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EEM2046 Engineering Mathematics IV Operations Research

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Operations Research


1.0 Introduction to Operations Research

- Operations research (commonly refer to as OR) uses scientific methods to
investigate the problems that concern how to conduct and coordinate the operations
within an organization.
- Various definitions have been given to describe operations research, among them
are:

Definition
Operations research is concerned with scientifically deciding how best to design
and operate man-machine system usually under conditions requiring the allocation
of scarce resources. OR Society of America

Definition
Operations Research is a scientific approach to problem solving for executive
management. HM Wagner

- The features of the definitions are:-
(a) OR is a decision making process by some scientific problem-solving
techniques
(b) It deals with optimizing the results
(c) The resources are limited
(d) Concerned with the practical management of the organization

- OR has given an impressive impact on improving the efficiency of numerous
organizations around the world. Some important applications are in the following
areas:
(a) Manufacturing/Production
Production planning and control, inventory management.
(b) Facilities Planning
Design of logistic system, factory/building location and size decisions,
transportation loading and unloading, planning warehouse locations,
inventory management.
(c) Accounting
Credit policy decisions, cash flow and fund flow planning.
(d) Construction Management
Allocation of resources to different projects in hand, workforce / labour
planning, project management (scheduling, monitoring and control).
(e) Financial management
Investment decision, portfolio management.
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(f) Marketing management
Product-mix decisions, advertisement/promotion budget decisions, launching
new product decision.
(e) Purchasing decision
Inventory management (optimal level of purchase), optimal re-ordering.
(f) Personnel management
Recruitment and selection of employees, designing training and development
programs, human resources planning.


1.1 Methodology of OR

- In general, the major phases of a typical OR study involves the following:
(a) Define the problem of interest and gather relevant data
- The process of problem definition is a crucial one because it greatly
affects how relevant the conclusions of the study will be.
- Data are needed both to gain an accurate understanding of the problem
and to provide the needed input for the mathematical model being
formulated in the next phase of study.
- If the data is not available when the study begins, a management
information system is required to collect the necessary data on an
ongoing basis and in the needed form.
- If there is too much data, locating the particularly relevant data and
identifying the interesting patterns in these data can become a difficult
task. One of the OR tools is a technique called data mining that
addresses this problem. Data mining methods search large databases
for interesting patterns that may lead to useful decisions.

(b) Formulate a mathematical model to represent the problem
- Mathematical model describes a problem in terms of variables and their
relationship. It helps to reveal important cause-and-effect relationship.
- Approximations and simplifying assumptions generally are required if
the model is to be tractable. Care must be taken to ensure that the model
remains a valid representation of the problem.

(c) Develop a computer-based procedure for deriving solutions to the problem
from the model
- A common practice in OR is the search for an optimal solution. These
solutions are optimal only with respect to the model being used, and are
valid only under these assumptions. An optimal solution for the
original model may be far from ideal for the real problem, so additional
analysis is needed. Therefore, postoptimality analysis (analysis done
after finding an optimal solution) is a very important part of most OR
studies. It involves addressing some questions about what would
happen to the optimal solution if different assumptions are made about
future conditions.
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(d) Test the model and refine it as needed.
- The first version of a large mathematical model inevitably contains
many flaws. Some relevant factors might not been incorporated into
the model. Before we use the model, it must be thoroughly tested to try
to identify and correct as many flaws as possible. This process of
testing and improving a model to increase its validity is commonly
referred to as model validation
- A systematic approach to test the model is to use a retrospective test.
This test involves using historical data to reconstruct the past and then
determining how well the model and the resulting solution would have
performed if they had been used.

(e) Implementing the solution
- Throughout the entire period during which the system is being used, it
is important to continue to obtain feedback on how well the system is
working and whether the assumptions of the model continue to be
satisfied.
- The application involves many behavioral aspects. Any gap between
the perception of the management and the approach of OR team must
be removed.


1.2 Tools of OR

- OR uses many tools/techniques for problem solving. Some of the tools of OR are
as discussed below:

(a) Linear Porgramming (LP)
In LP, the objective function and constraints must be linear. It is a
mathematical technique used to allocate limited resources among various
activities in an optimal manner.


(b) Queuing Theory
Queuing theory aims to minimize the overall cost due to servicing and
waiting. It concerns with the phenomenon of waiting in real life situations,
such as the queue in waiting to buy goods in a shop, patients waiting outside
an OPD, vehicles waiting to be serviced in a garage.

(c) Network Analysis Technique
Network is used to present the activities necessary to complete a project, such
as planning, scheduling, monitoring and control of large and complex projects.
The questions interested are in knowing the total project completion time,
probability that a project can be completed by a particular time, and the least
cost method of reducing the total project completion time.

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(d) Replacement Theory Model
It deals with the optimal time to replace the equipment or machinery, either
because there is deterioration in their efficiency or because new and better
equipment is available and the old one has become obsolete.

(e) Inventory control
How much of raw material should be purchased, when should it be purchased
and how much should be kept in stock. These are the common questions to
be answered in inventory control. Overstocking will result in locked capital
not available for other purposes, whereas understocking will mean stock-out
and idle manpower and machine resulting in reduced output. It is desirable to
have just the right amount of inventory at the right time.

(f) Integer programming
Integer programming deals with certain situations in which the variable
assumes non-negative integer (complete or whole number) values only

(g) Transportation problem
The transportation problem is basically a LP model. A typical transportation
problem is to find the minimum transportation cost for transporting the single
commodity from a number of sources to a number of destinations.

(i) Decision theory and games theory
Games theory is concerned with decision-making in a conflict situation where
two or more intelligent opponents try to optimize their own decision. The
games theory helps the decision maker to analyze the course of action
available to his opponent. In decision theory, we use decision tree which can
be graphically represented to solve the decisionmaking problems.

(j) Assignment problems
Assignment problems are problems of assigning a number of tasks to a
number of persons so that the cost is least.

(k) Markov Analysis
Markov analysis is used to predict future conditions based on the probability
theory. It assumes that the occurrence of a future state depends upon the
immediately preceding state and only on it.

(l) Simulation Techniques
When real life situations cannot be represented mathematically and cannot be
solved mathematically, certain assumptions are made and the models which
simulate the natural system are developed. In simulation model, the behavior
of the system is initiated over a period of time.



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2.0 Formulation of Mathematical Model

- The standard statement of a mathematical model in OR has the form

Minimize/Maximize ( ) x f (objective function)
subject to: x

with
(a) ( ) { } 0 x g x or : , , where ( ) x g are given functions (constrained
optimization problem), or
(b)
n
R (unconstrained optimization problem).

The vector ( )
T
n
x , , x , x K
2 1
x consists of the independent variables
n
x , , x , x K
2 1

which are called as the decision variables.

- Construction of mathematical model:

Step 1: Identify the decision variables.
Step 2: Identify the objective function.
Step 3: Identify the constraints.

















Variable-type constraints
- nonnegativity constraints: x
i
0
(when x
i
are nonnegative real numbers) .
- unrestricted in sign constraint: x
i
= .urs
(when x
i
takes all real values).
Main constraints
The constraints that specify the restrictions
and interactions, other than variable type
constraints.
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Example (Optimization in Operations Research)
Suppose that we wish to enclose a rectangular equipment yard by at most 80 meters of
fencing. Formulate an optimization model to find the design of maximum area.

Solution:
Set l = length of the equipment yard (in meters)
w = width of the equipment yard (in meters)

maximize A = lw (objective function)
subject to: 2l + 2w 80 (main constraints)
l, w 0 (variable-type constraints)


Example (Principles of Operations Research for Management)
A refuse incinerator is being planned to service four metropolitan areas. The relative
locations of the metropolitan areas are shown as follows, where coordinates are
expressed in kilometers. Environmental management officials wish to determine the
optimal location of the incinerator location that minimizes the sum of the squares of the
distances from the incinerator to each metropolitan area.



Solution:
Set x = the x-coordinate for the location of refuse incinerator
y = the y-coordinate for the location of refuse incinerator.

( ) ( ) ( ) ( )
( ) ( ) ( ) ( ) ( ) ( ) ( )
2 2 2 2
2 2 2 2
20 30 20 20
20 30 30 10 Minimize
+ + + +
+ + +
y x y x
y x y x s

subject to: x, y .urs


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Example (Optimization in Operations Research)
The state Department of Labor is considering the establishment of area job training
centers at up to 4 sites. The following table shows the land cost (in thousands of dollars)
of the 4 sites and indicates with an X the sites that could provide adequate service to each
of the five regions of the state.

Site
Region 1 2 3 4
Northwest X X - -
Southwest X X X -
Capital X - X X
Northeast X X - -
Southeast X - - X
Cost 200 40 55 75

The Department seeks a minimum total cost collection of sites that together could service
all five regions. Formulate an optimization model to decide what sites to build using
decision variables 1
i
y if site i is selected and 0
i
y otherwise.
Solution:
Set 1
i
y if site i is selected and 0
i
y otherwise, i = 1,2,3,4.
Minimize z = 200y
1
+ 40y
2
+ 55y
3
+ 75y
4

subject to: y
1
+ y
2
1
y
1
+ y
2
+ y
3
1
y
1
+ y
3
+ y
4
1
y
1
+ y
4
1
y
1
, y
2
, y
3
, y
4
= 0, 1.

Example The Chemical Problem (Lecture Notes Series: Engineering Mathematics
Volume 2)
A company produces two high quality chemical substances: I and II. Two raw materials,
A and B, are used to manufacture the chemical substances. The maximum availability of
raw material A is 6 tons a day, and that of raw material B is 8 tons a day. Each product
has different input requirements as shown below.

Tons of raw material per ton of chemical
substance
Maximum
availability
I II (tons)
Raw material A 1 2 6
Raw material B 2 1 8

The daily demand for chemical substance II wont exceed that of chemical
substance I by more than 1 ton. The maximum demand for chemical substance II is
limited to 2 tons daily. The price per ton is RM3000 for chemical substance I, and
RM2000 for chemical substance II. How much chemical substance I and II should the
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company produce daily to maximize the gross income? Model the above decision
problem.

Solution:

Set x
1
= tons of chemical substance I to be produced, and
x
2
= tons of chemical substance II to be produced











Example (Schaums series)
Universal Mines Inc. operates three mines in West Virginia. The ore from each mine is
separated into two grades before it is shipped; the daily production capacities of the
mines, as well as their daily operating costs, are as follows:

High-Grade Ore,
Tons/day
Low-Grade Ore,
Tons/day
Operating Cost
$1000/day
Mine I
Mine II
Mine III
4
6
1
4
4
6
20
22
18

Universal has committed itself to deliver 54 tons of high-grade ore and 65 tons of low-
grade ore by the end of the week. It also has labor contracts that guarantee employees in
each mine a full days pay for each day or fraction of a day the mine is open. Determine
the number of days each mine should be operated during the upcoming week if Universal
Mines is to fulfill its commitment at minimum cost.

Solution: Let x
1
, x
2
and x
3
, respectively, denote the numbers of days that mines I, II
and III will be operated during the upcoming weeks. The linear programming problem
can then be written as follows.

Minimize z = 20x
1
+ 22x
2
+ 18x
3

subject to: 4x
1
+ 6x
2
+ x
3
54
4x
1
+ 4x
2
+ 6x
3
65
x
1
7
x
2
7
x
3
7
x
1
, x
2
, x
3
0
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Example (Schaums series)
A 24-hour supermarket has the following minimal requirements for cashiers:

Period 1 2 3 4 5 6
Time of the day
(24-h clock)
3-7 7-11 11-15 15-19 19-23 23-3
Minimum No. 7 20 14 20 10 5

Period 1 follows immediately after period 6. A cashier works eight consecutive hours,
starting at the beginning of one of the six periods. Determine a daily employee worksheet
that satisfies the requirements with the least number of personnel.
Solution:
Let x
i
(i=1,2,..,6) denote the number of cashiers beginning work at the start of period i.

Minimize z = x
1
+ x
2
+ x
3
+ x
4
+ x
5
+ x
6

subject to: x
1
+ x
6
7
x
1
+ x
2
20
x
2
+ x
3
14
x
3
+ x
4
20
x
4
+ x
5
10
x
5
+ x
6
5
with all variables nonnegative and integral.



Example (Introduction to Operations Research)
The DISTRIBUTION UNLIMITED CO. will be producing the same new product at two
different factories, and then the product must be shipped to two warehouses, where either
factory can supply either warehouse. The distribution network available for shipping this
product is shown below, where F1 and F2 are the two factories, W1 and W2 are the two
warehouses, and DC is a distribution center. The amounts to be shipped from F1 and F2
are shown to their left, and the amounts to be received at W1 and W2 are shown to their
right. Each arrow represents a feasible shipping lane. Thus F1 can ship directly to W1
and has three possible routes(F1 DC W2, F1 F2 DC W2, and F1 W1
W2) for shipping to W2. Factory F2 has just one route to W2 (F2 DC W2) and
one to W1 (F2 DC W2 W1). The cost per unit shipped through each shipping
lane is shown next to the arrow. Also shown next to F1 F2 and DC W2 are the
maximum amounts that can be shipped through these lanes. The other lanes have
sufficient shipping capacity to handle everything these factories can send.

The decision to be made concerns how much to ship through each shipping lane. The
objective is to minimize the total shipping cost.

Formulate the above problem as a linear programming problem.


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Solution:



















- The remainder of the discussion focuses primarily on solving mathematical models.
Anyway, this constitutes only a portion of the overall process involved in
conducting a typical OR study. The other phases described above also are very
important to the success of the study.
- Our discussion would focus on:
- Linear Programming
- Dynamic Programming
- Combinatorial Optimization

W1
F1
DC
F2
W2
$900/unit
30 units needed
60 units needed
$300/unit
$200/unit
50 units
produced
40 units
produced
80 units max.
$400/unit
$100/unit
$300/unit
$200/unit
10 units max.
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3.0 Linear Programming (LP)

- General LP model

Minimize/Maximize z = f(x
1
,

x
2
, , x
n
) *objective function
subject to: g
1
(x
1
,

x
2
, , x
n
) , or = b
1
* constraints
g
2
(x
1
,

x
2
, , x
n
) , or = b
2

M
g
m
(x
1
,

x
2
, , x
n
) , or = b
m

with f(x
1
,

x
2
, , x
n
) and each g
i
(x
1
,

x
2
, , x
n
), i = 1,2,,m must be linear
functions.
- Majority of optimization problems actually encountered in engineering and
management practice cannot be modeled straightforwardly as linear programs.
They involve discrete, nonlinear and multiobjective elements that have to be
confronted.


3.1 Solving LP using Graphical Method

Definition
(i) A feasible point is any point that satisfies all constraints. The feasible region/
feasible set is the set of all feasible points.
(ii) The optimal solution is a point in the feasible region that gives the largest
(smallest) objective function value in the maximization (minimization) problem.
(iii) The optimal valueis the objective function value of any optimal solution.


The Graphical Method

Step 1: Find the feasible region

Step 2: Graph the objective function

Step 3: Identify the optimal solution & the optimal value

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Example: Solve the Chemical problem by using graphical method. (LNS*)

Solution:



















*Lecture Notes Series: Engineering Mathematics Volume 2, Prentice Hall.

3.1.1 Special Cases

Unique solution vs. alternative optimal solutions
Unique optimal solution: when the optimal value contour intersects the feasible set at
exactly one point.
Otherwise, the model has alternative optimal solutions.

Example:












x
1
x
2
Alternative
optimal
x
1

x
2

x
1
x
2
Unique
optimal solution
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Infeasible model
- When the constraints cannot be satisfied simultaneously.











Unbounded Solutions
- If the objective function can be improved without limit in an unbounded feasible
region.












3.2 Solving LP using Simplex Method

- The problem must be put in the standard linear programming form.
- Standard LP form has the following properties:













x
1
x
2
x
1
(i) All the main constraints are equations with the right-hand sides
must be positive.
(ii) All variables are nonnegative.
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(i) All the main constraints are equations with the right-hand sides must be
positive.

Constraint of the type
- A constraint of the type can be converted to an equation by adding a
slack variable to the left-hand sides of the constraint.
- If the right-hand sides of the constraint represent the limit on the
availability of a resource, then the slack variable gives the amount of the
unused resource in the constraint.

Example: Constraint x
1
+ 4x
2
4
can be converted to equation x
1
+ 4x
2
+ s
1
= 4, s
1
0.

Constraint of the type
- A constraint of the type can be converted to an equation by subtracting a
surplus variable to the left-hand sides of the constraint.
- If the constraint of the type set the minimum specification requirements,
then surplus represents the excess of the left-hand sides over the minimum
requirement.

Example: Constraint 3x
1
2x
2
6
can be converted to the equation 3x
1
2x
2
s
2
= 6, s
2
0.



(ii) All variables are nonnegative.
- An unrestricted variable (.urs) y
i
can be expressed in terms of two
nonnegative variables by using the substitution
. 0 , ,
+ +
i i i i i
y y y y y

- A purely negative variable y
i
can be expressed in standard form with the
substitution
. 0 ,

i i i
y y y

The above substitutions affect all constraints and the objective function.


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Example: Construct the standard LP form for the following LP.
Maximize z = x
1
+ 2x
2

subject to: x
1
+ x
2
6
3x
1
+ 2x
2
8
x
1
+ 4x
2
= 1
x
1,
x
2
0

Solution:












Example: Model the following problem into the LP standard form
Minimize z = 2x
1
+ 3x
2

subject to: x
1
+ 2x
2
= 10
2x
1
+ 3x
2
5
7x
1
+ 4x
2
6
x
1
.urs,

x
2
0


Solution: Set
+

1 1 1
x x x . By adding the slack and surplus variables, we have:
Minimize z =
2 1 1
3 2 2 x x x +
+

subject to:

. s , s , x , x , x
s x x x
s x x x
x x x
0
6 4 7 7
5 3 2 2
10 2
3 2 2 1 1
3 2 1 1
2 2 1 1
2 1 1


+ + +
+
+
+
+
+



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The Background Theory of Simplex Method

Consider a LP in its standard form with n the no. of the variables, m the no. of main
constraints (m < n) and Px = b the set of main constraints.

Minimize/Maximize z = c
T
x
subject to: Px = b


x 0,

where c, x
n
R , b
m
R , P
n m
R , m < n and rank P = m. Assume that b 0 and vector
x inclusive of the decision variables and any newly introduced variables.


Minimize/Maximize z = c
T
x
subject to: Px = b


x 0.




Set x =( )
T T T
B
,0 x
(rearrange x so that the variables that
we are interested appeared first.)























m variables that are set as
T
B
x ,
are known as basic variables.

(n m) variables that are set as
T
0 ,
are known as non basic variables.
Solve B x
B
= b,

P = (B, D), B and D correspond to the basic
variables and the nonbasic variables, respectively.
Basic solution:
x
B
= B
1
b with the nonbasic variables equal zeros.
If the basic solution 0, it is called
basic feasible solution.
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Example: Consider the following LP problem:
Minimize z
subject to : x
1
+ 2x
2
10
x
1
+ 5x
2
/4 5
x
1,
x
2
0
The standard LP form is:
Minimize z
subject to : x
1
+ 2x
2
+ s
1
= 10
x
1
+ 5x
2
/4 + s
2
= 5
x
1,
x
2
, s
1
, s
2
0

Thus, we have m = 2, n = 4 with Px = b is
x
1
+ 2x
2
+ s
1
= 10
x
1
+ 5x
2
/4 + s
2
= 5

The graph of the feasible region is

Case 1: basic feasible solution
Nonbasic variables: s
1
, s
2
= 0.
Equations: x
1
+ 2x
2
= 10
x
1
+ 5x
2
/4 = 5
Solution: x
1
= 10/13, x
2
= 4 8/13 (unique solution).
Status: basic feasible solutions as all variables > 0.
Vertex: Point A (extreme point of the feasible region).

Case 2: basic infeasible solution
Nonbasic variables: x
2
, s
2
= 0.
Equations: x
1
+ s
1
= 10
x
1
= 5
Solution: x
1
= 5, s
1
= 15 (unique solution).
Status: basic infeasible solutions as the variable x
1
< 0.

Vertex: Point B (infeasible region).
x
1

x
2

A
B
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Case 3: Nonbasic solution
Consider the solution x
1
= 5, x
2
= 0, s
1
= 5 and s
2
= 10.
Although it satisfies Px = b, but it is a nonbasic solution as we only
have one variable set to 0. Note that it does not refer to any
extreme point of the feasible region.

Definition
Consider a LP in its standard form with n the number of variables, m the no. of main
constraints (m < n) and Px = b the set of main constraints.
(a) A basic solution to Px = b is obtained by setting n m variables equal to 0 and then
solving the m equations for the m variables, provided that the resulting solution exists
and is unique.
(b) If all the variables of the basic solution are nonnegative, it is then known as basic
feasible solution. Otherwise, it is basic infeasible solution.
(c) The variables fixed at zero are called nonbasic and the ones obtained by solving the
equations are called basic.
(d) The leaving variable is the variable that is going to change its status from basic to
nonbasic.
(e) The entering variable is the variable that is going to change its status from nonbasic
to basic.

Theorem
The optimal solution to the linear programming problem
Maximize z = c
T
x, subject to { } 0 x b x x , P ,
when finite, must occur at an extreme point of its feasible set .

Theorem Optimal solution
A point x is an extreme point of the convex set if and only if x is a basic feasible
solution to Px = b, x 0.

- The theorem guarantees that an optimal solution can be found by searching through
the basic feasible solutions. Since the standard LP form includes m linear equations
with n unknown, we have to divide the n variables into two groups:
(1) n m variables are nonbasic variables which we assign zero values; and
(2) the remaining m variables are basic variables, its unique values are obtained by
solving the equations simultaneously.
The resulting values give the basic solution. If the basic solution satisfies the
nonnegativity constraints, then it is a basic feasible solution (correspond to one of
the extreme point of the feasible region). In the attempt to improve the objective
value, we identify one entering variable and one leaving variable so that a new
basic feasible solution can be obtained (move to an adjacent basic feasible solution
with better objective value). This process is repeated until the optimum reached.

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Simplex Algorithm
Step 1: Convert the problem into the standard LP form
Step 2: Construct the simplex tableau
Step 3: Identify the entering and the leaving variables
Step 4: Perform Gauss-Jordan elimination to obtain the new tableau.
Step 5: If tableau is optimal, then output optimal solution and optimal value. Otherwise,
repeat steps 3 and 4 until optimal stage reached.

- The process of selecting the leaving variable and entering variable is stated in the
optimality condition and feasibility condition.

Optimality condition
The entering variable in maximization (minimization) is the nonbasic variable with the
most negative (positive) coefficient in the objective z-equation. The optimal stage is
reached when all the nonbasic coefficients in the z-equation are nonnegative
(nonpositive).

Feasibility condition
For both maximization and minimization problems, the leaving variable is the current
basic variable associate with the smallest nonnegative ratio (element in Solution column
corresponding element in entering column).

Example: Solve the following Chemical problem by using the simplex algorithm.
(Lecture Notes Series: Engineering Mathematics Volume .)

Maximize z = 3x
1
+ 2x
2
(in $1000 unit)
subject to : x
1
+ 2x
2
6 (1)
2x
1
+ x
2
8 (2)
x
1
+ x
2
1 (3)
x
2
2 (4)
x
1
0, x
2
0

Solution:
Step 1: Convert the problem into the standard LP form












EEM2046 Engineering Mathematics IV Operations Research
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Step 2: Construct the simplex tableau
Iteration 0:
Basic z x
1
x
2
s
1
s
2
s
3
s
4
Solution Ratio
z 1 3 2 0 0 0 0 0
s
1
0 1 2 1 0 0 0 6
s
2
0 2 1 0 1 0 0 8
s
3
0 1 1 0 0 1 0 1
s
4
0 0 1 0 0 0 1 2
The basic feasible solution is:

Step 3: Identify the entering and the leaving variables
The entering variable is
The leaving variable is

The row of the leaving variable is known as the pivot equation.
The column for the entering variable is known as the entering column.
The intersection element of the entering column and the pivot equation is
known as the pivot element.

Step 4: Perform the Gauss-Jordan elimination to obtain the new tableau.
We need to re-express the simplex tableau such that the entering column has all
zero entries, except for the pivot element, which must be unity. This can be
accomplished through a series elementary row operations, generalized as follows:

1. For the pivot equation:
new pivot equation = old pivot equation pivot element
2. For all other equations:
new equation = old equation
(its entering column coefficient) (new pivot equation)

To transform the Iteration 0 tableau, the relevant row operations are therefore:
1. For pivot equation, r
3
: r
3
= r
3
/2
2. For z-equation, r
1
: r
1
= r
1
(3) r
3

3. For s
1
-equation, r
2
: r
2
= r
2
(1) r
3

4. For s
3
-equation, r
4
: r
4
= r
4
(1) r
3

5. For s
4
-equation, r
5
: r
5
= r
5


Iteration 1:
Basic z x
1
x
2
s
1
s
2
s
3
s
4
Solution Ratio
z 1 0 1/2 0 3/2 0 0 12
s
1
0 0 3/2 1 1/2 0 0 2
x
1
0 1 1/2 0 1/2 0 0 4
s
3
0 0 3/2 0 1/2 1 0 5
s
4
0 0 1 0 0 0 1 2
The basic feasible solution is
EEM2046 Engineering Mathematics IV Operations Research
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Step 5: The tableau is not yet optimal since the z-equation still has negative coefficients.
Repeat Step 3 and Step 4.

From the tableau above, the entering variable is
and the leaving variable is

The elementary row operations involved are as follows:
1. For pivot equation, r
2
: r
2
= r
2
/(3/2)
2. For z-equation, r
1
: r
1
= r
1
(1/2) r
2

3. For x
1
-equation, r
2
: r
3
= r
3
(1/2) r
2

4. For s
3
-equation, r
4
: r
4
= r
4
(3/2) r
2

5. For s
4
-equation, r
5
: r
5
= r
5
r
2


Iteration 2:
Basic z x
1
x
2
s
1
s
2
s
3
s
4
Solution
z 1 0 0 1/3
3
1
1
0 0
3
2
12
x
2
0 0 1 2/3 1/3 0 0
3
1
1
x
1
0 1 0 1/3 2/3 0 0
3
1
3
s
3
0 0 0 1 1 1 0 3
s
4
0 0 0 2/3 1/3 0 1 2/3

The last tableau is optimal because none of the nonbasic variables have a negative
coefficient in the z-equation.
Hence the optimal solution is _________________ and the optimal value is ____.

Example: Solve the following LP problem.
Maximize z = x
1
+ 4x
2
+ 5x
3

subject to : 3x
1
+ 6x
2
+ 3x
3
22
x
1
+ 2x
2
+ 3x
3
14
3x
1
+ 2x
2
14
x
1
, x
2
, x
3
0

Solution:
The standard LP form is
Maximize z = x
1
+ 4x
2
+ 5x
3

subject to : 3x
1
+ 6x
2
+ 3x
3
+ s
1
= 22
x
1
+ 2x
2
+ 3x
3
+ s
2
= 14
3x
1
+ 2x
2
+ s
3
= 14
x
1
, x
2
, x
3
, s
1
, s
2
, s
3
0

Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution Intercept ratio
z 1 1 4 5 0 0 0 0
s
1
0 3 6 3 1 0 0 22 22/3
s
2
0 1 2 3 0 1 0 14 14/3 (min)
s
3
0 3 2 0 0 0 1 14 -
EEM2046 Engineering Mathematics IV Operations Research
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The elementary row operations involved are as follows:
1. For pivot equation, r
3
: r
3
= r
3
/3
2. For z-equation, r
1
: r
1
= r
1
(5) r
3

3. For s
1
-equation, r
2
: r
2
= r
2
(3) r
3

4. For s
3
-equation, r
4
: r
4
= r
4


Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution Intercept ratio
z 1 2/3 2/3 0 0 5/3 0 70/3
s
1
0 2 4 0 1 1 0 8 8/4 = 2 (min)
x
3
0 1/3 2/3 1 0 1/3 0 14/3 (14/3)/(2/3)=7
s
3
0 3 2 0 0 0 1 14 14/2=7

The elementary row operations involved are as follows:
1. For pivot equation, r
2
: r
2
= r
2
/4
2. For z-equation, r
1
: r
1
= r
1
(2/3) r
2

3. For x
3
-equation, r
3
: r
3
= r
3
(2/3) r
2

4. For s
3
-equation, r
4
: r
4
= r
4
2 r


Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution
z 1 1 0 0 1/6 3/2 0 74/3
x
2
0 1/2 1 0 1/4 1/4 0 2
x
3
0 0 0 1 1/6 1/2 0 10/3
s
3
0 2 0 0 1/2 1/2 1 10

Since all the objective coefficients are nonnegative, the optimal reached.
The optimal solution is: x
1
= 0, x
2
= 2, x
3
= 10/3.
The optimal value is z = 74/3.


3.2.1 Special cases

1. When there is no leaving variable :- Unbounded solutions
The situation occurs when the coefficient for the denominator of the intercept ratios
are either zero or negative.

Example: Consider a maximization problem.
Iteration 0:
Basic z x
1
x
2
s
1
s
2
Solution Intercept ratio
z 1 4 2 0 0 0
s
1
0 2 2 1 0 14 14/2 = 7(min)
s
2
0 1 3 0 1 9 9 / 1 = 9

EEM2046 Engineering Mathematics IV Operations Research
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Iteration 1:
Basic z x
1
x
2
s
1
s
2
Solution Intercept ratio
z 1 0 6 2 0 28
x
1
0 1 1 1/2 0 7 Negative value
s
1
0 0 2 1/2 1 2 Negative value

x
2
can be taken as the entering variable, but the intercept ratios all carry negative
values; the feasible region is unbounded and the optimal value can be improved
infinitely.




2. When zero appears in the column of a nonbasic variable in the z-row of the optimal
tableau :- Multiple optimal solution / Alternative optimal solutions

Example: Consider a maximization problem
Iteration 0:
Basic z x
1
x
2
s
1
s
2
s
3
s
4
Solution Intercept ratio
z 1 8 4 0 0 0 0 0
s
1
0 2 1 1 0 0 0 180 180 / 2 = 90
s
2
0 1 2 0 1 0 0 160 160 / 1 = 160
s
3
0 5/11 5/11 0 0 1 0 50 50 / (5/11) = 550/5
s
4
0 1/4 1/4 0 0 0 1 50 50 / (1/4) = 200

Iteration 1:
Basic z x
1
x
2
s
1
s
2
s
3
s
4
Solution Intercept ratio
z 1 0 0 4 0 0 0 720
x
1
0 1 1/2 0 0 0 90 90 / (1/2) = 180
s
2
0 0 3/2 1/2 1 0 0 70 70 / (3/2) = 140/3
s
3
0 0 5/22 5/22 0 1 0 100/11 (100/11) / (5/22) = 40
s
4
0 0 1/8 1/8 0 0 1 55/2 (55/2) / (1/8) = 220

- The above tableau is the optimal one, with the optimal solution as x
1
=90, x
2
= 0.
- The z-row coefficient of the nonbasic variable x
2
is zero, indicating that x
2
can enter
as the basic solution without changing the value of z.

Iteration 2:
Basic z x
1
x
2
s
1
s
2
s
3
s
4
Solution
z 1 0 0 4 0 0 0 720
x
1
0 1 0 1 0 11/5 0 70
s
2
0 0 0 2 1 33/5 0 10
x
2
0 0 1 1 0 22/5 0 40
s
4
0 0 0 0 0 11/20 1 45/2

EEM2046 Engineering Mathematics IV Operations Research
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- This is again another optimal tableau with different optimal solution, x
1
= 70, x
2
=
40.
Thus any point on the line segment joining these two extreme points will also be
optimal:
x
1
= 90 20t and x
2
= 40t with 0 t 1.



3. Tie for the leaving basic variable: Degeneracy

- When there occurs a tie in choosing the leaving variable, then one or more basic
variables may become zero in the next iteration. A basic variable with value zero is
called degenerate.
- Degeneracy implies that there is a possibility that the same BFS is encountered
more than once. This may reveal that the LP model has cycling problem or
redundant constraints.

Cycling
- In cycling, we will loop among a set of basic feasible solutions without going to the
optimal solution.

Example: Consider a maximization problem
Iteration 0:
Basic z x
1
x
2
s
1
s
2
s
3
Solution
ratio
z 1 3 1 0 0 0 0
s
1
0 1
3
1

1 0 0 0 0 (tie)
s
2
0 1 1 0 1 0 0 0 (tie)
s
3
0 1 3 0 0 1 3

Iteration 1:
Basic z x
1
x
2
s
1
s
2
s
3
Solution
ratio
z 1 0 2 3 0 0 0
x
1
0 1
3
1
1 0 0 0 0 (tie)
s
2
0 0
3
2
1 1 0 0 0 (tie)
s
3
0 0
3
2
2 1 0 1 3

Iteration 2:
Basic z x
1
x
2
s
1
s
2
s
3
Solution
z 1 3 1 0 0 0 0
s
1
0 1
3
1

1 0 0 0
s
2
0 1 1 0 1 0 0
s
3
0 1 3 0 0 1 3
The tableau obtained is exactly the same as the initial tableau. The simplex method does
not lead to other extreme point with a better objective return.
EEM2046 Engineering Mathematics IV Operations Research
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Redundant Constraints
- At the extreme point of the redundant constraint, there would be more than one set
of nonbasic variables correspond to it. The simplex method would visit all these
sets of nonbasic variables before it moves to other point or before it finds that the
point is the optimal one.

Example: Consider a maximization problem.

Iteration 0:
Basic z x
1
x
2
s
1
s
2
s
3
Solution Intercept ratio
z 1 4 12 0 0 0 0
s
1
0 1 4 1 0 0 16 16 / 6 = 4(tie)
s
2
0 1 2 0 1 0 8 8/ 2 = 4 (tie)
s
3
0 2 1 0 0 1 6 6 / 1 = 6

Iteration 1:
Basic z x
1
x
2
s
1
s
2
s
3
Solution Intercept ratio
z 1 1 0 3 0 0 48
x
2
0 1/4 1 1/4 0 0 4
s
2
0 1/2 0 1/2 1 0 0 0 (min)
s
3
0 7/4 0 1/4 0 1 2

Iteration 2:
Basic z x
1
x
2
s
1
s
2
s
3
Solution
z 1 0 0 2 2 0 48
x
2
0 0 1 1/2 1/2 0 4
x
1
0 1 0 1 2 0 0
s
3
0 0 0 3/2 7/2 1 2

(*Note: The basic feasible solutions at iterations 1 and 2 refer to the same point,
which is the extreme point for the redundant constraint)

EEM2046 Engineering Mathematics IV Operations Research
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3.2.2 Matrix Representation of the Simplex Tableau

- In contrast to the step-by-step algorithm of Sect 3.2.1, an entire Simplex tableau
can actually be generated directly using a set of matrix formulae.
- Consider a representative LP problem:

Maximize z = c
T
x
subject to: Ax b
x 0

- At any iteration, the matrix representation of the simplex tableau is given by:

Basic z x

slack variables

Solution
z 1 c
B
T
B
1
A c
T
c
B
T
B
1
c
B
T
B
1
b
x
B
0 B
1
A

B
1
B
1
b

where c
T
is the row vector of original objective function coefficients,
A is the matrix of original LHS coefficients of the main constraints,
b is the column vector of the RHS of the main constraints,
x
B
is the column vector of basic variables for the current iteration,
c
B
T
is the row vector of original objective coefficients corresponding to x
B
,
B is the matrix of original LHS constraint coefficients corresponding to x
B.




Example: Refer to the following LP problem (the same problem as in p. 21) which has
been solved by simplex method.

Maximize z = x
1
+ 4x
2
+ 5x
3

subject to : 3x
1
+ 6x
2
+ 3x
3
22
x
1
+ 2x
2
+ 3x
3
14
3x
1
+ 2x
2
14
x
1
, x
2
, x
3
0

The standard LP form is
Maximize z = x
1
+ 4x
2
+ 5x
3

subject to : 3x
1
+ 6x
2
+ 3x
3
+ s
1
= 22
x
1
+ 2x
2
+ 3x
3
+ s
2
= 14
3x
1
+ 2x
2
+ s
3
= 14

x
1
, x
2
, x
3
, s
1
, s
2
, s
3
0


Applying simplex method, we have the followings:


EEM2046 Engineering Mathematics IV Operations Research
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Iteration 0:
Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution Intercept ratio
z 1 1 4 5 0 0 0 0
s
1
0 3 6 3 1 0 0 22 22/3
s
2
0 1 2 3 0 1 0 14 14/3 (min)
s
3
0 3 2 0 0 0 1 14 -

Iteration 1:
Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution Intercept ratio
z 1 2/3 2/3 0 0 5/3 0 70/3
s
1
0 2 4 0 1 1 0 8 8/4 = 2 (min)
x
3
0 1/3 2/3 1 0 1/3 0 14/3 (14/3)/(2/3)=7
s
3
0 3 2 0 0 0 1 14 14/2=7

Iteration 2:
Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution
z 1 1 0 0 1/6 3/2 0 74/3
x
2
0 1/2 1 0 1/4 1/4 0 2
x
3
0 0 0 1 1/6 1/2 0 10/3
s
3
0 2 0 0 1/2 1/2 1 10

The optimal solution is : x
1
= 0, x
2
= 2, x
3
= 10/3.
The optimal value is z = 74/3.

We could regenerate the table at iteration 1 as follows:

Since [ ]
T
B
s x s
3 3 1
x (the basic variables at iteration 1 must be known in advance),
we have
[ ], 0 5 0
T
B
c
1
1
1
]
1



1
1
1
]
1


1 0 0
0 0
0 1 1
1 0 0
0 3 0
0 3 1
3
1
1
B B

Thus, the z-row coefficients for the slack variables are:
[ ] [ ] 0 0
1 0 0
0 0
0 1 1
5 5 0
3
5
3
1
1

1
1
1
]
1

B
T
B
c





EEM2046 Engineering Mathematics IV Operations Research
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And the z-row coefficients for the decision variables x are:
[ ] [ ] . 0
3
2
3
2
5 4 1
0 2 3
3 2 1
3 6 3
0 0
3
5
1
1
]
1



1
1
1
]
1


T T
B
A B c c

The right-hand side values (i.e. entries under the Solution column) are:
[ ]
3
70
14
14
22
0 0
3
5
1

1
1
1
]
1

b c B
T
B
,
1
1
1
]
1

1
1
1
]
1

1
1
1
]
1




14
8
14
14
22

1 0 0
0 0
0 1 1
3
14
3
1
1
b x B
B


The left-hand side coefficients (i.e. entries below the z-row) for x

and the slack variables
are respectively:
1
1
1
]
1

1
1
1
]
1

1
1
1
]
1

0 2 3
1
0 4 2
0 2 3
3 2 1
3 6 3

1 0 0
0 0
0 1 1
3
2
3
1
3
1
1
A B and
1
1
1
]
1

1 0 0
0 0
0 1 1
3
1
1
B


3.3 The Primal and the Dual Problem

Every LP has associated with it another LP which is called as the dual.

When finding the dual of a given LP problem, we refer to the given LP as the primal
problem.

To find the dual for a primal, we assume that the primal is in the standard form, then
(i) A dual variable is defined for each of the m primal constraint equations.
(ii) A dual constraint is defined for each of the n primal variables.
(iii) The LHS coefficients of the i-th dual constraint equal the constraint
coefficients of the i-th primal variable. The right hand side of the dual
constraint equal the objective coefficient of the same primal variable.
(iv) The objective coefficients of the dual equal the right hand sides of the primal
constraint equations.
(v) Finally, the objective function type, the constraint type and the variable type
of the dual LP problem may be determined from the table below:

Primal problem Dual problem
Objective function Objective function Constraints type Variable sign
Maximization Minimization

.urs
Minimization Maximization

.urs




EEM2046 Engineering Mathematics IV Operations Research
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Example: Find the dual of the following primal problem.
Maximize w = 5x
1
+ 4x
2

subject to x
1
+ 3x
2
10
2x
1
+ 6x
2
12
5x
1
3x
2
10
2x
1
3x
2
15
x
1
, x
2
0.

Solution: Put into the standard LP form.
Maximize w = 5x
1
+ 4x
2

subject to x
1
+ 3x
2
+ s
1
= 10
2x
1
+ 6x
2
+ s
2
= 12
5x
1
3x
2
s
3
= 10
2x
1
3x
2
s
4
= 15
x
1
, x
2
, s
1
, s
2
, s
3
, s
4
0.
The dual is
Minimize z = 10y
1
+ 12y
2
+ 10y
3
+ 15y
4

subject to y
1
+ 2y
2
+ 5y
3
+ 2y
4
5
3y
1
+ 6y
2
3y
3
3y
4
4
y
1
0
y
2
0
y
3
0
y
4
0
y
1
, y
2
, y
3
, y
4
.urs.

Simplify it, we have the dual problem as

Minimize z = 10y
1
+ 12y
2
+ 10y
3
+ 15y
4

subject to y
1
+ 2y
2
+ 5y
3
+ 2y
4
5
3y
1
+ 6y
2
3y
3
3y
4
4
y
1
, y
2
0, y
3
, y
4
0


Example: Find the dual for the following primal LP problem,

Minimize w = 2x
1
+ x
2

subject to x
1
+ x
2
= 2
2x
1
x
2
3
x
1
x
2
1
x
1
0, x
2
.urs




EEM2046 Engineering Mathematics IV Operations Research
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Solution: Set
+

2 2 2
x x x . The standard LP form is
Minimize w =
+
+
2 2 1
2 x x x
subject to

. 0 , , , ,
1
3 2
2
3 2 2 2 1
3 2 2 1
2 2 2 1
2 2 1

+ +
+
+
+
+
+
+
s s x x x
s x x x
s x x x
x x x


The dual is
Maximize z = 2y
1
+ 3y
2
+ y
3

subject to y
1
+ 2y
2
+ y
3
2
y
1
y
2
y
3
1
y
1
+ y
2
+ y
3
1
y
2
0
y
3
0
y
1
, y
2
, y
3
.urs.

Simplify the above, the dual problem is
Maximize z = 2y
1
+ 3y
2
+ y
3

subject to y
1
+ 2y
2
+ y
3
2
y
1
y
2
y
3
= 1
y
1
.urs, y
2
0, y
3
0.


3.3.1 Relationship Between Primal and Dual Problem

Property I:
For any pair of feasible primal and dual solutions:

,
_

,
_

problem on minimizati
the in value Objective
problem on maximizati
the in value Objective

At the optimal stage:

,
_

,
_

problem on minimizati
the in value Objective
problem on maximizati
the in value Objective


EEM2046 Engineering Mathematics IV Operations Research
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Example:

Primal
Minimize w = 5x
1
+ 2x
2

subject to x
1
x
2
3
2 x
1
+ 3x
2
5
x
1,
x
2
0
Dual
Maximize z = 3 y
1
+ 5y
2

subject to y
1
+ 2 y
2
5
y
1
+ 3 y
2
2
y
1,
y
2
0

Primal Dual
Points Feasibility w Points Feasibility z
Estimation for
optimal value
(4,1) Yes 22 (1,0) Yes 3 3 optimal value 22
(3,0) Yes 15 (3,1) Yes 14 14 optimal value 15
(3,1) No (4,1) No
(3,0) Yes 15 (5,0) Yes 15 Optimal value = 15
Note: Points are chosen arbitrarily for illustration purpose only. Feasibility can be tested
by checking if the chosen points satisfy the given constraints.



Property II:

At the optimal stage, the dual variables will have the solution
y
T
=
T
B
c B
1
.

-
T
B
c and B
1
are elements from the matrix representation of the Simplex tableau,
their meanings explained in Sect. 3.2.2 (see p. 26).
- The expression
T
B
c B
1
corresponds exactly to the z-row entries below the slack
variables in the Simplex tableau. In other words, the optimal solution of the dual
variables is simply the slack variable coefficients of the primal LP at the
optimal stage.


Example: Consider the following problem:

Primal

Maximize z = x
1
+ 4x
2
+ 5x
3

subject to :
3x
1
+ 6x
2
+ 3x
3
22
x
1
+ 2x
2
+ 3x
3
14
3x
1
+ 2x
2
14

x
1
, x
2
, x
3
0

Dual

Minimize w = 22y
1
+ 14y
2
+ 14y
3

subject to :
3y
1
+ y
2
+ 3y
3
1
6y
1
+ 2y
2
+ 2y
3
4
3y
1
+ 3y
2
5

y
1,
y
2
, y
3
0.

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The optimal tableau for the primal problem is:

Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution
z 1 1 0 0 1/6 3/2 0 74/3
x
2
0 1/2 1 0 1/4 1/4 0 2
x
3
0 0 0 1 1/6 1/2 0 10/3
s
3
0 2 0 0 1/2 1/2 1 10

By Property II, the optimal solution of the dual variables can be easily obtained:
y
T
=
T
B
c B
1
= [ ] 0 2 / 3 6 / 1 ,
thus y
1
= 1/6, y
2
= 3/2 and y
3
= 0. Furthermore, by Property I, we may conclude that the
optimal value of the dual is w = 74/3.

Remarks
Because of the dual properties, it may be easier and simpler to solve a LP problem
vial its dual problem instead of solving its primal problem directly. Generally, the
number of the main constraints affects the computation effort of the simplex method
far more than the number of variables does. A dual problem with fewer constraints
than its primal can usually be solved in less simplex iterations compared to the
primal.


Economic interpretation of dual problem

Consider the primal and dual problem as follows:
Primal
0 x
b x
x c


: subject to
Maximize
A
z
T

where
c, x R
n
, b R
m
, A R
m n
.
Dual
0 y
c y
b y


: subject to
Minimize
T T
T
A
w

where
y, c R
n
, b R
m
, A R
m n
.

Suppose the objective of the primal problem is to maximize revenue, subject to the
availability of limited resources. Thus, we can think of z as representing profit dollars
( $ ).
By Property I, at the optimal stage we have
z = w = y
T
b =

m
i
i i
y b
1

Keeping in mind that b
i
represents the availability of resource i, the above can be
expressed dimensionally as
$ = (units of resource i) ($ / unit of resource i)
Thus, y
i
represents the $ amount that each unit of resource i contributes to the
profit z, also known as the dual price or shadow price. More formally, y
i
refers to
EEM2046 Engineering Mathematics IV Operations Research
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the $ amount by which the optimal z-value can be improved if the right hand side
of the ith constraint, b
i
, is increased by 1 unit.

Example:
Refer to the Chemical problem in p. 7 and its optimal simplex tableau in p. 21. By
Property II, the optimal solution for its dual variables y
1
and y
2
are
3
1
and
3
1
1 ,
respectively. This means that if the availability of raw material A is increased by 1 unit,
then the total profit will increase by RM(
3
1
1000). Similarly, incrementing the
availability of raw material B by 1 unit will contribute RM(
3
1
1 1000) to the total profit.
So if faced with a choice, raw material B should be given the priority for increase.


3.4 Sensitivity Analysis

Sensitivity analysis is a process to explore how changes in any parameter of a
problem would affect the optimal solution. In this section, we are going to investigate
the following cases:
(a) Changes in the coefficients of the objective function (marginal profit/cost)
(b) Changes in the right hand sides (resource availability)
(c) Addition of a new decision variable (new activity)

In general, sensitivity analysis utilizes the matrix representation of simplex tableau
presented in Sect. 3.2.2:
Basic z x

slack variables

Solution
z 1 y
T
A c
T
y
T
= c
B
T
B
1
y
T
b
x
B
0 B
1
A

B
1
B
1
b

For each change, we just need to re-compute the affected parts in the tableau.
Then we check if the new values satisfy the optimality condition (coefficients in the
z-row are all non-negative) and the feasibility condition (solution of basic variables
are all non-negative).

Throughout the whole section 3.4, the following problem (first appeared in p. 21)
would be used to demonstrate the idea of the sensitivity analysis. The original
mathematics model and the respective optimal table are restated here for reference.

Example: The Product Problem.
Let x
1
, x
2
and x
3
be the units of Product 1, 2 and 3 produced daily in tons, and let z
be the total daily income obtained by selling all these products. The LP is given as:

Maximize z = x
1
+ 4x
2
+ 5x
3

subject to : 3x
1
+ 6x
2
+ 3x
3
22 (raw material A)
x
1
+ 2x
2
+ 3x
3
14 (raw material B)
3x
1
+ 2x
2
14 (raw material C)
x
1
, x
2
, x
3
0
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By simplex method, the optimal tableau is:

Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution
z 1 1 0 0 1/6 3/2 0 74/3
x
2
0 1/2 1 0 1/4 1/4 0 2
x
3
0 0 0 1 1/6 1/2 0 10/3
s
3
0 2 0 0 1/2 1/2 1 10


(a) Changes in the Coefficients of the Objective Function

The changes just affect the entries in the z-row of the simplex tableau. Thus, may
alter the optimality of the problem.

If the objective coefficient of the basic variable x
j
is changed, then the vectors
T
c and
T
B
c would change. Let
T *
c be the new coefficients for the objective function, and
T
B
*
c
be the new objective coefficients for the optimal x
B
.

Step 1: Compute the new coefficients in the z-row:
y
*T
=
T
B
*
c B
-1
,
T T
A
* *
c y .

Basic z x

slack variables

Solution
z 1
T T
A
* *
c y

y
*T
=
T
B
*
c B
1
y
*T
b
x
B
0 B
1
A

B
1
B
1
b

Note, however, that if the variable x
j
is not a basic variable, then the vector
T
B
c and y
T
remain, we just need to calculate the values of
T T
A
*
c y .

Step 2: Two cases will result:
(i) The optimality condition is satisfied, the current optimal solution
remains with the new optimal value y
*T
b.
(ii) The optimality condition is not satisfied, simplex method must be
applied to recover optimality.


Example:
Identify the new optimal solution for the Product Problem if:
(a) the prices per ton for product 2 and product 3 are changed to 5 and 6 respectively.

(b) the price per ton for product 1 is changed to 2.5.

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Solution:
(a) From the original optimal tableau, [ ]
T
B
s x x
3 3 2
x . Thus [ ] 0 6 5
*

T
B
c , and we
have
[ ] [ ] 0 1
1
0
0
0 6 5
4
3
4
1
2
1
2
1
2
1
6
1
4
1
4
1
1 * *

1
1
1
]
1

B
T
B
T
c y .

As for the remaining z-row entries represented by y*
T
A c*
T
, we have
[ ] [ ] [ ]. 0 0 2 / 3 6 5 1
0 2 3
3 2 1
3 6 3
0 1
4
3
4
1
* *

1
1
1
]
1


T T
A c y

Since all the new z-row coefficients are nonnegative, the optimality condition is still
satisfied. The current optimal solution remains unchanged, but the new optimal
value is given by
[ ] . 30
14
14
22
0 1
4
3
4
1
*

1
1
1
]
1

b y
T


The new optimal simplex tableau is
Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution
z 1 3/2 0 0 1/4 7/4 0 30
x
2
0 1/2 1 0 1/4 1/4 0 2
x
3
0 0 0 1 1/6 1/2 0 10/3
s
3
0 2 0 0 1/2 1/2 1 10
Note the changes compared to the original optimal tableau.



(b) Here, the price per ton is changed for a non-basic variable x
1
. Thus y
T
= c
B
T
B
1
is
unaffected, leaving only y
T
A c*
T
to be re-calculated.

The z-row coefficients for x
2
and x
3
will remain as 0, so we may focus solely on the
coefficient of x
1
,
[ ] . 2 1 2
3
1
3
0
2
1
2
3
6
1
*
1 1

1
1
1
]
1

c A
T
y

Since 0 2 1
*
1 1
< c A
T
y , the optimality condition is not satisfied. We have to
perform another iteration of the simplex algorithm. The simplex tableau is:
EEM2046 Engineering Mathematics IV Operations Research
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Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution
z 1 1/2 0 0 1/6 3/2 0 74/3
x
2
0 1/2 1 0 1/4 1/4 0 2
x
3
0 0 0 1 1/6 1/2 0 10/3
s
3
0 2 0 0 1/2 1/2 1 10

Apply simplex method to recover the optimality, we have
Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution
z 1 0 1 0 5/12 1 1/4 0 26 2/3
x
1
0 1 2 0 1/2 1/2 0 4
x
3
0 0 0 1 1/6 1/2 0 3 1/3
s
3
0 0 4 0 1 1/2 1 1/2 1 2
The new optimal solutions are x
1
= 4, x
2
= 0 and x
3
= 3 1/3 with the new optimal
value is z = 26 2/3.


(b) Changes in the Right Hand Side of the Constraints

Changes in the right hand sides would affect the feasibility of the LP problem.

Given that the new RHS as b
*
.

Step 1: Compute the new solution of the basic variables: B
-1
b
*

Basic z x

slack variables

Solution
z 1
T T
A c y

y
T
=
T
B
c B
1
y
T
b
*
x
B
0 B
1
A

B
1
B
1
b
*


Step 2: Two cases will result:
(i) If B
-1
b
*
0, the resulting solution remains feasible with the new
optimal value y
T
b
*
.
(ii) If one of the values in B
-1
b
*
0, the resulting solution is infeasible.
To obtain the optimal solutions, dual simplex method must be applied.


Example:
Find the new optimal solution and optimal value of the Product Problem if:
(a) the daily availability of raw material A has been changed to 18.

(b) both the daily availability of raw material B and C have been changed to 24.

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Solution:
(a) Set
1
1
1
]
1

14
14
18
*
b .

The new solution of the basic variables are:
1
1
1
]
1

1
1
1
]
1

1
1
1
]
1

12
4
1
14
14
18
1
0
0

2
1
2
1
2
1
6
1
4
1
4
1
* 1
b B

Since B
-1
b
*
0, the solution is optimal and feasible. The new optimal value is
[ ] 24
14
14
18
0
2
3
6
1
*

1
1
1
]
1

b y
T
.

The new optimal tableau is:
Basic z x
1
x
2
x
3
s
1
s
2
s
3
Solution
z 1 1 0 0 1/6 3/2 0 24
x
2
0 1 0 1/4 1/4 0 1
x
3
0 0 0 1 1/6 1/2 0 4
s
3
0 2 0 0 1/2 1/2 1 12

The new optimal solution is x
1
= 0, x
2
= 1 and x
3
= 4 with the optimal value is
z = 24. Note the changes compared to the original optimal tableau.


(b) Set
1
1
1
]
1

24
24
22
*
b .

The affected entries are:
1
1
1
]
1

1
1
1
]
1

1
1
1
]
1

25
8
24
24
22
1
0
0

3
1
2
1
2
1
2
1
2
1
6
1
4
1
4
1
* 1
b B

Since one of the entries in 0 x <
*
B
, the resulting solution becomes infeasible. Dual
simplex method has to be applied to recover the feasibility.
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(c) Addition of A New Decision Variable

Addition of a new decision variable is similar to adding a new activity. The addition
of this new variable would only affect the optimality of a problem. The new decision
variable would become one of the basic solutions if and only if the new variable is
able to improve the objective function value. If not, this new variable would act as
the nonbasic variable.

Step 1: Add the new decision variable, x
i
, to the LP model. x
i
is assumed to be
nonbasic first.

Step 2: Calculate the z-row coefficient for x
i
: y
T
A
j
c
j
.

Step 3: Two cases will result:
(i) If the optimality condition is satisfied, the optimal solution remains.
(ii) If the optimality condition is not satisfied, the objective value can be
improved by taking x
i
as basic variable.
The entries of x
i
in the tableau is:
z-row coefficient: y
T
A
j
c
j

coefficients below z-row: B
1
A
j

Basic z x

x
i
slack variables

Solution
z 1
T T
A c y

y
T
A
j
c
j

y
T
=
T
B
c B
1
y
T
b

x
B
0 B
1
A

B
1
A
j
B
1
B
1
b


Then, perform simplex iteration until the optimal stage is reached.


Example: Suppose that a new product, Product 4, has been introduced into the Product
problem. The new LP model is as follows:
Maximize z = x
1
+ 4x
2
+ 5x
3
+ 4x
4

subject to: 3x
1
+ 6x
2
+ 3x
3
+ 3x
4
22 (raw material A)
x
1
+ 2x
2
+ 3x
3
+ x
4
14 (raw material B)
3x
1
+ 2x
2
+ x
4
14 (raw material C)
x
1
, x
2
, x
3
, x
4
0
What will the new optimal value be?

Solution: First, we assume x
4
= 0 (nonbasic variable). Its corresponding z-row coefficient
is
[ ] . 2 4
1
1
3
0
2
3
6
1
4 4

1
1
1
]
1

c A
T
y

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Since 0 2
4 4
< c A
T
y , the optimality condition is not satisfied. x
4
must enter as a
basic variable in the next simplex iteration. But first, we complete the column for x
4
in
the simplex tableau by computing

,
_

,
_

1
1
1
]
1

0
0
1
1
3
1
0
0
2
1
2
1
2
1
2
1
6
1
4
1
4
1
4
1
A B ,

and the simplex tableau with x
4
inserted is as follows.

Basic z x
1
x
2
x
3
x
4
s
1
s
2
s
3
Solution
z 1 1 0 0 2 1/6 3/2 0 74/3
x
2
0 1/2 1 0 1/2 1/4 1/4 0 2
x
3
0 0 0 1 0 1/6 1/2 0 10/3
s
3
0 2 0 0 0 1/2 1/2 1 10

By performing another simplex iteration, the tableau becomes

Basic z x
1
x
2
x
3
x
4
s
1
s
2
s
3
Solution
z 1 1 1/2 4 0 0 1 1/6 1/2 0 32 2/3
x
4
0 1 2 0 1 1/2 1/2 0 4
x
3
0 0 0 1 0 1/6 1/2 0 3 1/3
s
3
0 2 0 0 0 1/2 1/2 1 10

The new optimum value is 32 2/3 with the optimal solution is x
1
= 0, x
2
= 0, x
3
= 3 1/3
and x
4
= 4.
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4.0 Dynamic Programming

Dynamic programming (DP) is a recursive approach to solve an n-variable
optimization problem by breaking up the problem into n-stage and at each stage
computing a single variable.

DP problems may be solved using forward recursion in which the computations
proceed from the first stage to the last stage or using backward recursion in
which the computations start from the last stage and end at the first stage. Both
forward and backward recursions yield the same solution. However, most DP
literature employs backward recursion as it is generally more efficient
computationally.

The basic steps in solving DP problems using backward recursion are:
Step 1: Decomposition (break the problem into stages based on the no. of decisions to
be made)
Step 2: Define the state variables, recursive formula and decision variables
Step 3: Carry out the computation stage by stage, beginning from the last stage
Step 4: Composition (trace the decisions from the first stage to the last to form the
optimal policy)

Definition:
(a) The state variable, u, describes the possible "system conditions" at a particular stage-
j. The state variable is the information that links the stages together so that the
optimal decisions for the upcoming stages can be made without having to re-examine
the decision made at stage j.
(b) The recursive formula, ( ) u f
j
, is the objective function used to rate all the
alternatives when the system is in state u at stage j. ( ) u f
j
gives the optimal
cost/benefit beginning stage j till the last stage.
(c) The decision variable is the decision made at stage j to achieve ( ) u f
j
.
(d) The optimal policy is the sequence of decisions made at each stage.


4.1 Solution of Routing Problem by Stages (Backward recursion)

Example: The following network provides the possible routes and the distances from
City 1 to City 10. Determine the shortest route from City 1 to City 10.

City 1
City 2
City 3
City 5
City 6
City 7
City 8
City 10
5
6
6
2
3
4
10
12
6
6
4
4
City 4
7
9
4
City 9
12
8
3
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Solution:

Step 1: Decomposition (break the problem into stages)

- The problem can be divided to 4 stages. At each stage, the individual needs to decide
which city to visit next.





Step 2: Define the state variables, recursive formula and decision variables

Let
the state variable, u be our possible location at the start of a particular stage,
the recursive formula, f
j
(u) be the minimum distance to complete the tour beginning city
u till city 10, and
the decision variable, d
j
(u) be the next city visited in order to achieve f
j
(u).

Step 3: Carry out the computation

Stage 4 Computation
Assume that Stages 1, 2 and 3 have been completed. At the start of Stage 4, we must be
either in city 7, 8 or 9. Thus, u = 7, 8 or 9. Since this is final stage of the tour, the
obvious decision is to simply go from the current position to city 10.
f
4
(7) = 4 d
4
(7) = 10 (from city 7 to city 10)
f
4
(8) = 3 d
4
(8) = 10 (from city 8 to city 10)
f
4
(9) = 4 d
4
(9) = 10 (from city 9 to city 10)


Stage 3 Computation
In this stage of the tour, we start out in either city 5 or 6, i.e. u = 5 or 6. From u, we must
decide whether to proceed to city 7, 8 or 9. The immediate distance from u to city 7, 8
and 9 is given in the network, but since our goal is to reach city 10, we have to factor in
the distance calculated in Stage 4.

Set m
ut
= the distance between cities u and t, the recursive formula is
( ) ( ) { } . 6 , 5 , min
4
9 , 8 , 7
3
+

u t f m u f
ut
t


f
3
(5) = min{m
57
+ f
4
(7), m
58
+ f
4
(8), m
59
+ f
4
(9)}
= min{12+4, 12+3, 10+4} = min{16, 15, 14} = 14
d
3
(5) = 9 (from city 5 to city 9)

f
3
(6) = min{m
67
+ f
4
(7), m
68
+ f
4
(8), m
69
+ f
4
(9)}
= min{8+4, 6+3, 6+4} = min{12, 9, 10} = 9
d
3
(6) = 8 (from city 6 to city 8)
city 1 1
st
city

2
nd
city 3
rd
city

city 10
Stage 1

Stage 2

Stage 3

Stage 4

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Stage 2 Computation
We start from u=2, 3 or 4, and at each u must decide whether to proceed to city 5 or 6.
The recursive formula is:
( ) ( ) { } . 4 , 3 , 2 , min
3
6 , 5
2
+

u t f m u f
ut
t

f
2
(2) = min{ m
25
+ f
3
(5), m
26
+ f
3
(6)} = min {6 +14, 4 + 9}
= min{20, 13} = 13
d
2
(2) = 6 (from city 2 to city 6)

f
2
(3) = min{ m
35
+ f
3
(5), m
36
+ f
3
(6)} = min {2 + 14, 3 + 9}
= min{16, 12} = 12
d
2
(3) = 6 (from city 3 to city 6)

f
2
(4) = min{ m
45
+ f
3
(5), m
46
+ f
3
(6)} = min {4 + 14, 9 + 9}
= min{18, 18} = 18
d
2
(4) = 5, 6 (from city 3 to city 5 or city 6)

Stage 1 Computation
u = 1. The recursive formula is:

f
1
(1) = min{ m
12
+ f
2
(2), m
13
+ f
2
(3), m
14
+ f
2
(4) } = { 5 + 13, 7 + 12, 6 + 18}
= {18, 19, 24} = 18
d
1
(1) = 2 (from city 1 to city 2)

The above computation result can be represented in tableau form:

u
1 2 3 4 5 6 7 8 9
Stage 4 f
4
(u) 4 3 4
d
4
(u) 10 10 10
Stage 3 f
3
(u) 14 9
d
3
(u) 9 8
Stage 2 f
2
(u) 13 12 18
d
2
(u) 6 6 5,6
Stage 1 f
1
(u) 18
d
1
(u) 2

Step 4 : Composition: determine the optimal policy

The minimum distance from city 1 to city 10 is f
1
(1) = 18.

The optimal policy is
d
1
(1) = 2 : the individual chooses to go to city 2 from city 1.
d
2
(2) = 6 : he next visits city 6.
( ) ( ) { }. t f m min f
t
, , t
2 1
4 3 2
1
1 +

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d
3
(6) = 8 : from city 6, he chooses to go to city 9.
d
4
(9) = 10 : he arrives at city 10.

In conclusion, the optimal route is 1-2-6-8-10 with a minimum distance of 18.

4.2 Review and implication of computational process

DP is an approach to optimization rather than a technique, there is no general
algorithm. The computation details at each stage are different and are problem
dependent.

The process of optimizing the multistage decisions problem is based on the principle
of optimality.

Definition: Principle of optimality
An optimal policy has the property that, regardless of the decision taken to enter a
particular state in a particular stage, the remaining decisions must constitute an
optimal policy for leaving that state.

4.3 Resource Allocation Problem

Resource allocation problem is the problem in which limited resources must be
optimally allocated among several activities.

Example:
An individual has $4000 to invest and three opportunities available to him. Each
opportunity requires deposits in $1000 increments. The expected returns are tabulated
as follows:
$ Invested
0 1000 2000 3000 4000
Return from opportunity 1 0 2000 5000 6000 7000
Return from opportunity 2 0 1000 3000 6000 7000
Return from opportunity 3 0 1000 4000 5000 8000

Determine an optimal policy on how the investor can distribute the money among
different opportunity to achieve the maximum total returns.

Solution:
Set
x
i
(i=1,2,3) = the amount of money (in thousands of $) invested in opportunity i,
m
i
(x
i
) (i=1,2,3) = the return (in thousand-$ units) from opportunity i when x
i
units of
money are invested in it.

EEM2046 Engineering Mathematics IV Operations Research
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The problem can be formulated as:
Maximize z = m
1
(x
1
) + m
2
(x
2
) + m
3
(x
3
)
subject to : x
1
+ x
2
+ x
3
4
with x
i
nonnegative and integral, i = 1,2,3.

Step 1: Decomposition (break the problem into stages)
The problem can be divided to 3 stages, j = 1, 2, 3. At stage j the decision has to be made
as to how much money to allocate to opportunity j.

Step 2: Define the state variables, recursive formula and decision variables
Let
u be the money available for investment in thousands of dollars (u=0,1,2,3,4),
f
j
(u) be the maximum return from stage j till stage 3 with u thousand dollars
available at the start of stage j,
d
j
(u) be the amount of money out of u thousand dollars that should be invested in
opportunity j to achieve f
j
(u).

Step 3: Carry out the computation.
The following network shows the possible amount of money available at each stage:



Stage 3 Computation:
Assume that the individual has already invested in opportunity 1 and 2. The amount of
money available for opportunity 3 is possibly u = 0, 1, 2, 3 or 4 (in units of thousands).

4
1
2

0
1
0
3

Stage 1
Invest in opportunity I
4

2

3

4

Stage 2
Invest in opportunity II
Stage 3
Invest in opportunity III
0
1
2
4
1
2
3
4
0
1
2
3
4
0
1
2
3
0
1
2
0
1
0
3
0
EEM2046 Engineering Mathematics IV Operations Research
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No matter what value of u at this stage, it is clear that we can maximize return by
allocating all remaining funds to opportunity 3. We thus have,
f
3
(4) = 8 d
3
(4) = 4 (4 units to be invested)
f
3
(3) = 5 d
3
(3) = 3 (3 units to be invested)
f
3
(2) = 4 d
3
(2) = 2 (2 units to be invested)
f
3
(1) = 1 d
3
(1) = 1 (1 unit to be invested)
f
3
(0) = 0 d
3
(0) = 0 (0 unit to be invested)

Stage 2 Computation
Here, we wish to compute how much to invest in opportunity 2. According to the
network above, the amount of funds available is possibly u = 0,1,2,3 or 4.

With u amount of money available, we can decide to invest anywhere between $0 and $u
thousand into opportunity 2. The returns from this stage will be aggregated with the
returns from Stage 3. The recursive formula is therefore:
)} ( ) ( { max ) (
3 2
0
2
x u f x m u f
u x
+



We have,
f
2
(4) = max{ m
2
(0) + f
3
(40), m
2
(1) + f
3
(41), m
2
(2) + f
3
(42), m
2
(3) + f
3
(43),
m
2
(4) + f
3
(44)}
= max{0+8, 1+5, 3+4, 6+1, 7+0} = 8
d
2
(4) = 0 (0 unit to be invested)

f
2
(3) = max{ m
2
(0) + f
3
(30), m
2
(1) + f
3
(31), m
2
(2) + f
3
(32), m
2
(3) + f
3
(33)}
= max{0+5, 1+4, 3+1, 6+0} = 6
d
2
(3) = 3 (3 units to be invested)

f
2
(2) = max{ m
2
(0) + f
3
(20), m
2
(1) + f
3
(21), m
2
(2) + f
3
(22)}
= max{0+4, 1+1, 3+0} = 4
d
2
(2) = 0 (0 unit to be invested)

f
2
(1) = max{ m
2
(0) + f
3
(10), m
2
(1) + f
3
(11) } = max{0+1, 1+0} = 1
d
2
(1) = 0,1 (0,1 unit to be invested)

f
2
(0) = max{ m
2
(0) + f
3
(00)} = max{0+0} = 0
d
2
(0) = 0 (0 unit to be invested)

Stage 1 computation
Since Stage 1 corresponds to investing in opportunity 1, we all the money available on
hand, so u = 4. The recursive formula is:
)} 4 ( ) ( { max ) 4 (
2 1
4 0
1
x f x m f
x
+



f
1
(4) = max{m
1
(0)+f
2
(40), m
1
(1)+f
2
(41), m
1
(2)+f
2
(42), m
1
(3)+f
2
(43), m
1
(4) + f
2
(44)}
= max{0+8, 2+6, 5+4, 6+1, 7+0} = 9
d
1
(4) = 2 (2 units to be invested)
EEM2046 Engineering Mathematics IV Operations Research
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Summarizing the results in tableau form:

u
0 1 2 3 4
f
3
(u) 0 1 4 5 8
d
3
(u) 0 1 2 3 4
f
2
(u) 0 1 4 6 8
d
2
(u) 0 0,1 0 3 0
f
1
(u) - - - - 9
d
1
(u) - - - - 2

Step 4 : Composition: determine the optimal policy by working forward

The optimal return is given by f
1
(4) = 9 units. To achieve this return, the decisions to be
made are
d
1
(4) = 2
d
2
(42) = d
2
(2) = 0
d
3
(2) = 2

The optimal policy is to allocate $2000 to investment 1, $0 to investment 2, and $2000 to
investment 3.


4.4 Equipment Replacement Problems

- Equipment replacement problem is the problem of determining how long an
equipment should be utilized before it should be traded in for a new one. The
alternatives at each stage are either to replace or keep using the equipment.

Example: A company needs to determine the optimal replacement policy that would
maximize the total profit for a current 3-year-old machine over the next 4 years that is,
until the start of year 5. The machine would be sold at the end of the problem. The
following table gives the data of the problem. The company requires that a 6-year old
machine be replaced. The cost a new machine is $100, 000.

Age, t
(yr)
Revenue, r(t)
($)
Operating cost, c(t)
($)
Salvage value, s(t)
($)
0 20, 000 200 -
1 19, 000 600 80, 000
2 18, 500 1, 200 60, 000
3 17, 200 1, 500 50, 000
4 15, 500 1, 700 30, 000
5 14, 000 1, 800 10, 000
6 12, 200 2, 200 5, 000
(Taha, Operations Research: An Intoduction)
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Solution:

Step 1: Decomposition (break the problem into stages)
- The problem is a five-stage process, j = 1, 2, 3, 4, 5, with stage j representing the j-th
year of the policy. The decision at each stage is whether to keep or replace the
current machine on hand.

Step 2: Define the state variables, recursive formula and decision variables
Set
u = the possible ages of the machine at the start of the j-th year.
f
j
(u) = the maximum profit (in $1000) obtained from stage j till stage 5 when the
machine is u years old at the start of stage j.
d
j
(u) = the decision of whether to KEEP or REPLACE a u year old machine at the start
of stage j in order to realize f
j
(u). We will SELL the machine at the end of the
problem.

Step 3: Carry out the computation.
The following network summarizes the feasible age of the machine for each stage:


The recursive formulae are as follows:

Case 1: for stage j = 5
Since the problem is over at time 5, we sell the machine at time 5 and receive the salvage
value s
u
.
f
5
(u) = s
u
.and d
5
(u) = SELL.

Case 2 : for stages j = 2, 3 and 4
When u = 1, 2, 3, 4 or 5, the recursive formula is:
f
j
(u) = max { s(u) 100 + r(0) c(0) + f
j+1
(1), (if REPLACE)
r(u) c(u)

+ f
j+1
(u+1) (if KEEP) }
3
4
5

K

1
2
1
2
1
2
1
3
3

K

K

K

K

K

K

R

R

R

R

R

R

R

R

R

S

S

S

1st Year
Stage 1

K Keep
R Replace
S Sell

6

K

R

4

S

2nd Year
Stage 2

3rd Year
Stage 3

4th Year
Stage 4

5th Year
Stage 5

K

EEM2046 Engineering Mathematics IV Operations Research
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When the machine is 6 years old (i.e. u = 6), it has to be replaced.
f
j
(6) = s(6) 100 + r(0) c(0) + f
j+1
(1) and d
j
(6) = REPLACE

Case 3 : for stage 1
f
1
(3) = max { s(3) 100 + r(0) c(0) + f
2
(1), (if REPLACE)
r(3) c(3) + f
2
(4) (if KEEP) }

Stage 5 computation:
u = 1, 2, 3, 4
f
5
(1) = 80 d
5
(1) = SELL
f
5
(2) = 60 d
5
(2) = SELL
f
5
(3) = 50 d
5
(3) = SELL
f
5
(4) = 30 d
5
(4) = SELL

Stage 4 computation:
u = 1, 2, 3, 6
f
4
(6) = 5 100 + 20 0.2 + f
5
(1) = 4.8
d
4
(6) = REPLACE

f
4
(3) = max { 50 100 + 20 0.2 + f
5
(1) , 17.2 1.5 + f
5
(4)}
= max{ 49.8, 45.7} = 49.8
d
4
(3) = REPLACE

f
4
(2) = max { 60 100 + 20 0.2 + f
5
(1), 18.5 1.2 + f
5
(3) }
= max{ 59.8, 67.3} = 67.3
d
4
(2) = KEEP

f
4
(1) = max { 80 100 + 20 0.2 + f
5
(1), 19 0.6 + f
5
(2) }
= max{ 79.8, 78.4} = 79.8
d
4
(1) = REPLACE

Stage 3 computation:
u = 1, 2, 5.
f
3
(5) = max { 10 100 + 20 0.2 + f
4
(1), 14 1.8 + f
4
(6) }
= max{ 9.6, 17} = 17
d
3
(5) = KEEP

f
3
(2) = max { 60 100 + 20 0.2 + f
4
(1), 18.5 1.2 + f
4
(3) }
= max{ 59.6, 67.1} = 67.1
d
3
(2) = KEEP

f
3
(1) = max { 80 100 + 20 0.2 + f
4
(1) , 19 0.6 + f
4
(2) }
= max{ 79.6, 85.7} = 85.7
d
3
(1) = KEEP

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Stage 2 computation:
u = 1, 4.
f
2
(4) = max { 30 100 + 20 0.2 + f
3
(1), 15.5 1.7 + f
3
(5) }
= max{ 35.5, 30.8} = 35.5
d
2
(4) = REPLACE

f
2
(1) = max { 80 100 + 20 0.2 + f
3
(1), 19 0.6 + f
3
(2) }
= max{ 85.5, 85.5} = 85.5
d
2
(1) = KEEP, REPLACE

Stage 1 computation:
u = 3.
f
1
(3) = max { 50 100 + 20 0.2 + f
2
(1) , 17.2 1.5 + f
2
(4) }
= max{ 55.3, 51.2} = 55.3
d
1
(3) = REPLACE


Summarizing the results in tableau form:
u
1 2 3 4 5 6
Stage 5 f
5
(u) 80 60 50 30
d
5
(u) SELL SELL SELL SELL
Stage 4 f
4
(u) 79.8 67.3 49.8 4.8
d
4
(u) REPLACE KEEP REPLACE REPLACE
Stage 3 f
3
(u) 85.7 67.1 17
d
3
(u) KEEP KEEP KEEP
Stage 2 f
2
(u) 85.5 35.5
d
2
(u) REPLACE,
KEEP
REPLACE
Stage 1 f
1
(u) 55.3
d
1
(u) REPLACE

Step 4 : Composition: determine the optimal policy by working forward
In conclusion, the maximal total profit that can be obtained is $55 300 and the
corresponding optimal policy is
(i) REPLACE REPLACE KEEP KEEP SELL
or
(ii) REPLACE KEEP KEEP REPLACE SELL


Remarks:
- The state variables can take multi-dimension, or continuous form. But the increase in
the dimension of the state variable increases the computations at each stage.
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5.0 Combinatorial Optimization

Combinatorial optimization combines techniques from combinatorial, linear
programming and the theory of algorithms to solve optimization problems over
discrete structure.

Combinatorial problem can be modeled in terms of graph or digraphs and be solved
by the algorithms in graph theory.

Definition: Graph & Digraph
(a) A graph G = (V, E) consists of a finite set V of points, called vertices/nodes, and a
set E of connecting lines, called edges/links/branches, such that each edge
connects two vertices.
(b) A digraph is a graph in which each edge has a direction (indicated by an
arrowhead).

Example:
A graph A digraph







G = (V, E) G = (V, E)
V = {1,2,3,4} V = {1,2,3,4}
E = {e
1
, e
2
, e
3
, e
4
} E = {e
12
, e
13
, e
32
, e
34
}

Some examples of combinatorial problems:
(i) The traveling salesman problem (iii) The maximal network flow problem
(ii) The shortest paths problem (iv) The matching problem

5.1 Minimal Spanning Trees

An important subclass of graph is called tree. To properly describe what a tree is, we
require additional terminology below:

Definitions
(i) A cycle is a path that begins and ends at the same vertex/node.
(ii) A tree is a graph that contains no cycles.
(iii) Suppose G is a graph with n vertices. A tree T is a spanning tree of graph G if T
connects all vertices of G with exactly n 1 edges of G.
(iv) A minimal spanning tree of G is a spanning tree of G with minimum total
length/weight of surviving edges.

1
2
3 4
e
1
e
2
e
4
e
3
1
2
3 4
e
12
e
13
e
34
e
32
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Example:
Consider the following graph G:


Figure 1 to Figure 5 below are several sub-graphs than can be constructed from G:




1 2
4
4
13

5

7

3

4

5
6
7
8
8

6

9

3

2

12

5

6

6

12

1 2
4
4 3

4

5
6
7
8
6

3

2

5

6

Figure 5
1 2
4
4
13

5
6
7
6

2

6

12

1 2
4
4 3

4

5
6
6

3

5

6

Figure 1 Figure 2
Figure 3 Figure 4
1 2
4
4
7

3

5
7
8
6

2

5

6

1 2
4
4
13

7

3

5
6
7
8
3

2

6

6

EEM2046 Engineering Mathematics IV Operations Research
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(a) Graphs in Figure 1 and Figure 2 above are not trees since we can construct a path
which is a cycle. For example, (1,2,7,1) is a cycle for the graph in Figure 1. Similarly,
(2,4,3,1,2) is again a cycle for the graph in Figure 2. However, graphs in Figure 3,
Figure 4 and Figure 5 are trees as they do not contain paths that begin and end with
the same node, i.e. no cycles.

(b) The tree in Figure 3 above is not a spanning tree of G as vertex 6 is not included, but
the trees in Figure 4 and Figure 5 are spanning trees of G since they consist of all
vertices in G. We see here that a spanning tree of G is not necessarily unique.

(c) Figure 4 above gives the spanning tree of weight 41 and Figure 5 gives the spanning
tree of weight 30. It would be shown later on that Figure 5 is the minimal spanning
tree of G.

- Minimal spanning trees are useful in constructing networks in computer science,
communication, distribution or transportation network. Two most popular
algorithms for constructing the minimal spanning trees are Kruskals algorithm
and Prims algorithm.


5.1.1 Kruskals Algorithm

Input : number of vertices n, edges ( ) j , i and their lengths l
ij

1. Arrange the edges in ascending order of lengths.
2. Beginning from the shortest edge, do:
Reject an edge if it forms a cycle, otherwise add it to T.
If n 1 edges have been chosen, then STOP.

Output : minimal spanning tree T

Example:
Apply Kruskals algorithm to obtain the minimum spanning tree from the graph G in
page 51:

Solution First, we arrange the edges in ascending order of lengths.

Edge Length (1,5) 6
(2,7) 2 (3,8) 6
(4,6) 3 (7,8) 7
(1,2) 4 (4,5) 8
(2,3) 4 (3,7) 9
(1,3) 5 (1,7) 12
(3,4) 5 (4,8) 12
(1,4) 6 (5,6) 13

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Next, we add the edge one by one for each iteration according to the above sorted order.
Reject the edge if it would form a cycle in the tree.


Iteration 1
Add (2,7) with
length 2









Iteration 2
Add (4,6) with
length 3






Iteration 3
Add (1,2) with
length 4


Iteration 4
Add (2,3) with
length 4

Iteration 5
Reject edge (1,3) with
length 5 since it forms a
cycle.

Iteration 6
Add (3,4) with length 5






Iteration 7
Reject edge (1,4) with
length 6 since it forms a
cycle.

Iteration 8
Add (1,5) with length 6






Iteration 9
Add (3,8) with length 6









Since 7 edges have been
added to the spanning tree
T, iterations terminate.


5.1.2 Prims Algorithm

- Kruskals algorithm does not necessarily gives a tree during each intermediate step.
Prim's algorithm does.

Prims Algorithm
Input : number of vertices n, edges ( ) j , i and their lengths l
ij


1. Initialization:
Initialize the tree with vertex 1 and set
F = {v1} NF = {v2, v3,, vn}
L = {0} L = { }
n
n l L l L l L
1 13
3
12
2 ,..., ,
Note: If edge ( ) j , 1 does not exist, then let
j
l
1
be .
1 2
4
4 3
4
6
7
3
2
1 2
4
4
6
7
3
2
2
4
6
7
3
2
2
7
2
1 2
4
4 3
4
5
6
7
8
6
3
2
5
6
1 2
4
4 3
4
5
6
7
6
3
2
5
1 2
4
4 3
4
6
7
3
2
5
EEM2046 Engineering Mathematics IV Operations Research
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2. Addition of a vertex/edge to the tree:
Choose a vertex in NF (say vk) corresponding to the shortest length in L (say k L ).
Connect vk to the tree with its edge of length k L .
Transfer vk to set F and k L to set L.

3. Update L :
Update the elements in L for the new NF according to
( )
} , min{
old
kj j j
l L L

Repeat Step 2 and Step 3 until NF is empty.
Output: F and and L, where F is the structure of the minimum spanning tree and L are the
lengths of the surviving edges.

Example: Apply Prims algorithm to obtain the minimum spanning tree from the graph
G in page 51:

Solution
Step 1: Initialization

F = {v1} NF = {v2,v3,v4,v5,v6,v7,v8}
L = {0} L = {4, 5, 6, 6, , 12, }


Step 2:
4 2 L has the smallest length. Add vertex 2 to
the tree. Transfer v2 to F and 4 2 L to L.


Step 3: Updating. 8 7 6 5 4 3 , 2 , , 6 , 6 , 4 L L L L L L

F = {v1,v2} NF = {v3,v4,v5,v6,v7,v8}
L = {0, 4} L = {4, 6, 6, , 2, }
Step 2:
2 7 L has the smallest length. Add vertex 7 to
the tree. Transfer v7 to F and 2 7 L to L.

Step 3: Updating. 7 , , 6 , 6 , 4 8 6 5 4 3 L L L L L

F = {v1,v2,v7} NF = {v3,v4,v5,v6,v8}
L = {0, 4, 2} L = {4, 6, 6, , 7}
Step 2:
4 3 L has the smallest length. Add vertex 3 to
the tree. Transfer v3 to F and 4 3 L to L.


1
1 2
4
3
4
7
2
1 2
4
1 2
4
7
2
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Step 3: Updating. 6 , , 6 , 5 8 6 5 4 L L L L

F = {v1,v2,v7,v3} NF = {v4,v5,v6,v8}
L = {0, 4, 2, 4} L = {5, 6, , 6}
Step 2:
5 4 L has the smallest length. Add vertex 4 to
the tree. Transfer v4 to F and 5 4 L to L.


Step 3: Updating. 6 , 3 , 6 8 6 5 L L L

F = {v1,v2,v7,v3, v4} NF = {v5,v6,v8}
L = {0, 4, 2, 4, 5} L = {6, 3, 6}
Step 2:
3 6 L has the smallest length. Add vertex 6.to
the tree. Transfer v6 to F and 3 6 L to L.




Step 3: Updating. 6 , 6 8 5 L L

F = {v1,v2,v7,v3, v4,v6} NF = {v5,v8}
L = {0, 4, 2, 4, 5, 3} L = {6, 6}
Step 2:
Both 5 L and 6 L have the same length. Add
vertex 5 to the tree. Transfer v5 to F and 6 5 L
to L.



Step 3: Updating. 6 8 L

F = {v1,v2,v7,v3, v4,v6,v5} NF = {v8}
L = {0, 4, 2, 4, 5, 3, 6} L = {6}
Step 2:
Only one more vertex left in NF. Add vertex 8 to
the tree. Transfer v8 to F and 6 8 L to L.

Iterations terminate as NF is empty.
Output: F = {v1,v2,v7,v3, v4,v6,v5,v8}
L = {0, 4, 2, 4, 5, 3, 6, 6}



1 2
4
3
4
7
2
5
4
1 2
4
4 3
4
5
6
7
8
6
3
2
5
6
1 2
4
4 3
4
6
7
3
2
5
1 2
4
4 3
4
5
6
7
6
3
2
5
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Exercise:
Construct the minimal spanning tree from the following graph by using Kruskals and
Prims algorithm.




5.2. Dijkstras Algorithm for Shortest Paths

Dijkstras Algorithm is used in finding the shortest paths from a given vertex, usually
denoted by 1 and called the origin, to all other vertices 2,3,,n in a given graph, G.

Theorem: Bellmans optimality principle:
If P:1 j is a shortest path from 1 to j in G and e
ij
is the last edge of P, then P
i
:1 i
(obtained by dropping e
ij
from P) is a shortest path 1 i.









Based on Bellmans principle, the following two Bellman equations can be derived:
Let L
j
denote the length of a shortest path 1 j in G and
l
ij
be the length of the edge e
ij
.

L
1
= 0

Let F be the set of vertices whose shortest paths have been found, and NF be the set
of vertices that whose shortest paths have not been found. Each vertex in F
associates with L
v
, the shortest path 1 v, and each vertex in NF associates withL
v
,
the minimal path 1 v found so far. At each iteration, the shortest path of one of the
vertices from NF would be determined, and that vertex would then be deleted from
NF and added to F. This process is continued until NF is empty.

9

3

2

4

3 1
7
4 2

8

1

5

5
n j l L L
ij i
j i
j
,..., 2 ) ( min +

1
2
i
j
e
ij


P: 1 i
P: 1 j
EEM2046 Engineering Mathematics IV Operations Research
T2, 2013/14 Page 57 of 59
Dijkstras Algorithm
Input : number of vertices n, edges e
ij
and edge lengths l
ij

1. Initialization:
Set
F = {v1} NF = {v2, v3,, vn}
L = {0} L = { }
n
n l L l L l L
1 13
3
12
2 ,..., ,
Note: If edge
j
e
1
does not exist, then let
j
l
1
be .

2. Finalize the minimum distance to a vertex:
Choose a vertex in NF (say vk) corresponding to the shortest length in L (say k L ).
Transfer vk to set F and k L to set L.
Note: After the transfer, k L is now denoted as
k
L .

3. Update L
:

Update the elements in L for the new NF according to
( )
} , min{
old
kj k j j
l L L L +


Repeat Step 2 and Step 3 until NF is empty.
Output : F and L, where L contains the lengths of shortest paths from vertex 1 to the
corresponding vertices in F.

Example: Find the shortest path from vertex 1 to vertices 2,3,4 by using the Dijkstras
algorithm.


Step 1. Initialization
F = {v1} NF = {v2,v3,v4,v5}
L = {0} L = {2, 6, 8, }

Step 2.L
2
= 2 is minimum. Transfer v2 to F and L
2
= 2 to L.
Step 3. Update L
L
3
= min{6,
2
L + l
23
} = min {6, 2 + 5 } = 6
L
4
= min{8,
2
L + l
24
} = min {8, 2 + 3 } = 5
L
5
= min{,
2
L + l
25
} = min {, 2 + } =
F = {v1,v2} NF = {v3,v4,v5}
L = {0, 2} L = {6, 5, }

Step 2.L
4
= 5 is minimum. Transfer v4 to F and L
4
= 5 to L.
5
4
3
2
5

5

20

8

2

1
6

3

EEM2046 Engineering Mathematics IV Operations Research
T2, 2013/14 Page 58 of 59
Step 3. Update L
L
3
= min{6,
4
L + l
43
}= min {6, 5+5} = 6
L
5
= min{,
4
L + l
45
} =min {, 5 + 20 }= 25
F = {v1,v2,v4} NF = {v3,v5}
L = {0, 2, 5} L = {6, 25}

Step 2.L
3
= 6 is minimum. Transfer v3 to F and L
3
= 6 to L.
Step 3. Update L
L
5
= min{25,
3
L + l
35
}= min {25, 6+} = 25
F = {v1,v2,v4,v3} NF = {v5}
L = {0, 2, 5, 6} L = {25}

Step 2. Only one more vertex left in NF. Transfer v5 to PL and L
5
= 25 to L.
Iterations terminate since NF is empty.
Output : PL = {v1,v2,v4,v3,v5}
L = {0, 2, 5, 6, 25}
The shortest path from vertex 1 to vertex 2 is 2 units in length.
The shortest path from vertex 1 to vertex 4 is 5 units in length.
The shortest path from vertex 1 to vertex 3 is 6 units in length.
The shortest path from vertex 1 to vertex 5 is 25 units in length.

Exercise:
Find the shortest paths from vertex 1 to all others vertices.
[ L
2
= 7, L
3
= 3, L
4
=5, L
5
=5, L
6
=7]


3
5
4
3
2
8

4

4

1
6
3

2

1

5

2

2

EEM2046 Engineering Mathematics IV Operations Research
T2, 2013/14 Page 59 of 59




Operations Research
Linear Programming
Solved by: (1) Graphical Method
(2) Simplex method
Duality and Sensitivity Analysis
Dynamic Programming
Solved by : Dynamic Programming with Backward
Recursion
Combinatorial Problems
Dijkstras Algorithm for Shortest Paths

Kruskals Algorithm for minimal spanning tree
Prims Algorithm for minimal spanning tree