Optimization Lecture

Allah says
Those before them did (also) devise plots; but in all things the master-planning
is Allah's He knoweth the doings of every soul: and soon will the Unbelievers
know who gets home in the end.
Al-Qur'an, 013.042 (Ar-Rad [The Thunder])
Linear Programming
Dr.-Ing.Naveed Ramzan
Linear Programming
Outline
Part 1: Basics of Linear Programming
Part 2: Importance and Limitations of Linear
Programming
Part 3: Linear Programming Applications
Part 4: Examples
Construction of LP Models
Simplex Method for LP solution
Graphical Method for LP Solution
Linear Programming (LP) is a mathematical modeling

technique designed to optimize the usage of limited
resources.
Linear programming (LP) is a mathematical

method for selecting the best solution from the
available solutions of a problem.
Linear Programming model seeks to maximize or
minimize a linear function, subject to a set of linear
constraints
4
The linear model consists of the following

components:
A set of decision variables.
An objective function.
A set of constraints.
Linear Programming

Symbols for decision variables
x2
x2
x1
x1
x3
In some books, (x1, x2) is used instead of (x,y)

(x1, x2, x3) is used instead of (x, y, z)
(x1, x2, x3 , x4) is used instead of (x, y, z, v)

etc.
Linear Programming
Dimensionality of Optimization Problems

An optimization problem with n decision variables n-dimensional
x2
x2
x1
x1
x1
1-dimensional
2-dimensional
1 Decision
Variable
2 Decision Variables
Intersecting lines yield

vertices (problem solutions)
W=f(x1)
W=f(x1 , x2)
3-dimensional
3 Decision Variables
x3
Sorry!
Cannot be
visualized
n-dimensional
n Decision Variables
Intersecting planes
yield vertices
(problem solutions)
Intersecting objects
yield vertices
(problem solutions)
W=f(x1 , x2, x3)
W=f(x1 , x2, , xn)

7
Optimization
Unconstrained
Constrained
Equality Constraints
Inequality Constraints
Linear
Linear
LinearProgramming
Programming
Nonlinear
Part 2: Importance and Limitations of Linear

Programming
Many real problems can be approximated by linear models.
The output generated by linear programs provides useful whats best and
what-if information.
Furthermore, most production resources can be varied even in the short
term through overtime and buying-in.
The alternative to optimizing against given constraints is to concentrate on
managing constraints.
The theory of constraints helps in managing constraints in the short term.
Part 3: Linear Programming applications

Efficient allocation of resources
Scheduling production and inventory
multistage scheduling problems
The cutting-stock problem
find a way to cut paper or textiles rolls

complicated summary of orders
Approximating data by linear functions
find approximate solutions to possibly systems of linear equations

10
Part 3: Linear Programming applications
Most extensively it is used in business and economic

situations and for some engineering problems
Energy
Manufacturing
System Design
Finance Marketing
Scheduling
Telecommunications
Games Operation Management
Production planning
Transportation Planning
11
Linear Programming
Part 4: Examples
Project output = f(Resource 1, Resource 2, Resource 3, Resource n)
The goal is to determine the levels of each resource that would maximize /
minimize .
Assume only 2 resources: X and Y
W
W
Examples of W =f(X,Y) response surfaces

12
Linear Programming
Part 4: Examples (contd)

The goal is to determine the levels of each resource that would maximize
project output.
Assume only 2 resources: X and Y (consider simplified cross section of

response surface)
Output, W
Resource
Y
Resource
X
13
Linear Programming

project output.
Output, W
Resource
Y
Local space
Resource
X
14
Linear Programming

project output.

Output, W
Resource
Y
Local space
Local
maximum
Resource
X
15
Linear Programming

project output.
Output, W
Resource
Y
Global
Maximum
Global Space
Local space
Local
maximum
Resource
X
16
Linear Programming
W is also referred to as the OBJECTIVE FUNCTION or

project performance.
(It is our objective to maximize or minimize
W)
x and y can be referred to as Project CONTROL

VARIABLES or DECISION VARIABLES
17
Construction of the LP Model

A mathematical model is constructed after the analysis of a
practical problem
This model consists of
Decision Variables
That we seek to determine by solving the model
Objective Criterion
That we wish to optimize (minimize or maximize)
The Objective function for LP problems is linear
Constraints
That we wish to satisfy
The constraints for LP problems are linear
Our objective is to find a optimum feasible solution to the

problem
18
Standard Form for Linear Programming
or
Standard Form for Linear Programming:

Introducing Slack Variables

Example: Maximize x + y
Subject to:
x + 2y 90
2x + y 60
x0
y0
2x + y = 60
x and y are called

Control variables
x + y is called the
Objective function
The inequalities are constraints
It is called Linear programming as the

functions are linear (not quadratic etc.)
Try x + y = a, and reduce a from a large number
Feasible region
x=0
x + 2y = 90
y=0
x
21
Simplex Method
(contd)
Example: PAK APIAS
PAK APIAS produces both interior and exterior paints from two raw
materials M1 & M2.
Tons of raw material per ton of
Max. Daily
Availability
Exterior
Paint
Interior Paint
Raw Material, M1
24
Raw Material, M2
Profit per ton ($1000)
A market survey indicates that the maximum daily demand of interior

paint is 2 tons and that the daily demand of interior paint cannot
exceed that of exterior paint by more than 1 ton.
The task is to determine the production of interior and exterior paint
that maximizes the profit
22
Example: PAK APIAS

Decision Variables
Let x1 and x2 be the production (in tons) of exterior and interior
paint respectively
Objective Criterion
Maximize profit
Z=5x1+4x2
Constraints
Usage of Raw Material Max. Raw Material Availability
For M1: 6x1+4x2 24
For M2: 1x1+2x2 6
Daily Demand Constraints

x2 2
-x1+x2 1
Non-Negativity Constraints
x1 0
x2 0
23
Graphic Method
Graphical Method
Can be used to solve LP problems involving 2
decision variables with equality or in-equality
constraints
Method
Find the Feasible Solution Space
The region in which all the constraints are satisfied
Determination of the Optimum Solution by

analyzing the direction of increase/decrease of the
objective function
24
Graphic Method
(contd)
Feasible Solution Space for PAK APIAS Model
6x1+4x2 24
Non-Negativity Constraint
Model
25
Graphic Method
(contd)
6x1+4x2 24
6x1+4x2 24
-x1+x2 1
x1+2x2 6
x1+2x2 6
Model
26
Graphic Method
(contd)
6x1+4x2 24
-x1+x2 1
x2 2
Feasible
Solution Space
x1+2x2 6
Model
27
Graphic Method
(contd)
Finding Optimal Solution for PAK APIAS Model
6x1+4x2 24
-x1+x2 1
z= 5x1+4x2 = 0
x2 2
x1+2x2 6
Model
28
Graphic Method
(contd)
6x1+4x2 24
-x1+x2 1
x2 2
z= 5x1+4x2 = 0
x1+2x2 6
Direction of Increase in z
z= 5x1+4x2 = 1
29
Graphic Method
(contd)
6x1+4x2 24
-x1+x2 1
D
x2 2
C
z= 5x1+4x2
F
A
Optimal Soln. Occurs

at a corner of the
feasible region
(3, 1.5) z=5x1+4x2 =21

B
x1+2x2 6
Model
30
Graphical Method: Observations

The optimal solution occurs at a corner
point
Will this always be the case?
YES!!
31
LP Model Formulation
A Maximization Example (1 of 4)
Product mix problem - Beaver Creek Pottery Company
How many bowls and mugs should be produced to
maximize profits given labor and materials constraints?
Product resource requirements and unit profit:
Resource Requirements
Labor
(Hr./Unit)
Clay
(Lb./Unit)
Profit
($/Unit)
Bowl
40
Mug
50
Product
Resource 40 hrs of labor per day
Availability:120 lbs of clay
Decision
Variables:
Objective
Function:
x1 = number of bowls to produce per day

x2 = number of mugs to produce per day
Maximize Z = $40x1 + $50x2

Where Z = profit per day
Resource 1x1 + 2x2 40 hours of labor

Constraints:
4x1 + 3x2 120 pounds of clay
Non-Negativity
Constraints:
x1 0; x2 0
Complete Linear Programming Model:
Maximize
Z = $40x1 + $50x2
subject to: 1x1 + 2x2 40

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Pearson Education, Inc.
Publishing as Prentice
Hall
Feasible Solutions
A feasible solution does not violate any of the
constraints:
Example:
x1 = 5 bowls
x2 = 10 mugs
Z = $40x1 + $50x2 = $700
Labor constraint check:

1(5) + 2(10) = 25 < 40
hours
Clay constraint check: 4(5) + 3(10) = 70 < 120
pounds
Infeasible Solutions
An infeasible solution violates at least one of
the constraints:
Example:
x1 = 10 bowls
x2 = 20 mugs
Z = $40x1 + $50x2 = $1400
Labor constraint check:

40 hours
1(10) + 2(20) = 50 >
Graphical Solution of LP Models
Graphical solution is limited to linear programming

models containing only two decision variables (can
be used with three variables but only with great
difficulty).
Graphical methods provide visualization of how a
solution for a linear programming problem is obtained.
Coordinate Axes
Graphical Solution of Maximization Model
(1 of 12)
X2 is mugs
4x2 + 3x2 120
x1, x2 0
X1 is bowls Figure 2.2 Coordinates for Graphical

Analysis
Labor Constraint
(2 of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.3 Graph of Labor

Constraint
Labor Constraint Area

(3 of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.4 Labor Constraint Area
Clay Constraint Area

(4 of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.5 Clay Constraint

Area
Both Constraints
(5 of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.6 Graph of Both Model

Constraints
Feasible Solution Area

(6 of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.7 Feasible Solution

Area
Objective Function Solution = $800

(7 of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.8 Objection Function Line for Z =

$800
Alternative Objective Function Solution Lines

Graphical Solution of Maximization Model (8 of
12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.9 Alternative Objective Function

Lines
Optimal Solution
(9 of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Pearson Education, Inc.Figure
Point
Hall
2.10 Identification of Optimal Solution
Optimal Solution Coordinates

Graphical Solution of Maximization Model (10
of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.11 Optimal Solution

Coordinates
Extreme (Corner) Point Solutions

of 12)

4x2 + 3x2 120
x1, x2 0
Copyright 2010
Hall
Figure 2.12 Solutions at All Corner

Points
Optimal Solution for New Objective Function

of 12)
Maximize Z = $70x1 +
$20x2
4x2 + 3x2
120
x1, x2 0
Copyright 2010
Hall
Figure 2.13 Optimal Solution with Z = 70x1
Slack Variables
Standard form requires that all constraints be in

the form of equations (equalities).
A slack variable is added to a constraint
(weak inequality) to convert it to an equation (=).
A slack variable typically represents an unused
resource.
A slack variable contributes nothing to the

objective function value.
Copyright 2010
Hall
Linear Programming Model: Standard

Form
Max Z = 40x1 + 50x2 + s1 + s2
subject to:1x1 + 2x2 + s1 = 40
4x2 + 3x2 + s2 =
120
x1, x2, s1, s2 0
Where:
x1 = number of bowls
x2 = number of mugs
s1, s2 are slack variables
Copyright 2010
Hall
Figure 2.14 Solution Points A, B, and C with
LP Model Formulation Minimization (1 of

8)
Two brands of fertilizer available - Super-gro, Crop-quick.
Field requires at least 16 pounds of nitrogen and 24 pounds

of phosphate.
Super-gro costs $6 per bag, Crop-quick $3 per bag.
Problem: How much of each brand to purchase to minimize
total cost of fertilizer given following data ?
Chemical Contribution
Nitrogen
(lb/bag)
Phosphate
(lb/bag)
Super-gro
Crop-quick
Brand
Copyright 2010
Hall
LP Model Formulation Minimization (2 of

8)
Figure 2.15 Fertilizing

farmers field
Copyright 2010
Hall
LP Model Formulation Minimization (3

of 8)
Decision Variables:
x1 = bags of Super-gro
x2 = bags of Crop-quick
The Objective Function:
Minimize Z = $6x1 + 3x2
Where:
$6x1 = cost of bags of Super-Gro
$3x2 = cost of bags of Crop-Quick
Model Constraints:
2x1 + 4x2 16 lb (nitrogen constraint)
4x1 + 3x2 24 lb (phosphate constraint)
Copyright 2010 x1, x2 0 (non-negativity constraint)
Hall
Constraint Graph Minimization (4

of 8)
Minimize Z = $6x1 + $3x2

4x2 + 3x2 24
x1, x2 0
Copyright 2010
Hall
Figure 2.16 Graph of Both Model

Constraints
Feasible Region Minimization (5 of

8)

4x2 + 3x2 24
x1, x2 0
Copyright 2010
Hall
Figure 2.17 Feasible Solution Area
Optimal Solution Point Minimization (6

of 8)

4x2 + 3x2 24
x1, x2 0
Copyright 2010
Hall
Figure 2.18 Optimum Solution

Point
Surplus Variables Minimization (7 of 8)
A surplus variable is subtracted from a

constraint to convert it to an equation (=).
A surplus variable represents an excess above a
constraint requirement level.
A surplus variable contributes nothing to the
calculated value of the objective function.
Subtracting surplus variables in the farmer problem
constraints:
2x1 + 4x2 - s1 = 16 (nitrogen)
4x
+
3x
s
=
24
1
2
2
Copyright 2010
(phosphate)
Hall
Graphical Solutions Minimization (8 of

8)
Minimize Z = $6x1 + $3x2 + 0s1 +

0s2
subject to:
2x1 + 4x2 s1 = 16
4x2 + 3x2 s2 = 24
x1, x2, s 1, s 2 0
Copyright 2010
Hall
Figure 2.19 Graph of Fertilizer

Example
Irregular Types of Linear Programming

Problems
For some linear programming models, the
general rules do not apply.
Special types of problems include those with:
Multiple optimal solutions
Infeasible solutions
Unbounded solutions
Copyright 2010
Hall
Multiple Optimal Solutions Beaver Creek

Pottery
The objective function is
parallel to a constraint line.
Maximize Z=$40x1 + 30x2
4x2 + 3x2 120
x1, x2 0
Where:
x1 = number of bowls
x2 = number of mugs
Copyright 2010
Hall
Figure 2.20 Example with Multiple Optimal

Solutions
An Infeasible Problem
Every possible solution

violates at least one
constraint:
Maximize Z = 5x1 + 3x2
x1 4
x2 6
x1, x2 0
Copyright 2010
Hall
Figure 2.21 Graph of an Infeasible Problem
An Unbounded Problem
Value of the objective

function increases indefinitely:
subject to: x1 4
x2 2
x1, x2 0
Copyright 2010
Hall
Figure 2.22 Graph of an Unbounded Problem
Characteristics of Linear Programming

Problems
A decision amongst alternative courses of action is
required.
The decision is represented in the model by decision
variables.
The problem encompasses a goal, expressed as an
objective function, that the decision maker wants
to achieve.
Restrictions (represented by constraints) exist that
limit the extent of achievement of the objective.
The objective and constraints must be definable by
linear
mathematical functional relationships.
Copyright
2010
Hall
Properties of Linear Programming

Models
Proportionality - The rate of change (slope) of the
objective function and constraint equations is
constant.
Additivity - Terms in the objective function and

constraint equations must be additive.
Divisibility -Decision variables can take on any
fractional value and are therefore continuous as
opposed to integer in nature.
Certainty - Values of all the model parameters are
assumed to be known with certainty (nonCopyright 2010
Pearson
Education, Inc.
probabilistic).
Hall
Problem Statement
Example Problem No. 1 (1 of 3)
Hot dog mixture in 1000-pound batches.
Two ingredients, chicken ($3/lb) and beef ($5/lb).
Recipe requirements:
at least 500 pounds of chicken

at least 200 pounds of beef
Ratio of chicken to beef must be at least 2 to 1.
Determine optimal mixture of ingredients that will

minimize costs.
Copyright 2010
Hall
Solution
Step 1:
Identify decision variables.
x1 = lb of chicken in mixture
x2 = lb of beef in mixture
Step 2:
Formulate the objective function.
where Z = cost per 1,000-lb batch
$3x1 = cost of chicken
Copyright 2010
$5x2 = cost of beef
Hall
Solution
Step 3:
Establish Model Constraints
x1 + x2 = 1,000 lb
x1 500 lb of chicken
x2 200 lb of beef
x1/x2 2/1 or x1 - 2x2 0
x1, x2 0
The Model: Minimize Z = $3x1 + 5x2
subject to: x1 + x2 = 1,000 lb
x1 50
x2 200
Copyright 2010
x1 - 2x2 0
x1,x2 0
Hall

Solve the following model
graphically:
subject to: x1 + 2x2 10
6x1 + 6x2 36
x1 4
x1, x2 0
Step 1:
constraints
Plot the
as equations
Copyright 2010
Hall
Figure 2.23 Constraint Equations

6x1 + 6x2 36
x1 4
x1, x2 0
Step 2: Determine the
feasible solution space
Copyright 2010
Hall
Figure 2.24 Feasible Solution Space and Extreme

Points

6x1 + 6x2 36
x1 4
x1, x2 0
Step 3 and 4: Determine
the solution points and
optimal solution
Copyright 2010
Hall
Figure 2.25 Optimal Solution Point
Copyright 2010
Hall
Simplex Method
The steps of the simplex methods are:
Step 0. Determine a starting basic feasible solution.
Step 1. Select an entering variable using the optimality
condition. Stop if there is no entering variable.
Step 2. select a leaving variable using the feasible condition.
Step 3. Determine the new basic solution by using the
appropriate Gauss-Jordan computations.
74
Simplex Method
(contd)
Example: PAK APIAS
75
Simplex Method
(contd)
Example: PAK APIAS
76
Simplex Method
(contd)
Example: PAK APIAS
Although either variable will increase the profit ,

we choose to increase X1 because it offers a
higher rate of increase in Z($5 versus $4).
In this case X is the entering variable.
77
Simplex Method (contd)

6x1+4x2 24
-x1+x2 1
x2 2
Feasible
Solution Space
x1+2x2 6
Model
78
Simplex Method
(contd)
Example: PAK APIAS
79
Simplex Method
(contd)
Example: PAK APIAS
80
Simplex Method
(contd)
Example: PAK APIAS
81
Simplex Method
(contd)
Example: PAK APIAS
82
Simplex Method
(contd)
Example: PAK APIAS
83
Simplex Method
(contd)
Example: PAK APIAS
84
Simplex Method
(contd)
Example: PAK APIAS
85
Simplex Method
(contd)
Example: PAK APIAS
86
Simplex Method
(contd)
Example: PAK APIAS
87
Linear Programming
End
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Allah says

Al-Qur'an, 013.042 (Ar-Rad [The Thunder])

Part 1: Basics of Linear Programming

Linear Programming (LP) is a mathematical modeling

Linear programming (LP) is a mathematical

Part 1: Basics of Linear Programming

The linear model consists of the following

A set of decision variables.

Part 1: Basics of Linear Programming

In some books, (x1, x2) is used instead of (x,y)

(x1, x2, x3 , x4) is used instead of (x, y, z, v)

Part 1: Basics of Linear Programming

Dimensionality of Optimization Problems

Intersecting lines yield

W=f(x1 , x2, x3)

W=f(x1 , x2, , xn)

Part 1: Basics of Linear Programming

Part 2: Importance and Limitations of Linear

Furthermore, most production resources can be varied even in the short

term through overtime and buying-in.

The alternative to optimizing against given constraints is to concentrate on

The theory of constraints helps in managing constraints in the short term.

Part 3: Linear Programming applications

multistage scheduling problems

The cutting-stock problem

find a way to cut paper or textiles rolls

Approximating data by linear functions

find approximate solutions to possibly systems of linear equations

Part 3: Linear Programming applications

Most extensively it is used in business and economic

Assume only 2 resources: X and Y

Examples of W =f(X,Y) response surfaces

Part 4: Examples (contd)

Assume only 2 resources: X and Y (consider simplified cross section of

Part 4: Examples (contd)

Part 4: Examples (contd)

Assume only 2 resources: X and Y

Part 4: Examples (contd)

Part 4: Examples (contd)

W is also referred to as the OBJECTIVE FUNCTION or

(It is our objective to maximize or minimize

x and y can be referred to as Project CONTROL

Part 4: Examples (contd)

Construction of the LP Model

Our objective is to find a optimum feasible solution to the

Standard Form for Linear Programming

Standard Form for Linear Programming:

Part 4: Examples (contd)

x and y are called

It is called Linear programming as the

Profit per ton ($1000)

A market survey indicates that the maximum daily demand of interior

Example: PAK APIAS

Daily Demand Constraints

Part 4: Examples (contd)

Determination of the Optimum Solution by

Feasible Solution Space for PAK APIAS Model

Feasible Solution Space for PAK APIAS Model

Feasible Solution Space for PAK APIAS Model

Finding Optimal Solution for PAK APIAS Model

Finding Optimal Solution for PAK APIAS Model

Finding Optimal Solution for PAK APIAS Model

Optimal Soln. Occurs

(3, 1.5) z=5x1+4x2 =21