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Sensitivity Analysis

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6 views

Sensitivity Analysis

Uploaded by

pealghosh007
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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LP SENSITIVITY ANALYSIS

Christine Archer
Caitlin Adams
Beth Conte
SENSITIVITY ANALYSIS
Defined:
• A method of discovering how the optimal solution is altered by changes,
within certain ranges of the objective function coefficients and the right-
hand side values

Implemented:
• By mangers who work in a dynamic setting with inexact estimates of the
coefficients
• Also assists managers to ask particular what-if-questions about the problem
GRAPHICAL SENSITIVITY ANALYSIS
• Graphical solution methods can be used to perform sensitivity analysis on the
objective function coefficients and the right–hand-side values for the
constraints for Linear Programming problems with two decision variables
EXAMPLE 3 PAGE 124
Min 8X+12Y

s.t.
1X + 3Y ≥ 9
2X + 2Y ≥ 10
6X + 2Y ≥ 18
A, B ≥ 0
GRAPHICAL SOLUTION OF PAGE 124 QUESTION
3

6X + 2Y ≥ 18

2X + 2Y ≥ 10

1X + 3Y ≥ 9

8X+12Y
SENSITIVITY ANALYSIS ON
SOLVER
EXAMPLE 12 PAGE 130
Max 63E + 95S + 135D

s.t.
IE + IS + ID ≤ 200
IE + 2S + 4D ≤ 320
8E + 12S + 14D ≤ 2400
E, S, D ≥ 0
RANGE OF OPTIMALITY
Supplies the range of values that will allow the current solution to continue
to be optimal
RANGE OF OPTIMALITY
GRAPHICAL SOLUTION OF PAGE 124 QUESTION
3

Graphically, the limits of a range of


optimality are found by changing the
slope of the objective function line
within the limits of the slopes of the
Binding constraint lines.
RIGHT-HAND SIDES
• A change in the right hand side for a constraint may affect the feasible
region and perhaps cause a change in the optimal solution.

• As the right-hand side increases , other constraints will become binding and
limit the change in the value of the objective function

• Dual Value - The change in the value of the optimal solution per unit
increase in the right-hand side
DUAL VALUE
• Graphically, a dual value is determined
by adding one to the right hand side
value and then resolving for the optimal
solution in terms of the same two
binding constraints.
• The dual value is equal to the
difference in the value of the objective
functions between the new and original
problems.
• The dual value for a nonbinding
constraint is 0.
• A negative dual value indicates that
the objective function will not improve if
the right hand side is increased.
RANGE OF FEASIBILITY
• Defined: For a change in the right hand side value is the range of values for
this coefficient in which the original dual value remains constant.
• Graphically, the range of feasibility is determined by finding the values of a
right hand side coefficient such that the same two lines that determined the
original optimal solution continue to determine the optimal solution for the
problem.
RANGE OF FEASIBILITY
The range over which the dual value is applicable
RANGE OF FEASIBILITY
REDUCED COST
• The reduced cost associated with a variable is equal to the dual value of
the non-negativity constrain associated with the variable.
• In general, if a variable has a non-zero value in the optimal solution, then it
will have a reduced cost equal to 0.
LIMITATIONS OF CLASSICAL
SENSITIVITY ANALYSIS
• Simultaneous Changes - The range analysis for objective function
coefficients and the constraint right-hand sides is only applicable for
changes in a single coefficient.
• Changes in Constraint Coefficients – Classical sensitivity analysis provides no
information about changes resulting from a change in a coefficient of a
variable in a constraint.
• Non-intuitive Dual Values – Constraints with variables naturally on both the
left-hand and right-hand sides often lead to dual values that have a non-
intuitive explanation. This is often the case with constraints that involve
percentages.
Solution:

EXAMPLE 12 ON LINGO
Global optimal solution found.
Objective value: 16440.00
Infeasibilities: 0.000000
Total solver iterations: 4

Model Class: LP
Variable Value Reduced Cost
Total variables: 3 E 80.00000 0.000000
Nonlinear variables: 0 S 120.0000 0.000000
Integer variables: 0 D 0.000000 24.00000

Row Slack or Surplus Dual Price


Total constraints: 4
1 16440.00 1.000000
Nonlinear constraints: 0
2 0.000000 31.00000
3 0.000000 32.00000
Total nonzeros: 12 4 320.0000 0.000000
Nonlinear nonzeros: 0

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