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.

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 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.

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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.

 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.

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 Example 1: A Maximization Problem

 LP Formulation

Max z = 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

6
x1 < 6
5

1 (6, 0)

1 2 3 4 5 6 7 8 9 10
x1

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 Example 1: Graphical Solution

 Constraint #2 Graphed
x2

8 (0, 6 1/3)
7

6 2x1 + 3x2 < 19

5

4
3

2
(9 1/2, 0)
1

1 2 3 4 5 6 7 8 9 10
x1

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 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

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 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

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 Example 1: Graphical Solution

 Feasible Solution Region

x2
8

2 Feasible
1
Region

1 2 3 4 5 6 7 8 9 10
x1

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 Example 1: Graphical Solution

 Objective Function Line

x2
8

7
(0, 5)
6

5 5x11 + 7x22 = 35
4

1
(7, 0)

1 2 3 4 5 6 7 8 9 10
x1

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 Example 1: Graphical Solution

 Optimal Solution
x2
8
5x11 + 7x22 = 46
7

5
Optimal Solution
4

1 2 3 4 5 6 7 8 9 10
x1

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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 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

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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: 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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 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 Chapter 3 we will discuss how an optimal solution is
affected by a:
• change in a coefficient of the objective function
• change in the right-hand side value of a constraint

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 Example 1: Spreadsheet Solution

 Partial Spreadsheet Showing Problem Data

A B C D
1 LHS Coefficients
2 Constraints X1 X2 RHS Values
3 #1 1 0 6
4 #2 2 3 19
5 #3 1 1 8
6 Obj.Func.Coeff. 5 7

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 Example 1: Spreadsheet Solution

 Partial Spreadsheet Showing Solution

A B C D
8 Optimal Decision Variable Values
9 X1 X2
10 5.0 3.0
11
12 Maximized Objective Function 46.0
13
14 Constraints Amount Used RHS Limits
15 #1 5 <= 6
16 #2 19 <= 19
17 #3 8 <= 8

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 Example 1: Spreadsheet Solution

 Interpretation of Computer Output

We see from the previous slide that:

• Objective Function Value = 46
• Decision Variable #1 (x1) = 5
• Decision Variable #2 (x2) = 3
• Slack in Constraint #1 = 1 (= 6 - 5)
• Slack in Constraint #2 = 0 (= 19 - 19)
• Slack in Constraint #3 = 0 (= 8 - 8)

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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 1: Spreadsheet Solution

 Reduced Costs
Adjustable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$B$8 X1 5.0 0.0 5 2 0.333333333
$C$8 X2 3.0 0.0 7 0.5 2

Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$B$13 #1 5 0 6 1E+30 1
$B$14 #2 19 2 19 5 1
$B$15 #3 8 1 8 0.333333333 1.666666667

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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

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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
1 2 3 4 5 6

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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

 Objective Function Graphed

x22 Min z = 5x11 + 2x22

4x11 - x22 > 12

5

4 x11 + x22 > 4

3
2x11 + 5x22 > 10
2

1
x11
1 2 3 4 5 6

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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
 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
1 2 3 4 5 6

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 Example 2: Spreadsheet Solution

 Partial Spreadsheet Showing Problem Data

A B C D
1 LHS Coefficients
2 Constraints X1 X2 RHS
3 #1 2 5 10
4 #2 4 -1 12
5 #3 1 1 4
6 Obj.Func.Coeff. 5 2

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 Example 2: Spreadsheet Solution

 Partial Spreadsheet Showing Formulas

A B C D
9 Decision Variables
10 X1 X2
11 Dec.Var.Values
12
13 Minimized Objective Function =B6*B11+C6*C11
14
15 Constraints Amount Used Amount Avail.
16 #1 =B3*$B$11+C3*$C$11 >= =D3
17 #2 =B4*$B$11+C4*$C$11 >= =D4
18 #3 =B5*$B$11+C5*$C$11 >= =D5

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 Example 2: Spreadsheet Solution

 Partial Spreadsheet Showing Solution

A B C D
9 Decision Variables
10 X1 X2
11 Dec.Var.Values 3.20 0.800
12
13 Minimized Objective Function 17.600
14
15 Constraints Amount Used Amount Avail.
16 #1 10.4 >= 10
17 #2 12 >= 12
18 #3 4 >= 4

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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.

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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.
 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

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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 z = 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.
x2

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

x1
2.67 5
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