Linear Programming

optimization methods using calculus have several limitations and thus not suitable for many practical applications.

Linear programming is Most widely used constrained form of optimization method which deals with nonnegative

solutions(x1= 0 , x2= 1/2 x3= 5) to determine system of linear equations with corresponding finite value of the objective function.

Linear Programming is required that all the mathematical functions in the model be linear functions.

The term Linear is used to describe the proportionate relationship of two or more variables in a model. The given change in one variable will always cause a resulting proportional change in another variable. The term linear implies that the objective function and constraints are linear functions of nonnegative decision

variables (e.g., no squared terms, trigonometric functions, ratios

of variables)

Linear programming (LP) techniques consist of a sequence of steps that will lead to an optimal solution to problems, in cases where an optimum exists

Applications of Linear Programming

The number of applications of linear programming has been so large,
some of them are: Scheduling of flight times of aero planes Distribution of resources Selection of shares and stocks Assignment of jobs to people and many other problems Scheduling of production in many manufacturing units or industries. Use of available resources in an organization Engineering design problems Shipping & transportation Product mix Marketing research Food processing etc.,

Methods of Solving Linear Programming Problems

Trial and error: possible for very small problems; virtually impossible for large problems.

Graphical or Geometrical approach : It is possible to solve a 2variable problem graphically to find the optimal solution (not shown).

Simplex Method: This is a mathematical approach developed by George Dantzig. Can solve small problems by hand.

Computer Software : Most optimization software actually uses the Simplex Method to solve the problems.

Limitations of Linear Programming

The following will be the assumptions of linear programming problem that limit its applicability. Linearity: is a requirement of the model in both objective function and constraints Proportionality: Relationship between Outputs and inputs are proportional Additivity: Every function is the sum of individual contribution of respective activities a1x1+a2x2 Divisibility: All decision variables are continuous (can take on any

non-negative value including fractional ones) x1=12, x2=3.8

Certainty or Deterministic: All the coefficients in the linear programming models are assumed to be known exactly. a1=5, a2=2

The conditions of LP problems are 1. Objective function must be a linear function of

decision variables. 2. Constraints variables. 3. All the decision variables must be nonnegative. should be linear function of decision

For example

example shown above is in general form

Mathematical formulation of linear programming problem There are mainly four steps in the mathematical formulation of linear programming problem as a mathematical model. Identify the decision variables and assign symbols x and y to them. These decision variables are those quantities whose values we wish to determine. Identify the set of constraints and express them as linear equations / in equations in terms of the decision variables.

These constraints are the given conditions.

Mathematical formulation of linear programming problem. .

Identify the objective function and express it as a linear function of decision variables. It might take the form of

maximizing profit or production or minimizing cost.

Add the non-negativity restrictions on the decision variables, as in the physical problems, negative values of decision variables have no valid interpretation

There are many real life situations where an LPP may be formulated. The following examples will help to explain the mathematical formulation of an LPP.

Examples

Example

Constraints (Scarce Resources)

A company makes cheap tables and chairs using only wood and labor. To make a chair requires 10 hours of labor and 20 board feet of wood. To make a table requires 5 hours of labor and 30 board feet of wood. The profit per chair is $8 and $6 per table. If it has 300 board feet of wood and 110 hours of labor each day, how many tables and chairs should it make to maximize profits?

Objective

Setting Up the Problem

Profits: $6 per table and $8 per chair Total Profits = 6T + 8 C Constraints: 300 feet of wood per day 110 hours labor per day Wood Use: 30 feet per table 20 feet per chair Labor Use: 5 hours per table 10 hours per chair

and

Writing the Equations

Resources Unit profit Wood(board feet) Labor(hours) Requirements Amount Available Tables Chairs $6 $8 30 20 300 board feet 5 10 110 hours

Objective: Maximize Z = 6T + 8C
Maximum Profits = ($6 x # of tables) + ($8 x # of chairs)

Subject to:
30T + 20C < 300 board feet (wood constraint) 5T + 10C < 110 hours (labor constraint) T,C > 0 (non-negativity)

Writing the Equations

Resources Unit profit Wood(board feet) Labor(hours) Requirements Amount Available Tables Chairs $6 $8 30 20 300 board feet 5 10 110 hours

Maximize Subject to:

6T +

8 C
< 300 (wood constraint) < 110 (labor constraint) >0 (non-negativity)

30 T + 20 C 5 T + 10 C T, C

Inequalities
A resource may constrain a problem by being . . .
Equal-to = Equal-to or greater-than => or Equal-to or less-than =< or Greater-than > Less-than < . . .the amount of resource available. > <

Dealing with inequalities Converts Less-than or Equal-to variables, and Less-than variables to Equal-to variables by adding a slack variable.

30T + 20C < 300 (wood constraint)

becomes

30T + 20C + Sw = 300

Sw represents the difference, if any, between the
amount of wood used and the amount available. (It is unused resource) Slack variables also cannot be negative so S > 0

SURPLUS VARIABLES

If the labor constraint was greater than or equal to the 110 hours; expressed as
5 T + 10 C > 110 hours

Then a surplus variable would be needed to make it an equality.

5 T + 10 C - SL = 110 hours

SL represents the excess labor need, if any, above 110 hrs.

(Surplus variables cannot be negative so SL > 0)

Reformulation of the example with Slack Variables added

Maximize Subject to: Z = 6T + 8C 30T + 20C < 300 board feet of wood 5T + 10C < 110 hours of labor

The L.P. model adds any needed slack and surplus variables. But, if they are needed, they will appear in the program output. Below is how the program adds the slack variables.
Maximize Subject to: Z = 6T + 8C 30T + 20C + SW = 300 board feet of wood 5T + 10C + SL = 110 hours of labor T, C, SW, SL > 0

A company manufactures two products X and Y whose profit contributions are Rs.10 and Rs. 20 respectively. Product X

requires 5 hours on machine I, 3 hours on machine II and 2

hours on machine III. The requirement of product Y is 3 hours on machine I, 6 hours on machine II and 5 hours on machine III. The available capacities for the planning period for machine I, II and III are 30, 36 and 20 hours respectively. Find the optimal product mix.

A diet is to contain at least 4000 units of carbohydrates, 500 units of fat and 300 units of protein. Two foods A and B are available. Food A costs 2 dollars per unit and food B costs 4 dollars per unit. A unit of food A contains 10 units of carbohydrates, 20 units of fat and 15 units of protein. A unit of food B contains 25 units of carbohydrates, 10 units of fat and 20 units of protein. Formulate the problem as an LPP so as to find the minimum cost for a diet that

consists of a mixture of these two foods and also meets the

minimum requirements.
The above information can be represented as

Let the diet contain x units of A and y units of B. Total cost = 2x + 4y The LPP formulated for the given diet problem is Minimize Z = 2x + 4y subject to the constraints

In the production of 2 types of toys, a factory uses 3 machines A, B and C. The time required to produce the first type of toy is 6 hours, 8 hours and 12 hours in machines A, B and C respectively. The time required to make the second type of toy is 8 hours, 4 hours and 4 hours in machines A,

B and C respectively. The maximum available time (in hours) for the
machines A, B, C are 380, 300 and 404 respectively. The profit on the first type of toy is 5 dollars while that on the second type of toy is 3 dollars. Find the number of toys of each type that should be produced to get maximum The data given in the problem can be represented in a table as follows. profit

Let x = number of toys of type-I to be produced y = number of toys of the type - II to be produced Total profit = 5x + 3y The LPP formulated for the given problem is: Maximize Z = 5x + 3y

subject to the constraints

Standard form of LP problems

Standard form of LP problems must have following three

characteristics:

1. 2. 3.

Objective function should be of maximization type All the constraints should be of equality type All the decision variables should be nonnegative

Standard form
Standard form is a basic way of describing a LP problem. It consists of 3 parts:

A linear function to be maximized maximize

c1x1 + c2x2 + + cnxn

Problem constraints subject to

a11x1 + a12x2 + + a1nxn < b1 a21x1 + a22x2 + + a2nxn < b2 am1x1 + am2x2 + + amnxn < bm

Non-negative variables

e.g. x1, x2 > 0

 The problems is usually expressed in matrix form and then it

becomes: maximize cTx subject to ax < b, x > 0 where X- Vector of decision variables

C- Objective function coefficients

a- Constraint coefficients b- Right hand side of the constraint

Other forms, such as minimization problems, problems with constraints on alternative forms, as well as problems involving negative variables can always be rewritten into an equivalent problem in standard form.

Any linear programming problem can be expressed in standard form by using the following transformations.
1. The maximization of a function f (x1, x2, . . . , xn) is equivalent

to the minimization of the negative of the same function. For

example, the objective function

Consequently, the objective function can be stated in the minimization form in any linear programming problem

2. The decision variables represent some physical dimensions, and hence the variables xj will be nonnegative. However, a variable may be unrestricted in sign in some problems. In such cases, an unrestricted variable (which can take a positive, negative, or zero value) can be written as the difference of two nonnegative variables. Thus if xj is unrestricted in sign, it can be written as xj = x j x j , where

It can be seen that xj will be negative, zero, or positive, depending on whether x j is greater than, equal to, or less than xj

3. If a constraint appears in the form of a less than or equal to type of inequality as

it can be converted into the equality form by adding a nonnegative slack variable xn+1 as follows:

Similarly, if the constraint is in the form of a greater than or

equal to type of inequality as

it can be converted into the equality form by subtracting a variable as

where xn+1 is a nonnegative variable known as a surplus variable.

Converting linear program in standard form into linear

program in slack form: N

Each constraint

a x
j=1

ij j

bi is represented

as xN+i= bi

- a x
j=1

ij j

and xN+i 0.

xN+i are basic variables, or slack variables. The original set of xi are non-basic variables.

General form Vs Standard form

General form
Violating points for standard form of LPP:

1.Objective function is of
minimization type. 2.Constraints are of inequality

type.
3.Decision variable, x2, is unrestricted, thus, may take negative values also. How to transform a general form of a LPP to the standard form ?

General form
General form

Transformation

Standard form
Standard form 1.Objective function

1.Objective function

2. First constraint.

2. First constraint.

3.Second constraint

3.Second constraint

4.Third constraint

4.Third constraint

5. Constraints for decision variables, x1 and x2

5. Constraints for decision variables, x1 and x2

Basic Definitions
Feasible solution. In a linear programming problem, any
solution that satisfies the constraints

is called a feasible solution

Basis. The collection of variables not set equal to zero to obtain the basic solution is called the basis.

Basic solution. A basic solution is one in which n m variables are set

equal to zero. A basic solution can be obtained by setting n m variables to zero and solving the constraint

simultaneously.

Basic feasible solution. This is a basic solution that satisfies the nonnegativity conditions of Eq.

Non-degenerate basic feasible solution. This is a basic feasible solution that has got exactly m positive xi . Optimal solution. A feasible solution that optimizes the objective function is called an optimal solution Optimal basic solution. This is a basic feasible solution for which the objective function is optimal.

Pivotal Operation
Operation at each step to eliminate one variable at a time, from all equations except one, is known as pivotal operation.

Number of pivotal operations are same as the number of variables in the set of equations.

Note: Pivotal equation is transformed first and using the

transformed pivotal equation other equations in the system are transformed. The set of equations (A3, B3and C3) is said to be in Canonical form which is equivalent to the original set of equations (A0, B0and C0)

Three pivotal operations were carried out to obtain the canonical form of set of equations in last example having three variables.

Basic variable, Nonbasic variable, Basic solution, Basic feasible solution

Find all the basic solutions corresponding to the

system of equations

Case 1

Case 2

Case 3

From case 3

The solution obtained by setting the independent variable equal to zero is called a basic solution

and x4 = 0 (nonbasic or independent variable). Since this basic solution has all xj 0 (j = 1, 2, 3, 4), it is a basic feasible solution

Flowchart for finding the optimal solution by the simplex algorithm.

Note that while comparing ( 3 4M) and ( 5 3M), it is decided that ( 3 4M)<( 5 3M) as M is any arbitrarily large number.

Carry out one iteration of the Revised Simplex Method

Where c1=1, c2=9 and c3=1 are the cost coefficients of the given objective function and

b=

9 15 14

Solution: Standard from:

Coefficients of S1,S2,S3 in the objective function CB

Initially B-1 is Unit matrix

Standard form constraints are written in matrix form and represented each column as P1, P2, P3 and P4

P1 1 3 2

P2 2 2 3

P3 3 2 1

P4 1 1 1
Where c1,c2,c3 are the cost coefficients of the given objective function

XB =

The Practical Importance of Duality

Duality arises in nonlinear (and linear) optimization models in a wide variety of settings.

Models of electrical networks. The current flows are primal variables and the voltage differences are the dual variables that arise in consideration of optimization (and equilibrium) in electrical networks.
Models of economic markets. In these models, the primal variables are production levels and consumption levels, and the dual variables are prices of goods and services Structural design. In these models, the tensions on the beams are primal variables, and the nodal displacements are the dual variables.

Nonlinear (and linear) duality is very useful. For example, dual problems and their solutions are used in connection with:
Identifying near-optimal solutions. A good dual solution can be used to bound the values of primal solutions, and so can be used to actually identify when a primal solution is near-optimal. Proving optimality. Using a strong duality theorem, one can prove optimality of a primal solution by constructing a dual solution with the same objective function value. Sensitivity analysis of the primal problem. The dual variable on a constraint represents the incremental change in the optimal solution value per unit increase in the RHS of the constraint

Convergence of improvement algorithms. The dual problem is often used in the convergence analysis of algorithms.
Other uses, too . . . .

Dual Problem. As a definition, the dual problem can be formulated by transposing the rows and columns including the right-hand side and the objective function, reversing the inequalities and maximizing instead of minimizing. Thus by

denoting the dual variables as y1, y2, . . . , ym, the dual

problem becomes

Primal Problem

Dual Problem

Rules for PrimalDual Relations

General Rules for Constructing Dual

1. The number of variables in the dual problem is equal to the number of constraints in the original (primal) problem. The number of constraints in the dual problem is equal to the number of variables in the original problem. 2. Coefficient of the objective function in the dual problem come from the right-hand side of the original problem. 3. If the original problem is a max model, the dual is a min model; if the original problem is a min model, the dual problem is the max problem. 4. The coefficient of the first constraint function for the dual problem are the coefficients of the first variable in the constraints for the original problem, and the similarly for other constraints. 5. The right-hand sides of the dual constraints come from the objective function coefficients in the original problem.

General Rules for Constructing Dual ( Continued)

6. The sense of the ith constraint in the dual is = if and only if the ith variable in the original problem is unrestricted in sign. 7. If the original problem is man (min ) model, then after applying Rule 6, assign to the remaining constraints in the dual a sense the same as (opposite to ) the corresponding variables in the original problem. 8. The ith variable in the dual is unrestricted in sigh if and only if the ith constraint in the original problem is an equality. 9. If the original problem is max (min) model, then after applying Rule 8, assign to the remaining variables in the dual a sense opposite to (the same as) the corresponding constraints in the original problem. Max model xj 0 xj 0 xj free ith const ith const ith const = Min model jth constraint jth constraint jth constraint = yi 0 yi 0 yi free

Write the dual of the following linear programming problem: Maximize f = 50x1 + 100x2 subject to

If a linear programming problem has an optimal solution, then its dual has an optimal solution and the optimal

values of the two problems coincide

Duality Theorems Theorem 1 The dual of the dual is the primal. Theorem 2 Any feasible solution of the primal gives an f value greater than or at least equal to the value obtained by any feasible solution of the dual.

Theorem 3 If both primal and dual problems have feasible

solutions, both have optimal solutions and minimum f = maximum . Theorem 4 If either the primal or the dual problem has an unbounded solution, the other problem is infeasible.

Dual Simplex Method Computationally, the dual simplex algorithm also involves a sequence of pivot operations, but with different rules (compared to the regular simplex method) for choosing the pivot element