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Concepts

Lecture 2 (3/29/2017)

Definition

mathematical method to allocate scarce

resources to competing activities in an

optimal manner when the problem can be

expressed using a linear objective function

and linear inequality constraints.”

An Liner Program (LP)

Objective function coefficient: represents the contribution

n of one unit of each variable to the value of the obj. func.

Max ci X i c1 X1 c2 X 2 ... cn X n

i 1

Decision variables

subject to :

RHS constraint coefficient: they represent limitations

n

a

i 1

j ,i X i bj for j 1, 2,..., m

Xi 0 for i 1, 2,..., n

Non-negativity constraint

Formulating Linear Programs

2. Formulate the objective function;

3. Identify and formulate the constraints;

and

4. Write out the non-negativity constraints

The Lumber Mill Problem

A lumber mill can produce pallets or high quality lumber.

Its lumber capacity is limited by its kiln size. It can dry

200 mbf per day. Similarly, it can produce a maximum of

600 pallets per day. In addition, it can only process 400

logs per day through its main saw. Quality lumber sells

for $490 per mbf, and pallets sell for $9 each. It takes

1.4 logs on average to make one mbf of lumber, and

four pallets can be made from one log. Of course,

different grades of logs are used in making each product.

Grade 1 lumber logs cost $200 per log, and pallet-grade

logs cost only $4 per log. Processing costs per mbf of

quality lumber are $200 per mbf, and processing costs

per pallet are only $5. How many pallets and how many

mbf of lumber should the mill produce?

Solving the Lumber Mill Problem

1. Defining the decision variables: What do I

need to know?

L = the number of mbf of lumber to produce each day

Max Z c p P cL L

2. Formulating the objective function

c p $9 $5 1/ 4 $4 $3 / pallet

cL $490 1.4 $200 $200 $10 / mbf

Max Z 3 P 10 L

L 200 (mbf / day ) Kiln capacity constraint

P 600 ( pallets / day ) Pallet capacity constraint

1/ 4 P 1.4 L 400 (logs / day )

Log capacity constraint

3. Non-negativity constraints

P 0 and L 0

Max Z= 3 P 10 L

Subject to :

L 200

P 600

1 4 P 1.4 L 400

P0

L0

A logging Problem

A logging company must allocate logging equipment

between two sites in the manner that will maximize its

daily net revenues. They have determined that the net

revenue of a cord of wood is $1.90 from site 1 and $2.10

from site 2. At their disposal are two skidders, one

forwarder and one truck. Each kind of equipment can be

used for 9 hours per day, and this time can be divided in

any proportion between the two sites. The equipment

needed to produce a cord of wood from each site varies

as show in the table below:

1 0.30 0.30 0.17

Solving the Logging Problem

1. Defining the decision variables: What do I

need to know?

X2 = the number of cords per day to produce from site 2.

Max Z c1 X 1 c2 X 2

2. Formulating the objective function

Max Z 1.9 X 1 2.1 X 2

0.30 X 1 0.40 X 2 18 ( skidder hrs / day )

Skidder constraint

0.30 X 1 0.15 X 2 9 ( forwarder hrs / day )

Forwarder constraint

Truck constraint

3. Non-negativity constraints

X 1 0 and X 2 0

Max Z= 1.90 X 1 2.10 X 2

Subject to :

0.30 X 1 0.40 X 2 18

0.30 X 1 0.15 X 2 9

0.17 X 1 0.17 X 2 9

X1 0

X2 0

The complete formulation of the

Logging Problem

Subject to :

0.30 X 1 0.40 X 2 18

0.30 X 1 0.15 X 2 9

0.17 X 1 0.17 X 2 9

X1 0

X2 0

Graphical solution to the Logging Problem

60

0.30X1+0.15X2<=9

Production at Site 2 (X2: cords/day)

50

40 0.17X1+0.17X2<=9

(12,36)

30 0.3X1+0.4X2<=18

20 Feasible Region

1.9X1+2.1X2=98.4

10

5 10 15 20 25 30 35

Key points from the graphical

solution

• Constraints define a polyhedron (polygon for 2

variables) called feasible region

• The objective function defines a set of parallel n-

dimensional hyperplanes (lines for 2 variables) –

one for each potential objective function value

• The optimal solution(s) is the last corner or face

of the feasible region that the objective function

touches as its value is improved

Solving an LP

• The Simplex Algorithm: searching for the

best corner solution(s)

• Multiple versus unique solutions

• Binding constraints

Graphical solution to the Logging Problem

60

0.30X1+0.15X2<=9

Production at Site 2 (X2: cords/day)

50

40 0.17X1+0.17X2<=9

(12,36)

30 0.3X1+0.4X2<=18

20 Feasible Region

1.9X1+2.1X2=98.4

10

5 10 15 20 25 30 35

Graphical solution to the Lumber Mill Problem

1000

10L+3P=3,585.7

900

10L+3P=3,000 (150,760)

800

Pallets (pallets/day)

700

P<=600

600

(178.6,600)

500 10L+3P=4,000

400

L>=0

Feasible Region

300

L<=200

200

100 1.4L+0.25P<=400

P>=0

0

50 100 150 200 250 300

Lumber (mbf/day) (285.7,0)

Interpreting Computer Solutions to

LPs

• Optimal values of the variables

• The optimal objective function value

• Reduced costs

• Slack or surplus values

• Dual (shadow) prices

Reduced costs

• Reduced costs are associated with the variables

• Reduced cost values are non-zero only when

the optimal value of a variable is zero

• It indicates how much the objective function

coefficient on the corresponding variable must

be improved before the value of the variable will

turn positive in the optimal solution

Reduced costs cont.

• Minimization (improved = reduced)

• Maximization (improved = increased)

• If the optimal value of a variable is

positive, the reduced cost is always zero

• If the optimal value of a variable is zero

and the corresponding reduced cost value

is also zero, then multiple solutions exist

Slack or surplus

• They are associated with each constraint

• Slack: less-than-or-equal constraints

• Surplus: greater-than-or-equal constraints

• For binding constraints: the slack or

surplus is zero

• Slack: amount of resource not being used

• Surplus: extra amount being produced

over the constraint

Dual Prices

• Also called: shadow prices

• They are associated with each constraint

• The dual price gives the improvement in

the objective function if the constraint is

relaxed by one unit

Sample LP solution output

MAX

3 P + 10 L

st

L <= 200

P <= 600

0.25 P + 1.4 L <= 400

End

1) 3585.714

P 600.000000 0.000000

L 178.571400 0.000000

2) 21.418570 0.000000

3) 0.000000 1.214286

4) 0.000000 7.142857

NO. ITERATIONS= 2

The Fundamental Assumptions of

Linear Programming

1. Linear constraints and objective function

a. Proportionality: the value of the obj. func. and the

response of each resource is proportional to the

value of the variables

b. Additivity: there is no interaction between the effects

of different activities

2. Divisibility (the values of the decision variables

can be fractions)

3. Certainty

4. Data availability

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