Introduction

The Linear Programming Model

Examples of Linear Programming Problems

Developing Linear Programming Models

Graphical Solution to LP Problems

The Simplex Method

Simplex Tableau for Maximization Problem

OR is the representation of real-world systems by mathematical models
together with the use of quantitative methods (algorithms) for solving
such models, with a view to optimizing.

Mathematical programming is used to find the best or optimal solution to
a problem that requires a decision or set of decisions about how best to
use a set of limited resources to achieve a state goal of objectives.

Steps involved in mathematical programming
 Conversion of stated problem into a mathematical model that abstracts all the
essential elements of the problem.
 Exploration of different solutions of the problem.
 Finding out the most suitable or optimum solution.

Linear programming requires that all the mathematical functions in the

model be linear functions.
Let: X1, X2, X3, ………, Xn = decision variables
Z = Objective function or linear function

Requirement: Maximization of the linear function Z.

Z = c1X1 + c2X2 + c3X3 + ………+ cnXn …..Eq (1)
subject to the following constraints: …..Eq (2)

where aij, bi, and cj are given constants.


The linear programming model can be written in
more compact notation as:

…..Eq (3)

The decision variables, x1, x2, ..., xn, represent levels of n competing
activities.
 1. A Product Mix Problem

A manufacturer has fixed amounts of different resources

such as raw material, labor, and equipment.

These resources can be combined to produce any one of
several different products.

The quantity of the ith resource required to produce one
unit of the jth product is known.

The decision maker wishes to produce the combination
of products that will maximize total income.
2. A Blending Problem

Blending problems refer to situations in which a

number of components (or commodities) are
mixed together to yield one or more products.

Typically, different commodities are to be
purchased. Each commodity has known
characteristics and costs.

The problem is to determine how much of each
commodity should be purchased and blended with
the rest so that the characteristics of the mixture
lie within specified bounds and the total cost is
minimized.
3. A Production Scheduling Problem

A manufacturer knows that he must supply a given

number of items of a certain product each month for the
next n months.

They can be produced either in regular time, subject to a
maximum each month, or in overtime. The cost of
producing an item during overtime is greater than during
regular time. A storage cost is associated with each item
not sold at the end of the month.

The problem is to determine the production schedule
that minimizes the sum of production and storage costs.
4. A Transportation Problem

A product is to be shipped in the amounts a1, a2, ...,

am from m shipping origins and received in
amounts bl, b2, ..., bn at each of n shipping
destinations.

The cost of shipping a unit from the ith origin to the
jth destination is known for all combinations of
origins and destinations.

The problem is to determine the amount to be
shipped from each origin to each destination such
that the total cost of transportation is a minimum.
5. A Flow Capacity Problem

One or more commodities (e.g., traffic, water,

information, cash, etc.) are flowing from one point
to another through a network whose branches
have various constraints and flow capacities.

The direction of flow in each branch and the
capacity of each branch are known.

The problem is to determine the maximum flow, or
capacity of the network.

Steps Involved:
 Determine the objective of the problem and
describe it by a criterion function in terms of the
decision variables.
 Find out the constraints.
 Do the analysis which should lead to the selection
of values for the decision variables that optimize
the criterion function while satisfying all the
constraints imposed on the problem.
 Example: Product Mix Problem

N. Dustrious Company produces two products: I and II. The raw material
requirements, space needed for storage, production rates, and selling prices for
these products are given in Table 1.

The total amount of raw material available per day for both products is 1575 lb.
The total storage space for all products is 1500 ft2, and a maximum of 7 hours
per day can be used for production.
 Example Problem

All products manufactured are shipped out of the storage area at the end of the
day. Therefore, the two products must share the total raw material, storage
space, and production time.
The company wants to determine how many units of each product to
produce per day to maximize its total income.

Solution

• The company has decided that it wants to maximize its sale income, which
depends on the number of units of product I and II that it produces.
• Therefore, the decision variables, x1 and x2 can be the number of units of
products I and II, respectively, produced per day.
• The object is to maximize the equation:
Z = 13x1 + 11x2
subject to the constraints on storage space, raw materials, and production
time.

• Each unit of product I requires 4 ft2 of storage space and each unit of product II
requires 5 ft2. Thus a total of 4x1 + 5x2 ft2 of storage space is needed each day.
This space must be less than or equal to the available storage space, which is
1500 ft2. Therefore,
4X1 + 5X2 ≤ 1500
• Similarly, each unit of product I and II produced requires 5 and 3 lbs,
respectively, of raw material. Hence a total of 5xl + 3x2 Ib of raw material is
used.
• This must be less than or equal to the total amount of raw material available,
which is 1575 Ib. Therefore,
5x1 + 3x2 ≤ 1575
• Product I can be produced at the rate of 60 units per hour. Therefore, it must
take I minute or 1/60 of an hour to produce I unit. Similarly, it requires 1/30 of
an hour to produce 1 unit of product II. Hence a total of x1/60 + x2/30 hours is
required for the daily production. This quantity must be less than or equal to
the total production time available each day. Therefore,
x1 / 60 + x2 / 30 ≤ 7
or x1 + 2x2 ≤ 420
• Finally, the company cannot produce a negative quantity of any product,
therefore x1 and x2 must each be greater than or equal to zero.
• The linear programming model for this example can be summarized as:

…..Eq (4)
• An equation of the form 4x1 + 5x2 = 1500 defines a straight line in the x1-x2
plane. An inequality defines an area bounded by a straight line. Therefore,
the region below and including the line 4x1 + 5x2 = 1500 in the Figure
represents the region defined by 4x1 + 5x2 ≤ 1500.
• Same thing applies to other equations as well.
• The shaded area of the figure comprises the area common to all the regions
defined by the constraints and contains all pairs of xI and x2 that are feasible
solutions to the problem.
• This area is known as the feasible region or feasible solution space. The
optimal solution must lie within this region.
• There are various pairs of x1 and x2 that satisfy the constraints such as:
• Trying different solutions, the optimal solution will be:
X1 = 270
X2 = 75
• This indicates that maximum income of $4335 is obtained by producing 270
units of product I and 75 units of product II.
• In this solution, all the raw material and available time are used, because the
optimal point lies on the two constraint lines for these resources.
• However, 1500- [4(270) + 5(75)], or 45 ft2 of storage space, is not used. Thus
the storage space is not a constraint on the optimal solution; that is, more
products could be produced before the company ran out of storage space.
Thus this constraint is said to be slack.
• If the objective function happens to be parallel to one of the edges of
the feasible region, any point along this edge between the two
extreme points may be an optimal solution that maximizes the
objective function. When this occurs, there is no unique solution, but
there is an infinite number of optimal solutions.

• The graphical method of solution may be extended to a case in which

there are three variables. In this case, each constraint is represented
by a plane in three dimensions, and the feasible region bounded by
these planes is a polyhedron.
 When decision variables are more than 2, it is always advisable to use
Simplex Method to avoid lengthy graphical procedure.

 The simplex method is not used to examine all the feasible solutions.

 It deals only with a small and unique set of feasible solutions, the set of
vertex points (i.e., extreme points) of the convex feasible space that contains
the optimal solution.
 Steps involved:

1. Locate an extreme point of the feasible region.

2. Examine each boundary edge intersecting at this point to see
whether movement along any edge increases the value of the
objective function.
3. If the value of the objective function increases along any edge,
move along this edge to the adjacent extreme point. If several
edges indicate improvement, the edge providing the greatest
rate of increase is selected.
4. Repeat steps 2 and 3 until movement along any edge no longer
increases the value of the objective function.
 Example: Product Mix Problem

The N. Dustrious Company produces two products: I and II. The raw material
requirements, space needed for storage, production rates, and selling prices for
these products are given below:

The total amount of raw material available per day for both products is 1575lb.
The total storage space for all products is 1500 ft2, and a maximum of 7 hours
per day can be used for production. The company wants to determine how
many units of each product to produce per day to maximize its total income.
 Solution

 Step 1: Convert all the inequality constraints into equalities by the

use of slack variables. Let:

As already developed, the LP model is:

…..Eq (4)
 Introducing these slack variables into the inequality constraints and
rewriting the objective function such that all variables are on the left-
hand side of the equation. Equation 4 can be expressed as:

Eq. (i)
 Since the coefficients of x1 and x2 in Eq. (A1) are both negative, the
value of Z can be increased by giving either x1 or x2 some positive
value in the solution.
 In Eq. (B1), if x2 = S1, then x1 = 1500/4 = 375. That is, there is only
sufficient storage space to produce 375 units at product I.
 From Eq. (C1), there is only sufficient raw materials to produce 1575/5
= 315 units of product I.
 From Eq. (D1), there is only sufficient time to produce 420/1 = 420
units of product I.
 Therefore, considering all three constraints, there is sufficient
resource to produce only 315 units of x1. Thus the maximum value of
x1 is limited by Eq. (C1).
 Step 2: From Equation C1, which limits the maximum value of x1.
…..Eq (6)

Substituting this equation into Eq. (i) above yields the following new
formulation of the model.

…..Eq (7)
Eq. (ii)
 It is now obvious from these equations that the new feasible solution
is:

x1 = 315, x2 = 0, S1 = 240, S2 = 0, S3 = 105, and Z = 4095

 It is also obvious from Eq.(A2) that it is also not the optimum

solution. The coefficient of x1 in the objective function represented
by A2 is negative ( -16/5), which means that the value of Z can be
further increased by giving x2 some positive value.
 Following the same analysis procedure used in step 1, it is clear that:

 In Eq. (B2), if S1 = S2 = 0, then x2 = (5/13)(240) = 92.3.

 From Eq. (C2), x2 can take on the value (5/3 )(315) = 525 if x1 = S2 = 0

 From Eq. (D2), x2 can take on the value (5/7)(105) = 75 if S2 = S3 = 0

 Therefore, constraint D2 limits the maximum value of x2 to 75. Thus a

new feasible solution includes x2 = 75, S2 = S3 = 0.
 …..Eq (8)
 Step 3: From Equation D2:

Substituting this equation into Eq. (ii) above yields:

…..Eq (9)
Eq. (iii)

From these equations, the new feasible solution is readily found to be: x1
= 270, x2 = 75, S1 = 45, S2 = 0, S3 = 0, Z = 4335.
 Step I: Set up the initial tableau using Eq. (i).
…..Eq (5)

In any
iteration, a
variable that
has a nonzero
value in the
solution is
called a basic
variable.
 Step II: . Identify the variable that will be assigned a nonzero value in
the next iteration so as to increase the value of the objective function.
This variable is called the entering variable.
 It is that non-basic variable which is associated with the smallest
negative coefficient in the objective function.
 If two or more non-basic variables are tied with the smallest
coefficients, select one of these arbitrarily and continue.

 Step III: Identify the variable, called the leaving variable, which will be
changed from a nonzero to a zero value in the next solution.
 Step IV: . Enter the basic variables for the second tableau. The row
sequence of the previous tableau should be maintained, with the
leaving variable being replaced by the entering variable.
 Step V: Compute the coefficients for the second tableau. A sequence
of operations will be performed so that at the end the x1 column in
the second tableau will have the following coefficients:

The second tableau yields the following feasible solution:

x1 = 315, x2 = 0, SI = 240, S2 = 0, S3 = 105, and Z = 4095
 The row operations proceed as follows:
 The coefficients in row C2 are obtained by dividing the corresponding
coefficients in row C1 by 5.
 The coefficients in row A2 are obtained by multiplying the coefficients
of row C2 by 13 and adding the products to the corresponding
coefficients in row A1.
 The coefficients in row B2 are obtained by multiplying the coefficients
of row C2 by -4 and adding the products to the corresponding
coefficients in row B1.
 The coefficients in row D2 are obtained by multiplying the coefficients
of row C2 by -1 and adding the products to the corresponding
coefficients in row D1.
 Step VI: Check for optimality. The second feasible solution is also not
optimal, because the objective function (row A2) contains a negative
coefficient. Another iteration beginning with step 2 if necessary.
 In the third tableau (next slide), all the coefficients in the objective
function (row A3) are positive. Thus an optimal solution has been
reached and it is as follows:

x1 = 270, x2 = 75, SI = 45, S2 = 0, S3 = 0, and Z = 4335