Linear

Programming

Copyright © 2015 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
You should be able to:
LO 19.1 Describe the type of problem that would lend itself to solution
using linear programming
LO 19.2 Formulate a linear programming model from a description of a
problem
LO 19.3 Solve simple linear programming problems using the graphical
method
LO 19.4 Interpret computer solutions of linear programming problems
LO 19.5 Do sensitivity analysis on the solution of a linear programming
problem

19-2
  LP
 A powerful quantitative tool used by operations and
other manages to obtain optimal solutions to problems
that involve restrictions or limitations
 Applications include:
 Establishing locations for emergency equipment and personnel
to minimize response time
 Developing optimal production schedules
 Developing financial plans
 Determining optimal diet plans

19-3
LO 19.1
  LP Models
 Mathematical representations of constrained optimization
problems
 LP Model Components:
 Objective function
 A mathematical statement of profit (or cost, etc.) for a given solution
 Decision variables
 Amounts of either inputs or outputs
 Constraints
 Limitations that restrict the available alternatives
 Parameters
 Numerical constants

19-4
LO 19.1
  In order for LP models to be used effectively, certain
assumptions must be satisfied:
 Linearity
 The impact of decision variables is linear in constraints and in
the objective function
 Divisibility
 Noninteger values of decision variables are acceptable
 Certainty
 Values of parameters are known and constant
 Nonnegativity
 Negative values of decision variables are unacceptable

19-5
LO 19.1
 1. List and define the decision variables (D.V.)
 These typically represent quantities
2. State the objective function (O.F.)
 It includes every D.V. in the model and its contribution to profit (or cost)
3. List the constraints
 Right hand side value
 Relationship symbol (≤, ≥, or =)
 Left Hand Side
 The variables subject to the constraint, and their coefficients that
indicate how much of the RHS quantity one unit of the D.V. represents
4. Non-negativity constraints

19-6
LO 19.2
  x1  Quantity of product 1 to produce

Decision Variables  x2  Quantity of product 2 to produce
 x  Quantity of product 3 to produce
 3
Maximize 5 x1  8 x2  4 x3 (profit) (Objective function)

Subject to
Labor 2 x1  4 x2  8 x3  250 hours (Constraints)

Material 7 x1  6 x2  5 x3  100 pounds

Product 1 x1  10 units
x1 , x2 , x3  0 (Nonnegativity constraints)

19-7
LO 19.2
  Graphical LP
 A method for finding optimal solutions to two-variable problems
 Procedure
1. Set up the objective function and the constraints in
mathematical format
2. Plot the constraints
3. Identify the feasible solution space
 The set of all feasible combinations of decision variables as defined
by the constraints
4. Plot the objective function
5. Determine the optimal solution

19-8
LO 19.3
  x1  quantity of type 1 to produce
Decision Variables 
 x2  quantity of type 2 to produce
Maximize 60 x1  50 x2
Subject to
Assembly 4 x1  10 x2  100 hours
Inspection 2 x1  1x2  22 hours
Storage 3x1  3x2  39 cubic feet
x1 , x2  0

19-9
LO 19.3
  Plotting constraints:
 Begin by placing the nonnegativity constraints on a
graph

19-10
LO 19.3
  Plotting constraints:
1. Replace the inequality sign with an equal sign.
2. Determine where the line intersects each axis
3. Mark these intersection on the axes, and connect them with
a straight line
4. Indicate by shading, whether the inequality is greater than
or less than
5. Repeat steps 1 – 4 for each constraint

19-11
LO 19.3
 19-12
LO 19.3
 19-13
LO 19.3
 19-14
LO 19.3
 19-15
LO 19.3
  Feasible Solution Space
 The set of points that satisfy all constraints simultaneously

19-16
LO 19.3
  Plotting the objective function line
 This follows the same logic as plotting a constraint line
 There is no equal sign, so we simply set the objective function to
some quantity (profit or cost)
 The profit line can now be interpreted as an isoprofit line
 Every point on this line represents a combination of the decision
variables that result in the same profit (in this case, to the profit
you selected)

19-17
LO 19.3
 19-18
LO 19.3
  As we increase the value for the objective function:
 The isoprofit line moves further away from the origin
 The isoprofit lines are parallel

19-19
LO 19.3
  Where is the optimal solution?
 The optimal solution occurs at the furthest point (for a maximization
problem) from the origin the isoprofit can be moved and still be touching
the feasible solution space
 This optimum point will occur at the intersection of two constraints:
 Solve for the values of x1 and x2 where this occurs

19-20
LO 19.3
  Redundant constraints
 A constraint that does not form a unique boundary of
the feasible solution space
 Test:
 A constraint is redundant if its removal does not alter the
feasible solution space

19-21
LO 19.3
  The solution to any problem will occur at one of the
feasible solution space corner points
 Enumeration approach
 Determine the coordinates for each of the corner points of the
feasible solution space
 Corner points occur at the intersections of constraints
 Substitute the coordinates of each corner point into the objective
function
 The corner point with the maximum (or minimum, depending on
the objective) value is optimal

19-22
LO 19.3
  Binding Constraint
 If a constraint forms the optimal corner point of the feasible solution space,
it is binding
 It effectively limits the value of the objective function
 If the constraint could be relaxed, the objective function could be improved
 Surplus
 When the value of decision variables are substituted into a ≥ constraint the
amount by which the resulting value exceeds the right-hand side value
 Slack
 When the values of decision variables are substituted into a ≤ constraint,
the amount by which the resulting value is less than the right-hand side

19-23
LO 19.3
  MS Excel can be used to solve LP problems using
its Solver routine
 Enter the problem into a worksheet
 Where there is a zero in Figure 19.15, a formula was
entered
 Solver automatically places a value of zero after you input the
formula
 You must designate the cells where you want the optimal
values for the decision variables

19-24
LO 19.4
 19-25
LO 19.4
  In Excel 2010, click on Tools on the top of the worksheet,
and in that menu, click on Solver
 Begin by setting the Target Cell
 This is where you want the optimal objective function value to be
recorded
 Highlight Max (if the objective is to maximize)
 The changing cells are the cells where the optimal values of the
decision variables will appear

19-26
LO 19.4
  Add a constraint, by clicking add
 For each constraint, enter the cell that contains the left-hand side
for the constraint
 Select the appropriate relationship sign (≤, ≥, or =)
 Enter the RHS value or click on the cell containing the value
 Repeat the process for each system constraint

19-27
LO 19.4
  For the non-negativity constraints, check the checkbox to
Make Unconstrained Variables Non-Negative
 Select Simplex LP as the Solving Method
 Click Solve

19-28
LO 19.4
 19-29
LO 19.4
  The Solver Results menu will appear
 You will have one of two results
 A Solution
 In the Solver Results menu Reports box
 Highlight both Answer and Sensitivity
 Click OK
 An Error message
 Make corrections and click solve

19-30
LO 19.4
  Solver will incorporate the optimal values of the decision variables
and the objective function into your original layout on your
worksheets

19-31
LO 19.4
 19-32
LO 19.4
 19-33
LO 19.5
  Sensitivity Analysis
 Assessing the impact of potential changes to the
numerical values of an LP model
 Three types of changes
 Objective function coefficients
We will consider these
 Right-hand values of constraints
 Constraint coefficients

19-34
LO 19.5
  A change in the value of an O.F. coefficient can cause a
change in the optimal solution of a problem
 Not every change will result in a changed solution
 Range of Optimality
 The range of O.F. coefficient values for which the optimal values
of the decision variables will not change

19-35
LO 19.5
  Basic variables
 Decision variables whose optimal values are non-zero
 Non-basic variables
 Decision variables whose optimal values are zero
 Reduced cost
 Unless the non-basic variable’s coefficient increases by more
than its reduced cost, it will continue to be non-basic

19-36
LO 19.5
  Shadow price
 Amount by which the value of the objective function
would change with a one-unit change in the RHS value
of a constraint
 Range of feasibility
 Range of values for the RHS of a constraint over which the
shadow price remains the same

19-37
LO 19.5
  Non-binding constraints
 have shadow price values that are equal to zero
 have slack (≤ constraint) or surplus (≥ constraint)
 Changing the RHS value of a non-binding constraint (over its range
of feasibility) will have no effect on the optimal solution
 Binding constraint
 have shadow price values that are non-zero
 have no slack (≤ constraint) or surplus (≥ constraint)
 Changing the RHS value of a binding constraint will lead to a
change in the optimal decision values and to a change in the value
of the objective function

19-38
LO 19.5