Operations Research

Dr. Sarat K Jena

Tour decision
Imagine that you have a 5 week business commitment between Goa and
Mumbai. You will fly out of Goa on Mondays and return on
Wednesdays. A regular round-trip ticket cost Rs.8000, but a 20%
discount is granted if the round-trip dates span weekend. A one way
ticket in either direction costs 75% of the regular price. How should you
buy the tickets for the 5-week period?
We look at the situation

• What are the decision alternatives?

• Under what restrictions is the decision made?

• What is an appropriate objective criterion for evaluating the

alternatives?
Three plausible alternatives
• Buy five regular Goa-Mum-Goa for departure on Monday and return
on Wednesday of the same week.
cost=5*8000=40,000
• Buy one Goa-Mumbai, four Mum-Goa-Mub that span weekends, and
one Mum-Goa.
Cost = .75*8000 + 4(.8*8000)+.75*8000=37,600
• Buy one Goa-Mum-Goa to cover Monday of the first week and
Wednesday of the last week and four Mum-Goa-Mum to cover the
remaining legs. All tickets in this alternative span at least one
weekend.
Cost=5*(.8*8000)=32,000
Question arises
• How each component is developed?
• How the resulting model is solved?

Consider forming a maximum-area rectangle out of piece of wire length

L inches. What should be the best width and height of the rectangle?

Here, the number of alternatives are not finite. Because the width and
height of the rectangular can assume an infinite number of values.

w = Width of the rectangular

h = height of the rectangular in inches
• Restriction: 1. Width of the rectangular+ height of the rectangle=Half
the length of the wire. 2. Width and height cannot be negative.
Algebraically, we can define
• 2(w+h)=L
• w ≥0, h ≥ 0
Our question is to maximize the are(z)
Maximize z= wh
subject to
2(w+h)=L
w, h ≥ 0
Nurse allocation
• Nurse scheduling is multi-objective problem. Systematic approach for
nurse allocation is needed to ensure continuous and adequate level of
patient care services while maintaining the legislative requirements as
well as internal policies. This problem becomes complex when
addition factors such as patient admission, nurse qualification or
license to practice, type of disease as well unforeseen accidents.
The personal needs of the nurses such as vacation or work shift
preferences add a new dimension to the scheduling problem. The need
to balance all the various dimension of the problem makes nurse
scheduling a particularly daunting manual task.
There are various grades of nurses ranging from registered nurse to junior
nurse. Some the nurses might be trained to manage certain medical
conditions or skilled in certain area such as intensive care. Due to the
varied trainings and specializations, certain type of nurses has to be staffed
for wards requiring those skills. These varied conditions cause manual
nurse scheduling to consume a significant amount of time. Even when the
schedule has been planned manually, it does not necessarily guarantee the
fairness of distribution of work such as the number of night shifts or
weekend shifts. While the nurses might have indicated their preferences,
the planner might not have taken all these into consideration resulting in
poorly designed schedules which has to be modified by the nurses
swapping duties or working under undesired conditions. Occasionally, the
plans did not attempt to efficiently utilize the manpower properly.
 What is operations research?
• Operations research is a scientific approach to decision making, which seeks to
determine how best to design and operate a system, under the condition requiring
the allocation of scarce resources.
• Extensive applications in Engineering, business and public system
• It was invented/originated during world war II, when British military asked
scientists and mathematicians to analyse the military problems and also to
optimize the loading of cargo on ships and planes and to manage other critical
resources.
• Today it is called Management Science
 Solving the model
The most prominent OR techniques are
• Linear programming
• Integer programming
• Dynamic programming
• Network programming
• Nonlinear programming
 Linear programming
• Linear Programming consists of the two words
• Linear : it is used to describe the relationships between variables
which are directly proportional
• Programming: It means planning of activities in a manner that
achieves some optimal result with available resources.
• Linear programming indicates the planning of decision variables which
are directly proportional to achieve the optimal result considering the
limitations within which the problem to be sold.
• Decision variable: It refers to the economic or physical quantities which are
competing with one another for sharing the given limited resources.
• The linear model consists of the following components:
• A set of decision variables.
• An objective function.
• A set of constraints.
• The Importance of Linear Programming
• Many real world problems lend themselves to linear programming modeling.
• Many real world problems can be approximated by linear models.
• There are well-known successful applications in:
• Manufacturing
• Marketing
• Finance (investment)
• Advertising
• Agriculture
Assumptions of linear programming
• Non-negativity restriction: All decision variables must take on
values equal or greater than zero
• Divisibility: The numerical values are continuous
• Proportionality: The effect of a decision variable in any one
equation is proportional to a constant quantity.
• Certainty: All models are known constant
• Additivity: The combined effect of the decision variables in any
one equation is the algebraic sum of their individual
weighted effects
 The Linear Programming Model
Let: X1, X2, X3, ………, Xn = decision variables
Z = Objective function or linear function
Requirement: Maximization of the linear function Z.
Z = c1X1 + c2X2 + c3X3 + ………+ cnXn …..Eq (1)
subject to the following constraints:

where aij, bi, and cj are given constants.

.
Contd.
The linear programming model can be written in more efficient notation as:

The decision variables, xI, x2, ..., xn, represent levels of n competing activities.
 Examples of LP Problems

1. A Product Mix Problem

• A manufacturer has fixed amounts of different resources such as raw
material, labor, and equipment.

• These resources can be combined to produce any one of several different

products.

• The quantity of the ith resource required to produce one unit of the jth
product is known.

• The decision maker wishes to produce the combination of products that

will maximize total income.
2. A Blending Problem
• Blending problems refer to situations in which a number of components (or
commodities) are mixed together to yield one or more products.
• Typically, different commodities are to be purchased. Each commodity has
known characteristics and costs.
• The problem is to determine how much of each commodity should be
purchased and blended with the rest so that the characteristics of the mixture
lie within specified bounds and the total cost is minimized.
 3. A Production Scheduling Problem

• A manufacturer knows that he must supply a given number of items of a

certain product each month for the next n months.
• They can be produced either in regular time, subject to a maximum each
month, or in overtime. The cost of producing an item during overtime is
greater than during regular time. A storage cost is associated with each item
not sold at the end of the month.
• The problem is to determine the production schedule that minimizes the sum
of production and storage costs.
4. A Transportation Problem

• A product is to be shipped in the amounts al, a2, ..., am from m shipping

origins and received in amounts bl, b2, ..., bn at each of n shipping
destinations.
• The cost of shipping a unit from the ith origin to the jth destination is
known for all combinations of origins and destinations.
• The problem is to determine the amount to be shipped from each origin
to each destination such that the total cost of transportation is a
minimum.
 Developing LP Model
• The variety of situations to which linear programming has been
applied ranges from agriculture to zinc smelting.

• Steps Involved:
• Determine the objective of the problem and describe it by a
criterion function in terms of the decision variables.
• Find out the constraints.
• Do the analysis which should lead to the selection of values for the
decision variables that optimize the criterion function while
satisfying all the constraints imposed on the problem.
Example: Product Mix Problem
The N. Dustrious Company produces two products: I and II. The raw
material requirements, space needed for storage, production rates, and
selling prices for these products are given in Table 1.

The total amount of raw material available per day for both products is 15751b. The
total storage space for all products is 1500 ft2, and a maximum of 7 hours per day can
be used for production.
Example Problem
All products manufactured are shipped out of the storage area at the end of the day.
Therefore, the two products must share the total raw material, storage space, and production
time. The company wants to determine how many units of each product to produce per
day to maximize its total income.

Solution

• The company has decided that it wants to maximize its sale income, which depends on
the number of units of product I and II that it produces.
• Therefore, the decision variables, x1 and x2 can be the number of units of products I and
II, respectively, produced per day.
• The object is to maximize the equation:
Z = 13x1 + 11x2
subject to the constraints on storage space, raw materials, and production time.
• Each unit of product I requires 4 ft2 of storage space and each unit of product II requires 5 ft2. Thus a
total of 4x1 + 5x2 ft2 of storage space is needed each day. This space must be less than or equal to the
available storage space, which is 1500 ft2. Therefore,
4X1 + 5X2  1500
• Similarly, each unit of product I and II produced requires 5 and 3 1bs, respectively, of raw material.
Hence a total of 5xl + 3x2 Ib of raw material is used.
• This must be less than or equal to the total amount of raw material available, which is 1575 Ib.
Therefore,
5x1 + 3x2  1575
• Product A can be produced at the rate of 60 units per hour. Therefore, it must take1
minute or 1/60 of an hour to produce I unit. Similarly, it requires 1/30 of an hour to
produce 1 unit of product B. Hence a total of x1/60 + x2/30 hours is required for the daily
production. This quantity must be less than or equal to the total production time
available each day. Therefore,
x1 / 60 + x2 / 30  7
or x1 + 2x2  420

• Finally, the company cannot produce a negative quantity of any product, therefore x1 and
x2 must each be greater than or equal to zero.
• The linear programming model for this example can be summarized as:
Graphical Solution to LP Problems
 Question
A company makes two kinds of leather belts. Belt A is a high quality belt,
and belt B is of lower quality. The respective profits are Re. 0.40 and Re.
0.30 per belt. Each belt of type A requires twice as much time as a belt of
type B, and if all belts were of type B, the company could make 1,000 per
day. The supply of leather is sufficient for only 800 belts per day (both A
and B combined). Belt A requires a fancy buckle, and only 400 per day are
available. There are only 700 buckles a day available for belt B.

What should be the daily production of each type of belt? Formulate the
linear programming problem.
• Let x1 = Number of Belt A to be produced
• x2 = Number of Belt B to be produced Since the objective is to
maximize the profit,
• the objective function is given by —
Maximize Z = .40x1 + .30x2
Subject to constraints:
2x1 + x2 ≤ 1000 (Total availability of time)
x1 + x2 ≤ 800 (Total availability of leather)
x1 ≤ 400 (Availability of buckles for belt A)
x2 ≤ 700 (Availability of buckles for belt B)
x1, x2 ≥ 0 (Non-negativity constraint)
Question
A publisher of textbooks is in the process of presenting a new book to the
market. The book may be bound by either cloth or hard paper. Each cloth
bound book sold contributes Rs. 24, and each paper-bound book contributes
Rs. 23. It takes 10 minutes to bind a cloth cover, and 9 minutes to bind a
paperback. The total available time for binding is 800 hours. After
considerable market survey, it is predicted that the cloth-cover sales will
exceed at least 10,000 copies, but the paperback sales will be not more than
6,000 copies. Formulate the problem as a LP problem.
 Solution
• Let x1 = Number of books bound by cloth
• x2 = Number of books bound by hard paper
• Since the objective is to maximize the profit, the objective function is
given by —
Maximize Z = 24x1 + 23x2
Subject to constraints:
10x1 + 9x2 ≤ 48,000 (Total time available in minutes)
x1 ≥ 10,000 (Minimum sales of cloth-cover books)
x2 ≤ 6,000 (Maximum sales of hard paper books)
x2 ≥ 0 (Non-negativity constraint)
 Question
A manufacture produces three models, I, II, and III, of a certain product
using raw materials A and B. The following tables gives the data for the
problem:
Requirements per unit
R/M I II III Availability
A 2 3 5 4000
B 4 2 7 6000
Minimum demand 200 200 150
Price per unit($) 30 20 50

The labour time per unit of model I is twice that of II and three times of III.
The entire labour force of the factory can produce the equivalent of 1500
units I. Market requirements specify the ratios 3:2:5 for the production of
the three respective models. Formulate the problems as a linear program.
 Answer
x1, x2 and X3 are the number of units of product for I,II and III.
Maximize z=30x1+20x2+50x3
Subject to
2 x1+3x2+5x3 ≤ 4000
4x1+2x2+7x3 ≤ 6000
x1+.5x2+.33x3 ≤ 1500
2 x1-3 x2 =0
5x2-2x3=0
x1 ≥ 200, x2 ≥200, x1 ≥150
x1, x2, x3 ≥0
 Some Examples
• A garment manufacturer has a production line making two styles of shirts, Style I
requires 200 grams of cotton thread, 300 grams of Dacron thread, and 300 grams of
linen thread. Style II requires 200grams of cotton thread, 200 grams of Dacron thread
and 100 grams of linen thread. The manufacturer makes a net profit of Rs.19.50 on
style I, Rs.15.90 on Style II. He has in hand an inventory of 24 kg of cotton thread, 26
kg of Dacron thread and 22 kg of linen thread. His immediate problem is to determine a
production schedule, given the current inventory to make maximum profit. Formulate
the LPP model
• A person requires 10,12,& 12 units chemicals A, B,& C respectively for his garden. A
liquid product contains 5, 2 and 4 units of A, B & C respectively per jar. A dry products
contains 1, 2 & 4 units of A, B and C per carton. If the liquid product sells for Rs.3 per
jar and the dry product sells for Rs.2 per carton. How many should be purchased in
order to minimize the cost and meet the requirements. Formulate the LPP model
Graphical Method
 Steps
• Consider any type of inequality constraint(≥ & ≤) as = one.
• Now, draw the line corresponding to equality constraint and
corresponding to x ≥ 0, y≥0 and shade the region corresponding to the
segment in he first quadrant.
• Repeat the steps(1), (2),and(3) above for all the constraints given in the
problem.
• Find the region( in the first quadrant) which is the most common to all
the constraints. The region, if it exists, is the feasible region.
• If either the feasible region is convex and bounded or has a lower
bound(bounded below) then the optimal solution to the problem exists on
at least of the vertices.(Practically, we find all the vertices of the convex
region, evaluate the objective function at these vertices, and pick up the
optimum value and corresponding vertex/vertices).
The Galaxy Industries Production Problem : A Prototype Example
• Galaxy manufactures two toy doll models:
• Space Ray.
• Zapper.
• Resources are limited to
• 1000 pounds of special plastic.
• 40 hours of production time per week.
• Marketing requirement
• Total production cannot exceed 700 dozens.
• Number of dozens of Space Rays cannot exceed number of
dozens of Zappers by more than 350.
• Technological input
– Space Rays requires 2 pounds of plastic and
3 minutes of labor per dozen.
– Zappers requires 1 pound of plastic and
4 minutes of labor per dozen.
• The current production plan calls for:
• Producing as much as possible of the more profitable product, Space Ray ($8
profit per dozen).
• Use resources left over to produce Zappers ($5 profit per dozen), while
remaining within the marketing guidelines.

• The current production plan consists of:

8(450) + 5(100)
Space Rays = 450 dozen
Zapper = 100 dozen
Profit = $4100 per week

Management is seeking a
production schedule that will
increase the company’s profit.
 The Galaxy Linear Programming Model
• Decisions variables:
• X1 = Weekly production level of Space Rays (in dozens)
• X2 = Weekly production level of Zappers (in dozens).

• Objective Function: Max 8X1 + 5X2 (Weekly profit)

• Weekly profit, to be maximized
subject to
2X1 + 1X2 1000 (Plastic)
3X1 + 4X2 2400 (Production Time)
X1 + X2 700 (Total production)
X1 - X2 350 (Mix)
Xj> = 0, j = 1,2 (Non negativity)
The Graphical Analysis of Linear Programming

The set of all points that satisfy all the

constraints of the model is called
a

FEASIBLE REGION
Using a graphical presentation
we can represent all the constraints,
the objective function, and the three
types of feasible points.
Graphical Analysis – the Feasible Region

X2

The non-negativity constraints

X1
 Graphical Analysis – the Feasible Region

X2

1000 The Plastic constraint

2X1+X2  1000
700 Total production constraint:
X1+X2  700 (redundant)
500

Infeasible
Production Feasible
Time
3X1+4X2  2400 X1
500 700 800
 Graphical Analysis – the Feasible Region
X2
1000 The Plastic constraint
2X1+X2 1000
700 Total production constraint:
X1+X2 700 (redundant)
500
Infeasible
Production mix
constraint:
Production Feasible X1-X2  350
Time
3X1+4X22400
X1
500 700
Interior points. Boundary points. Extreme points.
• There are three types of feasible points 42
Solving Graphically for an Optimal Solution
 The search for an optimal solution

X2 Start at some arbitrary profit, say profit = $2,000...

1000 Then increase the profit, if possible...
...and continue until it becomes infeasible

700 Profit=$4360
500

X1
44
500
 Summary of the optimal solution

Space Rays = 320 dozen

Zappers = 360 dozen
Profit = $4360
• This solution utilizes all the plastic and all the production
hours.

• Total production is only 680 (not 700).

• Space Rays production exceeds Zappers production by only

40 dozens.
 Question from Graphical method
A company produces two products, A and B. The sales volume for A is at
least 80% of the total sales of both A and B. However, the company cannot
sell more than 100 units of A per day. Both products use one raw material,
of which the maximum daily availability is 240 lb. The usage rate of the
raw material are 2 lb per unit off A and 4 lb per unit of B. The profit units
for A and B are $20 and $50, respectively. Determine the optimal product
mix for the company.
Answer
X1= number of units of A
X2=Number of units of B (x1,x2)=(80,20), z=2,600
Maximize z=20x1+50x2
Subject to
(x1+x2).8 ≤ x1
x1 ≤ 100
2x1+4x2 ≤ 240
x1, x2 ≥ 0
 Contd…
A person requires 10, 12, and 12 units chemicals A, B & C respectively
for his garden. A liquid product contains 5, 2 and 4 units of A, B and C
respectively per jar. A dry products contains 1, 2 and 4 units of A, B and
C per carton. If the liquid product sells for Rs.3 per jar and the dry
product sells for Rs.2 per carton, how many each should be purchased in
order to minimize the cost and meet the requirements
Answer
Min Z= 3x1+2x2
Subject to
5x1+x2 >= 10
2x1+2x2 >=12
4x1 +4x2 >=12
x1>=0, x2>=0
Variable Status Value
X1 Basic 1
X2 Basic 5
Optimal Value (Z) 13
 Question
1. Determine the feasible space for each of the following independent
constrains, given that x1, x2 ≥0
a. -3x1 + x2 ≥ 6
b. -x1 + x2 ≥ 0

2. Identify the direction of increase in z in each of the following cases:

a. maximize z= x1-x2
b. maximize z= -3x1+x2
 Question
Consider the following LP:
Maximize z = 2x1+3x2
Subject to
x1+3x2 ≤ 6
3x1+2x2 ≤ 6
x1, x2 ≥ 0
a. Use direct substitution in the objective function to determine the
optimum basic feasible solution. x1=6/7, x2=12/7, z=48/7

b. Show how the infeasible basic solutions are represented on the

graphical solution space (0,3) and (6,0)
 Question
• A company is planning to determine its product mix out of three different products: P1, P2 and P3. The

monthly sales of the product P1 is limited to a maximum of 500 units. For every 2 units of product P2 there

will be one unit of by-product which can be sold at the rate of Rs. 20 per unit. The highest monthly demand for

this by-product is 200 units. The contributions per unit of the product P1, P2 and P3 are Rs. 50, Rs. 70 and Rs.

60 respectively. The processing requirements of these products are as below-

Process Hours per Unit Available Hours

P1 P2 P3

I 3 5 2 1000

II 4 - 3 700

III 4 3 2 1300

Formulate a LPP model with the objective to maximize the total contribution.
Max z=50x1+70x2+60x3+x2/2*20
Subject to
3x1+5x2+2x3 <=1000
4x1+3x3<=700
4x1+3x2+2x3<=1300
x1<=500
x2<=400
x1, x2 >=0
 Question

X1 X2 Z
2 3 -4
3 4 -5
2.666667 2 -1.333333
5 2 1
5 4 -3

Maximize z=x1-2x2
Subject to
-x1 + x2 <= 1
6x1 + 4x2 >= 24
0 ≤ x1 ≤ 5, 2 ≤ x2 ≤ 4,
Models Without Unique Optimal Solutions

• Infeasibility: Occurs when a model has no feasible

point.
• Unboundness: Occurs when the objective can become
infinitely large (max), or infinitely small (min).
• Alternate solution: Occurs when more than one point
optimizes the objective function
 Infeasible Model

No point, simultaneously,
lies both above line 1 and
below lines 2 and 3
2 .

3 1
Solver – Infeasible Model
Unbounded solution

Solver – Unbounded solution
 Solver – An Alternate Optimal Solution

• Solver does not alert the user to the existence of alternate optimal
solutions.
• Many times alternate optimal solutions exist when the allowable increase
or allowable decrease is equal to zero.
• In these cases, we can find alternate optimal solutions using Solver by the
following procedure:
 Shadow Prices

Assuming there are no other changes to the input

parameters, the change to the objective function value
per unit increase to a right hand side of a constraint is
called the “Shadow Price”
 Shadow Price – graphical demonstration
The Plastic
constraint X2
When more plastic becomes available (the
plastic constraint is relaxed), the right hand
side of the plastic constraint increases.
1000

Maximum profit = $4360

Maximum profit = $4363.4

500
Shadow price =
4363.40 – 4360.00 = 3.40

Production time X1
constraint
500
 Range of Feasibility

• Assuming there are no other changes to the input

parameters, the range of feasibility is
• The range of values for a right hand side of a constraint,
in which the shadow prices for the constraints remain
unchanged.
• In the range of feasibility the objective function value
changes as follows:
Change in objective value =
[Shadow price][Change in the right hand side value]
The Plastic
Range of Feasibility
constraint
X2

Increasing the amount of

plastic is only effective until a
1000
new constraint becomes active.
Production mix A new active
constraint constraint
X1 + X2  700
500
This is an infeasible solution
Production time
constraint

X1
500
 Range of Feasibility
The Plastic
constraint
X2

Note how the profit

1000 increases as the amount of
plastic increases.

500

Production time
constraint
X1
500
 Range of Feasibility
X2

Less plastic becomes available (the

1000 plastic constraint is more restrictive).
Infeasible
solution The profit decreases

500

A new active
constraint
X1

500
 The correct interpretation of shadow price

• Sunk costs: The shadow price is the value of an extra

unit of the resource, since the cost of the resource is not
included in the calculation of the objective function
coefficient.

• Included costs: The shadow price is the premium value

above the existing unit value for the resource, since the
cost of the resource is included in the calculation of the
objective function coefficient.
 Simplex Method
The geometric method of solving linear programming problems
presented before. The graphical method is useful only for problems
involving two/three decision variables and relatively few problem
constraints.

What happens when we need more decision variables and more

problem constraints?

We use an algebraic method called the simplex method, which was

developed by George B. DANTZIG (1914-2005) in 1947 while on
assignment with the U.S. Department of the air force.
The simplex technique involves generating a series of solutions in
tabular form, called tableaus. By inspecting the bottom row of each
tableau, one can immediately tell if it represents the optimal solution.
Each tableau corresponds to a corner point of the feasible solution
space. The first tableau corresponds to the origin. Subsequent tableaus
are developed by shifting to an adjacent corner point in the direction
that yields the highest (smallest) rate of profit (cost). This process
continues as long as a positive (negative) rate of profit (cost) exists.
The key solution concepts
Solution Concept 1: the simplex method focuses on CPF
solutions.
Solution concept 2: the simplex method is an iterative
algorithm (a systematic solution procedure that keeps
repeating a fixed series of steps, called, an iteration, until a
desired result has been obtained) with the following
structure:
Simplex algorithm
Initialization: setup to start iterations, including
finding an initial CPF solution

Optimality test: is the current CPF solution

optimal?

if no if yes stop

Iteration: Perform an iteration to find a

better CFP solution
 Simplex method in tabular form

2. Test for optimality:

Case 1: Maximization problem
the current BF solution is optimal if every coefficient in the objective
function row is nonnegative
Case 2: Minimization problem
the current BF solution is optimal if every coefficient in the objective
function row is nonpositive
 Slack Variables and Surplus Variable
“A mathematical representation of surplus resources.” In real life
problems, it’s unlikely that all resources will be used completely, so there
usually are unused resources.
 Slack variables represent the unused resources between the left-hand
side and right-hand side of each inequality.
 Constraints of type (≤) : for each constraint i of this type, we add a
slack variable si, such that si is nonnegative.
Example: x1 + 2x2 ≤ 10 translates into x1 + 2x2 + s1=10
 Constraints of type (≥) : for each constraint i of this type, we add a
Surplus variable si, such that si is nonnegative.
Example: x1 + 2x2 ≥ 10 translates into x1 + 2x2 - s1=10
 Basic and Nonbasic Variables
Basic variables are selected arbitrarily with the restriction that there be as
many basic variables as there are equations. The remaining variables are
non-basic variables.
x1  2 x2  s1  32
3x1  4 x2  s2  84

This system has two equations, we can select any two of the four variables
as basic variables. The remaining two variables are then non-basic
variables. A solution found by setting the two non-basic variables equal to 0
and solving for the two basic variables is a basic solution. If a basic
solution has no negative values, it is a basic feasible solution.
 To solve a linear programming problem in standard form, use the
following steps.
Step I: Check whether the objective function of the given LPP is to maximized or minimized. If
it is to be minimized then we convert it into a problem of Maximization

Min Z= -max(-Z)

Step II: Check whether all bi (i= 1, 2, 3,…m) are positive. If any one of 𝑏𝑖 is negative then
multiply the in equation of the constraint by -1 so as to get all 𝑏𝑖 to be positive

Step III: Express the problem in standard form by introducing slack/surplus variables, to convert
the inequality constraints into equation.

Step IV: Create the initial simplex tableau.

Step V: Select the pivot column(entering variable) :The column with the “most negative value”
element in the last row.
Step VI: Select the pivot row(leaving variable): The row with the smallest non-negative result when the
last element in the row is divided by the corresponding in the pivot column.)
Step VII: Use elementary row operations calculate new values for the pivot row so that the pivot is 1
(Divide every number in the row by the pivot number.) ( Pivot number: the number in the
intersection of the pivot row and pivot column)
Step VIII: Form a new basis by dropping in the leaving variable and introducing the entering variable
along with the associate value.
𝑒𝑙𝑒𝑚𝑒𝑛𝑡 𝑜𝑛 𝑡ℎ𝑒 𝑙𝑖𝑛𝑒 𝑜𝑓 𝑡ℎ𝑒 𝑝𝑖𝑣𝑜𝑡∗𝑒𝑙𝑒𝑚𝑒𝑛𝑡 𝑖𝑛 𝑡ℎ𝑒 𝑐𝑜𝑙𝑢𝑚𝑛 𝑜𝑓 𝑡ℎ𝑒 𝑝𝑖𝑣𝑜𝑡
So new element= old element−
𝑝𝑖𝑣𝑜𝑡
Step X: Stopping the iteration
We stop when we reach the optimality criterion. The simplex algorithm stops when:
there is no negative solution in the last row: basic variables for maximization and there is no
positive in the last row for minimization.
 Simplex method
• Example (All constraints are )
Solve the following problem using the simplex method
• Maximize
Z = 3X1+ 5X2
Subject to
X1  4
2 X2  12
3X1 +2X2  18
X1 , X2  0
 Simplex method
• Solution
• Initialization
1. Standard form
Maximize Z, Sometimes it is called the augmented form of
the problem because the original form has been
Subject to augmented by some supplementary variables
needed to apply the simplex method
Z - 3X1- 5X2 =0

X1 + S1 = 4
2 X2 + S2 = 12
3X1 +2X2 + S3 = 18
X1 , X2, S1, S2, S3  0
 Definitions
• A basic solution is an augmented corner point solution.
• A basic solution has the following properties:
1. Each variable is designated as either a nonbasic variable or a basic variable.
2. The number of basic variables equals the number of functional constraints.
Therefore, the number of nonbasic variables equals the total number of variables
minus the number of functional constraints.
3. The nonbasic variables are set equal to zero.
4. The values of the basic variables are obtained as simultaneous solution of the system
of equations (functional constraints in augmented form). The set of basic variables
are called “basis”
5. If the basic variables satisfy the nonnegativity constraints, the basic solution is a
Basic Feasible (BF) solution.
Initial tableau
Entering
2. Initial tableau variable

Basic X1 X2 S1 S2 S3 RHS
variable
S1 1 0 1 0 0 4
S2 0 2 0 1 0 12
S3 3 2 0 0 1 18
Z -3 -5 0 0 0 0

Leaving Pivot row

Pivot column
variable Pivot
number
 Simplex tableau
Notes:
• The basic feasible solution at the initial tableau is (0, 0,
4, 12, 18) where:
X1 = 0, X2 = 0, S1 = 4, S2 = 12, S3 = 18, and Z = 0
Where S1, S2, and S3 are basic variables
X1 and X2 are nonbasic variables
• The solution at the initial tableau is associated to the
origin point at which all the decision variables are zero.
 Optimality test
• By investigating the last row of the initial tableau, we find that there are
some negative numbers. Therefore, the current solution is not optimal
 Iteration
• Step 1: Determine the entering variable by selecting the variable with the most
negative in the last row.
• From the initial tableau, in the last row (Z row), the coefficient of X1 is -3 and the
coefficient of X2 is -5; therefore, the most negative is -5. consequently, X2 is the
entering variable.
• X2 is surrounded by a box and it is called the pivot column
• Step 2: Determining the leaving variable by using the minimum ratio test as following:
Basic Entering RHS Ratio
variable variable X2
(1) (2) (2)(1)
S1 0 4 None
S2 2 12 6
Leaving Smallest ratio
S3 2 18 9
 Iteration
• Step 3: solving for the new BF solution by using the
eliminatory row operations as following:
1. New pivot row = old pivot row  pivot number

Basic X1 X2 S1 S2 S3 RHS
variable
S1
X2 0 1 0 1/2 0 6
S3
Z
Note that X2 becomes in the basic
variables list instead of S2
 Iteration
2. For the other row apply this rule:
New row = old row – the coefficient of this row in the pivot column × (new pivot row).
For S1 Row
X1 X2 S1 S2 S3 RHS
1 0 1 0 0 4
̶
0 ×(0 1 0 1/2 0 6)
1 0 1 0 0 4
For S3 Row
3 2 0 0 1 18
̶
2 ×(0 1 0 1/2 0 6)
3 0 0 -1 1 6 Substitute this
for Z Row values in the
-3 -5 0 0 0 0 table
̶
-5× (0 1 0 1/2 0 6)
-3 0 0 5/2 0 30
 Iteration
This solution is not optimal, since there is a negative numbers in the last row

Basic X1 X2 S1 S2 S3 RHS
variable
S1 1 0 1 0 0 4
X2 0 1 0 1/2 0 6
S3 3 0 0 -1 1 6
Z -3 0 0 5/2 0 30

The smallest ratio is

The most negative
6/3 =2; therefore, S3 is
value; therefore, X1
the leaving variable
is the entering
variable
 Iteration
• Apply the same rules we will obtain this solution:

Basic X1 X2 S1 S2 S3 RHS
variable
S1 0 0 1 1/3 -1/3 2
X2 0 1 0 1/2 0 6
X1 1 0 0 -1/3 1/3 2
Z 0 0 0 3/2 1 36

This solution is optimal; since there is no negative solution in the last row: basic
variables are X1 = 2, X2 = 6 and S1 = 2; the nonbasic variables are S2 = S3 = 0
Z = 36
 Problem 1
The Cannon Hill furniture Company produces tables and chairs.
Each table takes four hours of labor from the carpentry
department and two hours of labor from the finishing department.
Each chair requires three hours of carpentry and one hour of
finishing. During the current week, 240 hours of carpentry time
are available and 100 hours of finishing time. Each table produced
gives a profit of $70 and each chair a profit of $50. How many
chairs and tables should be made?
 STEP 1
All information about example
Resource Table s ( x1 ) Chairs (x2 ) Constraints
Carpentry (hr) 4 3 240
Finishing (hr) 2 1 100
Unit Profit $70 $50

Objective Function Z  70 x1  50 x2

Carpentry Constraint 4 x1  3x2  240

Finishing Constraint 2 x1  1x2  100

Non-negativity conditions x1 , x2  0
The first step of the simplex method requires that each inequality be converted into an
equation. ”less than or equal to” inequalities are converted to equations by including
slack variables.
Suppose s1 carpentry hours and s2 finishing hours remain unused in a week. The
constraints become;
or

4 x1  3x2  s1  240 4 x1  3x2  s1  0s2  240

2 x1  x2  s2  100 2 x1  x2  0s1  s2  100

As unused hours result in no profit, the slack variables can be included in the objective
function with zero coefficients:
Z  70 x1  50 x2  0s1  0s2
Z  70 x1  50 x2  0s1  0s2  0
 STEP 2
Basic
x1 x2 S1 S2 RHS
Variables

S1 4 3 1 0 240
S2 2 1 0 1 100
Z -70 -50 0 0 0

The tableau represents the initial solution;

x1  0, x2  0, s1  240, s2  100, Z  0

The slack variables S1 and S2 form the initial solution mix. The initial solution
assumes that all avaliable hours are unused. i.e. The slack variables take the largest
possible values.
 STEP 3
Select the pivot column (determine which variable to enter into the
solution mix). Choose the column with the “most negative”
element in the objective function row.

Right
Basic
x1 x2 S1 S2 hand
Variables
side
S1 4 3 1 0 240
S2 2 1 0 1 100
Z -70 -50 0 0 0

Pivot column
x1 should enter into the solution mix because each unit of x1 (a table) contributes a
profit of $70 compared with only $50 for each unit of x1 (a chair)
STEP 5
Select the pivot row (determine which variable to replace in the solution mix).
Divide the last element in each row by the corresponding element in the
pivot column. The pivot row is the row with the smallest non-negative
result.
Enter

Basic
x1 x2 S1 S2 RHS
Variables

S1 4 3 1 0 240 240/ 4  60
Leaving S2 2 1 0 1 100 100/ 2  50
Z -70 -50 0 0 0
Pivot row
Pivot
column
Pivot number
Should be replaced by x1 in the solution mix. 60 tables can be
made with 240 unused carpentry hours but only 50 tables can
be made with 100 finishing hours. Therefore we decide to make
50 tables.
Now calculate new values for the pivot row. Divide every number
in the row by the pivot number.

Basic Right hand

x1 x2 S1 S2
Variables side

S1
x1 1 1/2 0 1/2 50 R2
2
Z
Use row operations to make all numbers in the pivot column
equal to 0 except for the pivot number which remains as 1.

Right
Basic
x1 x2 S1 S2 hand
Variables
side
S1 0 1 1 -2 40
x1 1 1/2 0 1/2 50
Z 0 -15 0 35 3500

If 50 tables are made, then the unused carpentry hours are reduced
by 200 hours (4 h/table multiplied by 50 tables); the value changes
from 240 hours to 40 hours. Making 50 tables results in the profit
being increased by $3500; the value changes from $0 to $3500.
 In this case, x1  50, x2  0, s1  40, s2  0, Z  3500
Now repeat the steps until there are no negative numbers in the last row.

Select the new pivot column. x2 should enter into the solution mix.
Select the new pivot row. S1 should be replaced by x2 in the solution mix.
Enter

Right
Basic
x1 x2 S1 S2 hand
Variables
side
Exit S1 0 1 1 -2 40 40/1  40
x1 1 1/2 0 1/2 50 50/ 0,5  100

P 0 -15 0 35 3500
New pivot
New pivot row
column
Calculate new values for the pivot row. As the pivot number is already 1,
there is no need to calculate new values for the pivot row.

Use row operations to make all numbers in the pivot column equal to
except for the pivot number.

Right
Basic
x1 x2 S1 S2 hand
Variables
side
x2 0 1 1 -2 40
x1 1 0 -1/2 3/2 30
Z 0 0 15 5 4100
If 40 chairs are made, then the number of tables are reduced by 20 tables (1/2
table/chair multiplied by 40 chairs); the value changes from 50 tables to 30 tables.
The replacement of 20 tables by 40 chairs results in the profit being increased by
$600; the value changes from $3500 to $4100.

As the last row contains no negative numbers, this solution gives the maximum value
of P.
 Result

This simplex tableau represents the optimal solution to the LP problem and
is interpreted as:
and profit or Z=$4100
x1  30, x2  40, s1  0, s2  0
The optimal solution (maximum profit to be made) is to company 30 tables
and 40 chairs for a profit of $4100.
 Duality Theory

The theory of duality is a very elegant and important

concept within the field of operations research. This
theory was first developed in relation to linear
programming, but it has many applications, and perhaps
even a more natural and intuitive interpretation, in several
related areas such as nonlinear programming, networks
and game theory.
 The notion of duality within linear programming
asserts that every linear program has associated with it
a related linear program called its dual. The original
problem in relation to its dual is termed the primal.
 It is the relationship between the primal and its dual,
both on a mathematical and economic level, that is
truly the essence of duality theory.
 Examples
There is a small company in Melbourne which has recently become
engaged in the production of office furniture. The company
manufactures tables, desks and chairs. The production of a table
requires 8 kgs of wood and 5 kgs of metal and is sold for $80; a
desk uses 6 kgs of wood and 4 kgs of metal and is sold for $60; and
a chair requires 4 kgs of both metal and wood and is sold for $50.
We would like to determine the revenue maximizing strategy for
this company, given that their resources are limited to 100 kgs of
wood and 60 kgs of metal.
Problem

max Z  80 x1  60 x 2  50 x 3
x
8 x1  6 x 2  4 x3  100
5x1  4 x2  4 x 3  60
x1 , x 2 , x3  0
Now consider that there is a much bigger company in
Melbourne which has been the lone producer of this type of
furniture for many years.They don't appreciate the competition
from this new company; so they have decided to tender an offer
to buy all of their competitor's resources and therefore put them
out of business.
The challenge for this large company then is to develop a
linear program which will determine the appropriate amount
of money that should be offered for a unit of each type of
resource, such that the offer will be acceptable to the smaller
company while minimizing the expenditures of the larger
company.
Relationships between Primal and Dual Problems

One Problem Other Problem

Constraint i i
Variable
Objective function Right sides

Minimization Maximization
0 
Variables
0  Constraints
Unrestricted 
 0
Constraints
 0 Variables
 Unrestricted
min w  100 y1  60 y2
y
8 y1  5 y2  80
6 y1  4 y2  60
4 y1  4 y2  50
y1, y2  0
Example
• Write the dual problem associated with this problem:
Minimize C  6x  8 y
subject to 40 x  10 y  2400
10 x  15 y  2100 Primal
Problem
5 x  15 y  1500
x, y  0
• We first write down a tableau for the primal problem:
x y Constant
40 10 2400
10 15 2100
5 15 1500
6 8
Example
x y Constant
40 10 2400
10 15 2100
5 15 1500
6 8

• Next, we interchange the columns and rows of the tableau and head the
three columns of the resulting array with the three variables u, v, and w,
obtaining
u v w Constant
40 10 5 6
10 15 15 8
2400 2100 1500
Example
u v w Constant
40 10 5 6
10 15 15 8
2400 2100 1500

• Consider the resulting tableau as if it were the initial

simplex tableau for a standard maximization problem.
• From it we can reconstruct the required dual problem:
Maximize P  2400u  2100v  1500w
subject to 40u  10v  5w  6 Dual
10u  15v  15w  8 Problem

u, v , w  0
 Goal Programming

In many linear programming problems, the

objective function or goal extends beyond
just maximizing total profit or minimizing
total cost.
How do you find optimal solutions to the following?

• Multiple criterion for measuring performance (car with low

cost, good gas mileage, stylish, etc.. / attend school with
good reputation, low tuition, close to home, right program…)

• Multiple objectives / goals

(e.g. Minimize service cost, maximize customer satisfaction)

Answer: Use Goal Programming

 Goal Programming
POSSIBLE ECONOMIC GOALS

 Maximizing market share

 Maintaining full employment

 Minimizing production idle time

 Restricting overtime labor

 Adhering to limited storage

space

Applied Management Science for Decision Making, 2e © 2014 Pearson Learning Solutions
Multiple Objectives
TWO APPROACHES

1st Approach

DEVELOP A SINGLE OBJECTIVE

FUNCTION THAT ADDRESSES
ALL GOALS SIMULTANEOUSLY

THIS IS ACCOMPLISHED
BY CONVERTING THE
VALUES OF ALL THE GOALS
TO A COMMON MEASURE OF
VALUE OR UTILITY
 2nd Approach

ACKNOWLEDGE THE DIFFERENCES IN THE VARIOUS GOALS

AND USE A PROCEDURE, EITHER GRAPHICAL, COMPUTER-
BASED, OR SIMPLEX, TO ADDRESS THEM INDIVIDUALLY

THIS IS CALLED
GOAL PROGRAMMING
 Goal Programming
THE PRIMARY PURPOSE

Not to develop an optimal solution as such,

but to ‘satisfice’, that is, meet the desired level
of achievement set for each goal, and if that is
not entirely possible, to minimize the actual
deviations from those desired levels.
Goal vs. Linear Programming
THE DIFFERENCES

 Goal programming attempts to minimize the deviations

between the various established goals and what can be
actually achieved, given the available resources.

 Variables called deviational variables are typically the

ONLY variables in the objective function.

 The objective function is formulated to MINIMIZE the sum

of the differences between the deviational variables.
Goal Programming

THERE MAY BE GOALS THAT

MUST BE MET , AS OPPOSED
TO GOALS THAT THE
DECISION MAKER ATTEMPTS
TO MEET

THE FORMER WILL ALWAYS BE

REPRESENTED BY REGULAR
LINEAR PROGRAMMING
CONSTRAINTS !
Goal Programming
• In goal programming, di+ and di- , deviation variables, are the amounts a
targeted goal i is overachieved or underachieved, respectively.
• The goals themselves are added to the constraint set with di+ and di-
acting as the surplus and slack variables.
• One approach to goal programming is to satisfy goals in a priority
sequence. Second-priority goals are pursued without reducing the first-
priority goals, etc.
• For each priority level, the objective function is to minimize the
(weighted) sum of the goal deviations.
• Previous "optimal" achievements of goals are added to the constraint set
so that they are not degraded while trying to achieve lesser priority
goals.
 Goal Programming
OBJECTIVE FUNCTION FORMULATION

 If overachievement is undesired, the deviational variable d+ will be

placed in the objective function to be minimized.

 If underachievement is undesired, the deviational variable d- will be

placed in the objective function to be minimized.

 If both overachievement and underachievement are undesired, the

deviational variables d+ and d- will be placed in the objective
function to be minimized. *

THAT IS, THE GOAL IS TO BE MET EXACTLY

*
Goal Programming
THE OBJECTIVE FUNCTION

A function of the deviational variables, it represents

non-achievement of the various established goals,
and must always be minimized

-
d deviational variable that measures under achievement

+
d deviational variable that measures over achievement
 • Conceptual Products is a computer company that produces the CP600
and the CP700 computers. The computers use different mother boards
produced in abundant supply by the company, but use the same cases
and disk drives. The CP600 models use two floppy disk drives and no
zip disk drives whereas the CP700 models use one floppy disk drive
and one zip disk drive.
The disk drives and cases are bought from vendors. There are 1000
floppy disk drives, 500 zip disk drives, and 600 cases available to
Conceptual Products on a weekly basis. It takes one hour to manufacture a
CP600 and its profit is Rs.200 and it takes one and one-half hours to
manufacture a CP700 and its profit is Rs500.
Example: Conceptual Products
The company has four goals which are given below:
Priority 1: Meet a state contract of 200 CP600
machines weekly. (Goal 1)
Priority 2: Make at least 500 total computers weekly.
(Goal 2)
Priority 3: Make at least Rs 250,000 weekly. (Goal 3)
Priority 4: Use no more than 400 man-hours per
week. (Goal 4)
Example: Conceptual Products
• Variables
x1 = number of CP600 computers produced weekly
x2 = number of CP700 computers produced weekly
di- = amount the right hand side of goal i is deficient
di+ = amount the right hand side of goal i is exceeded
• Functional Constraints
Availability of floppy disk drives: 2x1 + x2 < 1000
Availability of zip disk drives: x2 < 500
Availability of cases: x1 + x2 < 600
Example: Conceptual Products
• Goals
(1) 200 CP600 computers weekly:
x1 + d1- - d1+ = 200
(2) 500 total computers weekly:
x1 + x2 + d2- - d2+ = 500
(3) Rs. 250(in thousands) profit:
.2x1 + .5x2 + d3- - d3+ = 250
(4) 400 total man-hours weekly:
x1 + 1.5x2 + d4- - d4+ = 400
Non-negativity:
x1, x2, di-, di+ > 0 for all i
Example: Conceptual Products
• Objective Functions

Priority 1: Minimize the amount the state contract is

not met: Min d1-
Priority 2: Minimize the number under 500
computers produced weekly: Min d2-
Priority 3: Minimize the amount under Rs 250,000
earned weekly: Min d3-
Priority 4: Minimize the man-hours over 400 used
weekly: Min d4+
 Example: Conceptual Products

• Formulation Summary
Min P1(d1-) + P2(d2-) + P3(d3-) + P4(d4+)

s.t. 2x1 +x2 < 1000

+x2 < 500
x1 +x2 < 600
x1 +d1- -d1+ = 200
x1 +x2 +d2- -d2+ = 500
.2x1+ .5x2 +d3- -d3+ = 250
x1+1.5x2 +d4- -d4+ = 400
x1, x2, d1-, d1+, d2-, d2+, d3-, d3+, d4-, d4+ > 0
Graphical Solution, Iteration 1
To solve graphically, first graph the functional constraints.
Then graph the first goal: x1 = 200. Note on the next slide that there
is a set of points that exceed x1 = 200 (where d1- = 0).
Example: Conceptual Products
• Functional Constraints and Goal 1 Graphed
x2

1000 2x1 + x2 < 1000

800 Goal 1: x1 > 200

x2 < 500
600 x1 + x2 < 600

400 Points Satisfying

Goal 1
200

x1
200 400 600 800 1000 1200
• Graphical Solution, Iteration 2
Now add Goal 1 as x1 > 200 and graph Goal 2:
x1 + x2 = 500. Note on the next slide that there is still a set of points
satisfying the first goal that also satisfies this second goal (where d2- = 0).
Example: Conceptual Products
• Goal 1 (Constraint) and Goal 2 Graphed
x2

1000 2x1 + x2 < 1000

Goal 1: x1 > 200

800
x2 < 500
x1 + x2 < 600
600

400 Points Satisfying Both

Goals 1 and 2
200 Goal 2: x1 + x2 > 500

x1
200 400 600 800 1000 1200
Example: Conceptual Products
• Graphical Solution, Iteration 3
Now add Goal 2 as x1 + x2 > 500 and Goal 3:
.2x1 + .5x2 = 250. Note on the next slide that no points satisfy the
previous functional constraints and goals and satisfy this constraint.
Thus, to Min d3-, this minimum value is achieved when we Max .2x1
+ .5x2. Note that this occurs at x1 = 200 and x2 = 400, so that .2x1 + .5x2 =
240 or d3- = 10.
Example: Conceptual Products
• Goal 2 (Constraint) and Goal 3 Graphed
x2

1000 2x1 + x2 < 1000

800 Goal 1: x1 > 200

x2 < 500
600 x1 + x2 < 600
(200,400)

400 Points Satisfying Both

Goals 1 and 2

200 Goal 2: x1 + x2 > 500

Goal 3: .2x1 + .5x2 = 250
x1
200 400 600 800 1000 1200
 Goal Programming
A company has two machines for manufacturing a product.
Machine 1 make two units per hour, while machine 2 makes
three units per hour. The company has an order of 80 units.
Energy restrictions dictate that only one machine can operate
at one time. The company has 40 hours of regular machining
time, but overtime is available. It costs $4.00 to run machine
1 for one hour, while machine 2 costs $5.00 per hour. The
company has the following goals:
1) Meet the demand of 80 units exactly.
2) Limit machine overtime to 10 hours.
3) Use the 40 hours of normal machining time.
4) Minimize costs.
 Goal Programming: Preemptive Goals

Letting Pi represent the relative weighting of each goal, the example

can be formulated as the following LP:
Min Z = P1(d1- + d1+) + P2 d3+ + P3(d2- + d2+) +P14d4+
s.t.
2 x1 + 3 x2 + d1- - d1+ = 80
- +
x1 + x2 + d2 - d2 = 40
d2+ + d3- - d3+ = 10
4 x1 + 5 x2 + d4- - d4+ = 0

x1, x2, d1- , d1+ , d2- , d2+ , d3- , d3+ , d4- , d4+ > 0