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ITM107 LP Sensitivity Analysis

1) The document presents the steps to solve a linear programming problem to maximize the objective function f=2x+9y given three constraints. 2) Applying the steps, the optimal solution is found to be (0,5) with a maximum value of 45. 3) Further analysis identifies the single binding constraint of x+3y≤15 and determines the shadow price of this constraint to be 3. 4) It is found that if the right-hand side of the binding constraint increases by 8%, the change in the objective function value would be an increase of 3.6 units.

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Anne Cada
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85 views4 pages

ITM107 LP Sensitivity Analysis

1) The document presents the steps to solve a linear programming problem to maximize the objective function f=2x+9y given three constraints. 2) Applying the steps, the optimal solution is found to be (0,5) with a maximum value of 45. 3) Further analysis identifies the single binding constraint of x+3y≤15 and determines the shadow price of this constraint to be 3. 4) It is found that if the right-hand side of the binding constraint increases by 8%, the change in the objective function value would be an increase of 3.6 units.

Uploaded by

Anne Cada
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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By: Niruban Arulselvan

LP Sensitivity Analysis
Maximize 𝑓 = 2𝑥 + 9𝑦 given the following constraints

𝑥+𝑦 ≤7
2𝑥 + 2𝑦 ≤ 12
𝑥 + 3𝑦 ≤ 15
Introductory Steps
Step One: Graph the inequalities
Step Two: Determine the feasible region
• Use (0,0) as the test coordinate
• Mark the coordinates

Corners: (0,0), (0,5), (6,0), (1.5, 4.5)

Step 3: Find the Maximum and Optimal Point


➢ Substitute each corner point into the objective function. The highest value is the
maximum value. Do this for every corner value.
o (0,0) = 2(0) + 9(0) = 0
o (0,5) = 2(0) + 9(5) = 45
o (6,0) = 2(6) + 9(0) = 12
o (1.5,4.5) = 2(1.5) + 9(4.5) = 43.5
➢ Maximum Value = 45, Optimal Point = (0,5)
By: Niruban Arulselvan

Identify Binding and Non-Binding Constraints


Step One: Substitute the optimal point into all the constraints
Optimal Point is (0,5)
𝑥 + 𝑦 ≤ 7 → 5 ≤ 7 (Non-Binding Constraint)
2𝑥 + 2𝑦 ≤ 12 → 10 ≤ 12 (Non-Binding Constraint)
𝑥 + 3𝑦 ≤ 15 → 15 ≤ 15 (Binding Constraint)
Step Two:
• If your answer is equal to the Right Hand Side (RHS) of the inequality, then the
constraint is BINDING.
• If your answer is not equal to the RHS of the inequality, then the constraint is NON-
BINDING.
• If your answer is greater than the RHS of the inequality, you’ve made an error with the
beginning steps, go back and correct the error.

Find Redundant Constraints


• Any lines that are NOT on the boundary of the feasible region as shown in the graph
above, are REDUNDANT CONSTRAINTS
• 𝑥 + 𝑦 ≤ 7 IS A REDUNDANT CONSTRAINT

Find the Range of Optimality of the Objective Coefficient


Step One: Find the slope of the objective function.

Objective Function: 𝑓 = 2𝑥 + 9𝑦
• Set the objective function into the notation of Y = Mx + B, where m represents slope.
−2
Mf (slope of objective function)=
9
Step Two: Look at the graph and find the slopes of the lines that INTERSECT with the optimal
point (0,5).

The range of optimality is expressed as 𝒎𝟏 ≤ 𝒎𝒇 ≤ 𝒎𝟐


𝒎𝟏 = Smaller Slope
𝒎𝒇 = Objective Function Slope
𝒎𝟐 = Larger Slope
• Once you have the slopes of your OBJECTIVE FUNCTION and the slopes of the lines that
intersect with your optimal point, you can find the RANGE OF OPTIMALITY.
• The RANGE OF OPTIMALITY is expressed in terms of x and y. This means that there are
two answers.
There is only one line that intersects with the optimal point and falls in the feasible region, and
that is 𝑥 + 3𝑦 ≤ 15
𝟏
The slope of 𝑥 + 3𝑦 ≤ 15 is 𝒎𝟏 = −
𝟑
By: Niruban Arulselvan

Solve for X
Set the numerator of the objective function slope as x
1 𝑥
− ≤−
3 9
𝒙≤𝟑
Solve for Y
Set the denominator of the objective function slope as y
1 2
− ≤−
3 𝑦
𝒚≤𝟔

Therefore the RANGE OF OPTIMALITY IS 𝒙 ≤ 𝟑 AND 𝒚 ≤ 𝟔.

Find the Shadow Price


• What will happen to the objective function if the right side of the constraints increase by
1?
• You must find the shadow prices for BINDING CONSTRAINTS.
• NON-BINDING CONSTRAINTS always have a shadow price of 0.
Step One: Remember the binding and non-binding constraints that were found earlier in the
problem. You can state that the shadow price of a non-binding constraint is 0 (there is nothing
to solve).
𝑥 + 𝑦 ≤ 7 → 5 ≤ 7 (Non-Binding Constraint) Shadow Price = 0
2𝑥 + 2𝑦 ≤ 12 → 10 ≤ 12 (Non-Binding Constraint) Shadow Price = 0
𝑥 + 3𝑦 ≤ 15 → 15 ≤ 15 (Binding Constraint)
Step Two: For the only binding constraint, increase the RHS by 1. (Note: If there were two
binding constraints, you would increase the RHS of the first one, leave the other one
unchanged, then solve for X and Y as in Step 3. Then for the second binding constraint, increase
the RHS of it by 1, leave the first binding constraint unchanged and proceed by solving for X and
Y as in Step 3).
𝑥 + 3𝑦 ≤ 15
𝑥 + 3𝑦 = 16
16
𝑦≤
3
𝑥=0
Step Three: Solve for x and y of the binding constraint. Using either substitution or elimination.
16
𝑥 = 0, 𝑦 =
3
By: Niruban Arulselvan

Step Four: Substitute the values of x and y into the objective function and solve. We’ll call this
FN or F (New).
𝐹 = 2𝑥 + 9𝑦
16
𝐹𝑁 = 2(0) + 9( )
3
𝐹𝑁 = 48

Step Five: Subtract the New value from the Optimal value.
𝑆𝑃3 = 𝐹𝑁 − 𝐹𝑂𝑝𝑡𝑖𝑚𝑎𝑙
48 − 45 = 3
Therefore, the shadow price of 𝑥 + 3𝑦 ≤ 15 is 3.
Since for this problem there is only one binding constraint, you would just do this process for
that one. If there were more than one binding constraints,

Find the Amount of Change in Objective Function if RHS of


Constant Increases by 8%.
Step One: Multiply the RHS of the binding constraint by 0.08.
𝑥 + 3𝑦 ≤ 15 × 0.08
𝑘 = 1.2
Step Two: Multiply the shadow price of the binding constraint by your answer from step one.
The Triangle known as delta ∆ represents change in.
∆𝑂𝑏𝑗𝑒𝑐𝑡𝑖𝑣𝑒 𝐹𝑢𝑛𝑐𝑡𝑖𝑜𝑛 = 𝑆𝑃 × 𝑘
∆𝑂𝑏𝑗𝑒𝑐𝑡𝑖𝑣𝑒 𝐹𝑢𝑛𝑐𝑡𝑖𝑜𝑛 = 3 × 1.2
∆𝑂𝑏𝑗𝑒𝑐𝑡𝑖𝑣𝑒 𝐹𝑢𝑛𝑐𝑡𝑖𝑜𝑛 = 3.6

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