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Linear Programming

Background

Linear programming deals with problems such as maximising profits, minimising costs or ensuring you make the best use of

available resources. From an applications perspective, mathematical (and therefore, linear) programming is an optimisation tool, which allows the rationalisation of many managerial and/or technological decisions. An important factor for the applicability of the mathematical programming methodology in various contexts, is the computational difficulty of the analytical models. With the advent

of modern computing technology, effective and efficient algorithmic procedures can provide a systematic and fast solution to these

models.

The seeds of linear programming were sown during World War II when the military supplies and personnel had to be moved efficiently. Although linear programming problems can be very complicated, which is to be expected since they are real-world problems, the principles can be understood by starting with simple problems that can be solved with GCSE algebra. Two- dimensional Linear programming can be solved graphically. Problems with more than two variables (as is the case for most real world problems) can be solved by using a technique called the simplex method (Wood and Dantzig 1949, Dantzig 1949). The Simplex algorithm was one of the first Mathematical Programming algorithms to be developed and it provides a powerful computational tool, able to provide fast solutions to very large-scale applications, sometimes including hundreds of thousands of variables (i.e. decision factors). Its subsequent successful implementation in a series of applications significantly contributed to the acceptance of the broader field of Operational Research as a scientific approach to decision making. linear optimisation, is the problem of maximising a linear function over a convex polyhedron.

A Linear Programming problem is a special case of a Mathematical Programming problem. From an analytical perspective, a

mathematical program tries to identify an extreme (i.e., minimum or maximum) point of a function, which furthermore satisfies a set

of constraints. Linear programming is the specialisation of mathematical programming to the case where both, function f , called the

objective function, and the problem constraints are linear. Mathematical (and therefore, linear) programming is an optimisation tool,

which allows the rationalisation of many managerial and/or technological decisions required by contemporary applications. An important factor for the applicability of the mathematical programming methodology in various contexts, is the computational tractability of the resulting analytical models. The advent of modern computing technology means that effective and efficient algorithmic procedures exist to provide a systematic and fast solution to these models. For Linear Programming problems, the Simplex algorithm provides a powerful computational tool, able to provide fast solutions to very large-scale applications, sometimes including hundreds of thousands of variables. In fact, the Simplex algorithm was one of the first Mathematical Programming algorithms to be developed (Wood and Dantzig 1949, George Dantzig, 1947), and its subsequent successful implementation in a

series of applications significantly contributed to the acceptance of the broader field of Operational Research as a scientific approach

to decision making.

Linear programming is now used extensively in business, economics and engineering. An example of an engineering application

would be maximising profit in a factory that manufactures a number of different products from the same raw material using the same resources. The constraints would be decided by the amounts of raw materials available. In the field of business and management, linear programming is a method for solving complex problems in the two main areas of product mix (where the technique may be used where it is difficult to decide just how much of each variable to use in order to satisfy certain criteria such as maximising profits

or minimising costs, subject to certain constraints) and distribution of goods.

As with all types of mathematical modelling, the effective application of Linear Programming requires good understanding of the underlying modelling assumptions, and a pertinent interpretation of the analytical solutions obtained.

Graphical Method for solving problems with two variables

The graphical method for solving linear programming problems in two unknowns is as follows.

1. Define the variables

2. Define the constraints

3. Define the objective function (the function which is to be maximised or minimised)

4. Graph the feasible region.

5. Find the coordinates of the corner points.

6. Substitute the coordinates of the corner points into the objective function to see which gives the optimal value.

Example:

A small factory produces two types of toys: trucks and bicycles. In the manufacturing process two machines

are used: the lathe and the assembler. The table shows the length of time needed for each toy:

 

Time on

Time on assembler (hours)

lathe (hours)

Bicycle

2

2

Truck

1

3

Formulate the problem

Let x be number of bicycles made Let y be number of trucks made.

The lathe can be operated for 16 hours a day and there are two assemblers which can each be used for 12 hours a day. Each bicycle gives a profit of £16 and each truck gives a

profit of £14. Formulate and solve a linear programming problem so that the factory maximises its profit.

Think about the simplifying assumptions that have been made. Times are given to the nearest hour. Costs, and hence profits, remain constant. There are enough skilled workers to work the machines for the number of hours they can be used.

Objective Function

Maximise P = 16x + 14y

Subject to constraints

2x + y

2x + 3y 24 Assembler

x, y 0

16 Lathe

Method 1: Tour of vertices

(0,8)

profit = £112

(6,4)

profit = £152

(8,0)

profit = £128

Method 2: Profit Line

Draw a line through the origin parallel to the gradient of the profit function. Move this line up the y-axis until it is just leaving the feasible region – the point at which it leaves the feasible region is the optimum value.

Graphical solution

feasible region is the optimum value. Graphical solution Interpret the solution Optimal solution is to make

Interpret the solution Optimal solution is to make 6 bicycles and 4 trucks. Profit £152

Formulating a linear Programming in business and management

This is a simplified example will illustrates the way in which a problem relating to business is formulated.

A large sub-contractor machines special parts to order. For one order he has two machines, X and Y

available. Unfortunately, the machines perform more effectively on some jobs than others. Machine Y can do

10 units per hour on contracts from Alpha Ltd., 12 per hour on components from Beater & Co. and 26 per hour on those from Chester Inc., while Machine X can produce 16, 9 and 10 units per hour respectively. However, this is complicated by certain constraints which are:

Maximum number of units per month of units from Alpha, Beater and Chester are 6,500, 4,440 and 800 per month respectively

the machines X and Y are restricted to working a maximum of 260 and 350 hours per month respectively.

The problem is to find how many hours should each machine work to maximise profits. This is answered by plotting machine Y's hours against machine X's hours using mathematical models for the three suppliers and then solving these using linear programming.

1. Define the variables

Let the number of hours for machine X be x

Let the number of hours for machine Y be y

2. Define the constraints

The model for Alpha can be found by using the above data as follows:

Machine X can produce 16 units per hour so if it works x hours the total is 16x hours. Machine Y can produce 10 units per hour, so if it works y hours the total is 10y hours.

So the model for Alpha, which cannot exceed 6,500 is: 10y + 16x 6500 and the model for Beater which cannot exceed 4,400 is: 12y + 9x 4400. and the model for Chester which cannot exceed 8,000 is: 26y + 10x 8000.

3. Define the objective function

A profit model is necessary in order to find the conditions for maximum profit i.e. the optimum number of

hours for X and for Y. In this case, the profits on each machine's output are: X = £40 per hour and Y = £24, so the total profit is P = 40x + 24y.

Because of the existence of only two variables (x and y) this can be solved by plotting the models on a graph for the three suppliers and moving the profit model until it reaches the highest point of intersection of the three supplier lines.

NOTE: With maximisation problems if the feasible region is not bounded, this method can be misleading:

optimal solutions always exist when the feasible region is bounded, but may or may not exist when the feasible region is unbounded.

An example of a minimisation problem

Sometimes rather than maximising profits, you may be asked to minimise costs. In this case the feasible region could be unbounded, as can be seen in this example

Minimise C = 3x + 4y

subject to the constraints:

3x - 4y 12,

x

+ 2y 4

x

1, y 0.

- 4y ≤ 12, x + 2y ≥ 4 x ≥ 1, y ≥ 0. The

The feasible region for this set of constraints is shown on the graph.

The following table shows the value of C at each corner point:

Point

C = 3x + 4y

(1, 1.5)

3(1)+4(1.5) = 9

minimum

(4, 0)

3(4)+4(0) = 12

 

Therefore, the solution is x = 1, y = 1.5, giving the minimum value C = 9.

Simplex Method for Standard Maximisation Problem

To solve a standard maximisation problem using the simplex method, we take the following steps:

Convert to a system of equations by introducing slack variables to turn the constraints into equations, and rewriting the objective function in standard form.

Write down the initial tableau.

Select the pivot column: Choose the negative number with the largest magnitude in the objective row. Its column is the pivot column. (If there are two candidates, choose either one.) If all the numbers in the objective row are zero or positive then you have the optimal solution.

Divide each R.H.S. value by the corresponding element in the pivot column - ignore negative ratios and division by zero, this is called the ratio test. Of these test ratios, choose the smallest one. The corresponding number in the pivot column is the pivot.

If necessary, divide the pivot row by the value of the pivot to make the pivot element one.

Add/subtract multiples of the transformed pivot row to/from the other rows to create zeros in the pivot column

Go to Step 3.

Slack Variables

In order to enable problems to be converted into a format that can be dealt with by computer, slack variables

are introduced to change the constraint inequalities into equalities. Each vertex of the feasible region would then be defined by the intersection of two lines where the variables equal zero.

The Simplex Method

The Simplex Method starts at the origin and systematically moves round all the vertices, increasing the objective function as it goes, until it reaches the one with the optimal solution. This is easy to visualise on a 2 dimensional problem, but can be generalised to include more variables. Once there are more than two

variables, a graphical approach is no longer appropriate, so we use the simplex tableau, a tabular form of the algorithm which uses row reduction (remember Gaussian elimination?) to solve the problem.

Other types of problems: Simplex can be adapted to solve a range of problems, such as shortest path (minimisation), maximum flow (maximisation) and game theory (maximin).

Example: A small factory produces two types of toys: trucks and bicycles. In the manufacturing process two machines are used: the lathe and the assembler. The lathe can be operated for 16 hours a day and there are two assemblers which can each be used for 12 hours a day. Each bicycle gives profit of £16 and each

truck gives a profit of £14. Formulate and solve a linear programming problem so that the factory maximises its profit.

The table shows the length of time needed for each toy:

 

Lathe

Assembler

Bicycle

2 hours

2 hours

Truck

1 hour

3 hours

Formulate the

problem

Objective Function

Lathe

Assembler

Solve the problem

Interpret solution

Let x be number of bicycles made Let y be number of trucks made.

Maximise P = 16x + 14y Subject to constraints:

2x + y < 16 2x + 3y < 24 Graphical solution

Number of bicycles
Number of bicycles

Number of

trucks

By considering vertices

(8, 0)

P = 16 X 8 = £128

(6, 4)

P= (16 X 6) + (14 X 4) = £152

(0, 8)

P = 14 X 8 =£112

Factory should make 6 bicycles and 4 trucks each day. Profit £152

P – 16x – 14y = 0

Introduce slack variables 2x + y + s1 = 16

2x + 3y + s2 = 24 Simplex tableau

p

x

y

s1

s2

 

ratio test

1

-16

-14

0

0

0

0

2

1

1

0

16

16/2=8

0

2

3

0

1

24

24/2=12

1

0

-6

8

0

128

0

1

0.5

0.5

0

8

8/0.5=16

0

0

2

-1

1

8

8/2=4

1

0

0

5

3

152

0

1

0

0.75

-0.25

6

0

0

1

-0.5

0.5

4

Reading from the tableau

x = 6

s1 = 0 and s2 = 0

P = £152

y = 4

Factory should make 6 bicycles and 4 trucks each day. Profit £152

Three variable example

Maximise P = 9x + 10y + 6z

Subject to constraints

2x + 3y + 4z 3

6x + 6y + 2z 8

Initial

Tableau

 

P

x

y

z

s1

s2

RHS

Min ratio

1

-9

-10

-6

0

0

0

0

2

3

4

1

0

3

1

0

6

6

2

0

1

8

Pivot

1

P

x

y

z

s1

s2

RHS

Min ratio

1

-2.333

0

7.3333

3.3333

0

10

0

0.6667

1

1.3333

0.3333

0

1

0

2

0

-6

-2

1

2

1

Pivot

2

P

x

y

z

s1

s2

RHS

1

0

0

0.3333

1

1.1667

12.333

0

0

1

3.3333

1

-0.333

0.3333

0

1

0

-3

-1

0.5

1

Solution:

P = 12

when

constraints

x = 1, y = , z = 0

The simplex algorithm relies on (0,0) being a feasible solution. If it is not, then you add artificial variables a 1 , a 2 , etc. to all constraints which move us from (0,0) into the feasible

region. You now need surplus (as opposed to slack) variables which are subtracted from

the constraints as they tell us how much greater than the constraint line a point is. Then

introduce a new objective function

Q = 0 you are in the feasible region and you can complete the simplex in the normal way.

Q = a1 + a2 +

which you must minimise, since when

A furniture manufacturer makes square dining tables, round dining tables and chairs. Each square table needs £40 of raw materials and takes 12 hours to make.Each round table needs £50 of raw materials and takes 14 hours to make. Each chair needs £40 of raw materials and takes 16 hours to make. He must make at least 4 times as many chairs as tables. There are 500 hours available and £1500 of raw materials.Each chair makes £40 profit each square table makes £30 profit and each round table makes £35 profit

Jo is making raspberry and chocolate cakes for a charity fair

A

raspberry cakes needs 200g of flour and

200g of sugar and 2 eggs

A

chocolate cake needs 225g of flour and

150g of sugar and 2 eggs There are 3Kg of flour, 2.5Kg of sugar and 28

eggs available.

A

raspberry cake sells for £2.50 and a chocolate

cake sells for £3.00

A company produces three soft toys, an antelope, a bear and a cat. For one day's production run it has available 11 m 2 of fur fabric, 24 m 2 of wool fabric and 30 glass eyes. The antelope requires 0.5 m 2 of fur fabric, 2 m 2 of wool fabric and two eyes. Each sells at a profit of £3. The bear requires 1 m 2 of fur fabric, 1.5 m 2 of wool fabric and two eyes. Each sells at a profit of £5. The cat requires 1 m 2 of fur fabric, 1 m 2 of wool fabric and two eyes. Each sells at a profit of £2.

Brad makes and sells three types of birdfood A, B and C. A contains 4 kg of bird seed, 2 suet blocks and 1 kg of nuts, B contains 5 kg of bird seed, 1 suet block and 2 kg of nuts and C contains 10 kg of bird seed, 4 suet blocks and 3 kg of nuts. Each week Brad has 140 kg of bird seed, 60 suet blocks and 60 kg of nuts available for the packs. The profit made on each pack of A, B and C is £3.50, £3.50 and £6.50 respectively.

A

small factory makes 2 types of inflatable boats,

 

a 2 person and 4 person. Each 2 person boat requires 0.9 hours in the cutting department and 0.8 hours in the assembly department. Each four person boat requires 1.8 hours in the cutting department and 0.5 hours in the assembly department. The company makes profit of £25 on each 2 person

Anna is making birthday cards in 2 designs, flowers and boats, to sell.She has enough card to make 16 birthday cards but she needs to get them all made in the next 6 hours. Flower cards take 30 mins to make and sell for £1.25. Boat cards take 20 mins to make and sell for £1.40

boat and £40 on each 4 person boat.The maximum hours available each month in the cutting department

is

864 and the maximum hours available each month

 

in

the assembly department is 672.

A manufacturer makes three products X, Y and Z. They all require resources A, B, C and D which are in short supply. The table shows the amount of each resource needed and the profit on each product

Fine Foods Ltd buys vegetable oil from two sources A and B.The oil from A contains 50% olive oil 10% sunflower oil and 40% corn oil while the oil from B contains 20% olive oil, 60% sunflower oil and 20% corn oil.Fine foods

 

ABC

D

profit

X 20

0

20

40

6

must make a blend with at least 30% olive oil

Y 50

20

40

30

4

and at least 40% sunflower oil.They know that

Z 40

10

20

20

10

they can sell up to 35,000 litres of the blended oil at a profit of 25p per litre.

available 600 100 700 1800

maximise P = 35 x + 30 y + 40 z subject to 4 x + 10 y + 4 z 150 6 x + 7 y + 8 z 250 x + y 4 z 0

maximise P = 2.5 x + 3 y subject to 8 x + 9 y 120 4 x + 3 y 50 3 x + 2 y 28

maximise P = 3 x + 5y + 2z subject to

maximise P = 3.5x + 3.5 y + 6.5z subject to 4x + 5y + 10 z 140

x

+ 2 y + 2z 22

4x + 3y + 2 z 48

2x + y + 4 z 60

x

+ y + z 15

x + 2 y + 3 z

60

maximise P = 25 x + 40 y subject to 3 x + 6 y 2880 8 x + 5 y 6720

maximise P = 1.25 x + 1.4 y subject to x + y 16 3 x + 2 y 36

maximise P = 6x + 4y + 10z subject to 2x + 5y + 4z 60 2y + z 100 2x + 4y + 2z 70 4x + 3y + 2z 180

maximise P = 25 x + 25 y subject to 2 x y 0 x + y 0 x + y 35

P

x

y

z

s

t u rhs

P

x

y

s

t u rhs

1

35 30 40 0

0 0

0

1

2.5 30 0 0

 

0

0

4

10

4

1

0

0 150

0

8

9

1

0

0 120

0

6

7

8

0

1

0 250

0

4

3

0

1

0

50

01

 

1

4001 0

0

3

2

0 0

1

28

P

x

y

z

s

t u rhs

P

x

y

z

s

t u rhs

1

3 5 20

0 0

0

1

3.5 3.5 6.5 0

0 0

0

0

1

2

2

1

0

0 22

0

4

5

10

1 0 0 140

0

4

3

2

0

1

0 48

0

2

1

4

0

1

0

60

0

1

1

1

0 0

1 15

0

1

2

3

0

0

1

60

P

1

x

y

s

25 40 0

t

0

rhs

0

P

x

y

s t rhs

 

1

1.25 1.4 0

0

0

0

3

6

1 0 2880

 
 

0

1

1

1

0

16

0

8

5

0 1 6720

 
 

0

3

2

0

1

36

P

x

y

z

s

t

u v

rhs

P

x

y

s

t u rhs

1

6 4 10 0

0

0 0

0

1

25 25 0 0 0

 

0

0

2

5

4

1

0

0 0

60

0

2

1 100

0

0

0

2

1

0

1 0 0 100

 

0

2

4

2

0

0

1

0

70

0

1

1

010 0

0

4

3

2

0

0 0 1 180

0

1

1

0

0

1 35