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Topic 6 Ch7
Goal Programming and
Multiple Objective
Optimization
Part 1 Goal Programming
 Introduction
 Most of the optimization problems considered to
this point have had a single objective.
 Often, more than one objective can be identified
for a given problem.
– Maximize Return or Minimize Risk
– Maximize Profit or Minimize Pollution
 These objectives often conflict with one
another.
 This chapter describes how to deal with
such problems.
 Goal Programming (GP)
 Most LP problems have hard constraints that
cannot be violated...
– There are 1,566 labor hours available.
– There is $850,00 available for projects.
 In some cases, hard constraints are too
restrictive...
– You have a maximum price in mind when buying a car
(this is your “goal” or target price).
– If you can’t buy the car for this price you’ll likely find a
way to spend more.
 We use soft constraints to represent such goals
or targets we’d like to achieve.
 Goal Programming (GP)
 Not one specific objective function
 Constraint with a flexible, or soft, RHS
value.

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A Goal Programming Example

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 A Goal Programming Example:
Myrtle Beach Hotel Expansion
 Davis McKeown wants to expand the convention
center at his hotel in Myrtle Beach, SC.
 The types of conference rooms being considered
are: Size (sq ft) Unit Cost
Small 400 $18,000
Medium 750 $33,000
Large 1,050 $45,150
 Davis would like to add 5 small, 10 medium and
15 large conference rooms.
 He also wants the total expansion to be 25,000
square feet and to limit the cost to $1,000,000.
Defining the Decision Variables
X1 = number of small rooms to
add
X2 = number of medium rooms to
add
X3 = number of large rooms to
add
 Defining the Goals
 Goal 1: The expansion should include approximately 5
small conference rooms.
 Goal 2: The expansion should include approximately 10
medium conference rooms.
 Goal 3: The expansion should include approximately 15
large conference rooms.
 Goal 4: The expansion should consist of approximately
25,000 square feet.
 Goal 5: The expansion should cost approximately
$1,000,000.
Defining the Goal Constraints-I
 Small Rooms
 
X1  d  d 5
1 1
 Medium Rooms
 
X 2  d  d 10
2 2
 Large Rooms
 
X 3  d  d 15
3 3
where
 
d , d 0
i i
Defining the Goal Constraints-II
 Total Expansion
 
400X1  750X 2  1,050X 3  d  d 25,000
4 4

 Total Cost (in $1,000s)

 
18X1  33X 2  4515
. X 3  d  d 1,000
5 5

where
 
d , d 0
i i
*** + 指的是偏高量，需要减去；负号相反
*** 目标：最小化 sigma deviation
 GP Objective Functions
 There are numerous objective functions
we could formulate for a GP problem.
 Minimize the sum of the deviations:
MIN  d
i
i

 d i 
 Problem: The deviations measure
different things, so what does this
objective represent?
 Minimize the sum of percentage deviations
1 
MIN  di  di 
i ti
where ti represents the target value of goal i
 GP Objective Functions (cont’d)
 Weights can be used in the previous objectives to
allow the decision maker indicate
– desirable vs. undesirable deviations
– the relative importance of various goals
 Minimize the weighted sum of deviations
MIN  wi
i

d i  wi d i 

 Minimize the weighted sum of %

1
 wi di  widi 
deviations
i ti
MIN
 Defining the Objective
 Assume
– It is undesirable to underachieve any of the first three
room goals
– It is undesirable to overachieve or underachieve the
25,000 sq ft expansion goal
– It is undesirable to overachieve the $1,000,000 total
cost goal

+++++

Initially, we will assume all the above weights equal

1.
LP Model

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Implementing the Model
See file Fig7-1.xlsm
Summary of Goal Programming
1. Identify the decision variables in the problem.
2. Identify any hard constraints in the problem and formulate
them in the usual way.
3. State the goals of the problem along with their target
values.
4. Create constraints using the decision variables that would
achieve the goals exactly.
5. Transform the above constraints into goal constraints by
including deviational variables.
6. Determine which deviational variables represent
undesirable deviations from the goals.
7. Formulate an objective that penalizes the undesirable
deviations.
8. Identify appropriate weights for the objective.
9. Solve the problem.
10. Inspect the solution to the problem. If the solution is
unacceptable, return to step 8 and revise the weights as needed.
In-class exercise #1

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Part 2 Multiple Objective
Optimization
 3BL: The Triple Bottom Line
The idea that decisions should consider
– Profit
– People
– Planet

This requires a ‘multiple objective’ perspective

Trade-offs
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Multiple Objective Linear Programming
(MOLP)
 An MOLP problem is an LP problem with
more than one objective function.
 MOLP problems can be viewed as special
types of GP problems where we must also
determine target values for each goal or
objective.
 Analyzing these problems effectively requires
the usage of the MiniMax objective.
 An MOLP Example:
The Blackstone Mining Company

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 An MOLP Example:
The Blackstone Mining Company

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 An MOLP Example:
The Blackstone Mining Company
 Blackstone Mining runs 2 coal mines in Southwest
Virginia.
 Monthly production by a shift of workers at each mine is
summarized as follows:
Type of Coal Wythe Mine Giles Mine
High-grade 12 tons 4 tons
Medium-grade 4 tons 4 tons
Low-grade 10 tons 20 tons
Cost per month $40,000 $32,000
Gallons of toxic water produced 800 1,250
Life-threatening accidents 0.20 0.45

 Blackstone needs to produce 48 more tons of

high-grade, 28 more tons of medium-grade, and
100 more tons of low-grade coal.
 Defining the Decision Variables

X1 = number of months to schedule an extra

shift at the Wythe county mine

X2 = number of months to schedule an extra

shift at the Giles county mine
 Defining the Objective
 There are three objectives:
Min: $40 X1 + $32 X2 } Production costs
Min: 800 X1 + 1250 X2 } Toxic water
Min: 0.20 X1 + 0.45 X2 } Accidents
 Defining the Constraints

 High-grade coal required

12 X1 + 4 X2 >= 48
 Medium-grade coal required
4 X1 + 4 X2 >= 28
 Low-grade coal required
10 X1 + 20 X2 >= 100
 Nonnegativity conditions
X1, X2 >= 0
 Handling Multiple Objectives
 If the objectives had target values we could treat
them like the following goals:
Goal 1: The total production cost should be
approximately t1.
Goal 2: The amount of toxic water produce should
be approximately t2.
Goal 3: The number of life-threatening accidents
should be approximately t3.
 We can solve 3 separate LP problems,
independently optimizing each objective, to find
values for t1, t2 and t3.
Implementing the Model
See file Fig7-8.xlsm
X2 Summarizing the Solutions
12

11 • 12 X1 + 4 X2 >= 48
10 • 4 X1 + 4 X2 >= 28
9
• 10 X1 + 20 X2 >= 100
8
• X1, X2 >= 0
7

0
31
0 1 2 3 4 5 6 7 8 9 10 11 12 X1
X2 Summarizing the Solutions
12

11 • 12 X1 + 4 X2 >= 48
10 • 4 X1 + 4 X2 >= 28
9
• 10 X1 + 20 X2 >= 100
8
• X1, X2 >= 0
7

5 (2.5,4.5)
4
(4,3)
3

0
32
0 1 2 3 4 5 6 7 8 9 10 11 12 X1
Summarizing the Solutions
X2
12
11
10
Feasible Region
9
8
7
6 Solution 1
5 (minimum production cost)
Solution 2
4
(minimum toxic water)
3
2
Solution 3
1
(minimum accidents)
0
0 1 2 3 4 5 6 7 8 9 10 11 12 X1
Solution X1 X2 Cost Toxic Water Accidents
1 2.5 4.5 $244 7,625 2.53
2 4.0 3.0 $256 6,950 2.15
3 10.0 0.0 $400 8,000 2.00
 Defining The Goals
 Goal 1: The total cost of productions cost
should be approximately $244.
 Goal 2: The gallons of toxic water produce
should be approximately 6,950.
 Goal 3: The number of life-threatening
accidents should be approximately 2.0.

 (MIN Obj.) Percentage (%) deviation =

 Defining an Objective
 We can minimize the sum of % deviations
as follows:
 40X1  32 X 2   244   800X1  1250X 2   6950   0.20X1  0.45X 2   2
MIN: w1    w2 
 
  w3
 


 244   6950   2 

 It can be shown that this is just a

linear combination of the decision
variables.
 As a result, this objective will only
generate solutions at corner points
of the feasible region (no matter what
weights are used; LP problem with linear constraints and a
 Defining a Better Objective
MIN: Q
Subject to the additional constraints:

 40X1  32 X 2   244 
w1   Q

 244 
 800X1  1250X 2   6950 
w 2   Q

 6950 
 0.20X1  0.45X 2   2
w 3   Q

 2 
 MIN: the max. of {w1(~), w2(~), w3(~)}
 This objective will allow the decision maker to
explore non-corner point solutions of the
feasible region.
Implementing the Model
See file Fig7-14.xlsm
Possible MiniMax Solutions
X2
12

11
Feasible Region
10

6
w1=10, w2=1, w3=1, x1=3.08, x2=3.92
5

4
w1=1, w2=10, w3=1, x1=4.23, x2=2.88
3

1
w1=1, w2=1, w3=10, x1=7.14, x2=1.43
0
0 1 2 3 4 5 6 7 8 9 10 11 12 X1
 Comments About MOLP
 Solutions obtained using the MiniMax objective
are Pareto Optimal.
 Deviational variables and the MiniMax objective
are also useful in a variety of situations not
involving MOLP or GP.
 For minimization objectives the percentage
deviation is: (actual - target)/target
 For maximization objectives the percentage
deviation is: (target - actual)/target
 If a target value is zero, use the weighted
deviations rather than weighted % deviations.
 Summary of MOLP
1. Identify the decision variables in the problem.
2. Identify the objectives in the problem and formulate them as
usual.
3. Identify the constraints in the problem and formulate them
as usual.
4. Solve the problem once for each of the objectives identified
in step 2 to determine the optimal value of each objective.
5. Restate the objectives as goals using the optimal objective
values identified in step 4 as the target values.
6. For each goal, create a deviation function that measures the
amount by which any given solution fails to meet the goal
(either as an absolute or a percentage).
7. For each of the functions identified in step 6, assign a weight
to the function and create a constraint that requires the value
of the weighted deviation function to be less than the
MINIMAX variable Q.
8. Solve the resulting problem with the objective of minimizing
Q.
In-class exercise #2

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