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Linear programming applications

Operations Research

Dr Michal̇ Kulej
Room 509, building B4
michal.kulej@pwr.wroc.pl
Slides will be available at www.ioz.pwr.wroc.pl/Pracownicy

Form of the course completion: exam.

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Linear programming applications

Literature

1 H. A. Taha. Operations Research. An Introduction. Pearson

Prentice Hall, New Jersey 2007.
2 F. S. Hillier, G.J. Liberman: Introduction to Operations Research.
Mc Graw Hill, 2001.
3 W. L. Winston. Operations Research: Applications and Algori-
thms, PWS-KENT Publishing Company, Boston, 1987.
4 M. Kulej. Operations Research. PRINTPAP, Lodz 2012.
5 H.P. Williams. Model Building in Mathematical Programming. Wi-
ley, New York,1990.

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Operations Research

Operations Research is a discipline that deals with the applica-

tion of advanced analytical methods to help make better deci-
sions. As a formal discipline, operations research originated in
the efforts of military planners during World War II.

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Operations research methodology

Describe a problem.
Real world Problem description What are the objectives?
Which constraints must be satisfied?

Build a mathematical model

Model construction for the problem. Identify decision
variables, parameters, objective function
and constraints.

Apply some algorithm (solver) to

Model solution solve the model

Provide an interpretation of the

Analysis of the results solution. Perform a sensitivity
analysis of the solution

Implementation Apply the solution in practice

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Example [Taha 2007] -problem description

Reddy Mikks company produces both interior and exterior paints from
two raw materials M1 and M2. The following table provides the basic
data of the problem:

Tons of raw mat. per ton of Max. daily

Ext. paint Int. paint availability (tons)
Raw material M1 6 4 24
Raw material M2 1 2 6
Profit per tone ($1000) 5 4

A market survey indicates that the daily demand for interior paint can-
not exceed that for exterior paint by more than 1 ton. Also, the ma-
ximum daily demand for interior paints is 2 tons. Reddy Mikks wants
to determine the best product mix of interior and exterior paints that
maximizes the total daily profit.

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Example - model building

1 Decision variables:
x1 - Tons produced daily of exterior paint
x2 - Tons produced daily of interior paint
2 Variable types:
x1 ≥ 0 [Nonnegative reals]
x2 ≥ 0 [Nonnegative reals]
3 Objective function:
Maximize z = 5x1 + 4x2 [The total profit]
4 Constraints
6x1 + 4x2 ≤ 24 [Raw material M1]
x1 + 2x2 ≤ 6 [Raw material M2]
x2 − x1 ≤ 1 [Market limit]
x2 ≤ 2 [Demand limit]

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Model solution

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Model solution

Reddy Mikks should produce 3 tons of interior paints and 1.5 tons of
exterior paints, which gives a maximum total profit of $21 000. This is
the only optimal solution.
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Model solution (MathProg)

var x1 >=0;
var x2 >=0;
maximize profit: 5*x1+4*x2;
M1: 6*x1+4*x2<=24;
M2: x1+2*x2<=6;
MarketLim: x2-x1<=1;
DemLim: x2<=2;
solve
solve;
display x1,x2;
end
end;

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Linear programming problem

In a linear programming problem:

1 the objective function is linear;
2 all the constraints have the form of linear inequalities or equ-
alities;
3 all decision variables can take real (rational) values.

Many practical problems can be formulated as linear program-

ming problems. Furthermore, there exist efficient methods of
solving such problems.

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Linear programming problem

max (min) z = c1 x1 + c2 x2 + · · · + cn xn [Obj. function]

a11 x1 + a12 x2 + · · · + a1n xn ≥ (≤, =)b1 [Constraint 1]
a21 x1 + a22 x2 + · · · + a2n xn ≥ (≤, =)b2 [Constraint 2]
... ...
am1 x1 + am2 x2 + · · · + amn xn ≥ (≤, =)b2 [Constraint m]
xi ≥ 0, i ∈ I [Non. constr.]

x1 , . . . , xn are decision variables.

All ci , bj and aij are parameters (input data, constants).
I ⊆ {1, . . . , n} denotes a subset of variables which must take
nonnegative values.

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Linear programming problem

A solution (x1 , . . . , xn ) which satisfies all the constraints is called

a feasible solution. A feasible solution (x1∗ , . . . , xn∗ ) for which the
value of the objective function is maximal (minimal) is called an
optimal solution.

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Diet problem

There are four different foods: bread, milk, cheese, and yogurt. The cost and
nutrition values per unit of each food are displayed in the following table:

Bread Milk Cheese Yogurt

Cost per unit 1.0 2.5 3.0 4.0
Sugar, g. 0.5 1 0.2 4
Fat, g. 0 5.0 9.0 7.0
Proteins, g. 4.0 11.7 10.0 17.0
Calories 90 120 106 110

The objective is to find a minimum-cost diet that contains at least 300 calories,
10 grams of sugar, 6 grams of fat, and 30 grams of proteins.

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Diet problem

1 Decision variables:
x1 , . . . , x4 - number of units of bread, milk, cheese, and yogurt
2 Objective function:
min z = Total cost= x1 + 2.5x2 + 3x3 + 4x4
3 Constraints:
90x1 + 120x2 + 106x3 + 110x4 ≥ 300 [Calories]
0.5x1 + x2 + 0.2x3 + 4x4 ≥ 10 [Sugar]
5x2 + 9x3 + 7x4 ≥ 6 [Fat]
4x1 + 11.7x2 + 10x3 + 17x4 ≥ 30 [Proteins]
4 All variables are nonnegative:
x1 , x2 , x3 , x4 ≥ 0

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Modeling production process

Corporation Rylon produces four types of perfumes: Brute, Super Brute, Cha-
nelle and Super Chanelle. From 1 unit of raw material 3 units of Brute and 4
units of Chanelle are produced in 1 hour. Next, 1 unit of Brute can be trans-
formed into 1 unit of Super Brute in 3 hours and 1 unit of Chanelle can be
transformed into 1 unit of Super Chanelle in 2 hours. The corporation can
buy up to 4000 units of the raw material and use up to 6000 hours for the
production process. Establish an optimal production plan.

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Modeling production process

1 Decision variables:
x1 , . . . , x4 - number of units of Brute, Super Brute, Chanelle and
Super Chanelle
y - number of units of the raw material used.
2 Objective function
max z = Total profit= 7x1 + 14x2 + 6x3 + 10x4 − 3y
3 Constraints:
x1 + x2 ≤ 3y [Brute and Super Brute]
x3 + x4 ≤ 4y [Chanelle and Super Chanelle]
y ≤ 4000 [Limit of raw material]
y + 3x2 + 2x4 ≤ 6000 [Limit of working hours]
4 All variables are nonnegative:
x1 , x2 , x3 , x4 , y ≥ 0

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Multiperiod production-inventory model

A factory must produce a certain product over the next four quarters. The
maximum production level in each quarter equals 60 units. The factory wants
to minimize total costs and has to meet all demands on time. The appropriate
data are given in the following table:

I II III IV
Demand (units) 30 60 70 25
Production cost ($/unit) 55 50 50 55
Storage cost ($/unit) 2 2 3 -

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Multiperiod production-inventory model

1 Decision variables:
x1 , x2 , x3 , x4 - number of units produced during quarters 1. . .4;
m1 , m2 , m3 - number of units of the product in store at the end of
quarters 1,2,3.
2 Objective function
min z = Total cost = 55x1 + 50x2 + 50x3 + 55x4 + 2m1 + 2m2 + 3m3
3 Constraints
x1 = 30 + m1 [Balance at quarter 1]
m1 + x2 = 60 + m2 [Balance at quarter 2]
m2 + x3 = 70 + m3 [Balance at quarter 3]
m3 + x4 = 25 [Balance at quarter 4]
xi ≤ 60 for i = 1, . . . , 4 [Max. production level]
4 All variables are nonnegative:
x1 , x2 , x3 , x4 , m1 , m2 , m3 ≥ 0

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Multiperiod financial model

Finco Invest. Corp. must determine an optimal investment strategy for the
next three years. At present, $100000 is available for investment. Investments
A,B,C,D and E are available. The cash flow associated with investing $1 in
each investment is given in the table below.

0 1 2 3
A -1$ +0.5$ +1$ -
B - -1$ +0.5$ 1$
C -1$ +1.2$ - -
D -1$ - - +1.9$
E - - -1$ +1.5$

To ensure that the portfolio is diversified, Finco requires that at most $75000
be placed in any single investment. In addition, Finco can earn interest at 8%
per year by keeping uninvested cash in a bank. Returns from investments may
be immediately reinvested.
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Multiperiod financial model

1 Decision variables:
xA , xB , xC , xD , xE - dollars invested in investment A,B,C,D, and E re-
spectively;
y0 , y1 , y2 - dollars invested in the bank at time 0, 1 and 2.
2 Objective function
max z = Cash at time 3 = xB + 1.9xD + 1.5xE + 1.08y2
3 Constraints
xA + xC + xD + y0 = 100000 [Balance at time 0]
0.5xA + 1.2xC + 1.08y0 − xB − y1 = 0 [Balance at time 1]
xA + 0.5xB + 1.08y1 − xE − y2 = 0 [Balance at time 2]
xA , xB , xC , xD , xE ≤ 75000 [Limits on dollars inv.]
4 All variables are nonnegative:
xA , xB , xC , xD , xE , y0 , y1 , y2 ≥ 0

Michaş Kulej Operations Research 2013/2014