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Sensitivity Analysis or Post Optimal Analysis

The document discusses post optimal analysis and sensitivity analysis in operations research models. It provides procedures for conducting sensitivity analysis, including examining changes to objective function coefficients, right hand side values, and constraint coefficients. Examples are provided to demonstrate how the optimal solution may change under different assumptions. The goal of sensitivity analysis is to determine which parameters most critically impact the optimal solution.

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Lekshmi Nair
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409 views32 pages

Sensitivity Analysis or Post Optimal Analysis

The document discusses post optimal analysis and sensitivity analysis in operations research models. It provides procedures for conducting sensitivity analysis, including examining changes to objective function coefficients, right hand side values, and constraint coefficients. Examples are provided to demonstrate how the optimal solution may change under different assumptions. The goal of sensitivity analysis is to determine which parameters most critically impact the optimal solution.

Uploaded by

Lekshmi Nair
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPT, PDF, TXT or read online on Scribd
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Sensitivity Analysis

or
Post Optimal
Analysis Lekshmi Krishna M.R(100609)
Renjini R(100611)
MTECH – Technology Management
Department of Futures Studies
Department of Futures Studies University of Kerala
Thanks to Prof Sreenivasan(IIT Chennai) for his
lecture series in Operations Research!!

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Introduction

 Common theme of OR – search of optimal


solution

 An optimal solution for the original model may


vary from ideal for the real problem

 Additional analysis – Post optimal analysis

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Post Optimal Analysis

 Post Optimal Analysis - Analysis done after


finding an optimal solution
 Some times called What-if analysis

Addressing questions about what


would happen to the optimal solution if
different assumptions are made
about future conditions
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Cont……

 In part post optimality analysis involves


conducting sensitivity analysis
 To determine which parameter of the model
are most critical in determining the solution -
Sensitive parameter

Sensitive parameters
The parameters whose values cannot be changed
without changing the optimal solution
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Sensitivity Analysis

 Involves the effect on the optimal solution


making changes in values of model
parameters aij, bi & cj

 Changing parameter in primal also effect


corresponding values in dual problem

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Procedure for sensitivity analysis

REVISION OF MODEL FEASIBILITY TEST

REVISION OF FINAL OPTIMALITY TEST


TABLEAU

CONVERSION TO REOPTIMIZATION
PROPER FORM

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Different case to do Sensitivity
Analysis
Case 1: Changes in basic variable
of objective function
case 2: Changes in the non basic
variable of objective function
Case 3 : Change in RHS
Case 4 : Change in the coefficients of
constrains

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Consider a LPP

Objective function : Max 4X1 +3X2 + 5X3

Sub to X1+2X2+3X3 ≤ 9
2X1+3X2+X3 ≤ 12
X1,X2,X3 ≥ 0

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Simplex table
4 3 5 0 0
B Cb X1 X2 X3 X4 X5 XB 0
X4 0 1 2 3 1 0 9 3
X5 0 2 3 1 0 1 12 12
CJ-ZJ 4 3 5 0 0 0
X3 5 1/3 2/3 1 1/3 0 3 0
X5 0 5/3 7/3 0 -1/3 1 9 27/5
CJ-ZJ 7/3 -1/3 0 -5/3 0 15
X3 5 0 1/5 1 2/5 -1/5 6/5
X1 4 1 7/5 0 -1/5 3/5 27/5
CJ-ZJ 0 -18/5 0 -6/5 -7/5 138/5
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 Solution : X1 = 27/5
X3 = 6/5
Z = 138/5

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CASE 1 : Change in objective function
Coefficient of non-basic variable

 Max Z = 4X1+ 3X2 + 5X3 + 0S1 + 0S2

Lets take X2
Effect in optimality 1. RHS = -ve
2. Cj-Zj = +ve

Here only change in C2 – Z2

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C2 – Z2 = C2 – ( 1+28/5)
= C2 – 33/5 ≤ 0
If C2 > 33/5 then C2-Z2 becomes +ve & C2
becomes incoming row again and need to do
iteration till we get the optimum solution

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4 7 5 0 0
B Cb X1 X2 X3 X4 X5 XB 0
X3 5 0 1/5 1 2/5 -1/5 6/5 6
X1 4 1 7/5 0 -1/5 3/5 27/5 27/7
CJ-ZJ 0 2/5 0 -6/5 -7/5 138/5

X3 5 -1/7 0 1 3/7 -2/7 3/7


X2 7 5/7 1 0 -1/7 3/7 27/7
Cj-Zj -2/7 0 0 -8/7 -11/7 204/7

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Solution : X2 = 27/7
X3 = 3/7
Z = 204/7

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Case 2 : Change in objective function
coefficient of basic variable
 Max Z = 4X1+ 3X2 + 5X3 + 0S1 + 0S2

Lets take C1
Effect in optimality 1. RHS = -ve
2. Cj-Zj = +ve

Here only change in Cj-Zj of all the values

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C1 3 5 0 0

B Cb X1 X2 X3 X4 X5 RHS

5 X3 0 1/5 1 2/5 -1/5 6/5

C1 X1 1 7/5 0 -1/5 3/5 27/5

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Evaluation
C2-Z2 C4-Z4 C5-Z5

C2 –Z2 = C4 – Z4 = C5 - Z5 =
3 - (1+7C1/3) 0-(2 – C1/5) 0 – (-1+3C1/5)

3 -7C1/5 ≤ 0 C1/5 – 2 ≤ 0 1-3C1/5 ≤ 0


C1 ≥ 10/7 C1 ≤ 10 C1 ≥ 5/3

If C1 < 10/7 If C1 > 10 If C1 < 5/3


(X2 enters) (X4 enters) (X5 enters)

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Suppose C1 = 12

b CB X1 X2 X3 X4 X5 XB 0
X3 5 0 1/5 1 2/5 -1/5 6/5 3
X1 12 1 7/5 0 -1/5 3/5 27/5
Cj-Zj 0 - 74/5 0 2/5 -31/5 354/5

X4 0 0 3/2 5/2 1 -1/2 3


X1 12 1 3/2 1/2 0 1/3 6
Cj-Zj 0 -15 -1 0 -6 72

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 Solution : X1 = 6
X4 = 3
Z = 72

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Case:3 Right Hand Side Changes

Objective function : Max 4X1 +3X2 + 5X3

Sub to X1+2X2+3X3 ≤ 9
2X1+3X2+X3 ≤ 12
X1,X2,X3 ≥ 0

b = 9
12
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Effect of that change only in RHS

 RHS = B b

B = 2/5 - 1/5 b1
-1/5 3/5 12

= (2b1-12)/5
(36-b1)/5

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Evaluation

(2b1-12)/5 ≥ 0 (36-b1)/5 ≥ 0
2b1-12 ≥ 0 b1 ≤ 36
b1 ≥6

 Hence the range of b1 should be

6 ≤ b1≤ 36

for the solution to be optimum

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Suppose b1 =40

 RHS = (2b1-12)/5
(36-b1)/5

= 68/5
-4/5

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Substituting the new RHS values
4 3 5 0 0

b Cb X1 X2 X3 X4 X5 RHS
X3 5 0 1/5 1 2/5 -1/5 68/5
X1 4 1 7/5 0 -1/5 3/5 -4/5 Primal
infeasible
Cj-Zj 0 -18/5 0 -6/5 -7/5 138/5
Here dual is feasible .Hence calculate 0 to do
dual simplex iteration
0 - 6 -

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Evaluate by taking X4 comes in and X1
goes out
4 3 5 0 0
b Cb X1 X2 X3 X4 X5 Xb
X3 5 1 3 1 0 1 12
X4 0 -5 -7 0 1 -1 4
Cj-Zj -1 -9 0 0 -1 48

Solution X3=12
X4=4
Z =48

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Case 4 : Change in the constrain
coefficient of a non basic variable
Objective function : Max 4X1 +3X2 + 5X3

Sub to X1+2X2+3X3 ≤ 9
2X+ 3X2+X3 ≤ 12
X1,X2,X3 ≥ 0

P2 = 2
a

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Evaluation
Here C2-Z2
changes
P2 = B P2
a= 0
C2-Z2 (3-7a)/5
= C2 – y P2 C2-Z2 =3/5
= 2/5 -1/5 2
-1/5 3/5 a = 3 – [6/5 7/5] 2
P2 = 4/5
a -2/5

= (4-a)/5
(3a-2)/5 = (3 – 7a)/5

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New simplex table
4 3 5 0 0

b Cb X1 X2 X3 X4 X5 Xb 0
X3 5 0 4/5 1 2/5 -1/5 6/5 3/2
X1 4 1 -2/5 0 -1/5 3/5 27/5 -
Cj-Zj 0 3/5 0 -6/5 -7/5 138/5

X2 3 0 1 5/4 1/2 -1/4 3/2


X1 4 1 0 1/2 0 1/2 6
Cj-Zj 0 0 -3/4 -3/2 -3/4 57/2

X1 = 6 ; X2= 3/2 ; Z = 57/2


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Conclusion
 Sensitivity analysis carried out by
mathematical programming systems are
called ranging (RANGE Procedure)
 Sensitivity analysis needs to be performed to
investigate what happens when the estimates
are wrong
 Helps to find out the range of likely values of
the sensitive parameters
 Hence an important part of most linear
programming study
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Reference
 Introduction to operations research
Frederick S Hillier & Gerald J Lieberman

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Thank you!!!!
lekshmi.uce05@gmail.com

Department of Futures Studies

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