Introduction To Linear Programming

Slides by
John
Loucks
St. Edward’s
University
© 2016 Cengage Learning. All Rights Reserved. May not be copied, scanned, or duplicated, in whole or in part, except for use as permitted
in a license distributed with a certain product or service or otherwise on a password-protected website for classroom use.
1
Chapter 2: Introduction to Linear Programming
 Linear Programming Problem

 Problem Formulation
 A Simple Maximization Problem
 Graphical Solution Procedure
 Extreme Points and the Optimal Solution
 Computer Solutions
 A Simple Minimization Problem
 Special Cases
2
Linear Programming
 Linear programming has nothing to do with computer

programming.
 The use of the word “programming” here means
“choosing a course of action.”
 Linear programming involves choosing a course of
action when the mathematical model of the problem
contains only linear functions.
3
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 a
linear program with two variables.
4
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.
5
Problem Formulation
 Problem formulation or modeling is the process of

translating a verbal statement of a problem into a
mathematical statement.
 Formulating models is an art that can only be
mastered with practice and experience.
 Every LP problems has some unique features, but
most problems also have common features.
 General guidelines for LP model formulation are
illustrated on the slides that follow.
6
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.
7
Example 1: A Simple Maximization Problem
 LP Formulation
Objective
Max 5x1 + 7x2 Function
s.t. x1 < 6
“Regular”
2x1 + 3x2 < 19 Constraints
x1 + x2 < 8
Non-negativity
x1 > 0 and x2 > 0
Constraints
8
Example 1: Graphical Solution
 First Constraint Graphed

x2
8
7 x1 = 6
6
Shaded region
5 contains all
4 feasible points
for this constraint
3
2
(6, 0)
1
x1
1 2 3 4 5 6 7 8 9 10
9
 Second Constraint Graphed

x2
8 (0, 6 1/3)
7
6
5
2x1 + 3x2 = 19
4
Shaded
3
region contains
2 all feasible points (9 1/2, 0)
1 for this constraint
x1
1 2 3 4 5 6 7 8 9 10
10
 Third Constraint Graphed

x2
(0, 8)
8
7
6 x1 + x2 = 8
5
4
Shaded
3
region contains
2 all feasible points
1 for this constraint (8, 0)
x1
1 2 3 4 5 6 7 8 9 10
11
 Combined-Constraint Graph Showing Feasible Region

x2
8
x1 + x2 = 8
7
6 x1 = 6
5
4
3
Feasible 2x1 + 3x2 = 19
2
Region
1
x1
1 2 3 4 5 6 7 8 9 10
12
 Objective Function Line

x2
8
7
(0, 5)
6 Objective Function
5 5x1 + 7x2 = 35
4
3
2
(7, 0)
1
x1
1 2 3 4 5 6 7 8 9 10
13
 Selected Objective Function Lines

x2
8
7
5x1 + 7x2 = 35
6
5 5x1 + 7x2 = 39
4
3 5x1 + 7x2 = 42
2
1
x1
1 2 3 4 5 6 7 8 9 10
14
 Optimal Solution
x2
Maximum
Objective Function Line
8
5x1 + 7x2 = 46
7
6 Optimal Solution
(x1 = 5, x2 = 3)
5
4
3
2
1
x1
1 2 3 4 5 6 7 8 9 10
15
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.
16
Slack and Surplus Variables
 A linear program in which all the variables are non-

negative and all the constraints are equalities is said
to be in standard form.
 Standard form is attained by adding slack variables to
"less than or equal to" constraints, and by subtracting
surplus variables from "greater than or equal to"
constraints.
 Slack and surplus variables represent the difference
between the left and right sides of the constraints.
 Slack and surplus variables have objective function
coefficients equal to 0.
17
Slack Variables (for < constraints)
 Example 1 in Standard Form
Max 5x1 + 7x2 + 0s1 + 0s2 + 0s3
s.t. x1 + s1 = 6
2x1 + 3x2 + s2 = 19
x1 + x2 + s3 = 8
x1, x2 , s1 , s2 , s3 > 0
s1 , s2 , and s3
are slack variables
18
Slack Variables
x2 Third
Constraint: First
8 x1 + x2 = 8 Constraint:
x1 = 6
7
s3 = 0
6 s1 = 1
5
Second
4
Constraint:
3 2x1 + 3x2 = 19
Optimal
2 Solution s2 = 0
1 (x1 = 5, x2 = 3)
x1
1 2 3 4 5 6 7 8 9 10
19
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.
20
Example 1: Extreme Points
x2
8
7 5 (0, 6 1/3)
6
5
4
4 (5, 3)
3 Feasible
Region 3 (6, 2)
2
1 1 (0, 0) 2 (6, 0)
x1
1 2 3 4 5 6 7 8 9 10
21
Computer Solutions
 LP problems involving 1000s of variables and 1000s

of constraints are now routinely solved with computer
packages.
 Linear programming solvers are now part of many
spreadsheet packages, such as Microsoft Excel.
 Leading commercial packages include CPLEX,
LINGO, MOSEK, Xpress-MP, and Premium Solver for
Excel.
22
Interpretation of Computer Output
 In this chapter we will discuss the following output:

• objective function value
• values of the decision variables
• reduced costs
• slack and surplus
 In the next chapter we will discuss how an optimal
solution is affected by a change in:
• a coefficient of the objective function
• the right-hand side value of a constraint
23
Example 1: Spreadsheet Solution
 Partial Spreadsheet Showing Problem Data

A B C D
1 LHS Coefficients
2 Constraints X1 X2 RHS Values
3 #1 1 0 6
4 #2 2 3 19
5 #3 1 1 8
6 Obj.Func.Coeff. 5 7
24
 Partial Spreadsheet Showing Solution

A B C D
8 Optimal Decision Variable Values
9 X1 X2
10 5.0 3.0
11
12 Maximized Objective Function 46.0
13
14 Constraints Amount Used RHS Limits
15 #1 5 <= 6
16 #2 19 <= 19
17 #3 8 <= 8
25
 Interpretation of Computer Output

We see from the previous slide that:
Objective Function Value = 46
Decision Variable #1 (x1) = 5
Decision Variable #2 (x2) = 3
Slack in Constraint #1 = 6– 5=1
Slack in Constraint #2 = 19 – 19 = 0
Slack in Constraint #3 = 8– 8=0
26
Reduced Cost
 The reduced cost for a decision variable whose value

is 0 in the optimal solution is:
the amount the variable's objective function
coefficient would have to improve (increase for
maximization problems, decrease for minimization
problems) before this variable could assume a
positive value.
 The reduced cost for a decision variable whose value
is > 0 in the optimal solution is 0.
27
 Reduced Costs
Adjustable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$B$8 X1 5.000 0.000 5.000 2.000 0.333
$C$8 X2 3.000 0.000 7.000 0.500 2.000
Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$B$13 #1 5.000 0.000 6.000 1E+30 1.000
$B$14 #2 19.000 2.000 19.000 5.000 1.000
$B$15 #3 8.000 1.000 8.000 0.333 1.667
28
Example 2: A Simple Minimization Problem
 LP Formulation
Min 5x1 + 2x2
s.t. 2x1 + 5x2 > 10

4x1 - x2 > 12
x1 + x2 > 4
x1, x2 > 0
29
 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.
30
 Graph the Constraints (continued)

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.
31
 Constraints Graphed
x2
6
Feasible Region
5
4x1 - x2 > 12
4
x1 + x2 > 4
3
2 2x1 + 5x2 > 10
x1
1 2 3 4 5 6
32
 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.
33
 Objective Function Graphed

x2 Min 5x1 + 2x2
6
5
4x1 - x2 > 12
4
x1 + x2 > 4
3
2 2x1 + 5x2 > 10
x1
1 2 3 4 5 6
34
 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
 Solve for the Optimal Value of the Objective Function
5x1 + 2x2 = 5(16/5) + 2(4/5) = 88/5
35
x2
6
4x1 - x2 > 12
5
x1 + x2 > 4
4
Optimal Solution:
3
x1 = 16/5, x2 = 4/5,
2 5x1 + 2x2 = 17.6
1 2x1 + 5x2 > 10
x1
1 2 3 4 5 6
36
Summary of the Graphical Solution Procedure
for Minimization 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 smaller
objective function values without entirely leaving the
feasible region.
 Any feasible solution on the objective function line
with the smallest value is an optimal solution.
37
Surplus Variables
 Example 2 in Standard Form
Min 5x1 + 2x2 + 0s1 + 0s2 + 0s3
s.t. 2x1 + 5x2 - s1 = 10

4x1 - x2 - s2 = 12
x1 + x2 - s3 = 4
x1, x2, s1, s2, s3 > 0
s1 , s2 , and s3 are
surplus variables
38
 Partial Spreadsheet Showing Solution

A B C D
9 Decision Variables
10 X1 X2
11 Dec.Var.Values 3.20 0.800
12
13 Minimized Objective Function 17.600
14
15 Constraints Amount Used Amount Avail.
16 #1 10.4 >= 10
17 #2 12 >= 12
18 #3 4 >= 4
39
 Interpretation of Computer Output
We see from the previous slide that:
Objective Function Value = 17.6

Decision Variable #1 (x1) = 3.2
Decision Variable #2 (x2) = 0.8
Surplus in Constraint #1 = 10.4 - 10 = 0.4
40
Feasible Region
 The feasible region for a two-variable LP problem can

be nonexistent, a single point, a line, a polygon, or an
unbounded area.
 Any linear program falls in one of four categories:
• is infeasible
• has a unique optimal solution
• has alternative 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 maximization problems.
41
Special Cases
 Alternative Optimal Solutions

In the graphical method, if the objective function line
is parallel to a boundary constraint in the direction of
optimization, there are alternate optimal solutions,
with all points on this line segment being optimal.
42
Example: Alternative Optimal Solutions
 Consider the following LP problem.
Max 4x1 + 6x2
s.t. x1 < 6
2x1 + 3x2 < 18
x1 + x2 < 7
x1 > 0 and x2 > 0
43
Example: Alternative Optimal Solutions
 Boundary constraint 2x1 + 3x2 < 18 and objective

function Max 4x1 + 6x2 are parallel. All points on
line segment A – B are optimal solutions.
x2 x +x < 7 1 2
7
6
A
5
B x1 < 6
4
3 2x1 + 3x2 < 18
2
1
x1
1 2 3 4 5 6 7 8 9 10
44
Special Cases
 Infeasibility
• No solution to the LP problem satisfies all the
constraints, including the non-negativity conditions.
• Graphically, this means a feasible region does not
exist.
• Causes include:
• A formulation error has been made.
• Management’s expectations are too high.
• Too many restrictions have been placed on the
problem (i.e. the problem is over-constrained).
45
Example: Infeasible Problem
Max 2x1 + 6x2
s.t. 4x1 + 3x2 < 12

2x1 + x2 > 8
x1, x2 > 0
46
Example: Infeasible Problem
 There are no points that satisfy both constraints, so

there is no feasible region (and no feasible solution).
x2
10
2x1 + x2 > 8
8
6
4x1 + 3x2 < 12
4
x1
2 4 6 8 10
47
Special Cases
 Unbounded
• The solution to a maximization LP problem is
unbounded if the value of the solution may be
made indefinitely large without violating any of the
constraints.
• For real problems, this is the result of improper
formulation. (Quite likely, a constraint has been
inadvertently omitted.)
48
Example: Unbounded Solution
Max 4x1 + 5x2
s.t. x1 + x2 > 5
3x1 + x2 > 8
x1, x2 > 0
49
Example: Unbounded Solution
 The feasible region is unbounded and the objective

function line can be moved outward from the origin
without bound, infinitely increasing the objective
function. x2
10
3x1 + x2 > 8
8
4
x1 + x2 > 5
2
x1
2 4 6 8 10
50
End of Chapter 2
51

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 Linear Programming Problem

 Linear programming has nothing to do with computer

 The maximization or minimization of some quantity is

 If both the objective function and the constraints are

 Problem formulation or modeling is the process of

 Understand the problem thoroughly.

 First Constraint Graphed

 Second Constraint Graphed

 Third Constraint Graphed

 Combined-Constraint Graph Showing Feasible Region

 Objective Function Line

 Selected Objective Function Lines

 Prepare a graph of the feasible solutions for each of

 A linear program in which all the variables are non-

 Example 1 in Standard Form

Max 5x1 + 7x2 + 0s1 + 0s2 + 0s3

 The corners or vertices of the feasible region are

 LP problems involving 1000s of variables and 1000s

 In this chapter we will discuss the following output:

 Partial Spreadsheet Showing Problem Data

 Partial Spreadsheet Showing Solution

 Interpretation of Computer Output

 The reduced cost for a decision variable whose value

Min 5x1 + 2x2

s.t. 2x1 + 5x2 > 10

 Graph the Constraints

 Graph the Constraints (continued)

2 2x1 + 5x2 > 10

 Graph the Objective Function

 Objective Function Graphed

2 2x1 + 5x2 > 10

 Solve for the Extreme Point at the Intersection of the

 Solve for the Optimal Value of the Objective Function

5x1 + 2x2 = 5(16/5) + 2(4/5) = 88/5

1 2x1 + 5x2 > 10

 Prepare a graph of the feasible solutions for each of

 Example 2 in Standard Form

Min 5x1 + 2x2 + 0s1 + 0s2 + 0s3

s.t. 2x1 + 5x2 - s1 = 10

x1, x2, s1, s2, s3 > 0

 Partial Spreadsheet Showing Solution

 Interpretation of Computer Output

We see from the previous slide that:

Objective Function Value = 17.6

 The feasible region for a two-variable LP problem can

 Alternative Optimal Solutions

 Consider the following LP problem.

Max 4x1 + 6x2

x1 > 0 and x2 > 0

 Boundary constraint 2x1 + 3x2 < 18 and objective

 Consider the following LP problem.

Max 2x1 + 6x2

s.t. 4x1 + 3x2 < 12

 There are no points that satisfy both constraints, so

 Consider the following LP problem.

Max 4x1 + 5x2

 The feasible region is unbounded and the objective

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