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LINEAR PROGRAMMING : SENSITIVITY ANALYSIS
By: -
Hakeem–Ur–Rehman
IQTM–PU 1
LINEAR PROGRAMMING:
SENSITIVITY ANALYSIS
The term sensitivity analysis, sometimes also called
post-optimality analysis, refers to an analysis of the
effect on the optimal solution of changes in the
parameters of problem on the current optimal solution.
9
LP:SENSITIVITY ANALYSIS (Cont…)
How do changes made to the coefficients of basic variable affect
the optimal solution?
Change in the Coefficient of the Basic Variable ‘S3’:
Let us denote the change in a variable value by ‘L’. The change in ‘S3’ is ‘0+L’. Now, we re–
compute the new final simplex table which is as follows:
Since all the values in the (Cj – Zj ) ≤ 0, so the solution is optimal. The optimal solution will
change if at least one of (Cj – Zj ) > 0. We will find the value of ‘L’ for which the new solution
remains optimal. In order to do this, we evaluate ‘L’ in each column for the non–basic variables.
10
LP:SENSITIVITY ANALYSIS (Cont…)
How do changes made to the coefficients of basic variable affect
the optimal solution?
From ‘S1’ Column: (Cj – Zj ) ≤ 0 –(1+L)/5 ≤ 0 L ≥ –1
It means that ‘S1’ will not enter the basis unless the profit per unit for ‘S3’ will decrease to ‘0+L
=0–1= –1’; if it goes below, the solution will not remain optimal.
11
LP:SENSITIVITY ANALYSIS (Cont…)
Change to the Constants on the Right–Hand side of the Constraint
Inequalities: Analyzing the 1st Constraint: Now, consider
The LP problem is: an ‘h’ increase in the right–hand side of the first
Maximum: Z = 2X1 + 1.5X2 2X1 + (3/2)X2 constraint then the LP model constraints
Subject to: become:
3X1 + 4X2 ≤ 1000
3X1 + 4X2 ≤ 1000 + 1h
6X1 + 3X2 ≤ 1200
X1 ≤ 180 6X1 + 3X2 ≤ 1200 + 0h
X1 , X2 ≥ 0 X1 ≤ 180 + 0h
Contribution Per Unit Cj 2 3/2 0 0 0
Basic Variables Quantity
CBi X1 X2 S1 S2 S3
(B) (Qty)
0 S1 1000 +1h 3 4 1 0 0
0 S2 1200 + 0h 6 3 0 1 0
0 S3 180 + 0h 1 0 0 0 1
Total Profit (Zj) 0 0 0 0 0 0
Net Contribution (Cj – Zj) 2 3/2 0 0 0
Contribution Per Unit Cj 2 3/2 0 0 0
Quantity
CBi Basic Variables (B) X1 X2 S1 S2 S3
(Qty)
0 S3 60+(h/5) 0 0 1/5 –4/15 1
3/2 X2 160+(2h/5) 0 1 2/5 –1/5 0
2 X1 120–(h/5) 1 0 –1/5 4/15 0
Total Profit (Zj) 480+(h/5) 2 3/2 1/5 7/30 0
12
Net Contribution (Cj – Zj) 0 0 – 1/5 – 7/30 0
LP:SENSITIVITY ANALYSIS (Cont…)
Change to the Constants on the Right–Hand side of the Constraint
Inequalities:
Remember that as the requirement of the simplex method is that the values in the quantity
column not be negative. If any value in the quantity column becomes negative then the current
solution will no longer be feasible and a new variable will enter the solution.
Thus, the inequalities: 60+(h/5) ≥ 0, 160+(2h/5) ≥ 0 & 120–(h/5) ≥ 0 ; are solved for ‘h’:
60+(h/5) ≥ 0 (h/5) ≥ (–60) h ≥ –300;
160+(2h/5) ≥ 0 (2h/5) ≥ –160 h ≥ –400;
120–(h/5) ≥ 0 –(h/5) ≥ –120 h ≤ 600.
We will get: h ≥ –300, h ≥ –400 & h ≤ 600
Since: b1 = 1000 + h then h = b1 – 1000;
The value ‘h = b1 – 1000’ is put into the inequalities h ≥ –300, h ≥ –400 & h ≤ 600
as follows:
h ≥ –300 h ≥ –400 h ≤ 600
b1 – 1000 ≥ –300 b1 – 1000 ≥ –400 b1 – 1000 ≤ 600
b1 ≥ –300+1000 b1 ≥ –400+1000 b1 ≤ 600+1000
b1 ≥ 700 b1 ≥ 600 b1 ≤ 1600
Thus, the range of ‘b1’ is: 600 ≤ b1 ≤ 1600. Under these conditions, XYZ
Manufacturing Company should produce ‘120–(h/5)’ model–A grates and
‘160+(2h/5)’ model–B grates. 13
LP:SENSITIVITY ANALYSIS (Cont…)
Change to the Constants on the Right–Hand side of the Constraint
Inequalities: Analyzing the 2nd Constraint:
The LP problem is:
Now, consider a ‘k’ increase in the right–hand
Maximum: Z = 2X1 + 1.5X2 2X1 + (3/2)X2
Subject to:
side of the first constraint then the LP model
3X1 + 4X2 ≤ 1000 constraints become:
6X1 + 3X2 ≤ 1200 3X1 + 4X2 ≤ 1000 + 0k
X1 ≤ 180 6X1 + 3X2 ≤ 1200 + 1k
X1 , X2 ≥ 0 X1 ≤ 180 + 0k
Contribution Per Unit Cj 2 3/2 0 0 0
CBi Basic Variables (B) Quantity (Qty) X1 X2 S1 S2 S3
0 S1 1000 +0k 3 4 1 0 0
0 S2 1200 + 1k 6 3 0 1 0
0 S3 180 + 0k 1 0 0 0 1
Total Profit (Zj) 0 0 0 0 0 0
Net Contribution (Cj – Zj) 2 3/2 0 0 0
Contribution Per Unit Cj 2 3/2 0 0 0
CBi Basic Variables (B) Quantity (Qty) X1 X2 S1 S2 S3
0 S3 60–(4k/15) 0 0 1/5 –4/15 1
3/2 X2 160–(k/5) 0 1 2/5 –1/5 0
2 X1 120+(4k/15) 1 0 –1/5 4/15 0
Total Profit (Zj) 480+(7k/30) 2 3/2 1/5 7/30 0
Net Contribution (Cj – Zj) 0 0 – 1/5 – 7/30 140
LP:SENSITIVITY ANALYSIS (Cont…)
Change to the Constants on the Right–Hand side of the Constraint
Inequalities:
Remember that as the requirement of the simplex method is that the values in the quantity
column not be negative. If any value in the quantity column becomes negative then the current
solution will no longer be feasible and a new variable will enter the solution.
Thus, the inequalities: 60–(4k/15) ≥ 0, 160–(k/5) ≥ 0 & 120+(4k/15) ≥ 0; are solved for ‘k’:
60 – (4k/15) ≥ 0 –(4k/15) ≥ –60 k ≤ 225,
160–(k/5) ≥ 0 –(k/5) ≥ –160 k ≤ 800 &
120+(4k/15) ≥ 0 (4k/15) ≥ –120 k ≥ –450
We will get: k ≤ 225, k ≤ 800 & k ≥ –450.
Since: b2 = 1200 + k then k = b2 – 1200;
The value ‘k = b2 – 1200’ is put into the inequalities k ≤ 225, k ≤ 800 & k ≥ –450 as
follows:
k ≤ 225 k ≤ 800 k ≥ –450
b2 – 1200 ≤ 225 b2 – 1200 ≤ 800 b2 – 1200 ≥ –450
b2 ≤ 225+1200 b2 ≤ 800+1200 b2 ≥ –450+1200
b2 ≤ 1425 b2 ≤ 2000 b2 ≥ 750
Thus, the range of ‘b2’ is: 750 ≤ b2 ≤ 2000. Under these conditions, XYZ
Company should produce ‘120+(4k/15)’ model–A grates and ‘160–(k/5)’ model–B
grates. 15
LP:SENSITIVITY ANALYSIS (Cont…)
Change to the Constants on the Right–Hand side of the Constraint
Inequalities: Analyzing the 3rd Constraint:
The LP problem is:
Now, consider an ‘L’ increase in the right–hand
Maximum: Z = 2X1 + 1.5X2 2X1 + (3/2)X2
Subject to:
side of the first constraint then the LP model
3X1 + 4X2 ≤ 1000 constraints become:
6X1 + 3X2 ≤ 1200 3X1 + 4X2 ≤ 1000 + 0L
X1 ≤ 180 6X1 + 3X2 ≤ 1200 + 0L
X1 , X2 ≥ 0 X1 ≤ 180 + 1L
Contribution Per Unit Cj 2 3/2 0 0 0
Basic Variables Quantity
CBi X1 X2 S1 S2 S3
(B) (Qty)
0 S1 1000 + 0L 3 4 1 0 0
0 S2 1200 + 0L 6 3 0 1 0
0 S3 180 + 1L 1 0 0 0 1
Total Profit (Zj) 0 0 0 0 0 0
Net Contribution (Cj – Zj) 2 3/2 0 0 0
Contribution Per Unit Cj 2 3/2 0 0 0
Quantity
CBi Basic Variables (B) X1 X2 S1 S2 S3
(Qty)
0 S3 60+L 0 0 1/5 –4/15 1
3/2 X2 160 0 1 2/5 –1/5 0
2 X1 120 1 0 –1/5 4/15 0
Total Profit (Zj) 480 2 3/2 1/5 7/30 0
Net Contribution (Cj – Zj) 0 0 – 1/5 – 7/30 16 0
LP:SENSITIVITY ANALYSIS (Cont…)
Change to the Constants on the Right–Hand side of the Constraint
Inequalities:
Remember that as the requirement of the simplex method is that the values in the quantity
column not be negative. If any value in the quantity column becomes negative then the current
solution will no longer be feasible and a new variable will enter the solution.
Thus, the inequalities: 60+L ≥ 0, 160 ≥ 0 & 120 ≥ 0; are solved for ‘L’: 60+L ≥ 0
L ≥ –60.
We will get: L ≥ –60.
Since: b3 = 180 + L then L = b3 – 180;
The value ‘L = b3 – 180’ is put into the inequality L ≥ –60 as follows:
L ≥ –60 b3 – 180 ≥ –60 b3 ≥ –60+180 b3 ≥ 120
Thus, the range of ‘b3’ is: 120 ≤ b3 ≤ ∞.
17
LP:SENSITIVITY ANALYSIS (Cont…)
Shadow Prices:
Shadow Price for 1st Resource:
As we showed earlier that if the right hand side of constraint–1 is increased
by ‘h’ units then the optimal solution is: X1 = 120–(h/5) & X2 = 160+(2h/5).
The resulting profit is calculated as follows:
As we know that the optimal value of the objective function of the original
problem is Rs.480.20, so the shadow price for the 1st resource is 480.20–480
= Rs. 0.20.
18
LP:SENSITIVITY ANALYSIS (Cont…)
Shadow Prices:
Shadow Price for 2nd Resource:
As we showed earlier that if the right hand side of constraint–2 is increased
by ‘k’ units then the optimal solution is: X1 = ‘120+(4k/15)’ & X2 = ‘160–
(k/5)’. The resulting profit is calculated as follows:
As we know that the optimal value of the objective function of the original
problem is Rs.480, so the shadow price for the 2nd resource is 480.23–480 =
Rs.0.23.
19
LP:SENSITIVITY ANALYSIS (Cont…)
Shadow Prices:
Shadow Price for 3rd Resource:
As we showed earlier that if the right hand side of constraint–3 is increased
by ‘L’ units then the optimal solution is: X1 = ‘120’ & X2 = ‘160’.
The resulting profit is calculated as follows:
Z = 2X1 + 1.5X2 = 2X1 + (3/2) X2
Z = (2)[120] +(3/2)[160]
Z = 480
The shadow price for this resource is ‘Zero’.
There is a surplus (i.e., excess) of this resource. Due to the excess of this
resource constraint “X1 ≤ 180” is not binding on the optimal solution (X1=120
& X2=160).
While, Constraint–1 and Constraint–2, which hold with equality at the optimal
solution (X1=120 & X2=160), are said to be binding constraints. The objective
function cannot be increased without increasing these resources. They have
positive shadow prices.
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QUESTIONS
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