Chapter 6

Integer, Goal, and Nonlinear

Programming Models

© 2007 Pearson Education

 Variations of Basic
Linear Programming
• Integer Programming

• Goal Programming

• Nonlinear Programming
 Integer Programming (IP)
Where some or all decision variables are
required to be whole numbers.

• General Integer Variables (0,1,2,3,etc.)

Values that count how many

• Binary Integer Variables (0 or 1)

Usually represent a Yes/No decision
 General Integer Example:
Harrison Electric Co.
Produce 2 products (lamps and ceiling fans)
using 2 limited resources

Decision: How many of each product to

make? (must be integers)

Objective: Maximize profit

 Decision Variables
L = number of lamps to make
F = number of ceiling fans to make

Lamps Fans
(per lamp) (per fan)
Profit Hours
$600 $700
Contribution Available
Wiring Hours 2 hrs 3 hrs 12
Assembly Hours 6 hrs 5 hr 30
 LP Model Summary
Max 600 L + 700 F ($ of profit)
Subject to the constraints:
2L + 3F < 12 (wiring hours)
6L + 5F < 30 (assembly hours)
L, F > 0
Graphical Solution
 Properties of Integer Solutions
• Rounding off the LP solution might not
yield the optimal IP solution

• The IP objective function value is usually

worse than the LP value

• IP solutions are usually not at corner

points
 Using Solver for IP
• IP models are formulated in Excel in the
same way as LP models

• The additional integer restriction is entered

like an additional constraint
int - Means general integer variables
bin - Means binary variables
Go to file 6-1.xls
 Binary Integer Example:
Portfolio Selection
Choosing stocks to include in portfolio

Decision: Which of 7 stocks to include?

Objective: Maximize expected annual

return (in $1000’s)
Stock Data
 Decision Variables
Use the first letter of each stock’s name

Example for Trans-Texas Oil:

T = 1 if Trans-Texas Oil is included

T = 0 if not included
 Restrictions
• Invest up to $3 million
• Include at least 2 Texas companies
• Include no more than 1 foreign company
• Include exactly 1 California company
• If British Petro is included, then
Trans-Texas Oil must also be included
Objective Function (in $1000’s return)
Max 50T + 80B + 90D + 120H + 110L +
40S + 75C
Subject to the constraints:

Invest up to $3 Million
480T + 540B + 680D + 1000H
+ 700L + 510S + 900C < 3000
Include At Least 2 Texas Companies
T+H+L > 2

Include No More Than 1 Foreign Company

B+D < 1

Include Exactly 1 California Company

S+C = 1
If British Petro is included (B=1), then
Trans-Texas Oil must also be included (T=1)
T=0 T=1
Combinations B=0 ok ok
of B and T
B=1 not ok ok

B<T
allows the 3 acceptable combinations and
prevents the unacceptable one
Go to file 6-3.xls
 Mixed Integer Models:
Fixed Charge Problem
• Involves both fixed and variable costs

• Use a binary variable to determine if a

fixed cost is incurred or not

• Either linear or general integer variables

deal with variable cost
 Fixed Charge Example:
Hardgrave Machine Co.
Has 3 plants and 4 warehouses and is
considering 2 locations for a 4th plant
Decisions:
• Which location to choose for 4th plant?
• How much to ship from each plant to each
warehouse?
Objective: Minimize total production and
shipping cost
 Supply and Demand Data
Production
Monthly Monthly Cost
Warehouse Demand Plant Supply (per unit)
Detroit 10,000 Cincinnati 15,000 $48
Kansas
Houston 12,000 6,000 $50
City
New York 15,000 Pittsburgh 14,000 $52
Los Angeles 9,000
Total 46,000 35,000

Note: New plant must supply 11,000 units per month

 Possible Locations for New Plant

Production Cost Fixed Cost

(per unit) (per month)
Seattle $53 $400,000
Birmingham $49 $325,000
Shipping Cost Data
 Decision Variables
Binary Variables
Ys = 1 if Seattle is chosen
= 0 if not
YB = 1 if Birmingham is chosen
= 0 if not

Regular Variables
Xij = number of units shipped from plant i
to warehouse j
Objective Function (in $ of cost)
Min 73XCD + 103XCH + 88XCN + 108XCL +
85XKD + 80XKH + 100XKN + 90XKL + 88XPD +
97XPH + 78XPN + 118XPL + 113XSD +
91XSH + 118XSN + 80XSL + 84XBD +
79XBH + 90XBN + 99XBL +
400,000YS + 325,000YB

Subject to the constraints:

(see next slide)

 Supply Constraints
-(XCD + XCH + XCN + XCL) = -15,000 (Cincinnati)

-(XKD + XKH + XKN + XKL) = - 6,000 (Kansas City)

-(XPD + XPH + XPN + XPL) = -15,000 (Pittsburgh)

Possible Locations for New Plant

-(XSD + XSH + XSN + XSL) = -11,000YS (Seattle)

-(XBD + XBH + XBN + XBL) = -11,000YB (B’ham)

 Demand Constraints

XCD + XKD + XPD +XSD + XBD = 10,000 (Detroit)

XCH + XKH + XPH +XSH + XBH = 12,000 (Houston)
XCN + XKN + XPN +XSN + XBN = 15,000 (New York)
XCL + XKL + XPL +XSL + XBL = 9,000 (L. A.)

Choose 1 New Plant Location

YS + YB =1

Go to File 6-5.xls
 Goal Programming Models
• Permit multiple objectives

• Try to “satisfy” goals rather than optimize

• Objective is to minimize
underachievement of goals
 Goal Programming Example:
Wilson Doors Co.
Makes 3 types of doors from 3 limited
resources

Decision: How many of each of 3 types of

doors to make?

Objective: Minimize total

underachievement of goals
Data
 Goals
1. Total sales at least $180,000
2. Exterior door sales at least $70,000
3. Interior door sales at lest $60,000
4. Commercial door sales at least $35,000
 Regular Decision Variables
E = number of exterior doors made
I = number of interior doors made
C = number of commercial doors made

Deviation Variables
di+ = amount by which goal i is overachieved
di- = amount by which goal i is underachieved
 Goal Constraints
Goal 1: Total sales at least $180,000
70E + 110I + 110C + dT- - dT+ = 180,000

Goal 2: Exterior door sales at least $70,000

70E + dE- - dE+ = 70,000

Note: Each highlighted deviation variable

measures goal underachievement
Goal 3: Interior door sales at least $60,000
110 I + dI- - dI+ = 60,000

Goal 4: Commercial door sales at least

$35,000
110C + dC- - dC+ = 35,000
 Objective Function
Minimize total goal underachievement

Min dT- + dE- + dI- + dC-

Subject to the constraints:

• The 4 goal constraints
• The “regular” constraints (3 limited
resources)
• nonnegativity
 Weighted Goals
• When goals have different priorities,
weights can be used

• Suppose that Goal 1 is 5 times more

important than each of the others

Objective Function
Min 5dT- + dE- + dI- + dC-
 Properties of Weighted Goals
• Solution may differ depending on the
weights used

• Appropriate only if goals are measured in

the same units
 Ranked Goals
• Lower ranked goals are considered only if
all higher ranked goals are achieved

• Suppose they added a 5th goal

Goal 5: Steel usage as close to 9000 lb
as possible
4E + 3I + 7C + dS- = 9000 (lbs steel)

(no dS+ is needed because we cannot

exceed 9000 pounds)
• Rank R1: Goal 1
• Rank R2: Goal 5
• Rank R3: Goals 2, 3, and 4

A series of LP models must be solved

1) Solve for the R1 goal while ignoring the
other goals
Objective Function: Min dT-

Go to file 6-7.xls
2) If the R1 goal can be achieved (dT- = 0),
then this is added as a constraint and we
attempt to satisfy the R2 goal (Goal 5)

Objective Function: Min dS-

3) If the R2 goal can be achieved (dS- = 0),

then this is added as a constraint and we
solve for the R3 goals (Goals 2, 3, and 4)

Objective Function: Min dE- + dI- + dC-

 Nonlinear Programming Models
• Linear models (LP, IP, and GP) have
linear objective function and constraints

• If a model has one or more nonlinear

equations (objective or constraint) then the
model is nonlinear

• Example nonlinear terms: X2, 1/X, XY

 Characteristics of Nonlinear
Programming (NLP) Models
• Difficult to solve
• Optimal solutions are not necessarily at
corner points
• There are both local and global optimal
solutions
• Solution may depend on starting point
• Starting point is usually arbitrary
 Nonlinear Programming Example:
Pickens Memorial Hospital
Patient demand exceeds hospital’s capacity

Decision: How many of each of 3 types of

patients to admit per
week?

Objective: Maximize profit

 Decision Variables
M = number of Medical patients to admit
S = number of Surgical patients to admit
P = number of Pediatric patients to admit

Profit Function
Profit per patient increases as the number of
patients increases (i.e. nonlinear profit
function)
 Constraints
• Hospital capacity: 200 total patients

• X-ray capacity: 560 x-rays per week

• Marketing budget: $1000 per week

• Lab capacity: 140 hours per week

Objective Function (in $ of profit)
Max 45M + 2M2 + 70S + 3S2 + 2MS +
60P + 3P2
Subject to the constraints:

M+S+P < 200 (patient

cap.)
M + 3S + P < 560 (x-ray cap.)
3M + 5S + 3.5P < 1000 (marketing $)
(0.2+0.001M)x(3M+3S+3P) < 140 (lab hrs)
M, S, P > 0
 Using Solver for NLP Models
• Solver uses the Generalized Reduced
Gradient (GRG) method
• GRG uses the path of steepest ascent (or
descent)
• Moves from one feasible solution to
another until the objective function value
stops improving (converges)

Go to file 6-8.xls