CHAPTER 2

INTRODUCTION TO LINEAR
PROGRAMMING
 Linear Programming Problem
 Problem Formulation
 A Simple Maximization Problem
 Graphical Solution Procedure
 Extreme Points and the Optimal Solution
 Special Cases
 Linear Programming

 Linear programming has nothing to do with

computer programming.
 The use of the word “programming” here means
“choosing a course of action.”
 Linear programming involves choosing a course
of action when the mathematical model of the
problem contains only linear functions.
 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.
 LINEAR PROGRAMMING (LP) PROBLEM
 Ifboth 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.
PROBLEM FORMULATION

 Problem formulation or modeling is the process

of translating a verbal statement of a problem
into a mathematical statement.
 Formulating models is an art that can only be
mastered with practice and experience.
 Every LP problems has some unique features,
but most problems also have common features.
 General guidelines for LP model formulation are
illustrated on the slides that follow.
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.
EXAMPLE 1: A SIMPLE MAXIMIZATION PROBLEM

 LP
Formulation Objectiv
Max 5x1 + 7x2 e
Function
s.t. x1
“Regular”
< 6 Constraint
2x1 + 3x2 s
< 19 Non-
x1 + x2 negativity
Constraints
< 8
x1 > 0 and x2
>0
EXAMPLE 1: GRAPHICAL SOLUTION
 First Constraint Graphed
x2

8
7 x1 = 6
6
Shaded region
5 contains all
4 feasible points
for this constraint
3
2
(6, 0)
1
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
 Second Constraint Graphed
x2

8 (0, 6 1/3)
7
6
5
2x1 + 3x2 =
19
4
Shaded
3
region contains
2 all feasible points (9 1/2, 0)
1 for this constraint
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
 Third Constraint Graphed
x2
(0, 8)
8
7
6 x1 + x2 = 8
5
4
Shaded
3
region contains
2 all feasible points
1 for this constraint (8, 0)
x1
1 2 3 4 5 6 7 8 9 10
 EXAMPLE 1: GRAPHICAL SOLUTION
 Combined-Constraint Graph Showing Feasible
Region
x2

8
x1 + x2 = 8

7
6 x1 = 6
5
4
3
Feasible 2x1 + 3x2 =
2
Region 19
1
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
 Objective Function Line
x2

8
7
(0, 5)
6 Objective Function
5 5x1 + 7x2 = 35
4
3
2
(7, 0)
1
x1
1 2 3 4 5 6 7 8 9 10
 Example 1: Graphical Solution

 Selected Objective Function

Linesx2

8
7
5x1 + 7x2 = 35
6
5 5x1 + 7x2 = 39
4
3 5x1 + 7x2 = 42
2
1
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
 Optimal Solution
x2
Maximum
Objective Function Line
8
5x1 + 7x2 = 46
7
6 Optimal Solution
(x1 = 5, x2 = 3)
5
4
3
2
1
x1
1 2 3 4 5 6 7 8 9 10
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.
 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.
SLACK VARIABLES (FOR < CONSTRAINTS)

 Example 1 in Standard Form

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

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

x 1, x 2 , s1 , s2 , s3 > 0
s1 , s2 , and s3
are slack
variables
 Slack Variables

 Optimal Solution
x2 Third
Constraint: First
8 x1 + x2 = 8 Constraint:
s3 = x1 = 6
7
0 s1 =
6 1
5
Second
4
Constraint:
3 2x1 + 3x2 =
Optimal
2 s19
2 =
Solution
1 (x1 = 5, x2 = 3) 0
x1
1 2 3 4 5 6 7 8 9 10
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.

EXAMPLE 1: EXTREME POINTS
x2

8
7 5 (0, 6 1/3)
6
5
4
4 (5, 3)
3
Feasible 3 (6, 2)
2 Region
1 1 (0, 2 (6, 0)
0) x1
1 2 3 4 5 6 7 8 9 10
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.
 Example: Alternative Optimal Solutions

 Consider the following LP problem.

Max 4x1 + 6x2

s.t. x1
< 6
2x1 + 3x2
< 18
x1 + x2
< 7
x1 > 0 and x2
>0
 Example: Alternative Optimal Solutions

 Boundary constraint 2x1 + 3x2 < 18 and

objective function Max 4x1 + 6x2 are
parallel. All points on line segment A – B are
x2 solutions.
optimal
x1 + x2 < 7
7
6 Max 4x1 + 6x2
A
5
B x1 < 6
4
3 2x1 + 3x2 <
2 18
1
x1
1 2 3 4 5 6 7 8 9 10
 Special Cases

 Infeasibility
• No solution to the LP problem satisfies all the
constraints, including the non-negativity
conditions.
• Graphically, this means a feasible region
does not exist.
• Causes include:
• A formulation error has been made.
• Management’s expectations are too high.
• Too many restrictions have been placed on
the problem (i.e. the problem is over-
constrained).
EXAMPLE: INFEASIBLE PROBLEM
 Consider the following LP
problem.
Max 2x1 + 6x2

s.t. 4x1 + 3x2

< 12
2x1 + x2
> 8
x1, x2
> 0
EXAMPLE: INFEASIBLE PROBLEM
 There are no points that satisfy both
constraints, so there is no feasible region (and
no feasiblexsolution).
2

10
2x1 + x2 > 8
8

6
4x1 + 3x2 < 12
4

x1
2 4 6 8 10
 Special Cases

 Unbounded
• The solution to a maximization LP problem
is unbounded if the value of the solution
may be made indefinitely large without
violating any of the constraints.
• For real problems, this is the result of
improper formulation. (Quite likely, a
constraint has been inadvertently omitted.)
EXAMPLE: UNBOUNDED SOLUTION
 Consider the following LP problem.

Max 4x1 + 5x2

s.t. x1 + x2
> 5
3x1 + x2
> 8
x1, x2
> 0
EXAMPLE: UNBOUNDED SOLUTION
 The feasible region is unbounded and the
objective function line can be moved outward
from the origin without bound, infinitely
increasing the
x2objective function.
10
3x1 + x2 > 8
8
Ma
6 x
4x
1 +
4 5x
2 x1 + x2 > 5
2

x1
2 4 6 8 10
END OF CHAPTER 2