IE 2110 Operations Research I

Semester 1, AY 2009/2010 Hung Hui-Chih Email: isehh@nus.edu.sg Tel: 6516-5387 Office: E1 07-16

Syllabus
Week 1~7:
Lecturer: Office: Telephone: E-mail: Office Hours: HUNG Hui-Chih E1-07-16 6516-5387 isehh@nus.edu.sg Wednesday 4pm~6pm

Week 8~13:
Lecturer: Office: Telephone: E-mail: Office Hours: NG Kien Ming E1-05-21 6516-5541 cosnkm@nus.edu.sg TBA

Syllabus
Teaching Assistants:

Homework Assignments (10%):

All are individual assignments All assignments are due at the next class for which they are assigned No late assignments will be accepted

Term Paper (15%):

To be announced by Dr. NG Kien Ming
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Exam Policy
Midterm exam (15%):
September 28th, 2009, Monday, 12~1pm All subjects from week 1 to week 6 (Duality Theory) The midterm exam will be closed book. However, you are allowed ONE sheet (A4 size, 210mm 297mm, both sides) of handwritten notes (neither photocopied nor printed)

Final exam (60%):

November 30, 2009, Monday, 1pm Close book, all subjects from week 1 to week 13 The final exam will be closed book. However, you are allowed TWO sheets (A4 size, 210mm 297mm, both sides) of handwritten notes (neither photocopied nor printed)

Course Outline
Introduction to Operations Research Linear Programming Sensitivity Analysis and Duality Transportation Models Network Models Non-Linear Programming

Todays Outline
What is Operations Research? Mathematical Programming Modeling Enumeration Problem Categories Linear Programming Linear Programming Examples

What is Operations Research?

Research into the operations of a system

The use of the scientific method to solve problems

What kind of system?

Virtually any integrated system of People Energy Machines Material Information Capital

How do you learn Operations Research?

You study and learn approaches, methods and tools that have proven useful in understanding and improving the operations of integrated systems of PEMMIC These approaches are basically engineering and mathematical approaches to understand system operations and to propose the BEST (OPTIMIAL) solution to the integrated systems of PEMMIC Not just learn HOW. You need to think WHY! 9

OR and Other Areas

Economics

Business

OR

Mathematics

Industrial Engineering

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OR Societies and Leading Journals

The Institute for Operations Research and the Management Sciences (INFORMS)
http://www.informs.org/

Journals:
Operations Research Management Sciences Interfaces Mathematics of Operations Research Operations Research Letters Transportation Science

Trade Publication:
OR/MS Today
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OR Societies and Leading Journals

The Institute of Industrial Engineers (IIE)
http://www.iienet2.org/

Journal:
IIE Transactions

Trade Publication:
IIE Solutions

The Mathematics Programming Society (MPS)

http://www.mathprog.org/

Journal:
Mathematical Programming
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Local OR society and Other Journals

The Operational Research Society of Singapore (ORSS)
http://sunsite.nus.edu.sg/ORSS/

Journal:
Asia-Pacific Journal of Operational Research (APJOR)

Other Journals:
Naval Research Logistics (NRL) Discrete Applied Mathematics
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How to solve real problems by OR ?

Mathematical Programming:
Problem Situation Problem Definition Model Formulation

Translation Implementation Analysis/ Solution

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Define Problem
(A) Identify what system components you can control
Decisions to make Levers to pull Wheels to turn

(B) Define the Criteria and Objectives (C) Identify what constrains block you from making any control you wish
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Mathematical Programming
A mathematical technique to help plan and make decisions relative to the trade-offs necessary to allocate resources Will find the minimum or maximum value of the objective function Guarantees the optimal solution to the model formulated if you have enough time
Linear Programming guarantees the optimal solution to the model formulated in polynomial time
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Requirements of Programming Problems

(A) There must be alternative courses of action to choose from (B) Programming seeks to maximize or minimize some value expressed as an objective function
usually max profit or min cost

(C) The restrictions (constraints) limits the region where we can pursue our objective
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Mathematical Programming and Modeling

Model is a kind of mathematical formulas that we use to approximate the real problem Mathematical Programming is a modeling technique used to optimize: (A) decisions to make (B) objective(s) to achieve

subject to
(C) restrictions (constraints) to obey
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Three Major Components of Modeling

(A) Building Blocks
The actual components of a mathematical model Parameters (coefficients) Constant values in the model Variables Changeable and Controllable values in the model

(B) Objectives
The goal of your model Single or Multiple

(C) Constraints
The activities and limits of the real situations And or Either-Or
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Modeling Example: Hungry John

John has $10 budget for his lunch. There are only two choices for his lunch Hamburger: $3 and 200g each Pizza: $4 and 300g each John is very hungry and intends to eat as much as possible

Model:

Max 200 x + 300 y

Objective (single) Constraints (and) variables:

subject to 3 x + 4 y 10 x0 y0 x, y are integers

x,y: # of hamburgers & pizzas

parameters:

0,3,4,10,200,300

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Before Solving the Problem

Mathematics and Operations Research are different Summit Example: Fact: Summit of the world (Mount Everest, 8848m)
Mr. Math: There exists a summit in the world Ms. OR: Where is the summit? How to find (reach) the summit of the world in a short time?

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How to solve it?

Enumeration:
Exactly list and check all solutions Most basic and general method to find the optimal solution Applicable to all types of problems if you have time Very time-consuming

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Enumeration: Hungry John Example

subject to 3x + 4 y 10 x0 y0 x, y are integers

Max 200 x + 300 y

(x,y)=
(0,4) (0,3) (0,2) (0,1) (0,0)

(1,4) (1,3) (1,2) (1,1) (1,0)

(2,4) (2,3) (2,2) (2,1) (2,0)

(3,4) (3,3) (3,2) (3,1) (3,0)

(4,4) (4,3) (4,2) (4,1) (4,0)

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Problem Categories

Problem

Category 1: Small # of Discrete Alternatives Category 3: Large # of Discrete Alternatives

Category 2: Uncountable # of Alternatives

How to solve them?

Problem

Category 1: Small # of Discrete Alternatives Category 3: Large # of Discrete Alternatives

Enumeration

Category 2: Uncountable # of Alternatives Linear Programming

Integer Programming etc.

Non-Linear Programming

Mathematical Programming Models

Maximize or Minimize z = f (x) subject to : x F

n
Criterion Decision Vector

Objective Function Set of Feasible Decisions (Usually Defined by Membership Rules)

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Linear Programming Models

Maximize or Minimize z = f (x) subject to : x F

Membership Rules are Defined by a System of Linear Equations and/or Inequalities

n
Criterion Decision Vector

Objective Function Is a Linear Function

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OR, MP, and LP

Operations Research

Mathematical Programming

Linear Programming

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What is Linear?
Are they linear?

(a)

(b)

(c)

(d)

(e)

Why and why not?

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Definition of Linear Function

A function f(x) is linear if

f (s + (1 )t ) = f ( s ) + (1 ) f (t ) for any s, t , and [0,1]

If function f(x) is linear, then it can be present in the following form:

f ( x ) = cx + b where c and b are constants

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Definition of Linear Function (High-Dimension)

A function f(x) is linear if v
for any s, t , and [0,1] v v v f (s + (1 )t ) = f ( s ) + (1 ) f ( t )

If function f(x) is linear, then it can be present in the following form:

rT r v f ( x ) = (c ) x + b r where c is constants vector and b is constant

If function f( x1 ,x2, ,xn) is linear, then it can be present in the following form:
f ( x1 , x2 ,..., xn ) = c1 x1 + c2 x2 + ...cn xn + b where ci and b are constants
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Why Linear?
The objective and constraints in linear programming must be expressed in terms of linear equations or linear inequalities Why?
Good properties holds Easier to handle Easier to Understand Good start for studying Mathematical Programming 32 and OR

Linear Programming Assumptions

Additive:
No interaction effects Contribution from xi and xj jointly is equal to xi + xj (linear) The terms in the objective function and constraint functions combine addictively

Proportional:
Values of costs and contributions increase proportionally to its size (linear) No setup costs, no economies of scale, no higher order terms All terms in the objective function and constraint 33 functions exhibit proportionality

Linear Programming Assumptions

Divisible:
Any fractional level is permissible All decisions are continuous

Deterministic:
Each parameter (coefficient) known with certainty All parameters are given and fixed

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What are x, y and x1, x2?

If we have 2 changeable and controllable values (variables) in the model, we can use x, y If we have 200 changeable and controllable values (variables) in the model, then???
u, v, w, x, y, aa, ab, ac????

For simplification, we use

x1, x2, , x199, x200
3x2 means three times the value of the second variable 3 times variable x2
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Variables and Parameters

Variables are changeable and controllable values in the model:
x1, x2, , x199, x200

Parameters are given and constant values in the model: a, b, c, d, e, f, g, h, s, t They are very different Dont get confused Always use clear notation to classify them
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Generalized Hungry John Example

John has b dollars budget for his lunch. There are only two choices for his lunch Hamburger: p1 dollars and w1 grams each Pizza: p2 dollars and w2 grams each John is very hungry and intends to eat as much as possible

Model:
Max w1 x1 + w2 x2 = wi xi
i =1 2

Objective (single) Constraints (and) variables:

subject to p1 x1 + p2 x2 b x1 0 x2 0 x1 , x2 are integers

x1 ,x2 : # of hamburgers & pizzas

parameters:

0, b, p1, p2, w1, w2

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Why Study Linear Programming?

Many practical applications in a variety of fields
Both finding optimal solutions and as approximation

Production, capital budgeting and resource allocation, blending and mix, portfolio analysis, etc Used in health care, food packaging, paper companies, air and water pollution control, utilities, etc
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Why Study Linear Programming?

Standard tool for analysis of problems
Largest selling commercial Operations Research package Tool in Microsoft Excel

Foundation for many theoretical developments in Operations Research The Simplex Method is considered to be one of the most important computational algorithms in Engineering and the Sciences
Computing in Science and Engineering, 2000
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LP Example: Product Mix Problem

Product mix problem assumes that we can sell anything that we can make at the given market price: (A) Our problem is to determine how much of each product should be made during a time period (B) In order to maximize profit (C) Using the resources that we have available for the time period

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Product Mix Problem

National Universal Supplier (NUS) produces two products:
X-pod, a portable music player BlueBerry, an internet-connected color hand phone

Determine the mix numbers of products that will produce the maximum profit

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Formulating LP Problems (A)

Hours Required to Produce 1 Unit Department Electronic Assembly Profit per unit X-pods (X1) 4 2 $7 BlueBerrys (X2) 3 1 $5 Available Hours This Week 240 100

Decision Variables: X1 = number of X-pods to be produced X2 = number of BlueBerrys to be produced

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Formulating LP Problems (B)

Objective Function (Profit ):

Maximize z = 7X1 + 5X2

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Formulating LP Problems (C)

There are three types of constraints Upper limits where the amount used is the amount of a resource Lower limits where the amount used is the amount of the resource Equalities where the amount used is = the amount of the resource
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Formulating LP Problems (C)

First Constraint: Electronic Electronic is time used time available 4X1 + 3X2 240 (hours of electronic time) Second Constraint: Assembly Assembly is time used time available 2X1 + 1X2 100 (hours of assembly time)
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Formulating LP Problems (C)

Third Constraint:
Number of X-pods to be produced must be greater than or equal to zero

X1 0 (non-negative) Fourth Constraint:

Number of BlueBerrys to be produced must be greater than or equal to zero

X2 0 (non-negative)
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Formulation
Objective Function:

Maximize z = 7X1 + 5X2

(C1) First Constraint:

(Profit )

4X1 + 3X2 240

(C2) Second Constraint: 2X1 + 1X2 100 (C3) Third Constraint: (C4) Fourth Constraint:

X1 0 X2 0
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