CHAPTER 4

Optimization Linear Programming

LEARNING OUTCOME
This chapter deals with optimization problems where
constraints come into play. The problems where both
objective function and the constraints are linear will
be discussed. For such cases, a method called the
linear programming which could be used to solve
very large problems with thousands of variables and
constraints with great efficiency. They are used in a
wide range of problems in engineering and
management.

INTRODUCTION
Root location and optimization are related in the
sense that both involve guessing and searching for a
point on a function. The fundamental difference
between the two types of problems are that the root
location involves searching for zeros of a function, in
contrast optimization involves searching for either
the minimum or the maximum.
The optimum is the point where the curve is flat. In
mathematical terms, this corresponds to the x value
where the derivative f(x) is equal to zero.
Additionally, if f(x)<0, the point is a maximum, if

INTRODUCTION
The difference between roots and optima is
illustrated in the diagram below:
Maximu
m

f ' ( x) 0
f " (0) 0

f ( x) 0
xmin

roo
t
Minimu
m

roo
t
f ' ( x) 0
f " (0) 0

xmax

roo
t

INTRODUCTION
To find the optima, you can differentiate the
function and locate the root of the new function:
f(x)=0. In fact, some optimization methods seek to
find an optima by solving the root problem. Such
searches are often complicated because f(x) is not
available analytically. Thus, one must sometimes use
finite-difference approximations to estimate the
derivative. Beyond viewing optimization as a roots
problem, the task of locating optima is aided by
some extra mathematical structure that is not part of
simple root finding. This tends to make optimization

LINEAR
PROGRAMMING
Linear programming (LP) is an optimization
approach that deals with meeting a desired objective
such as maximizing profit or minimizing cost in the
presence of constraints such as limited resources.

STANDARD FORM
The basic linear programming problem consists of
two major parts:
1)Objective function
2)A set of constraints

STANDARD FORM
1)Objective function:
For a maximization problem, the objective function
is generally expressed as
where cj = payoff
each
unit
of
the jth activity that
Z c1 xof

c
x

......

c
x
1
2 2
n n
is undertaken and xj = magnitude of the jth activity.
Thus, the value of the objective function Z is the
total payoff due to the total number of activities, n.

STANDARD FORM
2)A set of constraints:
The constraints can be represented generally as
whereaaijx = aamount
of the ith resource that is
i1 1
i 2 x2 ...... ain xn bi
consumed for each unit of the jth activity and bi =
amount of the ith resource that is available. That is,
the resources are limited.

STANDARD FORM
The second general type of constraint specifies that
all activities must have a positive value,
. In
xi 0 this expresses the realistic
the present context,
notion that negative activity is physically impossible
(i.e., we cannot produce negative goods). Together,
the objective function and the constraints specify the
linear programming problem. The purpose of this
chapter is to try to maximize the payoff for a number
of activities under the constraint that these activities
utilize finite amount of resources.

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
Before showing how this result can be obtained, we
will first develop an example. The following problem
is developed from the area of petroleum and
chemical engineering, however, it is relevant to all
areas of engineering that deal with producing
products with limited resources.

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
Suppose that a gas-processing plant receives a fixed
amount of raw gas each week. The raw gas is
processed into two grades of heating gas regular
and premium quality. These grades of gas are in high
demand (they are guaranteed to sell) and yield
different profits to the company. However, their
production involves both time and on-site storage
constraints. For example, only one of the grades can
be produced at a time, and the facility is open for
only 80 hr/week. Further, there is limited on-site
storage for each of the products.

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
All these factors are listed in the table below:
Product
Resource
Raw gas

Regular
7 m/tonne

Premium
11 m/tonne

Resource
Availability
77 m/week

Production
10 hr/tonne 8 hr/tonne
80 hr/week
Question: How to develop a linear programming
time
formulation to maximize the profit for this operation.
Storage
9 tonnes
6 tonnes
Profit

$150/tonne

$175/tonne

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
SOLUTION
The engineer operating this plant must decide how
much of each gas to produce to maximize profits. If
the amounts of regular and premium produced
weekly are designated as x1 and x2 (both are in the
unit of tonne), respectively, the total weekly profit
can be calculated as
Total profit = 150 x1 + 175 x2
Written as a linear programming objective function
Maximize Z = 150 x1 + 175 x2

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
For the constraints, the total raw gas used can be
computed as
Total gas used = 7 x1 + 11 x2
This total cannot exceed the available supply of 77
m/week, so the constraint can be represented as
7 x1 + 11 x2 77.
The total time taken for the production of the
amounts of regular and premium must not exceed
80 hr/week, thus, the constraints is represented as
10 x1 + 8 x2 80.

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
For the storage constraint, regular and premium
amounts cannot exceed 9 and 6 tonnes, respectively,
as
x1 9 and
x2 6,
and the products must have positive amount, as
x1 0 and
x2 0.

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
These are summarized below:
Maximize Z = 150 x1 + 175 x2 (maximize profit)
subject to
7 x1 + 11 x2 77
(material constraint)
10 x1 + 8 x2 80
(time constraint)
x1 9
(regular storage constraint)
x2 6
(premium storage constraint)
x1 0 and
x2 0 (positivity constraint)

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
In this two-dimensional (two unknowns, x1 and x2) problem,
the solution space is defined as a plane with x1 and x2.
Because they are linear, the constraints can be plotted on
this plane as straight lines. These constraint lines will
delineate a region, called the feasible solution space,
encompassing all possible combinations of x1 and x2 that
obey the constraints and hence represent feasible
solutions. x2
x1 9

x2 6
Feasible
solution
space
0

7 x1 + 11 x2 77
x1
10 x1 + 8 x2 80

SETTING UP THE LINEAR

PROGRAMMING PROBLEM

The objective function for a particular value of Z can

then be plotted as another straight line and
superimposed on this space. The value Z can then be
adjusted until it is at the maximum value while still
touching the feasible space. This value of Z represents
the optimal solution. The corresponding values of x1
and x2 where Z touches the feasible solution space
represent the optimal values for the activities.

SETTING UP THE LINEAR

PROGRAMMING PROBLEM

Because
the
line
still
the solution
our
Now,
since
we
are
interested
in maximizing
Z,space,
we can
As
shown
inA
the
figure,
thewithin
maximum
value
Z
To do
this,
value
of falls
Z must
be
chosen,
for of
example,
for
result
is still
feasible.
There
isthe
stillobjective
room
forfunction
increase
it
toto
say
Z=600,
and
isx2 x2
corresponds
approximately
1400.
At
point,
x1 and
Z=0, the
objective
function
becomes
0=this
150
x1 + 175
improvement.
Hence,
Z
can4.9
keep
until
a Thus
600=
150 to
x1 for
+
175
x2 ,derive
solving
for
xincreasing
the line
are
approximately
and
3.9,derive
respectively.
2 we
and equal
solving
x2 we
the
line
600
150the objective beyond the
further
increase
will
take
150
the graphical
solution
x

tells

x2 2 175
x1 175 x1us that if we produce these
feasible
region.
175 and premium, we will reap a
quantities
of regular
maximum profit of about $1400.
x2

x1 9

Z=14
00
Z=60
0

x2 6

x2 3.9

Z=
0

7 x1 + 11 x2 77
0

x1 4.9

x1
10 x1 + 8 x2 80

SETTING UP THE LINEAR

PROGRAMMING PROBLEM
We can verify our results by substituting it back to
the constraint equations:
7 x1 + 11 x2 = 7(4.9)+11(3.9) 77
10 x1 + 8 x2 = 10(4.9)+8(3.9) 80
x1 = 4.9 9
x2 = 3.9 6

CONCLUDING REMARKS
It is clear from the plot that producing at the optimal amount
of each product brings us right to the point where we just
meet the resource and time constraints. Such constraint are
said to be binding. As can be seen in the graphic, neither of
the storage constraints (x1 9 and x2 6 ) acts as a
limitation. Such constraints are called nonbinding.
x2

x1 9

x2 6
Feasible
solution
space
0

7 x1 + 11 x2 77
x1
10 x1 + 8 x2 80

CONCLUDING REMARKS
This leads us to the conclusion that we can increase
profits by either increasing our resource supply (raw
gas) or increasing our production time. Further, it
indicates that increasing the storage would have no
impact on profit.

CONCLUDING REMARKS
The result obtained in this example is one of four possible
outcomes:
1)Unique solution the maximum objective function intersects
a single point.
2)Alternate solutions if the objective function has coefficients
so that it is precisely parallel to one of the constraints, rather
than a single point, the problem would have an infinite
number of optima corresponding to a line segment.
x2

x1 9

x2 6
Feasible
solution
space
0

7 x1 + 11 x2 77
x1
10 x1 + 8 x2 80

CONCLUDING REMARKS
3)No feasible solution it is possible that the problem is
set up so that there is no feasible solution. This can be
due to dealing with an unsolvable problem or due to
errors in setting up the problem. The latter can result
if the problem is over-constrained to the point that no
solution can satisfy all the constraints.

CONCLUDING REMARKS
4)Unbounded problems the problem is underconstrained and therefore open-ended. As with the
no feasible case, it can often arise from errors
committed during problem specification.
x2

Feasible
solution
space
0

x1

CONCLUDING REMARKS
Suppose that our problem involves a unique solution.
From the previous example it is clear that the
optimum always occurs at one of the corner points
where two constraints meet. Such a point is known
as an extreme point. Thus, out of the infinite number
of possibilities in the decision space, focusing on
extreme points will narrow down the possible
options.

CONCLUDING REMARKS
Further, we can recognize that not every extreme
point is feasible, that is satisfying all constraints.
Limiting ourselves to feasible extreme points will
narrow the field down still further.
x2

x1 9
Not feasible extreme
point
x2 6
Feasible
solution
space

7 x1 + 11 x2 77
x1
10 x1 + 8 x2 80

CONCLUDING REMARKS
Once all feasible extreme points are identified, the
one yielding the best value of the objective function
represents the optimum solution. Finding this
optimal solution could be done by exhaustively (and
inefficiently) evaluating the value of the objective
function at every feasible extreme point. In the next
lecture we will discuss the simplex method which
offers a preferable strategy that charts a selective
course through a sequence of feasible extreme
points to arrive at the optimum in an extremely
efficient manner.