).
Infeasible
solution The profit decreases

500
2X1 + 1X2 £ 1100

A new active
constraint
X1

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500 35
Correct interpretation of shadow prices
– Sunk costs: The shadow price is the value of an
extra unit of the resource, since the cost of the
resource is not included in the calculation of the
objective function coefficient.

– Included costs: The shadow price is the premium

value above the existing unit value for the resource,
since the cost of the resource is included in the
calculation of the objective function coefficient.

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 Other Post - Optimality Changes

• Addition of a constraint.
• Deletion of a constraint.
• Addition of a variable.
• Deletion of a variable.
• Changes in the left - hand side coefficients.

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 5 Using Excel Solver to Find an Optimal
Solution and Analyze Results
• To see the input screen in Excel click Galaxy.xls
• Click Solver to obtain the following dialog box.

This cell contains Set Target cell $D$6

the value of the Equal To:
objective function By Changing cells
These cells contain $B$4:$C$4
the decision variables

To enter constraints click…

All the constraints
have the same direction,
thus are included in $D$7:$D$10 $F$7:$F$10
one “Excel constraint”.
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 Using Excel Solver
• To see the input screen in Excel click Galaxy.xls
• Click Solver to obtain the following dialog box.

This cell contains Set Target cell $D$6

the value of the Equal To:
objective function By Changing cells
These cells contain $B$4:$C$4
the decision variables

$D$7:$D$10<=$F$7:$F$10
Click on ‘Options’
and check ‘Linear
Programming’ and
‘Non-negative’.
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 Using Excel Solver
• To see the input screen in Excel click Galaxy.xls
• Click Solver to obtain the following dialog box.

Set Target cell $D$6

Equal To:
By Changing cells
$B$4:$C$4

$D$7:$D$10<=$F$7:$F$10

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 Using Excel Solver – Optimal Solution

GALAXY INDUSTRIES
Space Rays Zappers
Dozens 320 360
Total Limit
Profit 8 5 4360
Plastic 2 1 1000 <= 1000
Prod. Time 3 4 2400 <= 2400
Total 1 1 680 <= 700
Mix 1 -1 -40 <= 350

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 Using Excel Solver – Optimal Solution
GALAXY INDUST RIES
Space Rays Zappers
Dozens 320 360
Total Limit
Profit 8 5 4360
Plastic 2 1 1000 <= 1000
Prod. Time 3 4 2400 <= 2400
Total 1 1 680 <= 700
Mix 1 -1 -40 <= 350

Solver is ready to provide

reports to analyze the
optimal solution.
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 Using Excel Solver –Answer Report
Microsoft Excel 9.0 Answer Report
Worksheet: [Galaxy.xls]Galaxy
Report Created: 11/12/2001 8:02:06 PM

Target Cell (Max)

Cell Name Original Value Final Value
$D$6 Profit Total 4360 4360

Adjustable Cells
Cell Name Original Value Final Value
$B$4 Dozens Space Rays 320 320
$C$4 Dozens Zappers 360 360

Constraints
Cell Name Cell Value Formula Status Slack
$D$7 Plastic Total 1000 $D$7<=$F$7 Binding 0
$D$8 Prod. Time Total 2400 $D$8<=$F$8 Binding 0
$D$9 Total Total 680 $D$9<=$F$9 Not Binding 20
$D$10 Mix Total -40 $D$10<=$F$10 Not Binding 390

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 Using Excel Solver –Sensitivity Report
Microsoft Excel Sensitivity Report
Worksheet: [Galaxy.xls]Sheet1
Report Created:

Adjustable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$B$4 Dozens Space Rays 320 0 8 2 4.25
$C$4 Dozens Zappers 360 0 5 5.666666667 1

Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$D$7 Plastic Total 1000 3.4 1000 100 400
$D$8 Prod. Time Total 2400 0.4 2400 100 650
$D$9 Total Total 680 0 700 1E+30 20
$D$10 Mix Total -40 0 350 1E+30 390

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 7 Models Without Unique Optimal Solutions

• Infeasibility: Occurs when a model has no feasible point.

• Unboundness: Occurs when the objective can become
infinitely large (max), or infinitely small (min).
• Alternate solution: Occurs when more than one point
optimizes the objective function

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 Infeasible Model

No point, simultaneously,
lies both above line 1 and
below lines 2 and 3
2
.

3 1
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 Solver – Infeasible Model

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 Unbounded solution

the
Ob
Ma
xim

jec ize
Th t ive
ef Fu
ea nc
re si ti o
gio ble n
n

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 Solver – Unbounded solution

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Solver – An Alternate Optimal Solution

• Solver does not alert the user to the existence of alternate

optimal solutions.
• Many times alternate optimal solutions exist when the
allowable increase or allowable decrease is equal to zero.
• In these cases, we can find alternate optimal solutions
using Solver by the following procedure:

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Solver – An Alternate Optimal Solution
• Observe that for some variable Xj the
Allowable increase = 0, or
Allowable decrease = 0.
• Add a constraint of the form:
Objective function = Current optimal value.
• If Allowable increase = 0, change the objective to
Maximize Xj
• If Allowable decrease = 0, change the objective to
Minimize Xj

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 8 Cost Minimization Diet Problem

• Mix two sea ration products: Texfoods, Calration.

• Minimize the total cost of the mix.
• Meet the minimum requirements of Vitamin A,
Vitamin D, and Iron.

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 Cost Minimization Diet Problem

• Decision variables
– X1 (X2) -- The number of two-ounce portions of
Texfoods (Calration) product used in a
serving.
• The Model
Minimize 0.60X1 + 0.50X2 Cost per 2 oz.
Subject to
20X1 + 50X2 ³ 100 Vitamin A
% Vitamin A 25X1 + 25X2 ³ 100 Vitamin D
provided per 2 oz.
50X1 + 10X2 ³ 100 Iron % required
X1, X2 ³ 0
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 The Diet Problem - Graphical solution

10
The Iron constraint

Feasible Region

Vitamin “D” constraint

Vitamin “A” constraint

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 Cost Minimization Diet Problem

• Summary of the optimal solution

– Texfood product = 1.5 portions (= 3 ounces)

Calration product = 2.5 portions (= 5 ounces)

– Cost =$ 2.15 per serving.

– The minimum requirement for Vitamin D and iron are

met with no surplus.

– The mixture provides 155% of the requirement for

Vitamin A.
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 Computer Solution of Linear Programs
With Any Number of Decision Variables
• Linear programming software packages solve large linear
models.
• Most of the software packages use the algebraic
technique called the Simplex algorithm.
• The input to any package includes:
– The objective function criterion (Max or Min).
– The type of each constraint: .
– The actual coefficients for the problem.

, 
,

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