Linear Optimization

“
A linear optimization problem
can be defined as solving an
optimization problem in which
the objective function and all
associated constraints are
linear.
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Linear Programming

▪ Linear programming refers to an optimization problem that has

the objective and the constraints as a linear function of the
design variables
▪ Many problems lend themselves to linear programming
formulations.
▪ Many problems can be approximated by linear models.

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The Importance of Linear Programming

▪ A number of applications of LPP can be found in the literature:

▫ An airline company would like to assign crews to different flights in an optimal way
so that total cost is minimized while covering its entire network.

▫ A company produces a number of products and this requires a number of processes

on different machines. The profit from each product is known and the maximum
time available for each machine is fixed. The company would like to determine the
manufacturing policy that would maximize its profit.

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Forms of LP problems

▪ Each model has a linear function to be optimized (maximized or

minimized); this function is called the objective function.
▪ The optimization of the objective function is subject to linear
inequality constraints either of the type "≤" or of the type “≥”.
▪ The constraints also include nonnegativity restrictions on the
variables.
▪ In its most general form, a linear programming problem can
contain both types of inequality constraints as well as equality
constraints. Moreover, the variables need not be constrained to
be nonnegative

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Linear Programming Problems Formulation

Problem Formulation: translating information about the problem into a

system of linear equations.
1. Identify the problem objective.
2. Identify the decision variables.
3. Identify the constraints.
4. Write the objective function and constraints in terms of the decision
variables.
5. Add any implicit constraints, such as non-negative restrictions.
6. Arrange the system of equations in a consistent form suitable for
solving.
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Linear Programming Problems Formulation

The general form of maximization linear programming model can be

written as:

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Linear Programming Problems Formulation

▪ Since max f(x) = -min (-f(x)), then any maximization problem

may be replaced by a minimization problem by changing "Max
f(x)" to "Min –f(x)".

▪ Similarly, a minimization problem may be replaced by a

maximization problem by changing "Min f(x)" to "Max –f(x)".

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Linear Programming Problems Formulation
Definitions

▪ Feasible solution: a vector x which satisfies the constraints of

an LP. The set of feasible solutions is called the feasible set or
feasible region.

▪ Optimal Solution: a feasible solution that makes the value of the

objective function an optimum (maximum or minimum) is called
an optimal solution (maximizer, minimizer).

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Linear Programming Problems Formulation
Assumptions of the LP

1. The system Ax = b has a solution.

2. The system Ax = b is non-redundant, i.e., no row of [A:b] is a

linear combination of the others; hence, the row vectors of [A:b]
are linearly independent,

3. The system Ax = b has more than one solution.

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Linear Programming Problems Formulation
Example: the manufacturer problem

▪ A manufacturer produces two pieces of furniture: tables and chairs.

▪ The production of the furniture requires the use of two different pieces of raw-material, large and
small pieces.
▪ One table is assembled by putting together two pieces of each, while one chair is assembled from
one of the larger pieces and two of the smaller pieces
▪ When determining the optimal production plan, the manufacturer must take into account that only 6
large and 8 small pieces are available.
▪ One table is sold for 1600 $, while the chair sells for 1000 $.
▪ Under the assumption that all items produced can be sold, and that the raw-material has already
been paid for, the problem is to determine the production plan that maximizes the total income,
within the limited resources.
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Linear Programming Problems Formulation
Example: the manufacturer problem

▪ When determining the optimal production plan, the manufacturer must take into
account that only 6 large and 8 small pieces are available.
▪ One table is sold for 1600 $, while the chair sells for 1000 $.
▪ Under the assumption that all items produced can be sold, and that the raw-material has
already been paid for, the problem is to determine the production plan that maximizes
the total income, within the limited resources.

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Linear Programming Problems Formulation
Example: the manufacturer problem

▪ Decision variables:
▫ x1 = number of tables manufactured and sold,
▫ x2 = number of chairs manufactured and sold,
▪ Objective function: the income from each product is given by
the price of the product multiplied by the number of products
sold.
▫ z = 1600x1 + 1000x2.
▪ Constraints: only 6 large pieces and 8 small pieces are available
▫ the required number of large pieces is 2x1 + x2
▫ Te required number of samll pieces is 2x1 + 2x2 63
Linear Programming Problems Formulation
Example: the manufacturer problem

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Graphical Solution of a LP

▪ The easiest way to solve a small LP problems is with the

graphical solution approach
▪ The graphical method only works when there are just two
decision variables
▪ When there are more than two variables, a more complex
approach is needed as it is not possible to plot the solution on a
two dimensional graph
▪ The graphical method provides valuable insight into how other
approaches work

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Graphical Solution of a LP
Region of feasibility

▪ Graphical region describing all feasible solutions to a

linear programming problem

▪ In 2-space: polygon, each edge a constraint

▪ In 3-space: polyhedron, each face a constraint

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Graphical Solution of a LP
Region of feasibility

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Graphical Solution of a LP
Steps…

1. Plot Boundary Conditions

2. Determine the feasible region

3. Plot Objective = c

4. Find Parallel Tangent

5. Find the optimum point

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Graphical Solution of a LP
Step1 : Plot Boundary Conditions

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Graphical Solution of a LP
Step2 : Determine Feasibility

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Graphical Solution of a LP
Step 3: Plot Objective = c

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Graphical Solution of a LP
Step 4: Find Parallel Tangent

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Graphical Solution of a LP
Step 5: Find the optimum point

optimum

x1*= 10, x2*=5 f(x)*=240

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Graphical Solution of a LP
A Minimization Problem

▪ Two brands of fertilizer available: Super-gro and Crop-quick.

▪ Field requires at least 16 pounds of nitrogen and 24 pounds of
phosphate.
▪ Super-gro costs $6 per bag, Crop-quick $3 per bag.
▪ Problem: How much of each brand to purchase to minimize
total cost of fertilizer given following data ?

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Graphical Solution of a LP
A Minimization Problem (contd.)

▪ Decision Variables:
▫ x1 = bags of Super-gro
▫ x2 = bags of Crop-quick
▪ The Objective Function:
▫ Minimize Z = $6x1 + 3x2
▫ where: $6x1 = cost of bags of Super-Gro $3x2 = cost of bags
of Crop-Quick
▪ Model Constraints:
▫ 2x1 + 4x2 >= 16 lb (nitrogen constraint)
▫ 4x1 + 3x2 >= 24 lb (phosphate constraint)
▫ x1 , x2 >= 0 (non-negativity constraint)
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Graphical Solution of a LP
A Minimization Problem (contd.)

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Irregular Types of LPP

▪ Special types of problems include those with:

▫ Multiple optimal solutions
▫ Infeasible solutions
▫ Unbounded solutions

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Irregular Types of LPP
LP with Multiple optimal solutions

► The objective function is parallel

to a constraint line
► Extreme-points B and C, together
with all points on the line segment
BC are optimal.

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Irregular Types of LPP
Infeasible Problem

► Every possible solution violates at

least one constraint: no point
satisfies all the constraints
simultaneously

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Irregular Types of LPP
Unbounded Problem

► Value of the objective function

increases indefinitely

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Graphical Solution of a LP

► Pro:
▫ Works for any number of constraints
▫ Fast, especially with graphing tool
▫ Gives visual representation of tradeoff between variables
► Con:
▫ Only works well in 2D (feasible but difficult in 3D)
▫ For very large number of constraints, could be annoying to
plot
▫ For large range / ratio of coefficients, plot size limits
precision and ability to quickly find tangent

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