CRT2007

QUANTITATIVE TECHNIQUES
MODULE 2 – INTRODUCTION TO LINEAR PROGRAMMING

RISHABH RATHORE
INTRODUCTION

• Linear programming uses a mathematical model to describe the problem of concern.

• The adjective linear means that all the mathematical functions in this model are required
to be linear functions.
• The word programming does not refer here to computer programming; rather, it is
essentially a synonym for planning.
• Thus, linear programming involves the planning of activities to obtain an optimal result, i.e.,
a result that reaches the specified goal best (according to the mathematical model)
among all feasible alternatives.
INTRODUCTION

• A Linear Programming model seeks to maximize or minimize a linear

function, subject to a set of linear constraints.
• The linear model consists of the following components:
• A set of decision variables - if there are n related quantifiable decisions to be made,
they are represented as decision variables say (𝑥1 , 𝑥2 . , … , 𝑥𝑛 )
• An objective function – the objective function of each LP is expressed in term of
decision variable to optimize the criterion of optimality such as profit, cost, revenue, etc
• A set of constraints – there are always certain limitation on the use of recourses e.g.
labor, machine, men.The solution of LP must satisfy these constraints.
THE LINEAR PROGRAMMING MODEL

• The general LP problem with 𝑛 decision variable and 𝑚 constraints can be stated in the
following form:
• Find the values of decision variables 𝑥1 , 𝑥2 . , … , 𝑥𝑛 so as to
Optimize 𝑀𝑎𝑥. 𝑜𝑟 𝑀𝑖𝑛. 𝑍 = 𝑐1 𝑥1 + 𝑐2 𝑥2 + … … + 𝑐𝑛 𝑥𝑛
Subject to the linear constrains
𝑎11 𝑥1 + 𝑎12 𝑥2 + … … + 𝑎1𝑛 𝑥𝑛 (≤, =, ≥)𝑏1
𝑎21 𝑥1 + 𝑎22 𝑥2 + … … + 𝑎2𝑛 𝑥𝑛 (≤, =, ≥)𝑏2
⋮ ⋮ ⋮ ⋮
𝑎𝑚1 𝑥1 + 𝑎𝑚2 𝑥2 + … … + 𝑎𝑚𝑛 𝑥𝑛 (≤, =, ≥)𝑏𝑚
𝑥1 , 𝑥2 . , … , 𝑥𝑛 ≥ 0
 EXAMPLE

Optimize 𝑀𝑎𝑥. 𝑜𝑟 𝑀𝑖𝑛. 𝑍 = 𝑐1 𝑥1 + 𝑐2 𝑥2 + … … + 𝑐𝑛 𝑥𝑛 𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑃𝑟𝑜𝑓𝑖𝑡 𝑍 = 7𝑥1 + 16𝑥2 + 16𝑥3

Subject to the linear constrains 𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 𝑥1 + 𝑥2 +4𝑥3 ≥ 1200
𝑎11 𝑥1 + 𝑎12 𝑥2 + … … + 𝑎1𝑛 𝑥𝑛 (≤, =, ≥)𝑏1
𝑎21 𝑥1 + 𝑎22 𝑥2 + … … + 𝑎2𝑛 𝑥𝑛 (≤, =, ≥)𝑏2 𝑥1 +3𝑥3 ≤ 12
⋮ ⋮ ⋮ 𝑥1 ≤ 80
𝑎𝑚1 𝑥1 + 𝑎𝑚2 𝑥2 + … … + 𝑎𝑚𝑛 𝑥𝑛 (≤, =, ≥)𝑏𝑚 𝑥2 ≤ 60
𝑥1 , 𝑥2 . , … , 𝑥𝑛 ≥ 0 𝑥3 + 𝑥2 ≤ 1260
𝑥1 ≥ 0, 𝑥2 ≥ 0𝑎𝑛𝑑 𝑥3 ≥ 0

LPP can be solved by two method

1. Graphical method
2. Simplex algorithm method
GRAPHICAL METHOD

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 15𝑥1 + 10𝑥2 (Objective function)

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 4𝑥1 + 6𝑥2 ≤ 360
3𝑥1 + 0𝑥2 ≤ 180
0𝑥1 + 5𝑥2 ≤ 200
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
GRAPHICAL METHOD

• The given problem is already in the mathematical form

• We shall consider 𝑥1 as the horizontal axis and 𝑥2 as the vertical axis. Each constraints will be
plotted on the graph by treating it as a linear equation.

• Consider first constraints 4𝑥1 + 6𝑥2 ≤ 360.

• Treat it is as a 4𝑥1 + 6𝑥2 = 360
• Easiest way to plot this line to find any two points that satisfy the equation then draw a straight line
through them.

• The first two points are generally two points at which the line intersects the 𝑥1 and 𝑥2 axes.
• For example, when 𝑥1 = 0, we get 6𝑥2 = 360 or 𝑥2 = 60. Similarly, when 𝑥2 = 0, 4𝑥1 = 360 or
𝑥1 = 90
• For example, when 𝑥1 = 0, we get 6𝑥2 = 360 or 𝑥2 = 60. Similarly, when 𝑥2 = 0, 4𝑥1 = 360 or 𝑥1 = 90
• These two points are then connected by a straight line.

• But the question is: where are these points satisfying 4𝑥1 + 6𝑥2 ≤ 360. any point above the constraints
violates the inequality conditions.
• But any points below the line does not violate the constraints.
• Thus, the inequality constraints and non-negativity conditions can only be satisfied by the shaded area
(feasible region) as shown in figure.
• Similarly, the constraints 3𝑥1 + 0𝑥2 ≤ 180 and 0𝑥1 + 5𝑥2 ≤ 200 are also plotted on the graph and are
indicated by shaded area as shown in following figure

• Since all the constraints have been graphed, the area which is bounded by all the constraints line including all
the boundary points is called the feasible region (or solution space)
• The feasible region is by the shaded area OABCD
• Since the optimal value of the objective function occurs at one of the extreme points of the feasible region,
it is necessary to determine their coordinates.
• The coordinates of extreme points of the feasible region are 𝑂 = 0,0 , 𝐴 = 60,0 , 𝐵 = 60,20 , 𝐶 =
30,40 , 𝐷 = (0,40)
Extreme Point Coordinates Objective function
(𝑥1 , 𝑥𝟐 ) 𝑍 = 15𝑥1 + 10𝑥2
O 0,0 15 0 + 10 0 = 0
A 60,0 15 60 + 10 0 = 900
B 60,20 15 60 + 10 20 = 1100
C 30,40 15 30 + 10 40 = 850
D (0,40) 15 0 + 10 40 = 400
• Since we desire Z to be maximum, from the above table, the maximum value of Z is 1100 which is achieved
at point extreme 𝐵 = 60,20
• Hence the optimal solution to the given LP problem is 𝑥1 = 60 and 𝑥2 = 20
• Optimal solution of the LPP is 𝑥1 = 60 and 𝑥2 = 20 and 𝑍 = 1100
EXAMPLES

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 2𝑥1 + 𝑥2 (Objective function)

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 𝑥1 + 𝑥2 ≤ 10
𝑥1 − 𝑥2 ≤ 2
𝑥1 + 𝑥2 ≤ 6
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 𝑥1 + 2𝑥2 (Objective function)

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 𝑥1 − 𝑥2 ≤ −1
−0.5𝑥1 + 𝑥2 ≤ 2
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
MINIMIZATION PROBLEM

• Plot on a graph each constraints by first treating them

as a linear equation in the same way as discussed earlier

𝑀inimize 𝑍 = 3𝑥1 + 2𝑥2 • Use the inequality condition of each constrains to

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 5𝑥1 + 𝑥2 ≥ 10 mark the feasible region as shown in following figure
𝑥1 + 𝑥2 ≥ 6
𝑥1 + 4𝑥2 ≥ 12
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
• Since the optimal value of the objective function occurs at one of the extreme points of the feasible region,
it is necessary to determine their coordinates.
• The coordinates of extreme points of the feasible region are 𝐴 = 12,0 , 𝐵 = 4,2 , 𝐶 = 1,5 , 𝐷 = (0,10)

Extreme Point Coordinates Objective function

(𝑥1 , 𝑥𝟐 ) 𝑍 = 𝟑𝑥1 + 2𝑥2
A 12,0 3 12 + 2 0 = 36
B 4,2 3 4 + 2 2 = 16
C 1,5 3 1 + 2 5 = 13
D (0,10) 3 0 + 2 10 = 20

• Since we desire Z to be minimum, from the above table, the minimum value of Z is 13 which is achieved at
point extreme𝐶 = 1,5
• Hence the optimal solution to the given LP problem is 𝑥1 = 1 and 𝑥2 = 5
• Optimal solution of the LPP is 𝑥1 = 1 and 𝑥2 = 5 and 𝑍 = 13
SPECIAL CASES IN LINEAR PROGRAMMING –
ALTERNATIVE (OR MULTIPLE) SOLUTIONS

• The linear programming problems discussed in the previous section possessed unique
solutions.
• This was because the optimal value occurred at one of the extreme points (corner
points). But situations may arise, when the optimal solution obtained is not unique.
• The presence of multiple solutions is illustrated through the following example.
𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 10𝑥1 + 6𝑥2 (Objective function)
𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 5𝑥1 + 3𝑥2 ≤ 30
𝑥1 + 2𝑥2 ≤ 18
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
 SPECIAL CASES IN LINEAR PROGRAMMING –
ALTERNATIVE (OR MULTIPLE) SOLUTIONS

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 10𝑥1 + 6𝑥2

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 5𝑥1 + 3𝑥2 ≤ 30
𝑥1 + 2𝑥2 ≤ 18
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0

Extreme Point Coordinates Objective function

(𝑥1 , 𝑥𝟐 ) 10𝑥1 + 6𝑥2
O 0,0 10 12 + 6 0 = 0
A 0,9 10 4 + 6 2 = 54
B (6/7,6/7) 10 1 + 6 5 = 60
C (6,0) 10 0 + 6 10 = 60
SPECIAL CASES IN LINEAR PROGRAMMING –
UNBOUNDED SOLUTION

• It is a solution whose objective function is infinite.

• If the feasible region is unbounded then one or more decision variables will increase
indefinitely without violating feasibility, and the value of the objective function can be
made arbitrarily large. Consider the following example:
𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 5𝑥1 + 4𝑥2 (Objective function)
𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 𝑥1 − 2𝑥2 ≤ 1
𝑥1 + 2𝑥2 ≤ 3
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
SPECIAL CASES IN LINEAR PROGRAMMING –
UNBOUNDED SOLUTION

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 5𝑥1 + 4𝑥2

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 𝑥1 − 2𝑥2 ≥ 1
𝑥1 + 2𝑥2 ≥ 3
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
SPECIAL CASES IN LINEAR PROGRAMMING –
INFEASIBLE SOLUTION

• Infeasibility is the condition that arises when there is no solution of LP problem that
satisfies all the constraints simultaneously.
• There would be no unique feasible region.
• Infeasibility solely depends on the constraints and has nothing to do with objective
function
• This type of a situation requires the ability of the decision-maker to resolve the
conflicting requirements of resources so that a decision that is acceptable to all section
of the organization can be made
 SPECIAL CASES IN LINEAR PROGRAMMING –
INFEASIBLE SOLUTION

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 6𝑥1 − 4𝑥2

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 4𝑥1 + 8𝑥2 ≤ 4
2𝑥1 + 4𝑥2 ≥ 16
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
SPECIAL CASES IN LINEAR PROGRAMMING –
REDUNDANCY

• A redundant constraint is one that does not affect the feasible solution
region and thus redundancy of any constraint does not cause any difficulty
in solving an LP problem graphically.
MIXED CONSTRAINTS PROBLEM

• Consider the following problem

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 0.4𝑥1 + 0.5𝑥2
𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 0.3𝑥1 + 0.1𝑥2 ≤ 2.7
0.5𝑥1 + 0.5𝑥2 = 6
0.6𝑥1 + 0.4𝑥2 ≥ 6
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
SIMPLEX METHOD
• The geometric method of solving linear programming problems presented before. The
graphical method is useful only for problems involving two decision variables and
relatively few problem constraints.

• What happens when we need more decision variables and more problem constraints?

• We use an algebraic method called the simplex method, which was developed by George
B. DANTZIG (1914-2005) in 1947 while on assignment with the U.S. Department of the
air force
SIMPLEX METHOD

• The algebraic procedure is based on solving systems of equations.

• Therefore, the first step in setting up the simplex method is to convert the functional inequality
constraints to equivalent equality constraints.

• The nonnegativity constraints are left as inequalities because they are treated separately.. This
conversion is accomplished by introducing slack variables.
• Slack variables are used to convert inequality into equality. (An unused quantity of resources, it is
added to ≤ (less than) type of constraints.
• Surplus variables are known as negative slack variables. It is added ≥ (greater than) type of
constraints. (Amount by which solution value exceeds)
• Artificial variables are added with = and ≥ sign. Artificial variables have no physical sense.
EXAMPLE

Equation Operation Final Equation

To convert inequality into equality, slack
Case 1 4𝑥1 + 8𝑥2 ≤ 4 variable will be added to the equation 4𝑥1 + 8𝑥2 + 𝑠1 = 4
(say 𝑠1 )
To convert inequality into equality, surplus
4𝑥1 + 8𝑥2 − 𝑠2 = 4
Case 2 4𝑥1 + 8𝑥2 ≥ 4 (or negative slack) variable will be added
to the equation (say 𝑠2 )
4𝑥1 + 8𝑥2 + 𝐴 = 4
Case 3.1 4𝑥1 + 8𝑥2 = 4
In this case, we will just add an artificial
4𝑥1 + 8𝑥2 ≥ 4 variable to start the algorithm (Say 𝐴) 4𝑥1 + 8𝑥2 − 𝑠2 + 𝐴 = 4
Case 3.2
• Consider the first example
4𝑥1 + 6𝑥2 ≤ 360
• The slack variable for this constraint is defined to be
4𝑥1 + 6𝑥2 + s1 = 360
• Upon the introduction of slack variables for the other functional constraints, the original linear
programming model for the example (shown below on the left) can now be replaced by the equivalent
model (called the augmented form of the model) shown below on the right:

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 15𝑥1 + 10𝑥2 𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 15𝑥1 + 10𝑥2 + 0s1 + 0s2 + 0s3

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 4𝑥1 + 6𝑥2 ≤ 360 𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 4𝑥1 + 6𝑥2 + s1 = 360
3𝑥1 + 0𝑥2 ≤ 180 3𝑥1 + 0𝑥2 + s2 = 180
0𝑥1 + 5𝑥2 ≤ 200 0𝑥1 + 5𝑥2 + s3 = 200
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0 𝑥1 ≥ 0 , 𝑥2 ≥ 0, s1 ≥ 0, s2 ≥ 0, and s3 ≥ 0
Original Form of the Model Augmented Form of the Model
SIMPLEX METHOD

• An augmented solution is a solution for the original variables (the decision variables)
that has been augmented by the corresponding values of the slack variables.
For example, augmenting the solution (30 ,12) in the example yields the augmented
solution (30, 12, 168, 90, 140) because the corresponding values of the slack variables are
s1 = 168, s2 = 90 and s3 = 140
• A basic solution is an augmented corner-point solution. (feasible or infeasible)
• A basic feasible (BF) solution is an augmented CPF solution. (only feasible)
BASIC AND NONBASIC VARIABLES

• Basic variables are selected arbitrarily with the restriction that there be as many basic
variables as there are equations.The remaining variables are non-basic variables.

x1 + 2 x2 + s1 = 32
3x1 + 4 x2 + s2 = 84

• This system has two equations, we can select any two of the four variables as basic
variables.The remaining two variables are then non-basic variables.
 EXAMPLE

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 15𝑥1 + 10𝑥2

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 15𝑥1 + 10𝑥2 + 0s1 + 0s2 + 0s3
𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 4𝑥1 + 6𝑥2 ≤ 360
𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 4𝑥1 + 6𝑥2 + s1 = 360
3𝑥1 + 0𝑥2 ≤ 180
3𝑥1 + 0𝑥2 + s2 = 180
0𝑥1 + 5𝑥2 ≤ 200 0𝑥1 + 5𝑥2 + s3 = 200

𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0 𝑥1 ≥ 0 , 𝑥2 ≥ 0, s1 ≥ 0, s2 ≥ 0, and s3 ≥ 0
STANDARD FORMAT OF TABLE

𝑪𝒋 →
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min
𝑩 Ratio
STANDARD FORMAT OF TABLE

𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min
𝑩 Ratio
0 𝒔𝟏 4 6 1 0 0 360
0 𝒔𝟐 3 0 0 1 0 180
0 𝒔𝟑 0 5 0 0 1 200
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0
STANDARD FORMAT OF TABLE – ITERATION 1
(ENTERING VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min
𝑩 Ratio
0 𝒔𝟏 4 6 1 0 0 360
0 𝒔𝟐 3 0 0 1 0 180
0 𝒔𝟑 0 5 0 0 1 200
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0

Pivot column
STANDARD FORMAT OF TABLE – ITERATION 1
(ENTERING VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min
𝑩 Ratio
0 𝒔𝟏 4 6 1 0 0 360
0 𝒔𝟐 3 0 0 1 0 180
0 𝒔𝟑 0 5 0 0 1 200
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0

Select the pivot column (determine which variable to

Pivot column enter into the solution mix). Choose the column with the
“most positive” element in the objective function row.
STANDARD FORMAT OF TABLE – ITERATION 1
(ENTERING VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min
𝑩 Ratio
0 𝒔𝟏 4 6 1 0 0 360
0 𝒔𝟐 3 0 0 1 0 180
0 𝒔𝟑 0 5 0 0 1 200
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0

Select the pivot column (determine which variable to

Pivot column enter into the solution mix). Choose the column with the
“most positive” element in the objective function row.
STANDARD FORMAT OF TABLE – ITERATION 1
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 4 6 1 0 0 360 (360/4)=90
0 𝒔𝟐 3 0 0 1 0 180 (180/3)=60
0 𝒔𝟑 0 5 0 0 1 200 -
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0
Select the pivot row (determine which variable to replace
in the solution mix). Divide the last element in each row
Pivot column
by the corresponding element in the pivot column. The
pivot row is the row with the smallest non-negative result.
STANDARD FORMAT OF TABLE – ITERATION 1
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 4 6 1 0 0 360 (360/4)=90
0 𝒔𝟐 3 0 0 1 0 180 (180/3)=60
0 𝒔𝟑 0 5 0 0 1 200 - Pivot row
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0
Select the pivot row (determine which variable to replace
in the solution mix). Divide the last element in each row
Pivot column
by the corresponding element in the pivot column. The
pivot row is the row with the smallest non-negative result.
STANDARD FORMAT OF TABLE – ITERATION 1
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 4 6 1 0 0 360 (360/4)=90
0 𝒔𝟐 3 0 0 1 0 180 (180/3)=60
0 𝒔𝟑 0 5 0 0 1 200 - Pivot row
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0
Select the pivot row (determine which variable to replace
in the solution mix). Divide the last element in each row
Pivot column
by the corresponding element in the pivot column. The
pivot row is the row with the smallest non-negative result.
STANDARD FORMAT OF TABLE – ITERATION 1
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 4 6 1 0 0 360 (360/4)=90
0 𝒔𝟐 3 0 0 1 0 180 (180/3)=60
0 𝒔𝟑 0 5 0 0 1 200 - Pivot row
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0
Select the pivot row (determine which variable to replace
in the solution mix). Divide the last element in each row
Pivot column
by the corresponding element in the pivot column. The
pivot row is the row with the smallest non-negative result.
 STANDARD FORMAT OF TABLE – ITERATION 1
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 4 6 1 0 0 360 (360/4)=90
0 𝒔𝟐 3 0 0 1 0 180 (180/3)=60
0 𝒔𝟑 0 5 0 0 1 200 - Pivot row
Pivot number
𝑧 0 0 0 0 0
𝑪𝒋 -𝒁𝒋 15 10 0 0 0
Select the pivot row (determine which variable to replace
in the solution mix). Divide the last element in each row
Pivot column
by the corresponding element in the pivot column. The
pivot row is the row with the smallest non-negative result.
• Solve for the new BF solution by using elementary row operations (multiply or divide a
row by a nonzero constant; add or subtract a multiple of one row to another row) to
construct a new simplex tableau in proper form from Gaussian elimination below the
current one, and then return to the optimality test.
STANDARD FORMAT OF TABLE – ITERATION 2

𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0
15 𝒙𝟏 1
0 𝒔𝟑 0
𝑧
𝑪𝒋 -𝒁𝒋
STANDARD FORMAT OF TABLE – ITERATION 2

𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0
15 𝒙𝟏 1
0 𝒔𝟑 0
𝑧 15
𝑪𝒋 -𝒁𝒋 0
STANDARD FORMAT OF TABLE – ITERATION 2

𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120
15 𝒙𝟏 1 0 0 1/3 0 60
0 𝒔𝟑 0 5 0 0 1 200
𝑧 15
𝑪𝒋 -𝒁𝒋 0
STANDARD FORMAT OF TABLE – ITERATION 2

𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120
15 𝒙𝟏 1 0 0 1/3 0 60
0 𝒔𝟑 0 5 0 0 1 200
𝑧 15 0 0 0 0
𝑪𝒋 -𝒁𝒋 0
STANDARD FORMAT OF TABLE – ITERATION 2

𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120
15 𝒙𝟏 1 0 0 1/3 0 60
0 𝒔𝟑 0 5 0 0 1 200
𝑧 15 0 0 0 0
𝑪𝒋 -𝒁𝒋 0 10 0 0 0
STANDARD FORMAT OF TABLE – ITERATION 2

𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120
15 𝒙𝟏 1 0 0 1/3 0 60
0 𝒔𝟑 0 5 0 0 1 200
𝑧 15 0 0 0 0
𝑪𝒋 -𝒁𝒋 0 10 0 0 0

Pivot column
STANDARD FORMAT OF TABLE – ITERATION 2
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120
15 𝒙𝟏 1 0 0 1/3 0 60
0 𝒔𝟑 0 5 0 0 1 200
𝑧 15 0 0 0 0
𝑪𝒋 -𝒁𝒋 0 10 0 0 0

Pivot column
STANDARD FORMAT OF TABLE – ITERATION 2
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120 (120/6)=20
15 𝒙𝟏 1 0 0 1/3 0 60 -
0 𝒔𝟑 0 5 0 0 1 200 (200/5)=40
𝑧 15 0 0 0 0
𝑪𝒋 -𝒁𝒋 0 10 0 -1/3 0

Pivot column
STANDARD FORMAT OF TABLE – ITERATION 2
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120 (120/6)=20
15 𝒙𝟏 1 0 0 1/3 0 60 - Pivot row
0 𝒔𝟑 0 5 0 0 1 200 (200/5)=40
𝑧 15 0 0 0 0
𝑪𝒋 -𝒁𝒋 0 10 0 -1/3 0

Pivot column
STANDARD FORMAT OF TABLE – ITERATION 2
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120 (120/6)=20
15 𝒙𝟏 1 0 0 1/3 0 60 - Pivot row
0 𝒔𝟑 0 5 0 0 1 200 (200/5)=40
𝑧 15 0 0 0 0
𝑪𝒋 -𝒁𝒋 0 10 0 -1/3 0

Pivot column
STANDARD FORMAT OF TABLE – ITERATION 2
(EXIT VARIABLE)
𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
0 𝒔𝟏 0 6 1 -(4/3) 0 120 (120/6)=20
15 𝒙𝟏 1 0 0 1/3 0 60 - Pivot row
0 𝒔𝟑 0 5 0 0 1 200 (200/5)=40
𝑧 15 0 0 0 0 𝑍 = 15𝑥1 + 10𝑥2
𝑪𝒋 -𝒁𝒋 0 10 0 -1/3 0 = (15 × 60) = 900
STANDARD FORMAT OF TABLE – ITERATION 3

𝑪𝒋 → 15 10 0 0 0
𝑪𝑩 Variable in basis 𝒙𝟏 𝒙𝟐 𝒔𝟏 𝒔𝟐 𝒔𝟑 RHS Min Ratio
𝑩
10 𝒙2 0 1 1/6 -(2/9) 0 20
15 𝒙𝟏 1 0 0 1/3 0 60
0 𝒔𝟑 0 0 -(5/6) 10/9 1 100
𝑧 15 10 10/6 5/3 0 𝑍 = 15𝑥1 + 10𝑥2
= (10 × 20 + 15 × 60)
𝑪𝒋 -𝒁𝒋 0 0 -(10/6) -(5/3) 0 = 1100

Going to the optimality test, we find that this solution is optimal because none of the
coefficients in 𝑪𝒋 -𝒁𝒋 row positive, so the algorithm is finished.
SOLUTION

This simplex tableau represents the optimal solution to the LP problem and is interpreted
as:
𝒙𝟏 = 60 and 𝒙2 = 20
Profit Z = 15𝑥1 + 10𝑥2
𝑃𝑟𝑜𝑓𝑖𝑡 = (15 × 60 + 10 × 20) = 1100
QM SOFTWARE

• QM for Windows provides mathematical analysis for Operations Management,

Quantitative methods, or Management Science.

• It features calculation methods for PERT/CPM, Linear Programming, Decision

Analysis, Transportation problem, Statistical functions, Game Theory, Goal
Programming, etc.
LINEAR PROGRAMMING – MODEL FORMULATION
EXAMPLE

• A steel production company must produce at least 200 kgs of a mixture consisting of
ingredients 𝑥1 and 𝑥2 daily.
• 𝑥1 costs Rs.4 per kg. and 𝑥2 Rs.9 per kg.

• No more than 80 kg. of 𝑥1 can be used and at least 60 kg. of 𝑥2 must be used.
• Formulate a mathematical model to the problem.

𝑀𝑖𝑛𝑖𝑚𝑖𝑧𝑒 (𝑐𝑜𝑠𝑡) 𝑍 = 4𝑥1 + 9𝑥2

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 𝑥1 + 𝑥2 ≥ 200
𝑥1 ≤ 80
𝑥2 ≤ 60
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0
MANUFACTURE SOME CHOCOLATES

• Consider a chocolate manufacturing company (Cadbury) which produces only two types of
chocolate – fruits and nuts (A) and dark chocolate (B). Both the chocolates require Milk and
Choco only.
• To manufacture each unit of A and B, following quantities are required:
• Each unit of A requires 1 unit of Milk and 3 units of Choco
• Each unit of B requires 1 unit of Milk and 2 units of Choco
• The company kitchen has a total of 5 units of Milk and 12 units of Choco. On each sale, the
company makes a profit of
• Rs 6 per unit A sold
• Rs 5 per unit B sold.
• Now, the company wishes to maximize its profit. How many units of A and B should it
produce respectively?
Present the problem in a tabular form

Milk Choco Profit per unit

fruits and nuts (A) 1 3 Rs 6
dark chocolate (B) 1 2 Rs 5
Total 5 12

• Let the total number of units produced of A be = X

• Let the total number of units produced of B be = Y
• Now, the total profit is represented by Z : The total profit the company makes is
given by the total number of units of A and B produced multiplied by its per unit
profit Rs 6 and Rs 5 respectively.
Profit: 𝑴𝒂𝒙 𝒁 = 𝟔𝑿 + 𝟓𝒀
Present the problem in a tabular form

Milk Choco Profit per unit

fruits and nuts (A) 1 3 Rs 6
dark chocolate (B) 1 2 Rs 5
Total 5 12

• As per the above table, each unit of A and B requires 1 unit of Milk. The total amount of Milk
available is 5 units. To represent this mathematically,
𝑿+𝒀 ≤ 𝟓
• Also, each unit of A and B requires 3 units & 2 units of Choco respectively. The total amount
of Choco available is 12 units. To represent this mathematically,
𝟑𝑿 + 𝟐𝒀 ≤ 𝟏𝟐
• Also, the values for units of A and B can only be integers.
• So we have two more constraints, 𝑿 ≥ 𝟎 & 𝒀 ≥ 𝟎
EXAMPLE

• A company manufactures two types of locks, branded and ordinary locks.

• The locks undergo two major processes: cutting and pinning operations.
• The profits per unit are Rs. 6 and Rs. 4 respectively.
• Each branded lock requires 2 minutes for cutting and 3 minutes for pinning operation,
whereas each ordinary lock requires 2 minutes for cutting and 1 minute for pinning.
• The available operating time is 120 minutes and 60 minutes for cutting and pinning
machines.
• The manager has to determine the optimum quantities to be manufacture the two locks
to maximize the profits
SOLUTION

• Decision Variable:
Let 𝑥1 =number of branded lock to be manufactured
𝑥2 =number of ordinary lock to be manufactured
Objective function: function of the decision variables that the decision maker wants to
maximize.
Constrains: (restrictions)
• Available machine hours for each machine
• Time consumed by each product
SOLUTION

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 6𝑥1 + 4𝑥2 (Objective function)

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 2𝑥1 + 2𝑥2 ≤ 120 (cutting time constraints)
3𝑥1 + 𝑥2 ≤ 60 (pinning constraints)
𝑥1 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0 (sign restrictions)
• A value of (𝑥1 , 𝑥2 )is in the feasible region if it satisfies all the constraints and sign
restrictions.
EXAMPLE ON PRODUCTION

• A manufacturing company is engaged in producing three types of product A, B and C. The production
department produces, each day, component sufficient to make 50 units of A, 25 units of B and 30 units of
C. The management is confronted with the problem of optimizing the daily production of the product on
the assembly department, where only 100 man-hours are available daily for assembling the products. The
following additional information is available:
Type of product Profit contribution per Unit of product (Rs) Assembly Time per Product (hrs)
A 12 0.8

B 20 1.7

C 45 2.5

• The company has a daily order commitment for 20 units of product A and a total of 15 units of product
B and C.
• Formulate the problem to as an LP model so as to maximize the total profit
The data of the problem can be summarized as follows:
Product Type
Resources/Constraints Total
A B C
Production capacity 50 25 30
Man-hours per unit 0.8 1.7 2.5 100
Order commitment 20 15 (for both B and C)
Profit contribution 12 20 45
Let 𝑥1 , 𝑥2 and 𝑥3 =Number of units of products A, B, and C to be produced, respectively

𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 12𝑥1 + 20𝑥2 + 45𝑥3 (Objective function)

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜 0.8𝑥1 + 1.7𝑥2 + 2.5𝑥3 ≤ 100
𝑥1 ≤ 50
𝑥2 ≤ 25
𝑥3 ≤ 30
𝑥1 ≥ 20
𝑥2 + 𝑥3 ≥ 15
𝑥1 ≥ 0, 𝑥2 ≥ 0 𝑎𝑛𝑑 𝑥2 ≥ 0 (sign restrictions)
MAXIMUM PROFIT PROBLEM

• A manufacturer produces three types of plastic fixtures. The time required for molding,
trimming, and packaging is given in Table. (Times are given in hours per dozen fixtures.).
How many dozen of each type of fixture should be produced to obtain a maximum
profit?

Process Type A Type B Type C Total time available

Molding 1 2 3/2 12,000
Trimming 2/3 2/3 1 4,600
Packaging 1/2 1/3 1/2 2,400
Profit $ 11 $ 16 $ 15
FORMULATION

• Letting 𝑥1 , 𝑥2 , 𝑎𝑛𝑑 𝑥3 represent the number of dozen units of Types A, B, and C, respectively,
the objective function is given by
• Maximize Z = 11𝑥1 + 16𝑥2 + 15𝑥3
• Subject to
3
𝑥1 + 2𝑥2 + 𝑥3 ≤ 12000
2
2 2
𝑥1 + 𝑥2 + 𝑥3 ≤ 4600
3 3
1 1 1
𝑥 + 𝑥 + 𝑥 ≤ 2400
2 1 3 2 2 3
𝑥1 , 𝑥2 and 𝑥3 ≥ 0
A BUSINESS APPLICATION: MEDIA SELECTION

• The advertising alternatives for a company include television, radio, and newspaper
advertisements.The costs and estimates for audience coverage are given in Table

Television Newspaper Radio

Cost per advertisement Rs. 2000 Rs. 600 Rs. 300
Audience per advertisement 100,000 40,000 18,000

• The local newspaper limits the number of weekly advertisements from a single company to ten.
Moreover, in order to balance the advertising among the three types of media, no more than
half of the total number of advertisements should occur on the radio, and at least 10% should
occur on television. The weekly advertising budget is Rs.18,200. How many advertisements
should be run in each of the three types of media to maximize the total audience?
 FORMULATION

• To begin, we let 𝑥1 , 𝑥2 , 𝑎𝑛𝑑 𝑥3 and represent the number of advertisements in television,

newspaper, and radio, respectively.
• The objective function (to be maximized) is therefore
• Objective function Maximize Z = 100000𝑥1 + 40000𝑥2 + 18000𝑥3

Subject to linear constraints Subject to linear constraints

2000𝑥1 + 600𝑥2 + 300𝑥3 ≤ 18200 20𝑥1 + 6𝑥2 + 3𝑥3 ≤ 182
𝑥2 ≤ 10 𝑥2 ≤ 10
𝑥3 ≤ 0.5(𝑥1 + 𝑥2 + 𝑥3 ) −𝑥1 − 𝑥2 + 𝑥3 ≤ 0
𝑥1 ≥ 0.1(𝑥1 + 𝑥2 + 𝑥3 ) −9𝑥1 + 𝑥2 + 𝑥3 ≤ 0
𝑥1 , 𝑥2 and 𝑥3 ≥ 0 𝑥1 , 𝑥2 and 𝑥3 ≥ 0
EXAMPLE ON MARKETING
• An advertising company wishes to plan an advertising campaign for three different media: television, radio
and a magazine. The purpose of the company is to reach as many potential customers as possible. The
following are results of the study:
Television Newspaper Radio
Prime day (Rs) Prime time (Rs) (Rs) (Rs)

Cost per advertisement 40000 75000 30000 15000

Number of potential customers reached per unit 4,00,000 9,00,000 5,00,000 2,00,000
Number of women customers reached per unit 3,00,000 4,00,000 2,00,000 1,00,000

• The company does not want to spend more than Rs 8,00,000 on advertising. It is further required that
1. At least 2 million exposures takes place among women
2. The cost of advertising on television be limited to Rs 5,00,000
3. At least 3 advertising units be bought on prime day and two units during prime time; and
4. The number of advertising units on the radio and the magazine should each be between 5 and 10.
Formulate the problem as an LP model to maximize potential customer reach.
To begin, we let 𝑥1 , 𝑥2 , 𝑥3 and 𝑥4 represent the number of advertisements unit bought in prime day and
prime time on television, radio and magazine respectively.

The LP model
Maximize (total potential customer reach)
𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 4,00,000𝑥1 + 9,00,000𝑥2 + 5,00,000𝑥3 + 2,00,000𝑥4

Subject to constraints
1. Advertising budget: 40,000𝑥1 + 75,000𝑥2 + 30,000𝑥3 + 15,000𝑥4 ≤ 8,00,000
2. Number of women customer reached by the advertising campaign
3,00,000𝑥1 + 4,00,000𝑥2 + 2,00,000𝑥3 + 1,00,000𝑥4 ≥ 20,00,000
3. Television advertisement
a) 40,000𝑥1 + 75,000𝑥2 ≤ 5,00,000
b) 𝑥1 ≥ 3
c) 𝑥2 ≥ 2
4. Radio and magazine advertising
a) 5 ≤ 𝑥3 ≤ 10
b) 5 ≤ 𝑥4 ≤ 10
And
𝑥1 , 𝑥2 , 𝑥3 𝑎𝑛𝑑 𝑥4 ≥ 0
A businessman is opening a new restaurant and has budget Rs 8,00,000 for advertisement, for coming month. He is considering four type of advertising:
I. 30 second television commercials
II. 30 second radio commercials
III. Half page advertisement in a newspaper
IV. Full page advertisement in a weekly magazine which will appear four times during coming month
The owner wishes to reach a families (a) with income over Rs 50,000 (b) with income under Rs 50,000.The amount of exposure of each media to families of
type (a) and (b) and the cost of each media is shown below:
Media Cost of advertisement (Rs) Exposure to families with Exposure to families with
annual income over 50,000 annual income under 50,000
Television 40,000 2,00,000 3,00,000
Radio 20,000 5,00,000 7,00,000
Newspaper 15,000 3,00,000 1,50,000
Magazine 5,000 1,00,000 1,00,000

To have balanced campaign, the owner has determined the four restrictions:
i. There should be no more than four television advertisements
ii. There should be no more than four advertisements in the magazine
iii. There should not be more than 60% of all advertisements in newspaper and magazine put together
iv. There must be at least 45,00,000 exposures to family with annual income of over Rs 50,000.

Formulate this problem as an LP model to determine the number of each type of advertisement to be given so as to maximize the total
number of exposures.
Let 𝑥1 , 𝑥2 , 𝑥3 𝑎𝑛𝑑 𝑥4 = number of television, radio, newspaper and magazine advertisements to be pursued
respectively.

The LP model
Maximize (total number of exposures of both groups)
𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍
= (2,00,000 + 3,00,000)𝑥1 + (5,00,000 + 7,00,000)𝑥2 + (3,00,000 + 1,50,000)𝑥3 + (1,00,000 + 1,00,000)𝑥4
𝑍 = 5,00,000𝑥1 + 12,00,000𝑥2 + 4,50,000𝑥3 + 2,00,000𝑥4
Subject to constraints
1. Available budget: 40,000𝑥1 + 20,000𝑥2 + 15,000𝑥3 + 5,000𝑥4 ≤ 8,00,000
2. Maximum television advertisement 𝑥1 ≤ 4
3. Maximum magazine advertisement 𝑥4 ≤ 4 (Because magazine will appear only four times in the next month)
4. Maximum newspaper and magazine advertisement 𝑥3 + 𝑥4 ≤ 0.60(𝑥1 + 𝑥2 + 𝑥3 + 𝑥4 ) or
− 0.6𝑥1 − 0.6 𝑥2 + 0.4𝑥3 + 0.4𝑥4 ≤ 0
5. Exposure to families with income over Rs 50,000
2,00,000𝑥1 + 5,00,000𝑥2 + 3,00,000𝑥3 + 1,00,000𝑥4 ≤ 45,00,000

And
𝑥1 , 𝑥2 , 𝑥3 𝑎𝑛𝑑 𝑥4 ≥ 0
EXAMPLE ON FINANCE
XYZ is an investment company. To aid in its investment decision, the company has developed the investment
alternatives for a 10-year period, as given in the following table. The return on investment is expressed as an annual
rate of return on the invested capital. The risk coefficient and growth potential are subjective estimates made by the
portfolio manager of the company. The return of investment is the average length of time period to realize the return
on investment as indicated.
Investment Length of Annual Rate of Risk Growth
Alternative Investment Return (Year) Coefficient Potential
(%) Return (%)
A 4 3 1 0
B 7 12 5 18
C 8 9 4 10
D 6 20 8 32
E 10 15 6 20
F 3 6 3 7
Cash 0 0 0 0

The objective of the company is to maximize the return on its investments.The guidelines for selecting the portfolio are:
(i) The average length of the investment for the portfolio should not exceeds 7 years.
(ii) The average risk for the portfolio should not exceeds 5.
(iii) The average growth potential for the portfolio should be at least 10%
(iv) At least 10% of all available funds must be retained in the form of cash, at all times.
Formulate this problem as an LP problem to maximize total return.
Let 𝑥j represent the proportion of funds to be invested in the 𝑗𝑡ℎ investment alternative (𝑗 = 1,2, … … 7)

The LP model
Maximize (total return)
𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 0.03𝑥1 + 0.12𝑥2 + 0.09𝑥3 + 0.20𝑥4 + 0.15𝑥5 + 0.06𝑥6 + 0.00𝑥7

Subject to constraints
1. Length of Investment: 4𝑥1 + 7𝑥2 + 8𝑥3 + 6𝑥4 + 10𝑥5 + 3𝑥6 + 0𝑥7 ≤ 7

2. Risk level: 𝑥1 + 5𝑥2 + 4𝑥3 + 8𝑥4 + 6𝑥5 + 3𝑥6 + 0𝑥7 ≤ 5

3. Growth potential: 0𝑥1 + 0.18𝑥2 + 0.10𝑥3 + 0.32𝑥4 + 0.20𝑥5 + 0.07𝑥6 + 0.00𝑥7 ≤ 0.10

4. Cash requirement: 𝑥7 ≥ 0.10

5. Proportion of funds: 𝑥1 + 𝑥2 + 𝑥3 + 𝑥4 + 𝑥5 + 𝑥6 + 𝑥7 = 1

And
𝑥1 , 𝑥2 , 𝑥3 , 𝑥4 , 𝑥5 , 𝑥6 𝑎𝑛𝑑 𝑥7 ≥ 0
EXAMPLE ON MEDICAL
XYZ food company is developing a low-calorie high protein diet supplement called Hi-pro. The specification of
Hi-pro have been established by a medical experts. These specifications along with the calorie, protein and
vitamins contains three different foods, are given in the following table:

Nutritional Units of Nutritional Elements (Per 100 gm Basic foods

Elements serving of basic foods) Hi-pro
Food 1 Food 2 Food 3 Specifications

Calories 350 250 200 300

Protein 250 300 150 200
Vitamin A 100 150 75 100
Vitamin C 75 125 150 100
Cost per 1.50 2.00 1.20
serving (Rs)

What quantities of foods 1, 2, and 3 should be used? Formulate the problem as an LP model to minimize cost of
serving
Let 𝑥1 , 𝑥2 , and 𝑥3 represent the quantities of foods 1, 2, and 3 to be used respectively

The LP model
Minimize (cost of serving)
𝑀𝑖𝑛𝑖𝑚𝑖𝑧𝑒 𝑍 = 1.50𝑥1 + 2.00𝑥2 + 1.20𝑥3

Subject to constraints
350𝑥1 + 250𝑥2 + 200𝑥3 ≥ 300

250𝑥1 + 300𝑥2 + 150𝑥3 ≥ 200

100𝑥1 + 150𝑥2 + 75𝑥3 ≥ 100

75𝑥1 + 125𝑥2 + 150𝑥3 ≥ 100

And
𝑥1 , 𝑥2 , 𝑎𝑛𝑑 𝑥3 ≥ 0
EXAMPLE

• A firm manufactures three product A, B and C. The profit per unit product are Rs 3, Rs 2
and Rs 4 respectively. The firm has two machines and the required processing time in
minutes for each machine on each product is given below

Product
A B C
Machine 1 4 3 5
Machine 2 2 2 4

Machine 1 and Machine 2 have 2000 and 1500 machine minutes respectively. The firm
must manufacture 100 unit of product of A, 200 unit of product B and 50 unit of product C
but not no more that 150 unit of A. Formulate an LP to maximize the profit.
SOLUTION

Let 𝑥1 , 𝑥2 , and 𝑥3 represent the quantities of product A, B and C to be produced respectively

The LP model
Maximize (Profit)
𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 3x1 + 2x2 + 4x3
Subject to constraints
4x1 + 3x2 + 5x3 ≤ 2000
2x1 + 2x2 + 4x3 ≤ 1500
x1 ≥ 100
x2 ≥ 200
x3 ≥ 50
x1 ≤ 150
And
x1 , x2 , 𝑎𝑛𝑑 x3 ≥ 0
EXAMPLE

A farmer has 1,000 acres of land on which he can grow corn, wheat or soybeans. Each acre
of corn cost Rs 100 for preparation, requires 7 man-day of work and yield a profit of Rs 30.
An acre of wheat cost Rs 120 for preparation, requires 10 man-day of work and yield a
profit of Rs 40. An acre of soybean cost Rs 70 for preparation, requires 8 man-day of work
and yield a profit of Rs 20. If the farmer has Rs 1,00,000 for preparation and can count on
8,000 man-day of work, formulate the L.P. model to allocate the number of acres to each
crop to maximize the total profit.
 Corn Wheat Soyabean
Prepertation Rs 100 Rs 120 Rs 70 1,00,000
Man-day of work 7 10 8 8,000
Profit Rs 30 Rs 40 Rs 20

Let 𝑥1 , 𝑥2 , and 𝑥3 represent the acres of land Corn, Wheat and Soybean respectively
The LP model
Maximize (Profit)
𝑀𝑎𝑥𝑖𝑚𝑖𝑧𝑒 𝑍 = 30x1 + 40x2 + 20x3
Subject to constraints
100x1 + 120x2 + 70x3 ≤ 1,00,000
7x1 + 10x2 + 8x3 ≤ 8,000
x1 + x2 + x3 ≤ 1,000
And `
x1 , x2 , 𝑎𝑛𝑑 x3 ≥ 0
BLENDING PROBLEM
BLENDING PROBLEM

A manager at an oil company wants to find optimal mix of two blending processes. Formulate LPP.

Process (units) Input(units) Output(units)

Grade A Grade B X Y
P1 6 4 6 9
P2 5 6 5 5

Profit per operation: Minimum Demand for Gasoline:

Process 1 (P1) = Rs. 4, 000 X = 300 units
Process 2 (P2) = Rs. 5, 000 Y = 200 units

Maximum availability of crude oil: Formulate the problem to maximize the

Grade A = 500 units total profit
Grade B = 400 units
SOLUTION

Decision Variables:
𝑥1 = No. of operations of 𝑃1
𝑥2 = No. of operations of 𝑃2

Objective Function:
𝑀𝑎𝑥. 𝑍 = 4000 𝑥1 + 5000𝑥2
Subjective to constraints:
6 𝑥1 + 5 𝑥2 ≤ 500
4 𝑥1 + 6 𝑥2 ≤ 400
6 𝑥1 + 5 𝑥2 ≥ 300
9 𝑥1 + 5 𝑥2 ≥ 200
𝑥1 , 𝑥2 ≥ 0
Progress city is studying the feasibility of introducing a mass-transit bus system that will alleviate the smog
problem by reducing in-city driving. The study seeks the minimum number of buses that can handle the
transportation needs. After gathering necessary information, the city engineer noticed that the minimum
number of buses needed fluctuated with the time of the day and that the required number of buses could be
approximated by constant values over successive 4-hour intervals. Following figure summarizes the engineer’s
findings.To carry out the required daily maintenance, each bus can operate 8 successive hours a day only.
We can see from the figure that because of the overlapping of the shifts,
the number of buses for the successive 4-hour period is given as
SOLUTION

• The complete model can be written as

• Minimize 𝑍 = 𝑥1 + 𝑥2 + 𝑥3 +𝑥4 +𝑥5 + 𝑥6
• Subject to constraints
𝑥1 + 𝑥6 ≥ 4 12: 01 𝐴. 𝑀. −4: 00 𝐴. 𝑀.
𝑥1 + 𝑥2 ≥ 8 (4: 01 𝐴. 𝑀. −8: 00 𝐴. 𝑀. )
𝑥2 + 𝑥3 ≥ 10 8: 01 𝐴. 𝑀. −12: 00 𝑁𝑜𝑜𝑛.
𝑥3 + 𝑥4 ≥ 7 12: 01 𝑃. 𝑀. −4: 00 𝑃. 𝑀.
𝑥4 + 𝑥5 ≥ 12 (4: 01 𝑃. 𝑀. −8: 00 𝑃. 𝑀. )
𝑥5 + 𝑥6 ≥ 4 8: 00 𝑃. 𝑀. −12: 00 𝐴. 𝑀.
𝑥1 , 𝑥2 , 𝑥3 , 𝑥4 , 𝑥5 , 𝑥6 ≥ 0
DOCTOR SCHEDULING PROBLEM

• Evening shift resident doctors in a government hospital work five consecutive days and
have two consecutive days off. Their five days can start on any day of the week and their
schedule rotates indefinitely. The hospital requires the following minimum number of
.
doctors to work on the given days

Sun Mon Tue Wed Thus Fri Sat

35 55 60 50 60 50 45

• No more than 40 doctors can start their five days on the same dat. Formulate this
problem as ab LP problem to minimize the number of doctors employed by the hospital
SOLUTION

• Let 𝑥𝑗 = number of doctors who can start their duty on day 𝑗

• The LP model
• 𝑍 = 𝑥1 + 𝑥2 + 𝑥3 +𝑥4 +𝑥5 + 𝑥6 + 𝑥7
• Subject to constraints

𝑖 𝑥1 + 𝑥4 + 𝑥5 + 𝑥6 + 𝑥7 ≥ 35 𝑣 𝑥5 + 𝑥1 + 𝑥2 + 𝑥3 + 𝑥4 ≥ 60
𝑖𝑖 𝑥2 + 𝑥5 + 𝑥6 + 𝑥7 + 𝑥3 ≥ 55 𝑣𝑖 𝑥6 + 𝑥2 + 𝑥3 + 𝑥4 + 𝑥5 ≥ 50
𝑖𝑖𝑖 𝑥3 + 𝑥6 + 𝑥7 + 𝑥1 + 𝑥2 ≥ 60 𝑣𝑖𝑖 𝑥7 + 𝑥3 + 𝑥4 + 𝑥5 + 𝑥6 ≥ 45
𝑖𝑣 𝑥4 + 𝑥7 + 𝑥1 + 𝑥2 + 𝑥3 ≥ 50 𝑣𝑖𝑖𝑖 𝑥1 +𝑥2 + 𝑥3 + 𝑥4 + 𝑥5 + 𝑥6 + 𝑥7 ≤ 40
𝑥1 , 𝑥2 , 𝑥3 , 𝑥4 , 𝑥5 , 𝑥6 , 𝑥7 ≥ 0
SIMPLEX ALGORITHM (MINIMIZATION CASE)

• Two phase method

• Big M Method
BIG M METHOD

• The Big M method is a method of solving linear programming problems using the simplex algorithm.

• The Big M method extends the simplex algorithm to problems that contain "greater-than" constraints. It does
so by associating the constraints with large negative constants which would not be part of any optimal solution,
if it exists.

• The Big M method introduces surplus and artificial variables to convert all inequalities into that form. The "Big
M" refers to a large number associated with the artificial variables, represented by the letter M.

• For example, x + y ≤ 100 becomes x + y + s1 = 100, whilst x + y ≥ 100 becomes x + y − s1 + a1 = 100. The
artificial variables must be shown to be 0. The function to be maximised is rewritten to include the sum of all
the artificial variables.

• The value of M must be chosen sufficiently large so that the artificial variable would not be part of any
feasible solution.
BIG M METHOD

Maximize 𝒛 = 𝒙𝟏 + 𝟓𝒙𝟐
Maximize 𝒙𝟏 + 𝟓𝒙𝟐 + 𝟎𝒔𝟏 + 𝟎𝒔𝟐 – 𝑴𝑨𝟏
• subject to subject to
3𝑥1 + 4𝑥2 ≤ 6 3𝑥1 + 4𝑥2 + 𝑠1 = 6
𝑥1 + 3𝑥2 ≥ 2 𝑥1 + 3𝑥2 – 𝑠2 + 𝐴1 = 2
𝑥1 ≥ 0, 𝑥2 ≥ 0, 𝑠1 ≥ 0, 𝑠2 ≥ 0, 𝐴1 ≥ 0
𝑥1, 𝑥2 ≥ 0

• Converting inequalities to equalities

Where:
𝑠1 is a slack variable
• By introducing surplus variables, slack 𝑠2 is a surplus variable.
variables and artificial variables, the 𝐴1 is an artificial variable.
standard form of LPP becomes
TWO PHASE METHOD

• In phase I, we form a new objective function by assigning zero to every original variable
(including slack and surplus variables) and −1 to each of the artificial variables. Then we
try to eliminate the artificial varibles from the basis.
• The solution at the end of phase I serves as a basic feasible solution for phase II.
• In phase II, the original objective function is introduced and the usual simplex algorithm is
used to find an optimal solution.
ASSUMPTIONS OF LPP

1. Proportionality:
• A basic assumption of LP is that proportionality exists in the objective function and the constraints.

• This assumption implies that if a product yields a profit of Rs 10, the profit earned form the sale of 12
such product will be Rs (10×12)= Rs 120.

• This may not be true because of quantity discounts.

• Likewise, it is assumed that if one product requires processing time of 5 hours, then ten such products
will require processing time of 5×10=50 hours. This may not be true as processing time per unit often
decreases with increase in number of units produced.

• The real-world situation may not be strictly linear

ASSUMPTIONS OF LPP

2. Additivity:
• It means if we use 𝑡1 hours on machine 𝐴 to make product 1 and 𝑡2 hours to make product 2, the
total time required to male products1 and 2 on machine 𝐴 is 𝑡1 + 𝑡2 hours. This, however, is true if
the change-over time from product 1 to product 2 is negligible. Some process may not behave in
this way.

3. Continuity
• Another assumption in the LP model is that the decision variables are continuous i.e. they are
permitted to take non-negative values that satisfy the constraints.
• However there are some problems wherein variables are restricted to have integer values only.
• Such problem are not LP problems, they are frequently solved by LP techniques and the values are
then rounded off to the nearest integers to satisfy the constraints.
ASSUMPTIONS OF LPP

4. Certainty:
• Another underlying assumption of linear programming is a certainty, i.e. the parameters of
objective function coefficients and the coefficients of constraint inequalities is known with
certainty. Such as profit per unit of product, availability of material and labor per unit,
requirement of material and labor per unit are known and is given in the linear programming
problem.

5. Finite Choices:
• This assumption implies that the decision maker has certain choices, and the decision
variables assume non-negative values. The non-negative assumption is true in the sense, the
output in the production problem can not be negative. Thus, this assumption is considered
feasible.
MERITS OF LPP

• It provides a logical and systematic approach to the problem.

• It indicates the scope as well as limitation of a problem.
• It helps in finding avenues for new research and improvements in a system.
• It makes the overall structure of the problem more comprehensible and helps in dealing
with the problem in its totality.
• It permits experimentation and analysis of a complex system without directly interfering
in the working and environment of the system.
DEMERITS OF LPP

• Existence of non-linear equation: The primary requirements of Linear Programming is

the objective function and constraint function should be linear. Practically linear relationship
do not exist in all cases.
• Interaction between variables: LP fails in a situation where non-linearity in the equation
emerge due to joint interaction between some of the activities like total effectiveness.
• Fractional Value: In LPP fractional values are permitted for the decision variable.
• Knowledge of Coefficients of the equation: It may not be possible to state all
coefficients in the objective function and constraints with certainty.
THANK YOU