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8 Sensitivity Analysis and Post Optimality Part 1

Sensitivity analysis examines how changes to the parameters of a linear programming model affect the optimal solution. This includes changes to objective function coefficients, right-hand side values, and technological coefficients. The optimal simplex tableau allows determining the revised optimal solution without resolving the full problem when parameters change. Feasibility is affected by changes to right-hand side values or technological coefficients associated with basic variables. Optimality is impacted by changes to objective function coefficients or technological coefficients of basic or non-basic variables. An example demonstrates how increasing the right-hand side value from 1 to 4 changes the optimal solution.

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12 views

8 Sensitivity Analysis and Post Optimality Part 1

Sensitivity analysis examines how changes to the parameters of a linear programming model affect the optimal solution. This includes changes to objective function coefficients, right-hand side values, and technological coefficients. The optimal simplex tableau allows determining the revised optimal solution without resolving the full problem when parameters change. Feasibility is affected by changes to right-hand side values or technological coefficients associated with basic variables. Optimality is impacted by changes to objective function coefficients or technological coefficients of basic or non-basic variables. An example demonstrates how increasing the right-hand side value from 1 to 4 changes the optimal solution.

Uploaded by

sairam
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Sensitivity Analysis and Post

Optimality
Introduction
• In most practical applications, the value of LP
parameters is not known exactly and is often estimated
based on past data.
• It is therefore important to study how changes in an LP
parameters (objective function coefficients, right hand
sides, and technological coefficients) affect the optimal
solution
• Algebraic approach enables to determine the revised
optimal solution from the original solution due to
change in an LP parameter, without resolving the
problem from scratch.
Following changes are considered
(1) Variations in objective function coefficients (cj)
(2) Variations in RHS constants (resource availability) (bi)
(3) Variations in constraint matrix (A)
- Adding new variables or activities
- Variation in the resource requirements (aij) of existing activities
- Adding new constraints
How feasibility and optimality is affected?
Simplex Tableau at any iteration in matrix form

Coefficients of
Original variables (xT) Slack variables (xsT) RHS

xB B-1A B-1 B-1b


Z cBB-1A - c cBB-1 cBB-1b

The coefficient of xj in Z-row is represented as zj-cj = cBB-1aj – cj, where cBB-1aj is the cost of consumed
resources for the unit production of product j.

Feasibility Condition:
The current basis xB remains feasible if the value of all basic variables is non-negative, i.e.
xB = B-1b ≥ 0

Thus, the current basis may not be feasible due to the following:
- Change in resource availability of a resource (bi)
- Change in B due to change in resource requirement aij corresponding to a basic variable
- Adding one or more new constraints
Optimality Condition:

The current basis xB remains optimal if the objective function coefficients are non-
negative, i.e.
cBB-1A – c ≥ 0 and cBB-1 ≥ 0

Thus, the current basis may not be optimal due to the following:
- Change in objective function coefficients (cj)
- Change in B due to change in resource requirement aij corresponding to a
basic or a non-basic variable
- Adding one or more new variables
Example: Product Mix Problem
• Products: A, B, and C
• Resources: Labor and Material
• Objective: To maximize Profit
• Decision: To find optimal product mix (x1, x2, and x3)
• LP formulation
Maximize Z = 2x1 + 3x2 + x3
Subject to 𝑥 𝑥 + 𝑥 1 Labor
𝑥 𝑥 + 𝑥 3 Material
𝑥 ,𝑥 ,𝑥 0

• Parameters in matrix/vector form


1
𝐜 2 3 1 𝐛 𝐀
3
Optimal Simplex Table
• Let x4 and x5 be slack variables corresponding to labor and
material constraints, respectively.

Basis x1 x2 x3 x4 x5 RHS
x1 1 0 -1 4 -1 1
x2 0 1 2 -1 1 2
zj - cj 0 0 3 5 1 8

• Optimal Solution:
x1 = 1, x2 = 2, x3 = 0, Z = 8
Variations in RHS constants (bi)
• The current basis may not be feasible due to change in bi.
• Finding the range of b1 for the current basis to remain feasible
(optimal)
𝟏 4 1 𝑏 4𝑏 3
𝒙𝐁 𝐁 𝐛
1 1 3 𝑏 3

4𝑏 3
For the current basis to remain feasible, 𝒙𝐁 𝟎⇒ 0
𝑏 3

Thus, the range of b1 for current basis to remain feasible: 𝑏 3

• Similarly, the range of b2 for current basis to remain feasible can be


found as 1 𝑏 4
Suppose if b1 is increased from 1 to 4, then find the optimal
solution.
• For b1 = 4, in the current optimal simplex table, update RHS column as
4𝑏 3 13 and 𝑍 4𝑏 3
2 3 23.
𝑏 3 1 𝑏 3
• Apply an iteration of dual simplex method to find the new optimal solution
Basis x1 x2 x3 x4 x5 RHS
x1 1 0 -1 4 -1 13
x2 0 1 2 -1 1 -1
zj - cj 0 0 3 5 1 23
Ratio -5
x1 1 4 7 0 3 9
x4 0 -1 -2 1 -1 1
zj - cj 0 5 13 0 6 18

• New optimal solution: x1 = 9, x2 = 0, x3 = 0, Z = 18

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