SHRI GOVIND GURU UNIVERSITY

B.Sc.Sem-5 Material
BSC0C506D:Mathematics(Theory)
Operation Research -1

Unit-I
Unit-I:Convex set and Linear Programming Problem
Convex set,Extreme Points of convex set,convex combination,Examples of convex sets and
Theorems on convexity,Formulation techniques of LP problems (Only Examples)

1 Convex set
Definition 1.1 A subset S of E n is said to be convex set if for all pairs x1 , x2 ∈ S any linear
combination θx1 + (1 − θ)x2 , (0 ≤ θ ≤ 1) is also contained in S.

In other words a convex set is a set of points such that given any two points A, B in that set the
line AB joining them lies entirely within that set.

A B

Convex set

Definition 1.2 A point x in a convex set S is called an extreme point or vertex of S it does not lie
on any line segment joining any two distinct points say x1 and x2 in S.

y x3

x2 x6 x4

x1 x5
x7

Extreme and Non-extreme Points

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Above figure represents some examples of extreme and non-extreme points. It may be noted that
points x1 , x2 , x3 , x4 and x5 are extreme points of convex set S, where x6 and x7 are non-extreme
points.

Example 1 Show that the unit ball in E n is convex set.

Solution: Here unit ball in E n is defined as,

S = {u ∈ E n , kuk ≤ 1}

Let x, y ∈ S, so kxk ≤ 1 and kyk ≤ 1.

Now,

kθx + (1 − θ)yk ≤ kθxk + k(1 − θ)yk (∵ by triangle inequality)

≤ θkxk + (1 − θ)kyk
≤ θ + (1 − θ)
≤1

Thus, θx + (1 − θ)y ∈ S

Hence S is a convex set.

Example 2 Show that S = {(x1 , x2 ); 2x1 + 3x2 = 7} ∈ R2 is a convex set.

Solution: Let x, y ∈ S

x = (x1 , x2 ), y = (y1 , y2 ) ∈ S

∴ 2x1 + 3x2 = 7, 2y1 + 3y2 = 7 (1)

Now we have to prove θx + (1 − θy) ∈ S

θx + (1 − θ)y = θ(x1 , x2 ) + (1 − θ)(y1 , y2 )

= (θx1 , θx2 ) + ((1 − θ)y1 , (1 − θ)y2 )
= (θx1 + (1 − θ)y1 , θx2 + (1 − θ)y2 )
= 2(θx1 + (1 − θ)y1 ) + 3(θx2 + (1 − θ)y2 )
= 2(θx1 ) + 2(1 − θ)y1 + 3(θx2 ) + 3(1 − θ)y2
= θ(2x1 + 3x2 ) + (1 − θ)(2y1 + 3y2 )
= 7θ + (1 − θ)7 (F rom equation (1))
= 7θ + 7 − 7θ
=7

Thus, θx + (1 − θy) ∈ S

Hence S is a convex set.

2
Example 3 Prove that B = {(x1 , x2 )/x1 2 + x2 2 ≤ 4} is convex set.

Solution: Let x, y ∈ B
x = (x1 , x2 ), y = (y1 , y2 ) ∈ B

∴ x1 2 + x2 2 ≤ 4, y1 2 + y2 2 ≤ 4 (2)

Now we have to prove θx + (1 − θy) ∈ B

θx + (1 − θ)y = θ(x1 , x2 ) + (1 − θ)(y1 , y2 )

= (θx1 , θx2 ) + ((1 − θ)y1 , (1 − θ)y2 )
= (θx1 + (1 − θ)y1 , θx2 + (1 − θ)y2 )
= (θx1 + (1 − θ)y1 )2 + (θx2 + (1 − θ)y2 )2
= θ2 x1 2 + (1 − θ)2 y1 2 + 2θx1 (1 − θ)y1 + θ2 x2 2 + (1 − θ)2 y2 2 + 2θx2 (1 − θ)y2
= θ2 (x1 2 + x2 2 ) + (1 − θ)2 (y1 2 + y2 2 ) + 2θ(1 − θ)(x1 y1 + x2 y2 )
≤ 4θ2 + 4(1 − θ)2 + 2θ(1 − θ)4 (From equation (2))
2 2 2
≤ 4θ + 4 + 4θ − 8θ + 8θ − 8θ
≤4

Thus, θx + (1 − θy) ∈ B

Hence B is a convex set.

Definition 1.3 Let u1 , u2 , . . . , um be m points in E n and let θ1 , θ2 , . . . , θm be non-negative real
numbers such that m
X
θj = 1
j=1

then v = θ1 u1 + θ2 u2 + . . . + θm um is called the convex linear combination if point uj ,

j = 1, 2, . . . , m.

Theorem 1 A necessary and sufficient condition for a set S to be convex is that every convex linear
combination in S belongs to S.
OR
Show that the set of all convex combinations of a finite numbers of points of S ⊂ E n is a convex.
OR
Prove that K ⊂ Rn is a convex set if and only if every convex linear combination of elements in K
also belongs to K.

Proof:(⇒) we assume that S consists m points say u1 , u2 , . . . , um .

Suppose that any convex combination of u1 , u2 , . . . , um is also in S.
This implies any convex combination of two points in S belongs to S.
So by the definition of convex set S is convex set.

(⇐) The proof of converse is done by induction on m, the number of elements in convex
combination.
Let S be a convex set and m
X
v= θj uj
j=1

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 The theorem is true for m = 1 by default.
The theorem is true for m = 2 by the definition of convexity,
Now, we need only prove that theorem is true for m = k + 1, under the inductive
hypothesis that it is true for m = k
Suppose that it is true for m = k.
Now consider
m
X k+1
X
v= θj uj , θj = 1, θj ≥ 0, j = 1, 2, . . . k + 1
j=1 j=1

Here two cases arises:

Case-I:- θk+1 = 0

k+1
X k
X
∴v= θj uj = θj uj ∈ S (by hypothesis)
j=1 j=1

Case-II:- θk+1 > 0

k+1
X
v= θj uj
j=1
k
X θj
v = (1 − θk+1 ) uj + θk+1 uk+1
j=1
1 − θk+1

k+1
X
since θj = 1
j=1
k
X
⇒ θj + θk+1 = 1
j=1
k
X
⇒ θj = 1 − θk+1
j=1
k
X θj
⇒ =1
j=1
1 − θk+1

so the vector
k
X θj
z= uj = 1
j=1
(1 − θk+1 )

is a convex combination of the k vectors u1 , u2 , . . . , uk .

so, by the induction hypothesis, z is in S.
By the definition of convexity

v = (1 − θk+1 )z + θk+1 uk+1

is in S.

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Theorem 2 Prove that the intersection of two convex sets is a convex set. Is union of two convex
sets is necessarily convex set. Justify your answer.

Proof: Let S1 and S2 are two convex sets.

We have to prove that S1 ∩ S2 is also convex set.
Let x, y ∈ S1 ∩ S2
⇒ x, y ∈ S1 and x, y ∈ S2
⇒ θx + (1 − θ)y ∈ S1 and θx + (1 − θ)y ∈ S2 (∵ S1 , S2 are convex sets)
⇒ θx + (1 − θ)y ∈ S1 ∩ S2
Thus S1 ∩ S2 is a convex set.

Union of two convex sets is not necessarily convex set

Counter Example:-
Let S1 : x2 + y 2 ≤ 1 is convex set and
Let S2 : (x − 3)2 + y 2 ≤ 1 is a convex set.
Now, we construct set S1 and S2 geometrically.
y

S1 S2

A B
x

By above diagram it is clear that line AB does not belong to S1 ∪ S2 . so, S1 ∪ S2 is not a
convex set.

Definition 1.4 Let S be a set of vectors in E n then, the set of all convex combination of every finite
subset of S is called the convex hull of S and it is written as [S].

OR

A convex hull is the smallest convex set that contains x.

Example 4 Convex hull of

x x ⊂ [S]

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Example 5 convex hull of

x [S]

Definition 1.5 Let a1 , a2 , . . . , an denotes n vectors in E n and let b1 , b2 , . . . , bm denote the corre-
sponding scalars
let Hj = {uj ∈ E n : ai uj ≤ bj }
Each Hj is Half-Space. The set S = m
T
j=1 Hj is a polyhedral convex (convex polyhedral) set.

2 Formulation techniques of LP problems

A Linear Programming Problem (LPP) is a special case of a mathematical programming problem
from an analytical perspective, a mathematical program tries to identify an extreme(i.e. minimum
or maximum) point of a function f (x1 , x2 , . . . , xn ), which furthermore satisfies a set of constraints
g(x1 , x2 , . . . , xn ) ≥ b

Definition 2.1 Linear Programming is the specialization of mathematical programming to the

case where both function f , to be called the objective function, and the problem constraint are
linear.

Model Components:- A model consists of linear relationships representing a firms objective and
resource constraints.

Decision variables:- Mathematical symbols representing levels of activity of an operation.

Objective function:- A linear mathematical relationship describing and objective of the firm, in
terms of decision variables, that is maximized or minimized.

Constraints:- Restrictions placed on the firm by the operating environment stated in linear rela-
tionships of the decision variables.

Parameters/ Cost Coefficients:- Numerical coefficient and constraints used in the objective func-
tion and constraints equations.

Thus, LPP is a collection of the objective function, the set of constraints and the set of non-negative
constraints.

The general Mathematical Model of Linear Programming Problem:-

The general linear programming problem with n decision variables and m constraints can be stated
in the following form:

Find values of decision variables x1 , x2 , . . . , xn that optimize (maximize or minimize)

z = c1 x 1 + c2 x 2 + . . . + cn x n

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Subject to the linear constraints,
a11 x1 + a12 x2 + . . . + a1n xn (≤, =, ≥) b1
a21 x1 + a22 x2 + . . . + a2n xn (≤, =, ≥) b2
.. .. .. ..
. . . .
am1 x1 + am2 x2 + . . . + amn xn (≤, =, ≥) bm
and x1 , x2 , . . . , xn ≥ 0.
The above formulation can also be expressed in a compact form using summation sign.
n
X
optimize (max. or min.) z = cj x j (objective f unction)
j=1

subject to the linear constraints

n
X
aij xj (≤, =, ≥) bi ; i = 1, 2, . . . , m (constraints)
j=1

and xj ≥ 0, j = 1, 2, . . . n. (non − negative conditions)

Steps of formulating of LPP :-
(i) Identify the decision variable of the problems.
(ii) Construct the objective function as a linear combination of decision variable.
(iii) Identify the constraints of the problem such as resources, limitation, inter relation between
variables,etc. Formulate this constraints as linear equality or inequality in terms of non-
negative decision variables.

Example 6 A Manufacturer two types of models M and N. Each M model requires 4 hours of
grinding and 2 hours of polishing whereas each N model requires 2 hours of grinding and 5 hours
of polishing. The manufacturer has 2 grinder and 3 polisher. Each grinder works for 40 hours a
week and each polisher works for 60 hours a week. Profit on model M is Rs. 3 and model N is Rs.
4 whatever is produced in a week is sold in the market. How should the manufacture allocate his
production capacity to the two types of models so that the maximize profit in a week ?

Solution:- Let x1 be the number of model M to be produced and let x2 be the number of model
N to be produced.
clearly, x1 , x2 ≥ 0
The manufacturer gets profit of Rs. 3 for model M and Rs. 4 for model N
So, the objective function is to maximize profit
maximize z = 3x1 + 4x2
Each model M requires 4 hours of grinding and each model N requires 2 hours of
grinding company has 2 grinder and each work 40 hours for week.
subject constraint 4x1 + 2x2 ≤ 80
Each model M requires 2 hours of polishing and each model N requires 5 hours of
polishing company has 3 polisher and maximum available time for polishing is 60 hours
for a week.
subject constraint 2x1 + 5x2 ≤ 180

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 ∴ The manufacturer allocation problem to

maximize z = 3x1 + 4x2

subject to the constraints,

4x1 + 2x2 ≤ 80

2x1 + 5x2 ≤ 180

and x1 , x2 ≥ 0

Example 7 A manufacturer produces two different models X and Y of the same product. Model
X makes a contribution of Rs. 50 per unit and model Y Rs. 30 per unit towards total profit. Raw
materials r1 and r2 are required for production at least 18 kg of r1 and 12 kg of r2 must be used
daily also at most 34 hours of labour are to be utilized. A quantity of 2 kg of r1 is needed for
model X and 1 kg of r1 for model Y. For each X and Y 1 kg of r2 is required.It takes 3 hours to
manufacture model X and 2 hour to manufacture model Y. A manufacturer wishes to maximize the
profit formulate the linear programming problem.

Solution:- Let x1 be the number of model X to be produced and let x2 be the number of model
Y to be produced.
clearly, x1 , x2 ≥ 0
Model X makes a contributing of Rs. 50 and Model Y makes a contributing of Rs. 30
so the objective function is to be maximize profit.

maximize z = 50x1 + 30x2

For model X, 2 kg of r1 is needed for model Y, 1 kg of r1 is needed and

18 kg of r1 must be used.

subject constraint 2x1 + x2 ≤ 18

For model X, 1 kg of r2 is needed for model Y, 1 kg of r2 is needed and

12 kg of r2 must be used.

subject constraint x1 + x2 ≤ 12

Model X takes 3 hours to manufactured and model Y takes 2 hours to manufactured

and 34 hours of labour are to be utilized. So,

subject constraint 3x1 + 2x2 ≤ 34

∴ The manufacturer maximize profit is

maximize z = 50x1 + 30x2

subject to the constraints,

2x1 + x2 ≤ 18
x1 + x2 ≤ 12
3x1 + 2x2 ≤ 34
and x1 , x2 ≥ 0

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Example 8 A person requires 10,12 and 12 units of chemicals A,B and C respectively for his
garden. A liquid product contains 5,2 and 1 units of A,B and C respectively per jar A dry product
contains 1,2 and 4 units of A,B and C respectively per carton. If the liquid product sells for
Rs.30 per jar and the dry product sells for Rs 35 per carton to minimize the cost and meet the
requirements ? Formulate the Linear Programming Problem.

Solution:- Let x1 be the liquid product contain and x2 be the dry product contain

clearly, x1 , x2 ≥ 0

Liquid product sells 30 Rs. per jar and dry product sells for 35 Rs. per carton
so, objective function is to minimized the cost

z = 30x1 + 35x2

A person required for chemical A, 5 units per jar and 1 unit per carton and required
contain 10 units.

subject constraint 5x1 + x2 ≥ 10

A person required for chemical B, 2 units per jar and 2 units per carton and required
contain 12 units.

subject constraint 2x1 + 2x2 ≥ 12

A person required for chemical C, 1 unit per jar and 4 units per carton and required
contain 12 units.

subject constraint x1 + 4x2 ≥ 12

so, purchased in order to minimize case,

maximize z = 30x1 + 35x2

subject to the constraints,

5x1 + x2 ≥ 10
2x1 + 2x2 ≥ 12
x1 + 4x2 ≥ 12
and x1 , x2 ≥ 0

3 Exercises
1. Show that S = {(x1 , x2 ); 3x1 2 + 2x2 2 ≤ 6} is a convex set.

2. Show that S = {(x1 , x2 , x3 ); x1 2 + x2 2 + x3 2 ≤ 1} is a convex set.

3. Show that S = {(x1 , x2 , x3 ); 2x1 − x2 + x3 ≤ 4} is a convex set.

4. If S1 = {x ∈ E n ; kxk ≤ 2} and S2 = {x ∈ E n ; kxk = 2} determine the convexity of S1

and S2 .

5. If S1 = {x ∈ E n ; kxk ≤ 1} and S2 = {x ∈ E n ; kxk = 1} determine the convexity of S1

and S2 .