S U P P L E M E N T

Linear Programming
B
B e f o r e s t u d y i n g t h i s s u p p l e m e n t y o u s h o u l d k n o w o r, i f n e c e s s a r y, r e v i e w
1. Competitive priorities, Chapter 2
2. Capacity management concepts, Chapter 9
3. Aggregate planning, Chapter 13
4. Developing a master schedule, Chapter 14

LEARNING OBJECTIVES
After studying this supplement, you should be able to


1 Describe the role of mathematical models in 6 Describe the geometry of linear programs.
operations decision making.
7 Describe the graphical solution approach.

2 Describe constrained optimization models.
8 Use the simplex algorithm.

3 Understand the advantages and disadvantages of
9 Use artificial variables.


using optimization models.

10 Describe computer solutions of linear programs.
4 Describe the assumptions of linear program-
ming. 
11 Use linear programming models for decision
making.

5 Formulate linear programs.
Adapted with permission from Joseph S. Martinich, Production and Operations Management: An Applied Modern Approach, Wiley, New York, 1997.

SUPPLEMENT OUTLINE
The Role of Mathematical Models in Operations The Geometry of Linear Programs B14
Decision Making B2 The Graphical Solution Approach B15
Constrained Optimization Models B2 The Simplex Algorithm B17
Advantages and Disadvantages of Using Optimiza- Using Artificial Variables B26
tion Models B5 Computer Solutions of Linear Programs B29
Assumptions of Linear Programming Models B6 Using Linear Programming Models for Decision
Formulating Linear Programs B7 Making B32
 B2 SUPPLEMENT B LINEAR PROGRAMMING

THE ROLE OF MATHEMATICAL MODELS IN OPERATIONS DECISION MAKING

Advances in business and engineering research and computer technology have ex-
 A model represents the es- panded managers’ use of mathematical models. A model represents the essential fea-
sential features of an object, tures of an object, system, or problem without unimportant details. The models in
system, or problem without this supplement have the important aspects represented in mathematical form using
unimportant details. variables, parameters, and functions. Analyzing and manipulating the model gives in-
sight into how the real system behaves under various conditions. From this we deter-
mine the best system design or action to take.
Mathematical models are cheaper, faster, and safer than constructing and ma-
nipulating real systems. Suppose we want to find the mixture of recycled scrap paper
to use when producing a type of paperboard that minimizes cost. A company could
try several different combinations, check the quality, and calculate the cost. Since all
possible combinations are not tried, the optimum combination will probably not be
found. Alternatively, using a mathematical model, we evaluate all possible combina-
tions to find the one that satisfies product specifications at the lowest price. Mathe-
matical modeling is quicker and less expensive than using the trial-and-error ap-
proach.
Facility location, vehicle routing and scheduling, personnel, machine and job
scheduling, product mixes, and inventory management problems are formulated as
 Constrained optimization constrained optimization models. Constrained optimization models are mathemati-
models cal models that find the best solution with respect to some evaluation criterion from a
Math models that find the set of alternative solutions. These solutions are defined by a set of mathematical con-
best solution with respect to straints—mathematical inequalities or equalities.
some evaluation criterion.

CONSTRAINED OPTIMIZATION MODELS

Constrained optimization models have three major components: decision variables,
objective function, and constraints.
 Decision variables 1. Decision variables are physical quantities controlled by the decision maker
Physical quantities controlled and represented by mathematical symbols. For example, the decision variable
by the decision maker. xj can represent the number of pounds of product j that a company will pro-
duce during some month. Decision variables take on any of a set of possible
values.
 Objective function 2. Objective function defines the criterion for evaluating the solution. It is a
Evaluation criterion. mathematical function of the decision variables that converts a solution into
a numerical evaluation of that solution. For example, the objective function
may measure the profit or cost that occurs as a function of the amounts of
various products produced. The objective function also specifies a direction
of optimization, either to maximize or minimize. An optimal solution for the
model is the best solution as measured by that criterion.
 Constraints 3. Constraints are a set of functional equalities or inequalities that represent
Physical, economic, techno- physical, economic, technological, legal, ethical, or other restrictions on what
logical, legal, ethical, or other numerical values can be assigned to the decision variables. For example, con-
limits on what numerical val- straints might ensure that no more input is used than is available. Con-
ues can be assigned to the de-
cision variables.
straints can be definitional, defining the number of employees at the start of
a period t  1 as equal to the number of employees at the start of period t,
plus those added during period t minus those leaving the organization dur-
ing period t. In constrained optimization models we find values for the
 CONSTRAINED OPTIMIZATION MODELS B3

decision variables that maximize or minimize the objective function and sat-
isfy all constraints.
The following example shows how an operational problem can be represented
and analyzed using a constrained optimization model.

■ Example B.1 The Healthy Pet Food Company Product Mix

The Healthy Pet Food Company manufactures two types of dog food: Meaties and Yum-
mies. Each package of Meaties contains 2 pounds of cereal and 3 pounds of meat; each
package of Yummies contains 3 pounds of cereal and 1.5 pounds of meat. Healthy believes
it can sell as much of each dog food as it can make. Meaties sell for $2.80 per package and
Yummies sell for $2.00 per package. Healthy’s production is limited in several ways. First,
Healthy can buy only up to 400,000 pounds of cereal each month at $0.20 per pound. It can
buy only up to 300,000 pounds of meat per month at $0.50 per pound. In addition, a spe-
cial piece of machinery is required to make Meaties, and this machine has a capacity of
90,000 packages per month. The variable cost of blending and packing the dog food is $0.25
per package for Meaties and $0.20 per package for Yummies. This information is given in
Table B-1.

Table B-1 Healthy Pet Food Data

Meaties Yummies
Sales price per package $2.80 $2.00
Raw materials per package
Cereal 2.0 lb. 3.0 lb.
Meat 3.0 lb. 1.5 lb.
Variable cost—blending and packing $0.25 package $0.20 package
Resources
Production capacity for Meaties 90,000 packages per month
Cereal available per month 400,000 lb.
Meat available per month 300,000 lb.

Suppose you are the manager of the Dog Food Division of the Healthy Pet Food Com-
pany. Your salary is based on division profit, so you try to maximize its profit. How should
you operate the division to maximize its profit and your salary?

Solution:
The Decision Variables. We first identify those things over which we have control: the deci-
sion variables. In this problem we have direct control over two quantities: the number of
packages of Meaties to make each month, and the number of packages of Yummies to make
each month. Within the model these two quantities appear repeatedly, so we represent them
in a simple fashion. We designate these variables by the symbols M and Y.
M  number of packages of Meaties to make each month
Y  number of packages of Yummies to make each month
Note that the amount of meat used each month and the amount of cereal used each
month are not good choices for the variables. First, we control these only indirectly through
our choice of M and Y. More important, using these as variables could lead to ambiguous
production plans. Determining how much cereal and meat to use in production does not
tell us how to use it—how much of each dog food to make. In contrast, after determining
the values for M and Y, we know what to produce and how much meat and cereal are
needed.
B4 SUPPLEMENT B LINEAR PROGRAMMING

Objective function. Any pair of numerical values for the variables M and Y is a produc-
tion plan. For example, M  10,000 and Y  20,000 means we make 10,000 packages of
Meaties and 20,000 packages of Yummies each month. But how do we know whether this is
a good production plan? We need to specify a criterion for evaluation—an objective func-
tion. The most appropriate objective function is to maximize monthly profit. (Actually, this
is the contribution to profit: fixed costs are ignored because any plan that maximizes rev-
enue minus variable costs maximizes profit as well.) The profit earned by Healthy is a direct
function of the amount of each dog food made and sold, the decision variables. Monthly
profit, designated as z, is written as follows:
z  (profit per package of Meaties)  (number of packages of Meaties made and
sold monthly)  (profit per package of Yummies)  (number of packages of
Yummies made and sold monthly)
The profit per package for each dog food is computed as follows:

Meaties Yummies
Selling price 2.80 2.00
Minus
Meat 1.50 0.75
Cereal 0.40 0.60
Blending 0.25 0.20
Profit per package 0.65 0.45

We write the month profit as

z  0.65M  0.45Y
Constraints. If we want to make z as large as possible, why not make M and Y equal to in-
finity and earn an infinite profit? We cannot do this because there are limits on the avail-
ability of cereal and meat and on the production capacity for Meaties. (In reality, there is
also a limit on demand, but we ignore that here for simplicity.) We want to maximize z, but
subject to satisfying the stated constraints. To solve the problem, we express these con-
straints as mathematical equalities or inequalities. Let’s begin with the availability of cereal
constraint:
(The number of lb. of cereal used in production each month)  400,000 lb.
The left-hand side (l.h.s.) of the constraint is determined by the number of packages of
Meaties and Yummies made. Specifically, the l.h.s. is
(lb. of cereal per package of Meaties)  (packages of Meaties made and sold
monthly)  (lb. of cereal per package of Yummies)
 (packages of Yummies made and sold monthly)
Substituting the cereal content for each product and the decision variables into this ex-
pression, we write the constraint as
2M  3Y  400,000
Using similar reasoning, the restriction on the availability of meat is expressed as
3M  1.5Y  300,000
In addition to these constraints, the number of packages of Meaties produced each
month can not exceed 90,000; that is,
M  90,000
 A D VA N TAG E S A N D D I S A D VA N TAG E S O F U S I N G O P T I M I Z AT I O N M O D E L S B5

Finally, negative production levels do not make sense, so we require that M  0 and
Y  0. Putting all these together gives the following constrained optimization model.
Maximize z  0.65M  0.45Y
Subject to 2M  3Y  400,000
3M  1.5Y  300,000
M  90,000
M, Y  0

This type of model is called a linear programming model or a linear program  A linear program has a
because the objective function is linear and functions in all the constraints are linear. linear objective function and
The optimum solution for the Healthy Pet Food problem is M  50,000, Y  linear constraints.
100,000, and z  $77,500. That is, Healthy should make 50,000 packages of Meaties
and 100,000 packages of Yummies each month, and it will earn a monthly profit of
$77,500. Before discussing linear programming in detail, let’s consider the advantages
and disadvantages of optimization models in general.

ADVANTAGES AND DISADVANTAGES OF USING OPTIMIZATION MODELS

The main benefit of optimization models is the ability to evaluate possible solutions
in a quick, safe, and inexpensive way without actually constructing and experiment-
ing with them. Other benefits are as follows.
1. Structures the thought process. Constructing an optimization model of a
problem forces a decision maker to think through the problem in a concise,
organized fashion. The decision maker determines what factors he or she
controls; that is, what the decision variables are. The decision maker specifies
how the solution will be evaluated (the objective function). Finally, the deci-
sion maker describes the decision environment (the constraints). Modeling
acts as a way of organizing and clarifying the problem.
2. Increases objectivity. Mathematical models are more objective since all as-
sumptions and criteria are clearly specified. Although models reflect the ex-
periences and biases of those who construct them, these biases can be identi-
fied by outside observers. By using a model as a point of reference, the parties
can focus their discussion and disagreements on its assumptions and compo-
nents. Once the model is agreed on, people tend to live by the results.
3. Makes complex problems more tractable. Many problems in managing an
organization are large and complex and deal with subtle, but significant, in-
terrelationships among organizational units. For example, in determining the
optimal amounts of various products to ship from geographically dispersed
warehouses to geographically dispersed customers and the routes that should
be taken, the human mind cannot make the billions of simultaneous trade-
offs that are necessary. In these cases, the decision maker often uses simple
rules of thumb, which can result in less than optimal solutions. Optimization
models make it easier to solve complex organization-wide problems.
4. Make problems amenable to mathematical and computer solution. By rep-
resenting a real problem as a mathematical model, we use mathematical so-
lution and analysis techniques and computers in a way that is not otherwise
possible.
 B6 SUPPLEMENT B LINEAR PROGRAMMING

5. Facilitates “what if ” analysis. Mathematical models make it relatively easy

to find the optimal solution for a specific model and scenario. They also
make “what if ” analysis easy. With “what if ” analysis, we recognize that the
prices, demands, and product availabilities assumed in constructing the
model are simply estimates and may differ in practice. Therefore, we want to
know how the optimal solution changes as the value of these parameters vary
from the original estimates. That is, we want to know how sensitive the opti-
mal solution is to the assumptions of the model. “What if ” analysis is also
 Sensitivity analysis allows called sensitivity or parametric analysis.
the decision maker to per-
form “what if ?” analysis. Although mathematical modeling has many advantages, there are also disadvan-
tages. The actual formulation or construction of the model is the most crucial step in
mathematical modeling. Since the problems tend to be very complex, it is possible to
mismodel the real problem. Important decision variables or relationships may be
omitted or the model may be inappropriate for the situation. The optimal solution to
the wrong problem is of no value.
A second disadvantage is not understanding the role of modeling in the deci-
sion-making process. The optimal solution for a model is not necessarily the optimal
solution for the real problem. Mathematical models are tools to help us make good
decisions. However, they are not the only factor that should go into the final decision.
Sometimes the model only evaluates solutions with regard to quantitative criteria. In
these cases qualitative factors must also be considered when making the final decision.
The bottom line for evaluating a model is whether or not it helps a decision
maker identify and implement better solutions. The model should increase the deci-
sion maker’s confidence in the decision and the willingness to implement it.

ASSUMPTIONS OF LINEAR PROGRAMMING MODELS

Linear programs are constrained optimization models that satisfy three requirements.
1. The decision variables must be continuous; they can take on any value
within some restricted range.
2. The objective function must be a linear function.
3. The left-hand sides of the constraints must be linear functions.
Thus, linear programs are written in the following form:
Maximize or minimize z  c1x1  c2x2      cnxn

Subject to a11x1  a12x2      a1nxn  b1


a21x1  a22x2      a2nxn  b2

  


am1x1  am2x2      amnxn  bm


 Parameters
where the xj values are decision variables and cj , aij , and b i values are constants, called
Constants given in the prob- parameters or coefficients, that are given or specified by the problem assumptions.
lem assumptions. Most linear programs require that all decision variables be nonnegative.
 FORMULATING LINEAR PROGRAMS B7

Linear programs make the following implicit assumptions.

1. Proportionality. With linear programs, we assume that the contribution of  Proportionality means
individual variables in the objective function and constraints is proportional that the contribution of indi-
to their value. That is, if we double the value of a variable, we double the vidual variables in the objec-
contribution of that variable to the objective function and each constraint in tive function is proportional
to their value.
which the variable appears. The contribution per unit of the variable is con-
stant. For example, suppose the variable xj is the number of units of product  Additivity means the total
j produced and cj is the cost per unit to produce product j. If doubling the value of the objective func-
amount of product j produced doubles its cost, the per unit cost is constant tion and each constraint is
the sum of the individual
and the proportionality assumption is satisfied.
contributions from each vari-
2. Additivity. Additivity means that the total value of the objective function able.
and each constraint function is obtained by adding up the individual contri-
butions from each variable.
3. Divisibility. The decision variables are allowed to take on any real numerical  Divisibility means the de-
values within some range specified by the constraints. That is, the variables cision variables can take on
are not restricted to integer values. When fractional values do not make a any real numerical values
sensible solution, such as the number of flights an airline should have each within a specified range.
day between two cities, the problem should be formulated and solved as an
integer program.
4. Certainty. We assume that the parameter values in the model are known  Certainty means the para-
with certainty or are at least treated that way. The optimal solution obtained meters are known.
is optimal for the specific problem formulated. If the parameter values are
wrong, then the resulting solution is of little value.
In practice, the assumptions of proportionality and additivity need the greatest
care and are most likely to be violated by the modeler. With experience, we recognize
when integer solutions are needed and the variables must be modeled explicitly.

FORMULATING LINEAR PROGRAMS

This section presents simple examples of real managerial problems that can be for-
mulated as linear programs. Each example has a name describing the type of prob-
lem. In real life, problems are seldom as pure and clean as these examples. Do not try
to memorize and match the problems illustrated here with real problems you may en-
counter. In practice, problems may contain a mixture of features from several of the
categories illustrated here. You should focus on why and how various physical rela-
tionships are best represented in model form.
Model formulation is the most important and the most difficult aspect of solv-
ing a real problem. Solving a model that does not accurately represent the real prob-
lem is useless. There is no simple way to formulate optimization problems, but the
following suggestions may help.

Steps in Problem Formulation

1. Identify and define the decision variables for the problem. Define the vari-
ables completely and precisely. All units of measure need to be stated explic-
itly, including time units if appropriate. For example, if the variables repre-
sent quantities of a product produced, these should be defined in terms of
tons per hour, units per day, barrels per month, or some other appropriate
units.
B8 SUPPLEMENT B LINEAR PROGRAMMING

2. Define the objective function. Determine the criterion for evaluating alterna-
tive solutions. The objective function will normally be the sum of terms
made up of a variable multiplied by some appropriate coefficient (parame-
ter). For example, the coefficients might be profit per unit of production, dis-
tance travel per unit transported, or cost per person hired.
3. Identify and express mathematically all of the relevant constraints. It is
often easier to express each constraint in words before putting it into math-
ematical form. The written constraint is decomposed into its fundamental
components. Then substitute the appropriate numerical coefficients and
variable names for the written terms. A common mistake is using variables
that have not been defined in the problem, which is not valid. This mistake
is frequently caused by not defining the original variables precisely. The for-
mulation process is iterative, and sometimes additional variables must be
defined or existing variables redefined. For example, if one of the variables
is the total production of the company and five other variables represent
the production at the company’s five plants, then there must be a constant
that forces total production to equal the sum of the production at the
plants.
Let’s look at the formulation process for typical operations problems.

Feed Mix or Diet Problem

One of the first problems solved using linear programming is the feed mix problem,
which is illustrated in Example B.2.

■ Example B.2 International Wool Company Feed Mix Problem

International Wool Company operates a large farm on which sheep are raised. The farm
manager determined that for the sheep to grow in the desired fashion, they need at least
minimum amounts of four nutrients (the nutrients are nontoxic so the sheep can consume
more than the minimum without harm). The manager is considering three different grains
to feed the sheep. Table B-2 lists the number of units of each nutrient in each pound of
grain, the minimum daily requirements of each nutrient for each sheep, and the cost of
each grain. The manager believes that as long as a sheep receives the minimum daily
amount of each nutrient, it will be healthy and produce a standard amount of wool. The
manager wants to raise the sheep at minimum cost.

Table B-2 International Wool Data

Minimum
Daily
Grain Requirement
1 2 3 (units)
Nutrient A 20 30 70 110
Nutrient B 10 10 0 18
Nutrient C 50 30 0 90
Nutrient D 6 2.5 10 14
Cost (¢/lb) 41 36 96
 FORMULATING LINEAR PROGRAMS B9

Solution
The quantities that the manager controls are the amounts of each grain to feed each sheep
daily. We define
xj  number of pounds of grain j ( 1, 2, 3) to feed each sheep daily
Note that the units of measure are completely specified. In addition, the variables are ex-
pressed on a per sheep basis. If we minimize the cost per sheep, we minimize the cost for
any group of sheep. The daily feed cost per sheep will be
(cost per lb of grain j)  (lb. of grain j fed to each sheep daily)
That is, the objective function is to
Minimize z  41x1  36x2  96x3
Why can’t the manager simply make all the variables equal to zero? This keeps costs at
zero, but the manager would have a flock of dead sheep, because there are minimum nutri-
ent constraints that must be satisfied. The values of the variables must be chosen so that the
number of units of nutrient A consumed daily by each sheep is equal to or greater than 110.
Expressing this in terms of the variables yields
20x1  30x2  70x3  110
The constraints for the other nutrients are
10x1  10x2  18
50x1  30x2  90
6x1  2.5x2  10x3  110
and finally
all xjs  0
The optimal solution to this problem (obtained using a computer software package) is
x1  0.595, x2  2.008, x3  0.541, and z  148.6 cents.

It is common practice to take a model initially used for one application and apply it to
other situations. The feed mix problem is a good example of a case where one might
use the same basic structure of a model in different applications. For example, a golf
course manager can use the model to select the best mix of fertilizers to provide the
grass with the desired amounts of active chemicals (nitrogen, phosphorus, potash).
The manager’s problem is structurally the same as that faced by the manager of Inter-
national Wool.
Although the basic structure of one model may be appropriate for another ap-
plication, frequently the model needs modification. For example, suppose the U.S.
Army decides to use the feed mix model to select a cost-minimizing diet for its sol-
diers that satisfies minimum nutritional requirements. The basic feed mix problem
makes several subtle assumptions that do not apply for humans. First, issues of taste
have been ignored. Earlier, we assumed that the sheep will eat whatever grain mixture
we feed them. Humans have varying tastes to consider. Some foods may not taste
good together. Second, not all soldiers are of similar size or have the same appetite.
Third, the basic feed mix is a static model: the optimal feed mix today is the same
as that of tomorrow and the next 500 days unless some parameters change. We do not
want to feed people the same meal day after day. Let’s look at another type of prob-
lem.