CHAPTER TWO

LINEAR PROGRAMMING

Linear Programming- is an optimization method, which shows how to allocate scarce resources
such as money, materials, or time and how to do such allocation in the best possible way subject to
more than one limiting condition expressed in the form of inequalities and/or equations. It enables
users to find an optimal solution to certain problems in which the solution must satisfy a given set
of requirements or constraints.
Optimization in linear programming implies either maximization (such as profit, revenue, sales, and
market share) or minimization (such as cost, time, and distance) of a certain objective function. It
implies that we cannot max/min two quantities in one model in LP. It involves linearly related multi-
variate functions, i.e., functions with more than one independent variable. The goal in linear
programming is to find the best solution given the constraints imposed by the problem; hence the
term constrained optimization.

2.1 Linear programming Models (LPM)

Linear Programming (LP) models are mathematical representations of LP problems. Some LP

models have a specialized format, whereas others have a more generalized format. Despite this, LP
Models have certain characteristics in common. Knowing these characteristics enables us to
recognize problems that are amenable to a solution using LP models and correctly formulate an LP
model. The characteristics can be grouped into two categories: Components and Assumptions. The
components relate to the structure of a model, whereas the assumptions reveal the conditions under
which the model is valid.
Components Assumptions
1. Objective function 1. Linearity
2. Decision variables Model 2. Divisibility Model
3. Constraints Structure 3. Certainty Validity
4. Parameters & RHSV 4. Non-negativity

2.1.1 Components of the LP model

1. The Objective Function- is the mathematical or quantitative expression of the objective of the
company/model. The objective in problem-solving is the criterion by which all decisions are
evaluated. In LPMs a single quantifiable objective must be specified by the decision maker. For

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 example, the objective might relate to profits, or costs, or market share, but to only one of these.
Moreover, because we are dealing with optimization, the objective will be either maximization or
minimization, but not both at a time.
2. The Decision Variables - represent unknown quantities to be resolved for. These decision variables
may represent such things as the number of units of different products to be sold, the amount of Birr
to be invested in various projects, and the number of ads to be placed with different media. Since
the decision maker has freedom of choice among actions, these decision variables are controllable
variables.
3. The constraints - are restrictions that define or limit the feasibility of a proposed course of action.
They limit the degree to which the objective can be pursued. Atypical restriction embodies scarce
resources (such as labor supply, raw materials, production capacity, machine time, storage space),
legal or contractual requirements (e.g. Product standards, work standards), or they may reflect other
limits based on forecasts, customer orders, company policies etc.
4. Parameters - are fixed values that specify the impact that one unit of each decision variable will
have on the objective and on any constraint, it pertains to as well as to the numerical value of each
constraint.
➢ The components are the building blocks of an LP model. We can better understand their
meaning by examining a simple LP model as follows.
Example:
Maximize: 4X1 + 7X2 + 5X3 (Profit) ________________ objective function
Subject to:
2X1 + 3X2 + 6X3  300 labor hrs
5X1 + X2 + 2X3  200 lb raw material A System constraints
3X1 + 5X2 + 2X3  360
X1 = 30 Individual
X2  40 constraints
X1, X2, X3 0→ non-negativity constraints.
System constraints – involve more than one decision variable.
Individual constraints – involve only one decision variable.
None-negativity constraints specify that no variable will be allowed to take on a negative value. The
non-negativity constraints typically apply in an LP model, whether they are explicitly stated or not.

2.1.2 Assumption of LP Models

1. Linearity. The linearity requirement is that each decision variable has a linear impact on the
objective function and on each constraint in which it appears. Following the above example,

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 producing one more unit of product 1 adds Br. 4 to the total profit. This is true over the entire range
of possible values of X1. The same applies to each of the constraints. It is required that the same
coefficient (for example, 2 lb. per unit) apply over the entire range of possible values so the decision
variable.
2. Divisibility. The divisibility requirement pertains to the potential values of decision variables. It is
assumed that non-integer values are acceptable. For example, 3.5 TV sets/hr would be acceptable
→ 7 TV sets/2hrs.
3. Certainty. The certainty requirement involves two aspects of LP models.
i) With respect to model parameters (i.e., the numerical values) – It is assumed that these
values are known and constant e.g. in the above example each unit of product 1
requires 2 lab is known and remains constant, and also the 300 lab/hr available is
deemed to be known and constant.
ii) All the relevant constraints identified and represented in the model are as they are.
4. Non-negativity. The non-negativity constraint is that negative values of variables are unrealistic
and, therefore, will not be considered in any potential solution; only positive values and zero will
be allowed.
Formulating LP Models

Once a problem has been defined, the attention of the analyst shifts to formulating a

model. Just as it is important to carefully define a problem, it is important to carefully

formulate the model that will be used to solve the problem. If the LP model is ill-

formulated and ill-structured, it can easily lead to poor decisions.

Formulating linear programming models involves the following steps:

1. Define the problem/problem definition

2. Identify the decision variables or represent unknown quantities

3. Determine the objective function

* Once the variables have been identified, the objective function can be specified. It

is necessary to decide if the problem is a maximization or a minimization problem

and the coefficients of each decision variable.

Note:
a) The units of all the coefficients in the objective function must be the same. E.g. If the
contribution of type 1 is in terms of Br so does for type 2.

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 b) All terms in the objective function must include a variable each term have to have 1
variable.
c) All decision variables must be represented in the objective function.
4. Identifying the constraints

- System constraints

- Individual constraints

- Non-negative constraints

Example
1. A firm that assembles computers and computer equipment is about to start production of

two new microcomputers. Each type of micro-computer will require assembly time,

inspection time, and storage space. The amount of each of these resources that can be

devoted to the production of microcomputers is limited. The manager of the firm would

like to determine the quantity of each microcomputer to produce in order to maximize the

profit generated by sales of these microcomputers.

Additional information

In order to develop a suitable model of the problem, the manager has met with design and

manufacturing personnel. As a result of these meetings, the manager has obtained the

following information:

Type 1 Type 2

Profit per unit Birr 60 Birr 50

Assembly time per unit 4hrs 10hrs

Inspection time per unit 2hrs 1hr

Storage space per unit 3cubic ft 3cubic ft

The manager also has acquired information on the availability of company resources.

These weekly amounts are:

Resource Resource available

Assembly time 100hrs

Inspection time 22hrs

Storage space 39 cubic feet

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 The manager also meets with the firm’s marketing manager and learned that demand for

the microcomputers was such that whatever combination of these two types of

microcomputers is produced, all of the output can be sold.

Required: Formulate the Linear programming model.

Solution:

Step 1: Problem Definition

- To determine the number of two types of microcomputers to be produced

(and sold) per week so as to maximize the weekly profit given the restriction.

Step 2: Variable Representation

- Let X1 and X2 be the weekly quantities of type 1 and type 2 microcomputers,

respectively.

Step 3: Develop the Objective Function

Maximize or Z max = 60X1 + 50X2

Step 4: Constraint Identification

System constraints: 4X1 + 10X2  100hrs Assembly time

2X1 + X2  22hrs inspector time

3X1 + 3X2  39 cubic feet Storage space

Individual constraint No

Non-negativity constraint X1, X2  0

In summary, the mathematical model for the microcomputer problem is:

Zmax = 60X1 + 50X2

Subject to: 4X1 + 10X2  100

2X1 + X2  22

X1 + 3X2  39

X1, X2  0

2. An electronics firm produces three types of switching devices. Each type involves a two-

step assembly operation. The assembly times are shown in the following table:

Assembly time per Unit (in minutes)

Section #1 Section #2

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 Model A 2.5 3.0

Model B 1.8 1.6

Model C 2.0 2.2

Each workstation has a daily working time of 7.5 hrs. The manager wants to obtain the

greatest possible profit during the next five working days. Model A yields a profit of Birr

8.25 per unit, Model B a profit of Birr 7.50 per unit, and Model C a profit of Birr 7.80 per

unit. Assume that the firm can sell all it produces during this time, but it must fill

outstanding orders for 20 units of each model type.

Required: Formulate the linear programming model of this problem.

Solution:

Step 1: Problem definition

To determine the number of three types of switching devices to be produced and

sold for the next 5 working days so as to maximize the 5 days’ profit.

Step 2: Variable representation

Let X1, X2, and X3 be the number of Model A, B, and C switching devices

respectively, to be produced and sold.

Step 3: Develop an objective function

Z max: 8.25X1 + 7.50X2 + 7.80X3

Step 4: Constraint identification

2.5X1 + 1.8X2 + 2.0X3  2250 minutes Ass. time station 1 System

3.0X1 + 1.6X2 + 2.2X3  2250 minutes Ass. time station 2
X1  20 Model A
X2  20 Model B Individual constraint
X3  20 Model C
X1, X2, X3 0 Non negativity
In summary:

Zmax: 8.25X1 + 7.50X2 + 7.80X3

: 2.5X1 + 1.8X2 + 2.0X3  2250 minutes
3.0X1 + 1.6X2 + 2.2X3  2250 minutes
X1  20 model A

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 X2  20 model B
X3  20 model C
X1, X2, X3  0 non negativity
3. A diet is to include at least 140 mgs of vitamin A and at least 145 Mgs of vitamin B. These

requirements are to be obtained from two types of foods: Type 1 and Type 2. Type 1 food

contains 10Mgs of vitamin A and 20mgs of vitamin B per pound. Type 2 food contains

30mgs of vitamin A and 15 mgs of vitamin B per pound. If type 1 and 2 foods cost Birr 5

and Birr 8 per pound respectively, how many pounds of each type should be purchased

to satisfy the requirements at a minimum cost?

Vitamins

Foods A B

Type 1 10 20

Type 2 30 15

Solution:

Step 1. Problem definition

To determine the pounds of the two types of foods to be purchased to make the diet

at a minimum possible cost within the requirements.

Step 2. Variable representation

Let X1 and X2 be the number of pounds of type 1 and type 2 foods to be purchased,

respectively.

Step 3. Objective function

Cmin: 5X1 + 8X2
4. Constraints
10X1 + 30X2  140 System constraints
20X1 + 15X2  145
X1, X2 0 non-negativity constraints.

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2.2 Solution Approaches to Linear Programming Problems

There are two approaches to solving linear programming problems:

1. The Graphic solution method

2. The Algebraic solution/ simplex algorithm method

2.2.1 Graphical Solution

To use the graphic method, the following steps are needed:
1. Formulating linear programming model
i.e.: problem definition, the decision variables, the objective function, and the constraints
2. Draw a graph including all the constraints and identify the feasible region
3. Obtain a point on the feasible region that optimizes the objective function-Optimal
solution
4. Interpret the results
❖ Graphical LP is a two-dimensional model.

A Maximization Problem
Example: Consider two models of color TV sets; Model A and B, which are produced by a
company to maximize profit. The profit realized is $300 from A and $250 from set B. The
limitations are
A. availability of only 40hrs of labor each day in the production department.
B. a daily availability of only 45 hrs on machine time
C. ability to sell 12 sets of model A.
How many sets of each model will be produced each day so that the total profit will be as
large as possible?
Resources used per unit
Constraints Model A Model B Maximum Available hrs.
(X1) (X2)
Labor hr. 2 1 40
Machine hr. 1 3 45
Marketing hr. 1 0 12
Profit $300 $250

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Solution
1. Formulation of mathematical modeling of LPP
Max Z=300X1 +250X2
St:
2X1 +X2< 40
X1 +3X2< 45 LPP Model
X1 < 12
X1, X2 > 0
2. Convert constraints inequalities into equalities
2X1 +X2 = 40
X1 +3X2= 45
X1 = 12
3. Draw the graph by intercepts
2X1 +X2 = 40 ==> (0, 40) and (20, 0)
X1 +3X2= 45==> (0, 15) and (45, 0)
X1 = 12==> (12, 0)
X1, X2 = 0
2X1 +X2 = 40

X2
X1=0
40 X1=12

B
X1 +3X2 = 45

15

Feasible C(12, 11)

Region X2=0
X1
D
A 12 20 45
4. Identify the feasible area of the solution which satisfies all constraints.
5. Identify the corner points in the feasible region
A (0, 0), B (0, 15), C (12, 11), and D (12, 0)
6. Identify the optimal point
7. Interprete the result
Corners Coordinates MaxZ=300 X1 +250X2
A (0, 0) $0
B (0, 15) $3750
C (12, 11) $6350
D (12, 0) $3600

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Interpretation:
12 units of product A and 11 units of product B should be produced so that the total profit
will be $6350.
Exercise:
A manufacturer of lightweight mountain tents makes two types of tents, a REGULAR tent, and a
SUPER tent. Each REGULAR tent requires 1 labor hour from the cutting department and 3 labor
hours from the assembly department. Each SUPER tent requires 2 labor hours from the cutting
department and 4 labor hours from the assembly department. The maximum labor hours available
per week in the cutting department and the assembly department are 32 and 84 respectively.
Moreover, the distributor, because of demand, will not take more than 12 SUPER tents per week.
The manufacturer sells each REGULAR tent for $160 and costs $110 per tent to make. Whereas
SUPER tent ales for $210 per tent and costs $130 per tent to make.
Required:
A. Formulate the mathematical model of the problem
B. Using the graphic method, determine how many of each tent the company should manufacture
each week so as to maximize its profit.
C. What is this maximum profit assuming that all the tents manufactured in each week are sold in
that week?
Solution
Labor hours per tent
Department REGULAR (X1) SUPER(X2) Maximum labor-hours available
per week
Cutting department 1 2 32

Assembly department 3 4 84

Selling price per tent $160 $210

Cost per tent $110 $130

Profit per tent $50 $80

*The distributor will not take more than 12 SUPER tents per week. Thus, the manufacturer
should not produce more than 12 SUPER tents per week.
Let X1 =The No of REGULAR tents produced per week.
X2 =The No of SUPER tents produced per week.
X1 and X2 are called the decision variables

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 Max.Z = 50 X 1+80 X 2
St :
………. Cutting department constraint
X 1+2 X 2 32
LPP Model ………. Assembly department constraint
3 X 1+4 X 2 84
………. Demand constraint
X 2  12
X1, X 2  0 ………. Non-negativity constraints

X2
X1 =0
21

16

B (0, 12) C(8,12)

D (20, 6) X2 =0
Feasible
Region
X1
A(0,0) E (28, 0) 32

Corners Coordinates MaxZ=50 X1 +800X2

A (0, 0) $0
B (0, 12) $960
C (8, 12) $1360
D (20, 6) $1480
E (28, 0) $1400
Interpretation:
The manufacturer should produce and sell 20 REGULAR tents and 6 SUPERS tents to get a
maximum weekly profit of $1480.

B Minimization Problem
Example:
Suppose that a machine shop has two different types of machines; machine 1 and machine 2, which
can be used to make a single product. These machines vary in the amount of product produced
per hr., in the amount of labor used, and in the cost of operation. Assume that at least a certain
amount of product must be produced and that we would like to utilize at least the regular labor

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force. How much should we utilize for each machine in order to utilize total costs and still meets
the requirement?
Resource used
Machine 1 (X1) Machine (X2) Minimum required hours
Product produced/hr 20 15 100
Labor/hr 2 3 15
Operation Cost $25 $30

Solution
Min.Z = 25 X 1+30 X 2
St :
20 X 1+15 X 2 100 LPP Model

2 X 1+3 X 2 15
X1, X 2  0
Constraint equation:
20X1 +15X2=100 ==> (0, 20/3) and (5, 0)
2X1+3X2=15 ==> (0, 5) and (7.5, 0)
X1 X2> 0
X2
X1 =0
A (0, 20/3)

Feasible Region

B (2.5, 3.33)
X2 =0

X1
5 C (7.5, 0)

Corners Coordinates MinZ=25 X1 + 30X2

A (0, 20/3) 200
B (2.5, 3.33) 162.5
C (7.5, 0) 187.5

X1 =2.5
X2=3.33 and
MinZ= 162.5dollar

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Exercise:
A company owns two flour mills (A and B) which have different production capacities for HIGH,
MEDIUM, and LOW-GRADE flour. This company has entered a contract to supply flour to a firm
every week with 12, 8, and 24 quintals of HIGH, MEDIUM, and LOW grade respectively. It costs
the Co. $1000 and $800 per day to run mill A and mill B respectively. On a day, mill A produces 6,
2, and 4 quintals of HIGH, MEDIUM, and LOW-GRADE flour respectively. Mill B produces 2, 2,
and 12 quintals of HIGH, MEDIUM, and LOW-GRADE flour respectively. How many days per
week should each mill be operated in order to meet the contract order most economically
standardize? Solve graphically.
Solution:
No of days per week
Mil A (X1) Mill B(X2) Minimum flour in quintals
HIGH Capacity (in quintal) 6 2 12
MEDIUM Capacity (in quintal) 2 2 8
LOW Capacity (in quintal) 4 12 24
$1000 $800
Min.Z = 100X 1+800X 2
St :
6 X 1+2 X 2 12
2 X 1+2 X 2 8
4 X 1 + 12 X 2  24
X1, X 2  0
Constraint equation:

6 X 1+2 X 2= 12
(0, 6), (2, 0)
2 X 1+2 X 2= 8
(0, 4), (4, 0)
4 X 1 + 12 X 2 = 24
(0, 2), (6, 0)
X1, X 2 = 0
Corners MinZ=$1000 X1 + 800X2
(0, 6) $4800
(1, 3) $3400
(3, 1) $3800
(6, 0) $6000
X1 =1
X2=3 and
MinZ= $3400

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 X2
X1 =0
6 6X1+2 X2=12
2X1+2 X2=8
4 FR
4X1+12 X2=24
(1, 3)
(3, 1)
X2 =0
X1
2 4 6

Note:
-In maximization problems, our point of interest is looking at the furthest point from the origin.
-In minimization problems, our point of interest is looking at the point nearest to the origin.
2.3. SPECIAL CASES IN GRAPHICS METHODS

1. Redundant Constraint
If a constraint when plotted on a graph doesn’t form part of the boundary making the feasible region
of the problem that constraint is said to be redundant.
Example:
A firm is engaged in producing two products A and B. Each unit of product A requires 2 kg of raw
materials and 4 labor-hrs for processing. Whereas each unit of product B requires 3 kg of raw
materials and 3hrs of labor. Every unit of product A needs 4hrs to package and every unit of product
B needs 3.5 hours to package. Every week the firm has availability of 60 kg of raw materials, 96
labor hours, and 105 hrs in the packaging department. 1 unit of product A sold yields a Br. 40 profit
and 1 unit of B sod yield Br. 35 profit.
Required:
a. Formulate this problem as a LPP
b. Find the optimal solution
Solution

Products Resource available per week

Resources A B
Raw materials (Kg) 2 3 60
Labor (hr) 4 3 96
Packaging (hr) 4 3.5 105
Profit per unit Br.40 Br.35

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Let X1 =The No of units of product A produced per week
X2 =The No of units of product B produced per week
a. LPP Model
Max.Z = 40 X 1+35 X 2
St :
2 X 1+3 X 2 60
4 X 1+3 X 2 96
4 X 1 + 3.5 X 2  105
X1, X 2  0

X2
(0, 32)

Labor: 4X1 +3X2 = 96

(0, 30)
Packaging: 4X1 +3.5X2 = 105
(0, 20) C (18,8)
Raw material: 2X1 +3X2 = 60
FR
X1
A (0, 0) D (24, 0) (26, 0) (30, 0)

❖ The packaging hr is redundant.

Corners Coordinates MinZ=40 X1 + 35X2

A (0, 0) 0
B (0, 20) 700
C (18, 8) 1000
D (24, 0) 960

X1 =18
X2=8 and
MinZ= 1000
Interpretation:
The company should produce and sell 18 units of product A and 8 units of product B per week so
as to get a maximum profit of 1000.
❖ By this production plan the entire raw material will be consumed.
2X1 +3X2 <60

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 2(18) +3(8) =60
60=60==> No idle or unused raw material
❖ 4X1 +3X2 <96
4(18) +3(8) <96
96=96 ==>the entire labor hour will be consumed
❖ 4X1 +3.5X2 <105
100<105==>There is to be idle or unused capacity of 5hrs in the packaging department.
Note:
The packaging hour’s constraint does not form part of the boundary making the feasible region.
Thus, this constraint is of no consequence and is, therefore, redundant. The inclusion or exclusion
of a redundant constraint does not affect the optimal solution to the problem.

2. Multiple optimal Solutions

/Alternative optimal solutions/
This is a situation whereby an LPP has more than one optimal solution.
Multiple optimal Solutions will be found if two corners give an optimal solution, then the line
segment joining these points will be the solution.
We have an unlimited number of optimal solutions without increasing or decreasing the
objective function.
When the objective function is parallel to a binding constraint; (a constraint that is satisfied in
the equality sense by the optimal solution), the objective function will assume the same optimal
value at more than one solution point, for this reason, they are called alternative optima.

Example:
The information given below is for products A and B.
Department Product A Product B Maximum available per week
Cutting 3 6 900
Assembly 1 1 200
Profit per unit Br.8 Br.16

Assume that the company has a marketing constraint on selling product B and therefore it can sell
a maximum of 125 units of this product.
Required:
a. Formulate the LPP of this problem
b. Find the optimal solution
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 Solution:
Let X1 =The No of units f product A produced per week
X2 =The No of units f product B produced per week
a. The LPP Model of the problem is:
Max.Z = 8 X 1+16 X 2
St :
3 X 1+6 X 2 900
X 1+ X 2 200
X 2  125
X1, X 2  0

X1=0
X2
(0, 200)

(0,150) C (50, 125) X2=125 Marketing equation

B (0, 125)
D (100,100)
Cutting: 3X1+6X2=900

FR X2=0

X1
A (0, 0) E (200, 0) (300,0)

Corners Coordinates MaxZ=8 X1 + 16X2

A (0, 0) 0
B (0, 125) 2000
C (50, 125) 2400
D (100, 100) 2400
E (200, 100) 1600

Interpretation:
Both C and D are optimal solutions. Any point on the line segment CD will also lead to the same
optimal solution.
==>Multiple optimal solutions provide more choices for management to reach their objectives.

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 3. Infeasible Solution

A solution is called feasible if it satisfies all the constraints and the constraints and non-negativity
condition. However, it is sometimes possible that the constraints may be inconsistent so that there
is no feasible solution to the problem. Such a situation is called infeasibility.

Example:
MaxZ=20X1+30X2
St:
2X1+X2< 40
4X1+X2< 60
X1 > 30
X1, X2 > 0
Solution:

X2 X1=0
(0, 60) X1=30

4X1+X2= 60
(0, 40)

2X1+X2= 40
X2=0
X1
(15, 0) (20, 0) (30, 0)

Note:
-In the above graph, there is no common point in the shaded area.
-All constraints cannot be satisfied simultaneously and there is no feasible solution to the problem.

4. Mix of constraints

Example:
ABC gasoline company has two refineries with different production capacities. Refinery A can
produce 4,000 gallons per day of super unleaded gasoline, 2000 gallons per day of regular

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unleaded gasoline, and 1000 gallons per day of leaded gasoline. On the other hand, refinery B can
produce 1000 gallons per day of super unleaded, 3000 gallons per day of regular unleaded, and
4,000 gallons per day of leaded. The company has made a contract with an automobile manufacturer
to provide 24000 types of gasoline super unleaded, 42000 gallons of regular unleaded, and 36000
gallons of leaded. The automobile manufacturer wants delivery in not more than 14 days.
The cost of running refinery A is Br.1500 per day and refinery B is Br.2400 per day.
Required:
A. Formulate this problem as a LPP
B. Determine the number of days the gasoline company should operate each refinery in order to meet the
terms of the above contract most economically. (i.e., At a minimum running cost)
C. Which grades of gasoline would be overproduced?
Solution:
Production per day (in gallons) Contract with an automobile
manufacturer
Grade of gasoline A B
SUPER UNLEADED 4000 1000 24,000
REGULAR UNLEADED 2000 3000 42,000
LEADED 1000 4000 36,000
Running cost per day Br.1,500 Br.2,400

❖ The automobile manufacturer wants delivery in not more than 14 days.

Let X1 =The No of days refinery A should work.
X2 =The No of days refinery B should work.
a. LPP of the problem
MinZ=1500X1+2400X2
St:
4000X1+1000X2>24000
2000X1+3000X2>42000
1000X1+2000X2> 36000
X1 < 14
X2< 14
X1, X2 > 0
==>To simplify the problem, divide by 1000 the constraints
MinZ=1500X1+2400X2
St:
4X1+1X2>24

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 2X1+3X2>42
X1+4X2 > 36
X1 < 14
X2< 14
X1, X2 > 0

24 Delivery time: X1=14

SUG: 4X1+X2 =24

A (2.5, 14) B (14, 14) Delivery time: X2=14

FR

D (12, 6) C (14, 5.5)

LG: X1+4X2=36

RUG: 2X1+3X2 =42

(6, 0) (14, 0) (21, 0) (36, 0)

Note: Point A, B, C, and D are solved by the elimination-substitution method

________________________________________________________________
Corners Coordinates MaxZ=1500X1 + 2400X2

A (2.5, 14) $37350

B (14, 14) 54600
C (14, 5.5) 34200
D (12, 6) 32400
E (3, 12) 33300

_________________________________________________________________
Interpretation:
The oil company should operate refinery A for 12 days and refinery B for 6 days at a minimum
operating cost of $32,400.
c. Is there any overproduction
SUG: 4000X1+1000X2>24000
4000(12) +1000(6)>24000
54000 > 24000
Therefore, 30,000 gallons overproduction

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RUG: 2000X1+3000X2>42000
2000(12) +3000(6)>42000
42000 > 42000
Therefore, there is no overproduction of RUG
LG: 1000X1+4000X2>36000
1000(12) +1000(6)>36000
36000 > 36000 Therefore, No over production of LG
5. Unbounded Solution
When the value of decision variables in LP is permitted to increase infinitely without violating the
feasibility condition, then the solution is said to be unbounded. Here, the objective function value
can also be increased infinitely. However, an unbounded feasible region may yield some definite
value of the objective function.
Example:
Use the graphical method to solve the following LPP.
1. Max.Z=3X1+4X2
St:
X1-X2<-1==> -X1+X2>1 since the quantity solution is positive
-X1+X2<0
X1, X2 > 0
X2 X1-X2 =-1

X1+X2 =0

Unbounded
1 Feasible Region

X1

Fig: Unbounded Solution

2. Max.Z=3X1+2X2
St:
X1-X2<1
X1+X2>3
X1, X2 > 0

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 X2

A(0,3) Unbounded
Feasible Region
X1-X2=1

B (2, 1)
X1+X2=3
X1

Note: here that the two corners of the region are A (0,3) and B (2,1). The value of MaxZ (A)=6 and
MaxZ (B)=8. But there exist a number of points in the shaded region for which the value of the
objective function is more than 8. For example, point (10, 12) lies in the region, and the function
value at this point is 70 which is more than 8.
Remark:
An unbounded solution does not mean that there is no solution to the given LPP but implies that
there exists an infinite number of solutions.

2.4 SIMPLEX METHOD

The graphical method of solving LPPs provides fundamental concepts for fully understanding the
LP process. However, the graphical method can handle problems involving only two decision
variables (say X1 and X2).

In 1940’s George B.Dantzig developed an algebraic approach called the Simplex Method which is
an efficient approach to solving applied problems containing numerous constraints and involving
many variables that cannot be solved by the graphical method.

The simplex method is an ITERATIVE or “step by step” method or repetitive algebraic approach that moves
automatically from one basic feasible solution to another basic feasible solution improving the situation each
time until the optimal solution is reached.

Note:

The simplex method starts with a corner that is in the solution space or feasible region and moves
to another corner. The solution space improves the value of the objective function each time until
an optimal solution is reached at the optimal corner.

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 Scope of solution of LPP by simplex method
The following types of problems are solved by the simplex method:
Maximize Z with inequalities of constraints in “< “form.
Minimize Z with inequalities of constraints in “>“form.
Maximize Z with inequalities of constraints in “>“form.
Maximize Z or Minimize Z with inequalities of constraints in “< “, “>“or “=” form.

2.4. 1 MAXIMIZATION PROBLEMS

Maximize Z with inequalities of constraints in “< “form

Example:
Solve the problem using the simplex approach
Max.Z=300x1 +250x2
Subject to:
2x1 + x2 < 40 (Labor)
x1+3x2 < 45 (Machine)
x1 < 12 (Marketing)
x1, x2 > 0
Solution
Step 1: Formulate LPP Model
Using the four steps discussed so far (problem definition, variable representation,
determining the objective function, and identifying constraints)
Step 2: Standardize the problem
i.e Convert constraint inequality into equality form by introducing a variable called Slack
variable.
Slack Variables: A slack variable(s) is added to the left-hand side of a < constraint to
convert the constraint inequality to equality. The value of the slack variable shows
unused resources.
A slake variable emerges when the LPP is a maximization problem.
Slack variables represent unused resources or idle capacity. Thus, they don’t produce any
product and their contribution to profit is zero.
Slack variables are added to the objective function with zero coefficients.

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Let that s1, s2, and s3 are unused labor, machine, and marketing hrs respectively.
Max.Z=300x1 +250x2 + 0 s1 +0 s2+ 0 s3
St:
2 x1+x2 + s1 +0 s2+ 0 s3= 40 Standard form

x1+3x2 +0s1 + s2+ 0 s3= 45

x1 + 0s1 + 0s2+ s3= 12
x1, x2, s1 , s2, s3 > 0

Step 3: Obtain the initial simplex tableau

To represent the data, the simplex method uses a table called the simplex table or the
simplex matrix.
In constructing the initial simplex tableau, the search for the optimal solution begins at the
origin. Indicating that nothing can be produced;
Thus, the first assumption, the number of productions implies that x1 =0 and x2=0

==>2 x1+x2 + s1 +0 s2+ 0 s3= 40 ==> x1+3x2 +0 s1 + s2+ 0 s3= 45

2(0) +0 + s1 +0 s2+ 0 s3= 40 0 +3(0) + 0s1 + s2+ 0 s3= 45
s1= 40 – Unused labor hrs. s2= 45 – Unused machine hrs.

==> x1+0s1 +0s2+ s3= 12

0 +0s1 +0 s2+ s3= 12
s3= 12 – Unused Marketing hrs.
Therefore, Max.Z=300x1 +250x2 + 0 s1 +0 s2+ 0 s3
=300(0) +250(0) + 0(40) +0(45) + 0(12)
=0
Note:

In general, whenever there are n variables and m constraints (excluding the non-
negativity), where m is less than n (m<n), n-m variables must be set equal to zero before
the solution can be solved algebraically.

a. Basic variables are variables with non-zero solution values.

Or: basic variables are variables that are in the basic solution. Basic variables have
0 values in the Cj-Zj row.

b. Non-basic variables are variables with zero solution values.

Or: non-basic variables are variables that are out of the solution.
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==>n=5 variables (x1, x2, s1, s2, and s3) and m=3 constraints (Labor, machine, and marketing
constraints), excluding non-negativity.

Therefore, n-m=5-3=2 variables (x1 and x2) are set equal to zero in the 1st simplex tableau.
These are non-basic variables. 3 Variables (s1, s2, and s3) are basic variables (in the 1st simplex
tableau) because they have non-zero solution values.

Step 4: Construct the initial simplex tableau

Initial simplex tableau

Slack variables
variables column

Solution quantity
columns
Basic or Solution

Real or decision
variable column
Profit per unit
column

column
Profit per unit row
Cj 300 250 0 0 0

SV X1 X2 S1 S2 S3 Q
0 S1 2 1 1 0 0 40 R1
Constraint
0 S2 1 3 0 1 0 45
equation rows R2
0 S3 1 0 0 0 1 12 R3
Zj 0 0 0 0 0 0 Gross Profit row

Cj - Zj 300 250 0 0 0 Net Profit row

/Indicator row/

Step 5: Choose the “incoming” or “entering” variables

Note: The entering variable is the variable that has the most positive value in the Cj - Zj row
also called as indicator row. Or the entering variable is the variable that has the highest
contribution to profit per unit.
a) X1 in our case is the entering variable
b) The column associated with the entering variable is called the key or pivot column (X1
column in our case)
Step 6: Choose the “leaving “or “outgoing” variable
==> In this step, we determine the variable that will leave the solution for X1 (or entering variable)
Note:

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 The row with the minimum or lowest positive (non-negative) replacement ratio shows the
variable to leave the solution.

Replacement Ratio (RR) = Solution Quantity (Q)

Corresponding values in pivot column

Note: RR>0
The variable leaving the solution is called leaving variable or outgoing variable.
The row associated with the leaving variable is called the key or pivot row (s3 column
in our case)
The element that lies at the intersection of the pivot column and pivot row is called the
pivot element (No 1 in our case)
Step 7: Repeat step 3-5 till an optimum basic feasible solution is obtained.
Or: repeat steps 3-5 till no positive value occurs in the Cj - Zj row.
Note:
Divide each element of the pivot row by the pivot element to find new values in the
key or pivot row.
Perform row operations to make all other entries for the pivot column equal to zero.
2nd simplex tableau

Cj 300 250 0 0 0
SV X1 X2 S1 S2 S3 Q
0 S1 0 1 1 0 -2 16
0 S2 0 3 0 1 -1 33
300 X1 1 0 0 0 1 12
Zj 300 0 0 0 300
C j - Zj 0 250 0 0 -300

R2 NEW=R2 OLD-R3 NEW

R1 NEW=R1OLD-2 R3NEW
R3 NEW=R3OLD

3rd simplex tableau

Cj 300 250 0 0 0
SV X1 X2 S1 S2 S3 Q
0 S1 0 0 1 -1/3 -5/3 17/3
250 X2 0 1 0 1/3 -1/3 31/3
300 X1 1 0 0 0 1 12
Zj 300 250 0 250/3 650/3 6350
C j - Zj 0 0 0 -250/3 - 650/3

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R2 NEW=R2 OLD/3
R1 NEW=R1 OLD-R2 NEW
R3 NEW=R3 OLD

Since all the Cj - Zj < 0 optimal solution is reached.

Therefore, X1=12, X2=11, S1=5 and Max Z=6350

2.4.2 MINIMIZATION PROBLEMS

Minimize Z with inequalities of constraints in “> “form

There are two methods to solve minimization LP problems:
1. Direct method/Big M-method/
Using artificial variables
2. Conversion method (Duality)
Minimization by maximizing the dual
❖ Surplus Variable (-s):
✓ A variable inserted in a greater than or equal to constraint to create equality.
✓ It represents the amount of resource usage above the minimum required usage.
✓ A surplus variable is subtracted from a > constraint in the process of converting the
constraint to standard form.
✓ Neither the slack nor the surplus is a negative value. They must be positive or zero.
Example:
1. 2x1+x2 < 40 ==>is a constraint inequality
x1= 12 and x2= 11==> 2x1+x2+s = 40 ==>2(12) +11+s = 40
==> s=5 unused resource
2. 5x1+3x2 < 45
x1= 12 and x2= 11==> 5x1+3x2+s = 45 ==>5(12) +3(11) +s = 45
==> s=0 unused resource (No idle resource)
3. 5x1+2x2 >20
x1= 4.5 and x2= 2==> 5x1+2x2- s = 20 ==>5(4.5) +2(2)-s = 20
==> s=6 unused resource
4. 2x1+x2 >40
x1= 0 and x2= 0(No production) ==> 5x1+2x2- s = 20 ==>5(4.5) +2(2)-s = 20
==> s=-6(This is mathematically unaccepted)
Thus, in order to avoid the mathematical contradiction, we have to add an artificial variable (A)

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❖ Artificial variable (A):

An artificial variable is a variable that has no meaning in a physical sense but acts as a
tool to create an initial feasible LP solution.
Note:
Type of constraint To put into standard form
< --------------------------------------------- Add a slack variable
= ---------------------------------------------Add an artificial variable
> ---------------------- Subtract a surplus variable and add an artificial variable

1. Big M-method /Charnes Penalty Method/

The Big-M Method is a method that is used in removing artificial variables from the basis.
In this method; we assign coefficients to artificial variables, undesirable from the objective
function point of view. If objective function Z is to be minimized, then a very large positive
price (called penalty) is assigned to each artificial variable. Similarly, if Z is to be
maximized, then a very large negative price (also called a penalty) is assigned to each of
these variables.

The following are the characteristics of Big-M Method:

a. High penalty cost (or profit) is assumed as M
b. M is assigned to artificial variable A in the objective function Z.
c. Big-M method can be applied to minimization as well as maximization problems with
the following distinctions:
i. Minimization problems
✓ Assign +M as the coefficient of artificial variable A in the objective function Z
ii. Maximization problems:
✓ Here –M is assigned as the coefficient of artificial variable A in the objective
function Z
d. The coefficient of S (slack/surplus) takes zero values in the objective function Z
e. For the minimization problem, the incoming variable corresponds to the highest
negative value of Cj-Zj.
f. Solution is optimal when there is no negative value of Cj-Zj. (For minimization case)
Example:
1. Minimize Z=25x1 +30x2

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 Subject to:
20x1+15x2 > 100
2x1+ 3x2 > 15
x1, x2 > 0
Solution
Step 1: Standardize the problem
Minimize Z=25x1 +30x2 +0s1+0s2 +MA1+MA2
Subject to:
20x1+15x2- s1+A1 = 100
2x1+ 3x2 –s2+A2 = 15
x1, x2 , s1, s2 ,A1 ,A2 > 0
Step 2: Initial simplex tableau
The initial basic feasible solution is obtained by setting x1= x2= s1= s2=0
No production, x1= x2= s1=0==>20(0) +15(0) - 0+A1 = 100 ==> A1 = 100
x1= x2= s2=0==>0(0) +3(0) - 0+A2 =15==> A2 = 15
Initial simplex tableau

Cj 25 30 0 0 M M

SV X1 X2 S1 S2 A1 A2 Q RR

M A1 20 15 -1 0 1 0 100
100/20=5
M A2 2 3 0 -1 0 1 15 15/2=7.5

Zj 22M 18M -M -M M M 115 M

Cj - Zj 25 -22M 30- 18M M M 0 0

R1 NEW=R1 OLD/20
R2 NEW=R2 OLD-2R1 NEW
Note:
Once an artificial variable has left the basis, it has served its purpose and can therefore be
removed from the simplex tableau. An artificial variable is never considered for re-entry
into the basis.

2nd Simplex Tableau

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 Cj 25 30 0 0 M

SV X1 X2 S1 S2 A2 Q

25 X1 1 3/4 -1/20 0 0 5

M A2 0 3/2 1/10 -1 1 5

Zj 25 75/4+3/2M -5/4+1/10M -M M 125+5 M

Cj - Zj 0 45/4-3/2M 5/4-1/10 M M 0

R1 NEW=R1 OLD-3/4 R2 NEW

R2 NEW=R2 OLD*2/3 OR R2/3/2
3rd Simplex Tableau

Cj 25 30 0 0

SV X1 X2 S1 S2 Q

25 X1 1 0 -1/10 1/2 5/2

30 X2 0 1 1/15 -2/3 10/3

Zj 25 30 -1/2 -15/2 162.5

Cj - Zj 0 0 1/2 15/2

All Cj - Zj > 0Optimal solution is reached

X1=5/2
X2=10/3 and MinZ=162.5
Note: As long as an “A” variable is available in the solution variable column, the solution is
infeasible.

2. Duality (Conversion method)

Every LPP has another LPP associated with it, which is called its dual. The first way of
starting a linear problem is called the primal of the problem. The second way of starting
the same problem is called the dual. The optimal solutions for the primal and the dual are
equivalent, but they are derived through alternative procedures.
Note:
The dual contains economic information useful to management, and it may also be easier to
solve, in terms of less computation, than the primal problem.
Corresponding to every LPP, there is another LPP.

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 The given problem is called the primal. The related problem to the given problem is known as
the dual.
The dual of a dual is the primal
If the primal has the optimal solution, the dual will have the optimal solution
If the primal has no optimal solution, the dual will not have an optimal solution.
Whether we follow the dual or primal system, the optimal solution will remain equal.
Primal-Dual Relationship
Primal Dual
Objective is minimization Objective is maximization and vice
> type constraints < typeversa
constraints
No of columns No of rows
No of rows No of columns
No of decision variables No of constraints
No of constraints No of decision variables
Coefficient of Object function RHS value
RHS value Coefficient of Object function

Duality Advantage
1. The dual form provides an alternative form
2. The dual reduces the computational difficulties associated with some formulation
3. The dual provides an important economic interpretation concerning the value of scars resources
used.

Example:
Write the duals to the following problems
a. Max.Z=5x1+6x2
Subject to:
2x1+3x2 < 3000 (Labor constraint)
5x1 + 7x2 < 1000 (Machine constraint)
x1 + x2 < 5000 (Market constraint)
x1, x2 > 0
Solution
Represent primal in the conventional table as follows
Dual variables x1 x2 Constraints

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 u1 2 3 < 3000
u2 5 7 < 1000
u3 1 1 < 500
MaxZ 5 6
By referring the above table, dual for this can be stated as:
MinZ*=3000 u1 +1000 u2 +500 u3
St:

2u1+5u2 + u3> 5
3u1+7u2 + u3> 6
u1, u2 , u3> 0
Note:
1. For maximizing, all constraints must be brought to “<” form
2. For minimizing, all constraints must be brought to “>” form
3. If they are not, use multiplication factor -1
4. “=” is an intersection of “>” and “< “
b. Max.Z=60x1+50x2
Subject to:
2x1+4x2 < 80
3x1 + 2x2 < 60
x1 < 15
2x2 < 36
x1, x2 > 0
Solution
Primal is represented in the table as follows:
Dual variables x1 x2 Constraints
u1 2 4 < 80
u2 3 2 < 60
u3 1 0 < 15
u4 0 2 < 36
MaxZ 60 50

The dual form is:

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MinZ*=80 u1 +60u2 +15u3+36u4
St:

2u1+3u2 + u3 > 60
4u1+2u2 + u4 > 50
u1, u2, u3, u4 > 0
c. Obtain the dual problem of the following primal LPP
Min.Z=10x1+2x2
Subject to:
2x1+4x2 < 160
x1 +2x2 = 30
x1 > 10
x1, x2 > 0
2.5 SPECIAL CASES IN SIMPLEX METHOD
1. Mixed constraints
Example
Max Z=6x1 +8x2
Subject to:
x2 < 4
x1+ x2 = 9
6x1+ 2x2 >24
x1, x2 > 0
• Standard form
Max.Z=6x1 +8x2 + 0 s1 +0 s2+ 0 s3-M A2- M A3
St:
x2 + s1 =4
x1+ x2 + A2 =9
Standard form
6x1+2x2 - s3 + A3 =24
All Variables >0
Initial simplex tableau

Cj 6 8 0 0 -M -M
SV X1 X2 S1 S3 A2 A3 Q
0 S1 0 1 1 0 0 0 4
-M A2 1 1 0 0 1 0 9
-M A3 6 2 0 -1 0 1 4
Zj -7M -3M 0 +M -M -M 24

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 C j - Zj 7M +6 3M+8 0 -M 0 0

Ans: At the 4th tableau: X1 =5, X2 =4, S3 =14 and MaxZ=62

Note:
For the initial basis, use artificial variables for constraints that have them. Otherwise, use a
constraint slack variable. Hence, surplus variables will not appear in an initial solution.

2. Two incoming variables

/ Or Tie for entering variables/
In order to break this tie, the selection for the key column (entering variable) can be made
arbitrary. However; the number of solutions can be minimized by adopting the following rules:
1. If there is a tie between two decision variables, then the selection can be made arbitrary.
2. If there is a tie between a decision variable and a slack (or surplus) variable, then select the
decision variable to enter into basis first.
3. If there is a tie between slack or surplus variable, then selection can be made arbitrary.
Example:
If the equation is max Z:

Cj
SV X1 X2 S1 S3 Q

Zj
C j - Zj 5 2 5 0

In such a case, X1 is the entering variable

3. Infeasibility
A situation with no feasible solution may exist if the problem was formulated improperly.
Infeasibility comes about when there is no solution that satisfies all of the problem’s constraints.

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In the simplex method, an infeasible solution is indicated by looking at the final tableau. In it, all
Cj - Zj row entries will be the proper sign to imply optimality, but an artificial variable (A) will
still be in the solution mix.
Example:
Minimization case

Cj 5 8 0 0 M
SV X1 X2 S1 S2 A2 Q
5 X1 1 1 -2 3 0 200
8 X2 0 1 1 2 0 100
M A2 0 0 0 -1 1 20
Zj 5 8 -2 31-M M 1,800+200M
C j - Zj 0 0 2 M-31 0

Even though all Cj - Zj are positive or 0 (i.e the criterion for an optimal solution in a minimization
case), no feasible solution is possible because an artificial variable (A2) remains in the solution
mix.

4. Unbounded Solutions
No finite solution may exist in problems that are not bounded. This means that a variable can be
infinitely large without violating a constraint.
In the simplex method, the condition of unboundedness will be discovered prior to reaching the
final tableau. We will note the problem when trying to decide which variable to remove from the
solution mix.
The procedure in unbounded solution is to divide each quantity column number by the
corresponding pivot column number. The row with the smallest positive ratio is replaced. But if
the entire ratios turn out to be negative or undefined, it indicates that the problem is unbounded.
Example:
Maximization case

Cj 6 9 0 0
SV X1 X2 S1 S2 Q RR
9 X2 -1 1 2 0 30
0 S2 -2 0 -1 1 10 30/-1=-30
Unacceptable RRs
Zj -9 9 18 0 270 10/-2=-5
C j - Zj 15 0 -18 0

Pivot Column

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The solution in the above case is not optimal because not all Cj - Zj entries are 0 or negative, as
required in a maximization problem. The next variable to enter the solution should be X1. To
determine which variable will leave the solution, we examine the ratios of the quantity column
numbers to their corresponding numbers in the X1 or pivot column. Since both pivot column
numbers are negative, an unbounded solution is indicated.
• If the solution is unbounded, no outgoing variable will exist.

5. Degeneracy
/Tie for leaving basic variable (key row)/
If there is a tie for the smallest ratio, this is a signal that degeneracy exists. Degeneracy can occur
right in the first (initial tableau). This normally happens when the number of constraints is less
than the number of variables in the objective function. Problem can be overcome by trial-and-error
method.

Cj 5 8 2 0 0 0
SV X1 X2 X3 S1 S2 S3 Q
RR
8 X2 1/4 1 1 -2 0 0 10
10/1/4=40
0 S2 4 0 1/3 -1 1 0 20
20/4=5 Tie for the smallest ratio
0 S3 2 0 2 2/5 0 1 10 indicates degeneracy.
10/2=5
Zj 2 8 8 16 0 0 80

Cj-Zj 3 0 -6 -16 0 0

Degeneracy could lead to a situation known as cycling, in which the simplex algorithm alternatives
back and forth between the same non-optimal solutions, i.e, it puts a new variable in, then takes it
out in the next tableau, puts it back in, and so on.
One simple way of dealing with the issue is to select either row (S2 or S3 in this case) arbitrary. If
we are unlucky and cycling does occur, we simply go back and select the other row.
Remark
When there is a tie between a slack and artificial variable to leave the basis, the preference shall be
given to artificial variable to leave the basis and there is no need to apply the procedure for
resolving such cases.

6. Multiple Optimal Solutions

Multiple optimal solutions exist when non-basic variable contains zero on its Cj - Zj row.
Example: Maximization problem

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 Cj 3 2 0 0 MaxZ=3X1+2X2
X1=0, X2=6, S2=3 and MaxZ=12
SV X1 X2 S1 S2 Q
or: X1=3, X2=3/2 and MaxZ=12
2 X2 3/2 1 1 0 6
The Cj - Zj value of the non-
0 S2 1 0 1/2 1 3
basic variable (X1) is 0. Thus,
Zj 3 2 2 0 12
there is alternative optimal
C j - Zj 0 0 -2 0
solution.

SUMMARY OF LP: SIMPLEX METHOD

1. The standard form of LP problem should have the following characteristics:
I. All the constraints should be expressed as equations by slack or surplus and/or artificial
variables
II. The right-hand side of each constraint should be made non-negative; if it is not, this should
be done by multiplying both sides of the resulting constraint by -1.
Example:
2X1+3X2-4X3+X3<-50, we multiply both sides by negative
III. Three types of additional variables, namely
➢ Slack Variable(S)
➢ Surplus variable (-S), and
➢ Artificial variables (A)
are added in the given LP problem to convert it into standard form for two reasons:
i. to convert an inequality to have a standard form of an LP model, and
ii. To get an initial feasible solution represented by the columns of an identity matrix.
The summery of the extra variables needed to add in the given LP problem to convert it into
standard form is given below:
Table

Coefficient of extra variables Presence of

Types of
Extra variables to be added in the objective function variables in the
Constraint
MaxZ MinZ initial solution mix
< Add only slack variable 0 0 Yes
> Subtract surplus variable and 0 0 No
Add artificial variable -M +M Yes
= Add artificial variable -M +M Yes

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2. Test of optimality
i. If all Cj - Zj < 0, then the basic feasible solution is optimal (Maximization case)
ii. If all Cj - Zj > 0, then the basic feasible solution is optimal (Minimization case)
3. Variable to enter the basis
i. A variable that has the most positive value in the Cj - Zj row
(Maximization case)
ii. A variable that has the highest negative value in the Cj - Zj row (Minimization case)
4. Variable to leave the basis
The row with the non-negative and minimum replacement ratio
(For both maximization and minimization cases
i.e: RR > 0

2.6 SENSITIVITY ANALYSIS

Sensitivity Analysis is concerned with the study of ‘Sensitivity ‘of the optimal solution of an LPP
with discretion variables (changes) in parameters. The degree of sensitivity of the solution due to
those variations can range from no change at all to a substantial change in the optimal solution of
the given LPP. Thus, insensitivity analysis, we determine the range over which the LP model
parameters can change without affecting the current optimal solution. The process of studying the
sensitivity of the optimal solution of an LPP is called post-optimal analysis.
The two sensitivity analysis approaches are:
i. Trial and error approach and
ii. Analytical approach

4.1.1. Analytical approach

Five types of discrete changes in the original LP model may be investigated during the sensitivity
analysis:
A. Changes of the coefficients of the objective function (cj)
B. Changes of the RHS Quantity (bj)
C. Changes of the input-output coefficient
D. Add/delete constraints
E. The addition of a new variable to the problem

A. Changes of the coefficients of the objective function (cj)

Decision variables can be:
i. Basic (in the solution)

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 ii. non-basic (out of the solution)

Note:
Instead of resolving the entire problem as a new problem with new parameters, we may take
the original optimal solution table as an initial solution table for the purpose of knowing ranges
both lower and upper within which a parameter may assume value.

a. Range for the coefficients of basic decision variables

The range of optimality is the range over which a basic decision variable coefficient in the
objective function can change without changing the optimal solution mix. However, this
change will change only the optimal value of the objective function.

Example:
Max.Z=5x1 +4.5x2 +x3
Subject to:
15 x1+15.8x2 < 150
5x1+6.4x2+15x3 < 77
2.8x2+11.8x3 < 36
x1, x2, x3 > 0
The optimal tableau for this solution is:
Cj 5 4.5 1 0 0 0
SV X1 X2 X3 S1 S2 S3 Q
5 X1 1 1.053 0 0.067 0 0 10
1 X3 0 0.67 1 -0.022 0.067 0 1.8
0 S3 0 1.924 0 0.258 -0.773 1 15.12
Zj 5 5.342 1 0.311 0.067 0 51.8
C j - Zj 0 -0.842 0 -0.311 -0.067 0
Determine the range of optimality for the coefficients of the basic-decision variables.
Solution:
Analysis of basic decision variables
The analysis will be conducted on products on X1 and X3 which are in the basic solution. Divide
each Cj - Zj row entry for variables not in the solution (for instance, by X2, S1 and S2 values) by
the associated variable aij from X1or X3 row.

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I. Analysis of X1

X2 S1 S2
Cj - Zj row -0.842 -0.311 -0.067 Non-basic variables

X1 row 1.053 0.067 0

Cj - Zj row
-0.8 -4.64 -∞
X1 row

Steps:
a. Take the Cj - Zj row of the optimal solution of the non-basic variables
b. Take the X1 row of the non-basic variables
c. Cj - Zj row
X1 row
❖ Upper Limit
The smallest positive number in the Cj - Zj row tells how much the profit
X1
of X1 can be increased before the solution is changed.
Upper Limit= Cj (for X1) +the smallest positive value of Cj - Zj row
=5+∞=∞ X1 row
Note: Cj (for X1) =5(Look in the OF of the LP problem)
❖ Lower Limit
The largest negative number closest (negative amount closest to 0)
Lower Limit= Cj (for X1) +The largest negative value of Cj - Zj row
=5+ (-0.8) = 4.2 X1 row
Therefore, the range of optimality for the coefficient of X1 is 4.2< Cj (for X1) < ∞ (The coefficient
of X1 in the objective function can change between 4.2 and ∞ without changing the optimal
solution mix X1=10, X3=1.8 and S3=15.12)

II. Analysis of X2
X2 S1 S2
Non-basic variables
Cj - Zj row -0.842 -0.311 -0.067
X3 row 0.67 -0.022 0.067
Cj - Zj row
-1.26 14.13 -1
X1 row

❖ Upper Limit= Cj (for X3) +The smallest positive value of Cj - Zj row

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 =1+ (14.13) =15.13 X1 row

Note: Cj (for X3) =5(Look in the OF of the LP problem)

❖ Lower Limit= Cj (for X3) + The largest negative value of Cj - Zj row

=1+ (-1) = 0 X1 row

Therefore, the range of optimality for the coefficient of X3 is 0 < Cj (for X3) < 15.13 (The
coefficient of X3 in the objective function can change between 0 and 15.13 without changing
the optimal solution mix X1=10, X3=1.8 and S3=15.12). However, this change will change
only the optimal value of the objective function (i.e. MaxZ will change)
Exercise:
Max.Z=50x1 +120x2
Subject to:
2 x1+4x2 < 80
3x1+x2< 60
x1, x2 > 0
Determine the range of optimality for the coefficient of the basic variables.
Optimal Solution
Cj
SV X1 X2 S1 S2 Q
5 X1 1/2 1 1/4 0 20
1 S2 5/2 0 -1/4 1 40
Zj 60 120 30 0 $2,400
C j - Zj $-10 $0 $-30 $0
Ans: The range of optimality for X2’s profit coefficient is: $100 < Cj (for X2) < ∞

b. The range for the non-basic variables

If there is a variable Cj, not participating in the optimal basis, then, in order for the variable to be
included in the optimal solution, its coefficient in the objective function will have to change from
the existing Cj to a new level Cj(new).

Cj (new)>Zj

The range of insignificance is the range over which Cj rates for non-basic variables can vary without
causing a change in the optimal solution mix (variable) is called the range of insignificance.
Example:
Max.Z=5x1 +4.5x2 +x3

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 Subject to:
15 x1+15.8x2 < 150
5x1+6.4x2+15x3 < 77
2.8x2+11.8x3 < 36
x1, x2, x3 > 0
The optimal tableau for this solution is:
Cj 5 4.5 1 0 0 0
SV X1 X2 X3 S1 S2 S3 Q
5 X1 1 1.053 0 0.067 0 0 10
1 X3 0 0.67 1 -0.022 0.067 0 1.8
0 S3 0 1.924 0 0.258 -0.773 1 15.12
Zj 5 5.342 1 0.311 0.067 0 51.8
C j - Zj 0 -0.842 0 -0.311 -0.067 0
Calculate the range of insignificance for the coefficient of non-basic variable(X2)
Solution
Cj (for X2) = 4.5 and Zj (for X2) =5.342
Cj (new for X2)>5.342==> Cj (new for X2). If the profit contribution of X2 is greater than 5.342, then
X2 will be included in the solution.
Thus, ∞< Cj(new for X2)< 5.342 is the range of insignificance for X2.
Cj (new for X2) can vary with in the given range without causing a change in the optimal solution
mix (X1=10, X1=0, X3=1.8, S1= S2=0 and S3=15.12).

B. Change in the Right Hand—Side Quantity (RHS) or Change in the

availability of resource (Capacity) (bj)

❖ Shadow prices:
How much should a firm be willing to pay to make additional resources available?

Shadow prices signify the change in the optimal value of the objective function for 1 unit increases
in the value of the RHS of the constraint that represent the availability of scarce resources.

The negative of the number of Cj - Zj row in its slack variable columns provide as with shadow
prices. Or: shadow prices are found in the Zj row of the final simplex tableau in the slack variable
columns.

❖ RHS ranging is the range over which shadow prices remain valid.
Example:

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 Max.Z=3x1+4x2
Subject to:
3 x1+5x2 < 15
2x1 + x2 < 8
x2 < 2
x1, x2 > 0
The optimal tableau is given as:
Cj 3 4 0 0 0
SV X1 X2 S1 S2 S3 Q
3 X1 1 0 -0.143 0.714 0 3.57
0 S3 0 0 -0.286 0.428 1 1.143
4 X2 0 1 0.286 -0.428 0 0.857

C j - Zj 0 0 -0.714 -0.428 0
Required:
1. Determine the shadow price for each constraint
2. Determine the RHS ranges over which the shadow prices are valid
❖ Analysis of the 1st constraint (S1)
Q S1 Q/ S1
3.57 -0.143 -24.96
1.143 -0.286 -3.99
0.857 0.286 3.00

Lower Limit=bj-the smallest positive number in the Q/ Sj column

Upper Limit=bj-the largest negative number in the Q/ Sj column

Lower Limit=b1-the smallest positive number in the Q/ S1column

=15-3=12
Upper Limit=b1-the largest negative number in the Q/ S1 column
=15-(-3.99) =18.99
Therefore, 12< b1< 18.99 (The range of resource 1 over which the shadow price $0.714 per unit is valid).
❖ Analysis of the 2nd constraint (S2)
Q S2 Q/ S2
3.57 0.714 5
1.143 0.428 2.67
0.857 -0.428 -2

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Lower Limit=b2-the smallest positive number in the Q/ S2 column
=8-(2.67) = 5.33
Upper Limit=b2-the largest negative number in the Q/ S2 column
=8-(-2) =10
Therefore, 5.33< b1< 10 (The range of resource 2 over which the shadow price $0.428 per unit is valid).
❖ Analysis of the 3rd constraint (S3)

Q S3 Q/ S3
3.57 0 -
1.143 1 1.143
0.857 0 -

Lower Limit=b3-the smallest positive number in the Q/ S3 column

=2-(1.143) = 0.857
Upper Limit=b3-the largest negative number in the Q/ S3 column
=2- (-∞) =∞
Therefore, 0.857< b3< ∞ (The range of resource 3 over which the shadow price $0 per unit is valid).
Exercise:
1. Max.Z=50x1+40x2
Subject to:
3 x1+5x2 < 150 (Assembly time)
x2 < 20 (Portable display)
8x1 + 5x2 < 300 (Warehouse space)
x1, x2 > 0
The final simplex tableau is:
Cj 50 40 0 0 0
SV X1 X2 S1 S2 S3 Q
40 X2 0 1 8/25 0 -3/25 12
0 S2 0 0 -8/25 1 3/25 8
50 X1 1 0 -5/25 0 5/25 30
Zj 50 40 14/5 0 26/5 1980
Cj - Zj 0 0 -14/5 0 -26/5
Determine the shadow prices for the three constraints for the High-Tech Co.
Answer:
The Zj values for the three slack variables are 14/5, 0 and 26/5, respectively.
Thus, the shadow price for the assembly time constraint is 14/5(i.e.1 additional assembly time
over the existing 150 is $2.8)

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 The shadow price for the portable display constraint is 0.
The shadow price for the Warehouse space constraint is26.5
Therefore, we see that obtaining more warehouse space will have the biggest positive impact on
High Tech’s profit.
Note:
With a greater than or equal to constraint, the value of the shadow price will be less than or equal
to zero because a 1 unit increase in the value of the RHS cannot be helpful; it makes it more difficult
to satisfy the constraint. As a result, for a maximization problem the optimal value of the objective
function can be expected to decrease when the RHS side of a greater than or equal to constraint is
increased.

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