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TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
Performance Evaluation
Final Exam (closed book):
Week 11 of the Quarter
Performance Evaluation:
Homework
30%
Midterm
20% (Week 6 of the Quarter)
Class participation 20%
Final Exam
30% (Week 11 of the Quarter)
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
Audience Participation
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
Reading Material
Chapter 4 and 5 from H&L Book
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
LP Lecture 3 Schedule
Last lecture
Introduction and background material
Properties of LPs
Simplex method via geometry and algebraically, via tableaus
This lecture
Next Lecture
Sensitivity and Duality
Alternative Methods for solving
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
Optimality Tests
The current BF solution is optimal if and only if every
coefficient in row 0 is nonnegative ( >= 0).
If it is,
stop;
otherwise, go to an iteration to obtain the next BF solution, which involves
changing one nonbasic variable to a basic variable (step 1) and vice versa
(step 2) and then solving for the new solution (step 3).
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
10
No Optimal Solutions
Unbounded Objective (unbounded Z)
This occurs only if:
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
11
Bug in model?
The interpretation of a tableau like the one
shown in Table 4.9 is that the constraints do not
prevent the value of the objective function Z
increasing indefinitely, so the simplex method
would stop with the message that Z is
unbounded.
Alternatively, a computational mistake may have
occurred.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
12
Final Iteration
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
13
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
14
15
16
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
17
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
18
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
19
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
20
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
21
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
22
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
23
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
24
x5 is a basic
variable (x5 > 0)
in the first two
tableaux
x5 is a nonbasic
variable (x5 = 0)
in the last two (so
eq constraint is
satisfied).
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
25
26
Homework Practice
Complete solution to phase 2 for this problem
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
27
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
28
LP Healthcare Example:
Design of External Beam Radiation Therapy
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
29
30
31
The contour lines represent the dose strength as a percentage of the dose
strength at the entry point. A fine grid then is placed over the isodose map.
By summing the radiation absorbed in the squares containing each type of
tissue, the average dose that is absorbed by the tumor, healthy anatomy,
and critical tissues can be calculated. (measured in Kilorads)
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
32
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
33
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
34
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
35
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
36
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
37
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
38
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
39
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
40
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
41
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
42
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
43
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
44
Postoptimality Analysis
Postoptimality analysisthe analysis done after
an optimal solution is obtained for the initial
version of the model
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
45
Define problem
Gather data
Formulate model
Solve
Parameters
Maximize Z = 3X1 + 5X2
Subject to:
1X1
2X2
3X1 + 2X2
4
12
18
SOLVE
COMPUTE
Decision
Variables
X1 = 2, X2 = 6
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
46
Reoptimization
Reapply the simplex method from scratch is
expensive
for each new version of the model, even though each run
may require hundreds or even thousands of iterations for
large problems.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
47
Reoptimization
Reoptimization involves deducing how changes in the model get carried
along to the final simplex tableau (as described in Secs. 5.3 and 6.6).
This revised tableau and the optimal solution for the prior model are then
used as the initial tableau and the initial basic solution for solving the
new model.
CASE 1:
If this solution is feasible for the new model, then the simplex method is
applied in the usual way, starting from this initial BF solution.
CASE 2
If the solution is not feasible, a related algorithm called the dual simplex
method (described in Sec. 7.1) probably can be applied to find the new
optimal solution,1 starting from this initial basic solution.
Case 3
The one requirement for using the dual simplex method here is that the
optimality test is still passed when applied to row 0 of the revised final
tableau. If not, then still another algorithm called the primal-dual method
can be used instead
TIM 206 (30155 ) Introduction to Optimization Theory and Applications, Winter 2013 2013 James G. Shanahan
TIM 206 (30155 ) Introduction to Optimization Theory and Applications, Winter 2013 2013 James G. Shanahan
48
Reoptimization
The big advantage of this reoptimization
technique over re-solving from scratch is that an
optimal solution for the revised model probably is
going to be much closer to the prior optimal
solution than to an initial BF solution constructed
in the usual way for the simplex method.
Requires only zero or a very small number of
iterations
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
49
Shadow Prices
The shadow price for resource i (denoted by yi *)
measures the marginal value of this resource, i.e.,
the rate at which Z could be increased by
(slightly) increasing the amount of this resource
(bi) being made available.
The simplex method identifies this shadow price
by yi* coefficient of the ith slack variable in row 0
of the final simplex tableau.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
50
Example
Information on the economic contribution of the
resources to the measure of performance (Z ) for
the current study often would be extremely
useful.
The simplex method provides this information in
the form of shadow prices for the respective
resources.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
51
Shadow prices
y1* = 0 shadow price for resource 1,
y2* = 1.5 shadow price for resource 2,
Y3 = 1 shadow price for resource 3.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
52
Shadow Prices
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
53
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
54
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
55
Why is
y0* = Z = 36 36 = 3/2
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
56
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
57
58
59
60
61
Allowable Range cj
For any cj, its allowable range to stay optimal is the range
of values for this coefficient over which the current optimal
solution remains optimal, assuming no change in the other
coefficients.
When the upper table in the sensitivity report generated by the
Excel Solver indicates that both the allowable increase and the
allowable decrease are greater than zero for every objective
coefficient, this is a signpost that the optimal solution in the
Final Value column is the only optimal solution.
Conversely, having any allowable increase or allowable
decrease equal to zero is a signpost that there are multiple
optimal solutions. Changing the corresponding coefficient a tiny
amount beyond the zero allowed and re-solving provides
another optimal CPF solution for the original model.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
62
Allowable Range bi
For any bi, its allowable range to stay feasible is
the range of values for this right-hand side over
which the current optimal BF solution (with
adjusted values for the basic variables) remains
feasible, assuming no change in the other righthand sides.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
63
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
64
TIM 206 (30155 ) Introduction to Optimization Theory and Applications, Winter 2013 2013 James G. Shanahan
65
A
1
2
3
4
5
6
7
8
9
10
11
12
Batches Produced
Doors
$3,000
Windows
$5,000
Windows
6
Hours
Used
2
12
18
<=
<=
<=
Hours
Available
4
12
18
Range Name
BatchesProduced
HoursAvailable
HoursUsed
HoursUsedPerBatchProduced
ProfitPerBatch
TotalProfit
Cells
C12:D12
G7:G9
E7:E9
C7:D9
C4:D4
G12
Total Profit
$36,000 Objective Cell
TIM 206 (30155 ) Introduction to Optimization Theory and Applications, Winter 2013 2013 James G. Shanahan
66
In Excel
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
67
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
68
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
69
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
70
Chapter 5
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
71
72
73
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
74
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
75
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
76
Three-variable LP problem
.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
77
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
78
79
Augmented Form
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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80
81
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
82
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
83
..
Indicator variable Xi = 0 if
corresponding equation is part of
the simulataneous solution of n
defining equations (that make up
the corner point)
Non-basic Variable (0 in the basic
solution)
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
84
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
85
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
86
BF solutions
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
87
BF solutions
..
88
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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89
2 Non-basic solutions
The other two sets of nonbasic variables, (1) x1
and x3 and (2) x2 and x4 , do not yield a basic
solution, because setting either pair of variables
equal to zero leads to having no solution for the
system of Eqs. (1) to (3) given in Table 5.4
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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90
[3rd Column] In the third column, note how each iteration results in
deleting one constraint boundary (defining equation) and
substituting a new one to obtain the new CPF solution.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
91
92
Eq1
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
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Winter 2013
2013
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2013 James
James G.
G. Shanahan
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93
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
94
Question
TIM
TIM 206
206 (30155
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2013 James
James G.
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95
Optimal?
Which nonbasic var should we enter?
..
TIM
TIM 206
206 (30155
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Introduction to
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Winter 2013
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2013 James
James G.
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96
Select X1;
so which basic var should leave?
..
TIM
TIM 206
206 (30155
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Introduction to
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Winter 2013
2013
2013
2013 James
James G.
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97
X3 = 1- x1 x1=1 takes x3 to 0
X4 = 7 3x1 x1= 7/3 takes x4 to 0
So choose the basic variable with the
minimum ratio (why?), i.e., X3
98
X3 = 1- x1 x1=1 takes x3 to 0
X4 = 7 3x1 x1= 7/3 takes x4 to 0
So choose the basic variable with the
minimum ratio (why?), i.e., X3
Eq2
Eq1
TIM
TIM 206
206 (30155
(30155 ))
Shanahan
Introduction to
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Optimization Theory
Theory and
and
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Winter
2013 constraint
2013
2013 James
James G.
G.is
Shanahan
99
0
1
0
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TIM 206
206 (30155
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Introduction to
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2013
2013 James
James G.
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100
Ignoring Z;
and just pivoting
to change the
basis
TIM
TIM 206
206 (30155
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Introduction to
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Optimization Theory
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Winter 2013
2013
2013
2013 James
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101
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
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Winter 2013
2013
2013
2013 James
James G.
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102
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
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Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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103
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
104
Choose X2 to enter
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
105
..
NB
NB
B
X1 = 1 + x2 since x2 is pos x1 will never
reach 0
X4 = 4 4x2 x2=1;
so choose x4 to leave as it can reach zero
TIM
TIM 206
206 (30155
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Introduction to
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Optimization Theory
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Winter 2013
2013
2013
2013 James
James G.
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106
Watch X2 increase
.
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
107
Watch X2 increase
.
0
0
1
0
0
1
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
Theory and
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Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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108
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
109
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
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Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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110
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
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Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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111
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
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Winter 2013
2013
2013
2013 James
James G.
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112
WynDor Problem
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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113
1. Get BF Solution
Optimal value
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
114
1. Get BF Solution
James
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
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Winter 2013
2013
2013
2013
James G.
G. Shanahan
Shanahan
our
shadow
price
115
..
BF Solution
Optimal value
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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116
..
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
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Winter 2013
2013
2013
2013 James
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117
..
2, 6
0, 6
4,3
0,0
4,0
TIM
TIM 206
206 (30155
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Introduction to
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Winter 2013
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2013
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118
Y
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
Z
XB
119
Initial
Tableau
Matrix
..
RHS
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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120
Example
Iteration
..
Final Tableau in
Full Matrix Form
For iteration 2
X4 = 0, x4=0
0
TIM
and
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
Theory0
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Winter 2013
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2013 James
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121
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
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Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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122
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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123
Y
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
Z
XB
124
125
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
126
127
Fundamental Insight
Fundamental Insight: Given Bi-1 (inverse of the
Basis matrix and and the initial tableau [-c,0,0 ]
and [A,I, b] we can compute everything else in the
current tableau (for every iteration).
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Winter 2013
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2013
2013 James
James G.
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128
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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129
Fundamental Insight
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Winter 2013
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2013 James
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130
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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2013
2013 James
James G.
G. Shanahan
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131
Fundamental Insight
http://www.isa.ewi.tudelft.nl/~melissen/Onderwijs/
WI2520IN%20Optimalisering/practicum/OR
%20Tutor/lp/insight/page1.html
TIM
TIM 206
206 (30155
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Introduction to
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2013 James
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132
FI Example
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Winter 2013
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2013
2013 James
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133
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
Theory and
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
134
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
135
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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136
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
137
138
Which is better?
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
139
Leveraging FI:
Revised simplex algorithm (avoid calculating B-1
on each Simplex iteration but merely update B-1
from iteration to iteration) [See H&L 5.4 for
details]
Allow us to Interpret the shadow prices
(y1*, y2*, y3*, ym*)
Z* = y*b
Z* = 0 b1 + 3/2 b2 + 1 b3
140
Y
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
and Applications,
Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
Z
XB
141
Shadow Prices
Initial Matrix
(y1*, , ym*)
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
Theory and
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Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
Z
142
143
144
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
Theory and
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2013
2013 James
James G.
G. Shanahan
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145
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
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Optimization Theory
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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146
End of lecture
TIM
TIM 206
206 (30155
(30155 )) Introduction
Introduction to
to Optimization
Optimization Theory
Theory and
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Applications, Winter
Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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147
Reading Material
Read Hillier and Lieberman, pages 1-30 for lecture 1
For lecture 2, read chapter 3 and Chapter 4, pages
31-107
For Lecture Chapter 4 and 5
Explore Simplex on IOR Tutor and OR Tutor
For Lecture 5, read Chapter 6 and initial parts of
Chapter 7.
TIM
TIM 206
206 (30155
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Introduction to
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Optimization Theory
Theory and
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
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148
Please provide code, graphs and comments in a Word or PDF report. Dont
forget to put your name, email and date of submission on each report. Please
follow the Springer LNCS style (templates for Word and Latex are available at
http://www.springer.com/computer/lncs?SGWID=0-164-6-793341-0
I.e., pretend you are writing a conference paper (at in format)
Please provide R code in a separate file .R file and embed the code also in your
answers along with the graphs and tables. Please comment your code so that I
or anybody else can understand it and please cross reference code with
problem numbers and descriptions. Please label each figure and table
appropriately.
Please name files as follows: TIM206-2013-HWK-Week01StudentLastName.R, .doc, .pdf etc..
Please create a separate driver function for each exercise or exercise part (and
comment!) E.g., hw1-Question3.1.1 = function() {.....}
If you have questions please raise them in class or via email or during office
hours if requested
Homework is due on Wednesday, of the following week by 7PM.
Please submit your homework by email to: James.Shanahan@gmail.com and
Shanahan@soe.ucsc.edue, and jgrahamsf541@gmail.com with the subject TIM
206 Winter 2013 Homework 3
Have fun!
TIM
TIM 206
206 (30155
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Introduction to
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2013
2013 James
James G.
G. Shanahan
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149
Homework
Exercises in H&L Book
4.6-1
4.7-1
4.7-3
5.1-1
5.1-4
5.1-9
5.2-1
5.2-2
5.3-1
5.3.2
150
End of Homework
TIM
TIM 206
206 (30155
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Introduction to
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Optimization Theory
Theory and
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Winter 2013
2013
2013
2013 James
James G.
G. Shanahan
Shanahan
151