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LP Models
Solution Methods
The Graphical Method
The Simplex Method
s.t.
a x +a x ++a x
11 1 12 2 1n n
b 1
a x +a x ++a x
21 1 22 2 2n n
b 2
a x
m1 1
+ a x m2 2
+ + a x mn n
b m
x 1
0, x 2
0 , , x n
0
Duality Theory
Standard (Inequality) Primal Form:
max c x c x + c x
1 1 2 2 n n
s.t . a x a x + a x
11 1 12 2 1n n
b 1
a x a x + a x
21 1 22 2 2n n
b 2
a m1 x 1
a m2 x 2
+ a mn x n
b m
x 1
0, x 2
0, , x n
0
Dual Form:
min b y
1 1
y +b y
b2
2 n m
s.t . a y
11 1
a y +a y
21 2 m1 m
c 1
a y
12 1
a y + a y
22 2 m2 m
c 2
a1n y a y
1 2n 2
+ a y cmn m n
y 0, y
1 2
0, , y 0
m
LP Model: Standard (Inequality) Matrix Form
a
11 a12 ... a1n
b1 c1
a21 a22 ... a2n b2 T c2
A , b , c
... ... ... ... ... ...
am2 ... c
a
m1 amn
bm n
Matrix Form:
max c x
s.t. Ax b,
x 0.
Primal-Dual in Matrix Form
Standard (Inequality) Primal Form:
Max c x
s.t. A x b
x 0
Dual Form:
Min yb
s.t. yA c
y 0
Primal-Dual in Matrix Form: Equality
Standard (Equality) Primal Form:
Min c x
s.t. A x b
x 0
Dual Form:
Max yb
s.t. y A c
Relations Between Primal and Dual
1. The dual of the dual problem is again the primal problem.
cTx* = bTy*
Ax b
x 0
Dual Feasibility:
AT y c
Strong Duality:
c T x bT y
or Complementary Slackness:
x j(c-AT y)j 0 , j 1,...,n
Optimality Conditions
Primal Feasibility:
Ax b
x 0
Dual Feasibility:
AT y r c
r 0
Strong Duality:
c T x bT y
or Complementary Slackness:
x j rj 0 , j 1,...,n
Theory of Linear Programming
An LP problem falls in one of three cases:
Problem is infeasible: Feasible region is empty.
Problem is unbounded: Feasible region is unbounded towards
the optimizing direction.
Problem is feasible and bounded: then there exists an optimal
point; an optimal point is on the boundary of the feasible
region; and there is always at least one optimal corner point
(if the feasible region has a corner point).
3. Goto Step 2.
Complementary Slackness Conditions in the
Primal Simplex Method
xB B 1b, xN 0
y cB B 1 ,
rB cB yB cB cB B 1 B 0
Thus,
x j r j 0 , j B or j N
rN c N yAN c N c B B 1 0
Matrix form of the initial tableau for the inequality standard form
Basic
Variable x xs RHS
Z -c 0 0
xs A I b
Basic
Variable x xs RHS
The constraint RHS ranges give the ranges of the constraint RHS
over which no change in the dual price will occur. If the solution is
degenerate, the dual price may be valid for one-sided changes in
the RHS.
Basic x1 x2 x3 x4 x5 x6 x7 Right
Z0 0 28 40 5 2 0 6000
20 1 11 19 1.5 -1 0 200
11 0 -12 -22 -2 2 0 400
70 0 -4 1.6 .1 -.4 1 20
In answering the following question provide a short explanation and
computation when needed.
1. By how much must the unit profit on block 3 be increased before it would be
profitable to manufacture it ?
2. What must the minimum unit profit on block 2 be so that it remains in the
production schedule?
3. If the 800 machine-hours on the batch mixer is uncertain, for what range of
machine hours will it remain feasible to produce blocks 1 and 2 ?
4. A competitor located next door has offered the manager additional batch-
mixing time at a rate $4.50 per hour. Should he accept his offer?
5. Suppose instead that the competitor offers the manager 250 hours of batch-
mixing time for a total $1,100, Should he accept his offer? ( The manager can
only accept or reject the extra 250 hours.)
6. The owner has approached the manager with a thought about producing a new
type of concrete block that would require 4 hours of batch mixing, 4 hours of
molding and 1 hour of inspection per pallet. What should be the profit per
pallet if block 5 is to be manufactured?
7. If the next door competitor would like to buy the resources from Concrete
Products next month, what would be the fair prices? Formulate it as a linear
Program.
The following tableau associated with a LP problem
Basic x1 x2 x3 x4 x5 x6 x7 Right
Z 0 0 0 g 3 h i 0
2 0 1 0 d 1 0 3 e
3 0 0 1 -2 2 f -1 2
1 1 0 0 0 -1 2 1 3