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 Slides by

John
Loucks
St. Edward’s
University
 Chapter 7: Introduction to Linear
Programming
• Linear Programming Problem
• Problem Formulation
• A Simple Maximization Problem
• Graphical Solution Procedure
• Extreme Points and the Optimal Solution
• Computer Solutions
• A Simple Minimization Problem
• Special Cases

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Linear Programming

 Linear programming has nothing to do with computer

programming.
 The use of the word “programming” here means
“choosing a course of action.”
 Linear programming involves choosing a course of
action when the mathematical model of the problem
contains only linear functions.
 Linear Programming (LP) Problem

• The maximization or minimization of some quantity

is the objective in all linear programming problems.
• All LP problems have constraints that limit the
degree to which the objective can be pursued.
• A feasible solution satisfies all the problem's
constraints.
• An optimal solution is a feasible solution that results
in the largest possible objective function value when
maximizing (or smallest when minimizing).
• A graphical solution method can be used to solve a
linear program with two variables.

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 Linear Programming (LP) Problem

• If both the objective function and the constraints are

linear, the problem is referred to as a linear
programming problem.
• Linear functions are functions in which each variable
appears in a separate term raised to the first power
and is multiplied by a constant (which could be 0).
• Linear constraints are linear functions that are
restricted to be "less than or equal to", "equal to", or
"greater than or equal to" a constant.

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 Problem Formulation

• Problem formulation or modeling is the process

of translating a verbal statement of a problem
into a mathematical statement.
• Formulating models is an art that can only be
mastered with practice and experience.
• Every LP problems has some unique features,
but most problems also have common features.
• General guidelines for LP model formulation are
illustrated on the slides that follow.

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 Guidelines for Model Formulation

• Understand the problem thoroughly.

• Describe the objective.
• Describe each constraint.
• Define the decision variables.
• Write the objective in terms of the decision
variables.
• Write the constraints in terms of the decision
variables.

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Example 1: A Simple Maximization Problem

• LP Formulation
Objective
Max 5x1 + 7x2 Function

s.t. x1 < 6
“Regular”
2x1 + 3x2 < 19 Constraints

x1 + x2 < 8
Non-negativity
x1 > 0 and x2 > 0 Constraints

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 Example 1: Graphical Solution

• First Constraint Graphed

x2

8
7 x1 = 6

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Shaded region
5 contains all
4 feasible points
for this constraint
3
2 (6, 0)
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution

• Second Constraint Graphed

x2

8 (0, 6 1/3)
7
6
2x1 + 3x2 = 19
5
4
Shaded
3
region contains
2 all feasible points (9 1/2, 0)
1 for this constraint
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution

• Third Constraint Graphed

x2 (0, 8)
8
7
6 x1 + x2 = 8

5
4
Shaded
3
region contains
2 all feasible points
for this constraint (8, 0)
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution

• Combined-Constraint Graph Showing Feasible

Regionx2
x1 + x2 = 8
8
7
x1 = 6
6
5
4
3
Feasible 2x1 + 3x2 = 19
2 Region
1
x1
1 2 3 4 5 6 7 8 9 10

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 Example 1: Graphical Solution

• Objective Function
Line x2
8
7
(0, 5)
6 Objective Function
5x1 + 7x2 = 35
5
4
3
2
(7, 0)
1
x1
1 2 3 4 5 6 7 8 9 10

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Example 1: Graphical Solution

 Selected Objective Function Lines

x2

8
7
5x1 + 7x2 = 35
6
5 5x1 + 7x2 = 39

4
3 5x1 + 7x2 = 42

2
1
x1
1 2 3 4 5 6 7 8 9 10
 Example 1: Graphical Solution

• Optimal
x2
Solution Maximum
Objective Function Line
8 5x1 + 7x2 = 46
7
6 Optimal Solution
(x1 = 5, x2 = 3)
5
4
3
2
1
x1
1 2 3 4 5 6 7 8 9 10

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 Summary of the Graphical Solution
Procedure
for Maximization Problems
• Prepare a graph of the feasible solutions for
each of the constraints.
• Determine the feasible region that satisfies all
the constraints simultaneously.
• Draw an objective function line.
• Move parallel objective function lines toward
larger objective function values without entirely
leaving the feasible region.
• Any feasible solution on the objective function
line with the largest value is an optimal solution.

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 Slack and Surplus Variables

• A linear program in which all the variables are non-

negative and all the constraints are equalities is
said to be in standard form.
• Standard form is attained by adding slack variables
to "less than or equal to" constraints, and by
subtracting surplus variables from "greater than or
equal to" constraints.
• Slack and surplus variables represent the
difference between the left and right sides of the
constraints.
• Slack and surplus variables have objective function
coefficients equal to 0.

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Slack Variables (for < constraints)

 Example 1 in Standard Form

Max 5x1 + 7x2 + 0s1 + 0s2 + 0s3

s.t. x1 + s1 = 6
2x1 + 3x2 + s2 = 19
x1 + x2 + s3 = 8

x1, x2 , s1 , s2 , s3 > 0

s1 , s2 , and s3
are slack variables

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Slack Variables

 Optimal Solution
x2 Third
Constraint: First
x1 + x2 = 8 Constraint:
8
x1 = 6
7 s3 = 0
s1 = 1
6
5
Second
4 Constraint:
2x1 + 3x2 = 19
3
Optimal
2 Solution s2 = 0
(x1 = 5, x2 = 3)
1
x1
1 2 3 4 5 6 7 8 9 10
Extreme Points and the Optimal Solution

• The corners or vertices of the feasible

region are referred to as the extreme
points.
• An optimal solution to an LP problem can
be found at an extreme point of the
feasible region.
• When looking for the optimal solution,
you do not have to evaluate all feasible
solution points.
• You have to consider only the extreme
points of the feasible region.

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Example 1: Extreme Points

x2

8
7 5 (0, 6 1/3)
6
5
4
4 (5, 3)
3 Feasible
Region 3 (6, 2)
2
1 1 (0, 0) 2 (6, 0)
x1
1 2 3 4 5 6 7 8 9 10

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 Computer Solutions

• LP problems involving 1000s of variables and

1000s of constraints are now routinely solved
with computer packages.
• Linear programming solvers are now part of
many spreadsheet packages, such as
Microsoft Excel.
• Leading commercial packages include CPLEX,
LINGO, MOSEK, Gurobi, and Xpress-MP.

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Interpretation of Computer Output

• In this chapter we will discuss the following

output:
• objective function value
• values of the decision variables
• reduced costs
• slack and surplus
• In the next chapter we will discuss how an
optimal solution is affected by a change in:
• a coefficient of the objective function
• the right-hand side value of a constraint

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 Example 1: Spreadsheet Solution

• Partial Spreadsheet Showing Problem

DataA B C D
1 LHS Coefficients
2 Constraints X1 X2 RHS Values
3 #1 1 0 6
4 #2 2 3 19
5 #3 1 1 8
6 Obj.Func.Coeff. 5 7

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 Example 1: Spreadsheet Solution

• Partial Spreadsheet Showing Solution

A B C D
8 Optimal Decision Variable Values
9 X1 X2
10 5.0 3.0
11
12 Maximized Objective Function 46.0
13
14 Constraints Amount Used RHS Limits
15 #1 5 <= 6
16 #2 19 <= 19
17 #3 8 <= 8

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Example 1: Spreadsheet Solution

• Interpretation of Computer Output

We see from the previous slide that:

Objective Function Value = 46

Decision Variable #1 (x1) = 5
Decision Variable #2 (x2) = 3
Slack in Constraint #1 = 6– 5=1
Slack in Constraint #2 = 19 – 19 = 0
Slack in Constraint #3 = 8– 8=0

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 Reduced Cost

• The reduced cost for a decision variable

whose value is 0 in the optimal solution
is:
the amount the variable's objective function
coefficient would have to improve (increase
for maximization problems, decrease for
minimization problems) before this variable
could assume a positive value.
• The reduced cost for a decision variable
whose value is > 0 in the optimal
solution is 0.

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 Example 1: Spreadsheet Solution

 Reduced Costs
Adjustable Cells
Final Reduced Objective Allowable Allowable
Cell Name Value Cost Coefficient Increase Decrease
$B$8 X1 5.000 0.000 5.000 2.000 0.333
$C$8 X2 3.000 0.000 7.000 0.500 2.000

Constraints
Final Shadow Constraint Allowable Allowable
Cell Name Value Price R.H. Side Increase Decrease
$B$13 #1 5.000 0.000 6.000 1E+30 1.000
$B$14 #2 19.000 2.000 19.000 5.000 1.000
$B$15 #3 8.000 1.000 8.000 0.333 1.667

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Example 2: A Simple Minimization Problem

• LP
Formulation
Min 5x1 + 2x2

s.t. 2x1 + 5x2 > 10

4x1 - x2 > 12
x1 + x2 > 4

x1, x2 > 0

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 Example 2: Graphical Solution

• Graph the Constraints

Constraint 1: When x1 = 0, then x2 = 2; when x2 = 0,
then x1 = 5. Connect (5,0) and (0,2). The ">" side is
above this line.
Constraint 2: When x2 = 0, then x1 = 3. But setting
x1
to 0 will yield x2 = -12, which is not on the graph.
Thus,
to get a second point on this line, set x1 to any
number
larger than 3 and solve for x2: when x1 = 5, then
x2 =
8. Connect (3,0) and (5,8). The ">“ side is to the
right.
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 Example 2: Graphical Solution

 Graph the Constraints (continued)

Constraint 3: When x1 = 0, then x2 = 4; when x2 = 0,
then x1 = 4. Connect (4,0) and (0,4). The ">" side
is
above this line.

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 Example 2: Graphical Solution

• Constraints Graphed
x2
6
Feasible Region
5
4x1 - x2 > 12
4
x1 + x2 > 4
3

2 2x1 + 5x2 > 10

x1
1 2 3 4 5 6

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 Example 2: Graphical Solution

• Graph the Objective Function

Set the objective function equal to an arbitrary
constant (say 20) and graph it. For 5x1 + 2x2 = 20,
when x1 = 0, then x2 = 10; when x2= 0, then x1 = 4.
Connect (4,0) and (0,10).

• Move the Objective Function Line Toward Optimality

Move it in the direction which lowers its value
(down), since we are minimizing, until it touches the
last point of the feasible region, determined by the
last two constraints.

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 Example 2: Graphical Solution

 Objective Function Graphed

x2 Min 5x1 + 2x2
6

5
4x1 - x2 > 12
4
x1 + x2 > 4
3

2 2x1 + 5x2 > 10

x1
1 2 3 4 5 6
 Example 2: Graphical Solution

• Solve for the Extreme Point at the Intersection of the

Two Binding Constraints
4x1 - x2 = 12
x1+ x2 = 4
Adding these two equations gives:

5x1 = 16 or x1 = 16/5

Substituting this into x1 + x2 = 4 gives: x2 = 4/5

 Solve for the Optimal Value of the Objective Function

5x1 + 2x2 = 5(16/5) + 2(4/5) = 88/5

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 Example 2: Graphical Solution

 Optimal Solution
x2
6
4x1 - x2 > 12
5
x1 + x2 > 4
4
Optimal Solution:
3 x1 = 16/5, x2 = 4/5,
5x1 + 2x2 = 17.6
2
2x1 + 5x2 > 10
1

x1
1 2 3 4 5 6
Summary of the Graphical Solution Procedure
for Minimization Problems

 Prepare a graph of the feasible solutions for each of

the constraints.
 Determine the feasible region that satisfies all the
constraints simultaneously.
 Draw an objective function line.
 Move parallel objective function lines toward smaller
objective function values without entirely leaving the
feasible region.
 Any feasible solution on the objective function line
with the smallest value is an optimal solution.
Surplus Variables

 Example 2 in Standard Form

Min 5x1 + 2x2 + 0s1 + 0s2 + 0s3

s.t. 2x1 + 5x2 - s1 = 10

4x1 - x2 - s2 = 12
x1 + x2 - s3 = 4

x1, x2, s1, s2, s3 > 0

s1 , s2 , and s3 are
surplus variables
 Example 2: Spreadsheet Solution

• Partial Spreadsheet Showing Solution

A B C D
9 Decision Variables
10 X1 X2
11 Dec.Var.Values 3.20 0.800
12
13 Minimized Objective Function 17.600
14
15 Constraints Amount Used Amount Avail.
16 #1 10.4 >= 10
17 #2 12 >= 12
18 #3 4 >= 4

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Example 2: Spreadsheet Solution

 Interpretation of Computer Output

We see from the previous slide that:
Objective Function Value = 17.6
Decision Variable #1 (x1) = 3.2
Decision Variable #2 (x2) = 0.8
Surplus in Constraint #1 = 10.4 - 10 = 0.4
Surplus in Constraint #2 = 12.0 - 12 = 0.0
Surplus in Constraint #3 = 4.0 - 4 = 0.0
 Feasible Region

• The feasible region for a two-variable LP

problem can be nonexistent, a single point, a
line, a polygon, or an unbounded area.
• Any linear program falls in one of four
categories:
• is infeasible
• has a unique optimal solution
• has alternative optimal solutions
• has an objective function that can be increased
without bound
• A feasible region may be unbounded and yet
there may be optimal solutions. This is
common in minimization problems and is
possible in maximization problems.
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 Special Cases

• Alternative Optimal Solutions

In the graphical method, if the objective
function line is parallel to a boundary
constraint in the direction of
optimization, there are alternate optimal
solutions, with all points on this line
segment being optimal.

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Example: Alternative Optimal Solutions

 Consider the following LP problem.

Max 4x1 + 6x2

s.t. x1 < 6
2x1 + 3x2 < 18
x1 + x2 < 7

x1 > 0 and x2 > 0

Example: Alternative Optimal Solutions

 Boundary constraint 2x1 + 3x2 < 18 and objective

function Max 4x1 + 6x2 are parallel. All points on
line segment A – B are optimal solutions.
x2 x1 + x2 < 7
7
6 Max 4x1 + 6x2
A
5
B x1 < 6
4
3 2x1 + 3x2 < 18
2
1
x1
1 2 3 4 5 6 7 8 9 10
Special Cases

 Infeasibility
• No solution to the LP problem satisfies all the
constraints, including the non-negativity conditions.
• Graphically, this means a feasible region does not
exist.
• Causes include:
• A formulation error has been made.
• Management’s expectations are too high.
• Too many restrictions have been placed on the
problem (i.e. the problem is over-constrained).
 Example: Infeasible Problem

• Consider the following LP

problem.
Max 2x1 + 6x2

s.t. 4x1 + 3x2 < 12

2x1 + x2 > 8

x1, x2 > 0

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 Example: Infeasible Problem

• There are no points that satisfy both constraints, so

there is no feasible region (and no feasible solution).
x2
10

2x1 + x2 > 8
8

6
4x1 + 3x2 < 12
4

x1
2 4 6 8 10

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Special Cases

 Unbounded
• The solution to a maximization LP problem is
unbounded if the value of the solution may be
made indefinitely large without violating any of the
constraints.
• For real problems, this is the result of improper
formulation. (Quite likely, a constraint has been
inadvertently omitted.)
 Example: Unbounded Solution

• Consider the following LP

problem.
Max 4x1 + 5x2

s.t. x1 + x2 > 5
3x1 + x2 > 8

x1 , x2 > 0

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 Example: Unbounded Solution

• The feasible region is unbounded and the

objective function line can be moved
outward from the origin without bound,
x2
infinitely increasing the objective
function. 10 3x + x > 8
1 2

6 Ma
x
4x
1 +5
4 x2
x1 + x2 > 5
2

x1
2 4 6 8 10

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End of Chapter 7

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 Puntos a Tratar:

• Objetivo:

1.1.
1.2.
1.3.
1.4.
1.5.
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