Course

Year

: K0442 Quantitative Methods

: 2013

Linear Programming
Session 4-5

Outline Todays
Linear Programming Problem
Problem Formulation
A Maximization Problem
Graphical Solution Procedure
Extreme Points and the Optimal
Solution
Computer Solutions
A Minimization Problem
Bina Nusantara University

Linear Programming (LP) Problem

The maximization or minimization of some
quantity is the objective in all linear programming
problems.
All LP problems have constraints that limit the
degree to which the objective can be pursued.
A feasible solution satisfies all the problem's
constraints.
An optimal solution is a feasible solution that
results in the largest possible objective function
value when maximizing (or smallest when
minimizing).
A graphical solution method can be used to solve

Linear Programming (LP) Problem

If both the objective function and the
constraints are linear, the problem is referred
to as a linear programming problem.
Linear functions are functions in which each
variable appears in a separate term raised to
the first power and is multiplied by a
constant (which could be 0).
Linear constraints are linear functions that
are restricted to be "less than or equal to",
"equal to", or "greater than or equal to" a
constant.

Problem Formulation
Problem formulation or modeling is the process of
translating a verbal statement of a problem into a
mathematical statement.

Guidelines for Model Formulation

Understand the problem thoroughly.
Describe the objective.
Describe each constraint.
Define the decision variables.
Write the objective in terms of the
decision variables.
Write the constraints in terms of the
decision variables.

Example 1: A Maximization
Problem
LP Formulation
Max

5x1 + 7x2
s.t.

x1

< 6

2x1 + 3x2 < 19

x1 + x2 < 8
x1, x2 > 0

Example 1: Graphical Solution

Constraint #1 Graphed
x2
8
7

x1 < 6

6
5
4
3

(6, 0)

2
1
1

10

x1

Example 1: Graphical Solution

Constraint #2 Graphed
x2
8

(0, 6

1/3)

7
6
5

2x1 + 3x2 < 19

4
3
2

(9

1
1

10

1/2,

x1

0)

Example 1: Graphical Solution

Constraint #3 Graphed
x2 (0, 8)
8
7

x1 + x2 < 8

6
5
4
3
2

(8, 0)

1
1

10

x1

Example 1: Graphical Solution

Combined-Constraint Graph
x2
x1 + x2 < 8

8
7

x1 < 6

6
5
4
3

2x1 + 3x2 < 19

2
1
1

10

x1

Example 1: Graphical Solution

Feasible Solution Region
x2
8
7
6
5
4

Feasible
Region

3
2
1
1

10

x1

Example 1: Graphical Solution

x2

Objective Function
Line

8
7

(0, 5)

Objective Function
5x1 + 7x2 = 35

5
4
3
2

(7, 0)

1
1

10

x1

Example 1: Graphical Solution

Optimal Solution
x2
Objective Function
5x1 + 7x2 = 46
Optimal Solution
(x1 = 5, x2 = 3)

x1

Summary of the Graphical Solution

Procedure
for Maximization Problems
Prepare a graph of the feasible solutions for each
of the constraints.
Determine the feasible region that satisfies all the
constraints simultaneously..
Draw an objective function line.
Move parallel objective function lines toward
larger objective function values without entirely
leaving the feasible region.
Any feasible solution on the objective function
line with the largest value is an optimal solution.

Extreme Points and the Optimal

Solution
The corners or vertices of the feasible region
are referred to as the extreme points.
An optimal solution to an LP problem can be
found at an extreme point of the feasible
region.
When looking for the optimal solution, you do
not have to evaluate all feasible solution
points.
You have to consider only the extreme points
of the feasible region.

Example 1: Graphical Solution

x2

The Five Extreme Points

8
7
55
6
5
4
44

Feasible
Region

2
1

33

11

22
1

10

x1

Computer Solutions
Computer programs designed to solve LP
problems are now widely available.
Most large LP problems can be solved with just a
few minutes of computer time.
Small LP problems usually require only a few
seconds.
Linear programming solvers are now part of many
spreadsheet packages, such as Microsoft Excel.

Example 2: A Minimization Problem

LP Formulation
Min
s.t.

5x1 + 2x2
2x1 + 5x2 > 10
4x1 - x2 > 12
x1 + x2 > 4
x1 , x2 > 0

Example 2: Graphical Solution

Graph the Constraints
Constraint 1: When x1 = 0, then x2 = 2; when x2
= 0, then x1 = 5. Connect (5,0) and (0,2). The
">" side is above this line.
Constraint 2: When x2 = 0, then x1 = 3. But
setting x1 to 0 will yield x2 = -12, which is not
on the graph. Thus, to get a second point on this
line, set x1 to any
number larger than 3 and
solve for x2: when x1 = 5, then x2 = 8. Connect
(3,0) and (5,8). The ">" side is to the right.
Constraint 3: When x1 = 0, then x2 = 4; when x2
= 0, then x1 = 4. Connect (4,0) and (0,4). The
">" side is above this line.

Example 2: Graphical Solution

Constraints
Graphed
x2

Feasible Region
4x1 - x2 > 12

5
4

x1 + x2 > 4

2x1 + 5x2 > 10

2
1
1

x1

Example 2: Graphical Solution

Graph the Objective Function
Set the objective function equal to an arbitrary
constant (say 20) and graph it. For 5x1 + 2x2 =
20, when x1 = 0, then x2 = 10; when x2= 0, then
x1 = 4. Connect (4,0) and (0,10).
Move the Objective Function Line Toward
Optimality
Move it in the direction which lowers its value
(down), since we are minimizing, until it touches
the last point of the feasible region, determined
by the last two constraints.

Example 2: Graphical Solution

Objective Function Graphed
Min z = 5x1 + 2x2

x2
5

4x1 - x2 > 12

x1 + x2 > 4

2x1 + 5x2 > 10

2
1
1

x1

Example 2: Graphical Solution

Solve for the Extreme Point at the Intersection of
the Two Binding Constraints
4x1 - x2 = 12
x1 + x2 = 4
Adding these two equations gives:
5x1 = 16 or x1 = 16/5.
Substituting this into x1 + x2 = 4 gives:
x2 = 4/5

Example 2: Graphical Solution

Solve for the Optimal Value of the Objective
Function
Solve for z = 5x1 + 2x2 = 5(16/5) + 2(4/5) =
88/5.
Thus the optimal solution is
x1 = 16/5; x2 = 4/5; z = 88/5

Example 2: Graphical Solution

Optimal
Solution

Min z = 5x1 + 2x2

x2

4x1 - x2 > 12

5
x1 + x2 > 4

2x1 + 5x2 > 10

Optimal: x1 = 16/5
x2 = 4/5

2
1

x1
6

Feasible Region
The feasible region for a two-variable linear
programming problem can be nonexistent, a
single point, a line, a polygon, or an unbounded
area.
Any linear program falls in one of three
categories:
is infeasible
has a unique optimal solution or alternate optimal
solutions
has an objective function that can be increased without
bound

A feasible region may be unbounded and yet

there may be optimal solutions. This is common
in minimization problems and is possible in

Sensitivity Analysis and Interpretation

of Solution
Introduction to Sensitivity
Analysis
Graphical Sensitivity Analysis

Introduction to Sensitivity Analysis

In the previous chapter we discussed:
objective function value
values of the decision variables
In this chapter we will discuss:
changes in the coefficients of the objective
function
changes in the right-hand side value of a
constraint

Introduction to Sensitivity Analysis

Sensitivity analysis (or post-optimality
analysis) is used to determine how the optimal
solution is affected by changes, within
specified ranges, in:
the objective function coefficients
the right-hand side (RHS) values
Sensitivity analysis is important to a manager
who must operate in a dynamic environment
with imprecise estimates of the coefficients.
Sensitivity analysis allows a manager to ask
certain what-if questions about the problem.

Example 1
LP Formulation

Max

5x1 + 7x2

s.t.
< 6

x1
2x1 + 3x2

< 19
x1 + x2
< 8

Example 1

x2

Graphical Solution
x1 + x2 < 8

Max 5x1 + 7x2

7
6

x1 < 6

Optimal Solution:
x1 = 5, x2 = 3

4
3

2x1 + 3x2 < 19

2
1

x1

10

Objective Function Coefficients

Let us consider how changes in the objective
function coefficients might affect the optimal
solution.
The range of optimality for each coefficient
provides the range of values over which the
current solution will remain optimal.
Managers should focus on those objective
coefficients that have a narrow range of
optimality and coefficients near the endpoints
of the range.

Example 1

x2

Changing Slope of Objective Function

8

Coincides with
x1 + x2 < 8
constraint line

7
6

Objective function
line for 5x1 + 7x2

55

Coincides with
2x1 + 3x2 < 19
constraint line

4
Feasible
Region

44

33

11
1

22
2

x1

10

Range of Optimality
Graphically, the limits of a range of optimality
are found by changing the slope of the
objective function line within the limits of the
slopes of the binding constraint lines.
Slope of an objective function line, Max c1x1 +
c2x2, is -c1/c2, and the slope of a constraint,
a1x1 + a2x2 = b, is -a1/a2.

Example 1
Range of Optimality for c1
The slope of the objective function line is -c1/c2.
The slope of the first binding constraint, x1 + x2 =
8, is -1 and the slope of the second binding
constraint, 2x1 + 3x2 = 19, is -2/3.
Find the range of values for c1 (with c2 staying 7)
such that the objective function line slope lies
between that of the two binding constraints:
-1 < -c1/7 < -2/3
Multiplying through by -7 (and reversing the
inequalities):
14/3 < c1 < 7

Example 1
Range of Optimality for c2
Find the range of values for c2 ( with c1 staying 5)
such that the objective function line slope lies
between that of the two binding constraints:
-1 < -5/c2 < -2/3
Multiplying by -1:

1 >

5/c2 > 2/3

Inverting :

1 <

c2/5 < 3/2

Multiplying by 5:

5 <

c2

< 15/2

Example 1
Summary of Range of Optimality for c1 and c2
14/3 < c1 < 7 or

4 2/3 <

c1 < 7

Since the current value of c1 is 5, c1 is allowed to

increase by 2 and decrease by 1/3
5 < c2 < 15/2 or

5 < c2 <

7 1/2

Since the current value of c2 is 7, c2 is allowed to

increase by 1/2 and decrease by 2

Right-Hand Sides
Let us consider how a change in the right-hand side
for a constraint might affect the feasible region and
perhaps cause a change in the optimal solution.
The improvement in the value of the optimal
solution per unit increase in the right-hand side of a
constraint is called the dual price of the constraint
The range of feasibility is the range over which the
dual price is applicable.
As the RHS increases, other constraints will become
binding and limit the change in the value of the
objective function.

Dual Price
Algebraically, a dual price is determined by adding
+1 to the right hand side value in question and then
resolving for the optimal solution in terms of the
same two binding constraints.
The dual price is equal to the difference in the
values of the objective functions between the new
and original problems.
The dual price for a nonbinding constraint is 0.
A negative dual price indicates that the objective
function will not improve if the RHS is increased.
Shadow price ( or dual value) = dual price for
maximize problems and negative of dual price for

Relevant Cost and Sunk Cost

A resource cost is a relevant cost if the amount
paid for it is dependent upon the amount of the
resource used by the decision variables. E.g.
hourly labor cost for piece workers
Relevant costs are reflected in the objective
function coefficients.
A resource cost is a sunk cost if it must be paid
regardless of the amount of the resource actually
used by the decision variables. E.g. hourly cost for
salaried employees
Sunk resource costs are not reflected in the
objective function coefficients.

Cautionary Note on
the Interpretation of Dual Prices
Resource cost is sunk
The dual price is the maximum amount you
should be willing to pay for one additional unit
of the resource.
Resource cost is relevant
The dual price is the maximum premium over
the normal cost that you should be willing to
pay for one unit of the resource, since the dual
price is the amount the value of the resource
exceeds its cost.

Example 1
Dual Prices
Constraint 1: Since x1 < 6 is not a binding
constraint, its dual price is 0.
Constraint 2: Change the RHS value of the
second constraint to 20 and resolve for the
optimal point determined by the last two
constraints 2x1 + 3x2 = 20 and x1 + x2 = 8.
The solution is x1 = 4, x2 = 4, z = 48. Hence,
the dual price = znew - zold = 48 - 46 = 2.

Example 1
Dual Prices
Constraint 3: Change the RHS value of the third
constraint to 9 and resolve for the optimal point
determined by the last two constraints: 2x1 +
3x2 = 19 and x1 + x2 = 9.
The solution is: x1 = 8, x2 = 1, z = 47.
The dual price is znew - zold = 47 - 46 = 1.

Reference

David R. Anderson [et.al]. (2008). Quantitative

Methods for Business. 11. SOWES. New York. ISBN:
10: 0324651813.

Bina Nusantara University

46

Thank You

Bina Nusantara University

47