1408808410LINEAR PROGRAMMING Notes

LINEAR PROGRAMMING
1.0 General Formulation of Linear Programs

Linear programming is the name used for problems in which we maximize or minimize
linear functions subject to linear inequalities.
In principle, any linear programming problem (often called an LP problem) can be solved if
the solution exists.
In general any linear programming problem with only two decision variables involves
maximizing or minimizing a linear function:
z  c1 x1  c 2 x 2 (criterion function)
Subject to m constraints
a11 x1  a12 x 2  b1
a 21 x1  a 22 x 2  b2
(inequality constraints)

a m1 x1  a m 2 x 2  bm
Usually, we also impose explicit non-negativity constraints on x1 and x 2 :

x1  0, x 2  0 (non-negativity constraints)
1.1 Graphical Approach to Simple LP Problems
LP problems with only two decision variables can be solved by a simple geometric method.
Procedure:
a) Graph the feasible region

b) Compute the coordinates of the corner points
c) Substitute the coordinates of the corner points into the objective function to see
which gives the optimal value
d) If the feasible region is not bounded, this method can be misleading. Optimal
solutions always exist when the feasible region is bounded, but may or may not
exist when the feasible region is unbounded
Let us consider the following Baker’s Problem
1
Example: A baker 150 kilograms of flour, 22 kilograms of sugar and 27.5 kilograms of butter
with which to make two types of cake. Suppose that making one dozen A-cakes requires 3 kilos of
flour, 1 kilo of sugar, and 1 kilo of butter, whereas making one dozen B cakes requires 6 kilos of
flour, 0.5kilos of sugar, and 1 kilo of butter. Suppose that the profit from one dozen A cakes is 20
and one dozen B cakes is 30. How many dozen A cakes ( x1 ) and how many dozen B cakes ( x 2 )
will maximize the baker’s profit.
Solution: the problem is to:
3 x1  6 x 2  150
x1  0.5 x 2  22
max z  20 x1  30 x 2 s.t
x1  x 2  27.5
x1  0, x 2  0
The output pair ( x1 , x 2 ) is called admissible (or feasible) for the problem if all the five
constraints are satisfied.
For example: for the flour constraint, 3 x1  6 x 2  150 , if we use all the flour then
3 x1  6 x 2  150 , and we call this the flour border. We can find similar borders for other inputs.
The diagram below shows the straight lines that represent the flour border, sugar border and the
butter border:
(Diagram to be provided in class)
In order for ( x1 , x 2 ) to be admissible, it has to be on or below (to the ‘southwest’ of) each of the
three borders simultaneously.
Because constraints x1  0, x 2  0 restrict ( x1 , x 2 ) to the nonnegative quadrant, the set of

admissible pairs for the problem, called the admissible (or feasible) region, is the set S shown in
the diagram above.
The five corner points O, A, B, C and D are called extreme points of the set S
Point B (5,22.5) maximizes profits for the baker and the total profit is 775.
2
Practice Question: a firm produces small and medium television sets. The profit is 800 for each
small and 1000 for each medium television set. Each television has to be processes in three
different divisions. Each small TV requires respectively, 4, 2 and 2 hrs in divisions 1, 2 and 3.
The corresponding numbers for the medium TV sets are 2, 8 and 4. Suppose divisions 1 and 2
both have a capacity of at most 16hrs per day and division 3 has a capacity of at most 11 hours
per day. Formulate and solve the LP problem for the firm
2. Introduction to Duality Theory
Confronted with an optimisation problem involving scarce resources, an economist will often
ask: what happens to the optimal solution if the availability of resources changes?
For linear programs, the answer to this question is intimately related to the so-called Duality
Theory of LP.
Consider the baker’s problem in the previous example.
Suppose the baker were to receive (free of charge) one extra kilo of flour. How much would this
extra kilo add to his maximum profit? How much would an extra kilo of sugar contribute to
profit? Or an extra kilo of butter?
If the baker receives one extra kilo of flour, his flour border would become 3x1  6 x 2  151 . The
admissible set S will expand slightly and point B will move slightly up along the butter border.
The new optimal point B  will be at the intersection of the lines 3 x1  6 x 2  151 and
x1  x 2  27.5
Solving these equations gives x1  14 3 and x 2  137 6 . Then the criterion function becomes
equal to 20(14 3)  30(137 6)  2335 3  775  10 3
So profit has risen by 10 3
If the baker receives an extra kilo of sugar, the admissible set will expand, and the optimal point
is still at B (Recall, at the optimum in the original problem, the baker had 5.75kilos of unused
sugar. Hence there is no extra profit)
3
An extra kilo of butter would give a new optimal point at the intersection of the lines
3 x1  6 x 2  150 and x1  x 2  28.5 . Solving these equations gives x1  7, x 2  21.5 with
20 x1  30 x 2  775  10 . Profit rises by 10.
These results can be summarized as follows:
 An extra kilo of flour would increase optimal profit by 10 3
 An extra kilo of sugar would increase optimal profit by 0

 extra kilo of butter would increase optimal profit by 10
The three numbers u1*  10 3, u 2*  0, u 3*  10 are related to the flour, sugar and butter constraints
respectively. They are the marginal profits from an extra kilo of each ingredient.
Suppose ( x1 , x 2 ) is an admissible pair in the problem, so that constraints are satisfied
Multiply (1) by 10/3, (2) by 0 and (3) by 10. Because the multipliers are all  , the inequalities
(10 / 3)(3 x1  6 x 2 )  (10 / 3) * 150

are preserved, i.e. 0( x1  x 2 )  0 * 22
10( x1  x 2 )  10 * 27.5
Add the inequalities, using the obvious fact that if A<B, C<D, and E<F, then A+C+E<B+D+F.
the result reduces to 20 x1  30 x 2  775
1 * *
Thus using the ‘magic numbers’ u1 , u 2 , u 3 defined before, we have proved that if ( x1 , x 2 ) is
any admissible pair, then the criterion function has to be less than or equal to 775. Because
x1  5 and x 2  22.5 give the value 775, we have in this way proved algebraically that (5,22.5)
is the solution.
NB: the pattern revealed in this example turns up in all linear programming problems
In fact the numbers u11 , u 2* , u 3* are solutions to a new LP problem called the dual of the original
problem.

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LINEAR PROGRAMMING

1.0 General Formulation of Linear Programs

Usually, we also impose explicit non-negativity constraints on x1 and x 2 :

1.1 Graphical Approach to Simple LP Problems

a) Graph the feasible region

Let us consider the following Baker’s Problem

Solution: the problem is to:

(Diagram to be provided in class)

Because constraints x1  0, x 2  0 restrict ( x1 , x 2 ) to the nonnegative quadrant, the set of

2. Introduction to Duality Theory

Consider the baker’s problem in the previous example.

So profit has risen by 10 3

20 x1  30 x 2  775  10 . Profit rises by 10.

These results can be summarized as follows:

 An extra kilo of flour would increase optimal profit by 10 3

 An extra kilo of sugar would increase optimal profit by 0

Suppose ( x1 , x 2 ) is an admissible pair in the problem, so that constraints are satisfied

(10 / 3)(3 x1  6 x 2 )  (10 / 3) * 150

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