1.

LINEAR PROGRAMMING

It can be recalled from the Two Mines example that the conditions for a mathematical
model to be a linear program (LP) were:
 all variables continuous (i.e. can take fractional values)
 a single objective (minimize or maximize)
 the objective and constraints are linear i.e. any term is either a constant or a
constant multiplied by an unknown.
LP's are important - this is because:
 many practical problems can be formulated as LP's
 there exists an algorithm (called the simplex algorithm) which enables us to
solve LP's numerically relatively easily
We will return later to the simplex algorithm for solving LP's but for the moment we
will concentrate upon formulating LP's.
Some of the major application areas to which LP can be applied are:
 Work scheduling
 Production planning & Production process
 Capital budgeting
 Financial planning
 Blending (e.g. Oil refinery management)
 Farm planning
 Distribution
 Multi-period decision problems
o Inventory model
o Financial models
o Work scheduling
Note that the key to formulating LP's is practice. However, a useful hint is that
common objectives for LP's are maximize profit/minimize cost.
There are four basic assumptions in LP:
 Proportionality
o The contribution to the objective function from each decision variable is
proportional to the value of the decision variable (The contribution to
the objective function from making four soldiers (4$3=$12) is exactly
four times the contribution to the objective function from making one
soldier ($3))
o The contribution of each decision variable to the LHS of each constraint
is proportional to the value of the decision variable (It takes exactly
three times as many finishing hours (2hrs3=6hrs) to manufacture
three soldiers as it takes to manufacture one soldier (2 hrs))
 Additivity
o The contribution to the objective function for any decision variable is
independent of the values of the other decision variables (No matter
what the value of train (x2), the manufacture of soldier (x1) will always
contribute 3x1 dollars to the objective function)
o The contribution of a decision variable to LHS of each constraint is
independent of the values of other decision variables (No matter what
the value of x1, the manufacture of x2 uses x2 finishing hours and x2
carpentry hours)
 1st implication: The value of objective function is the sum of the
contributions from each decision variables.
 2nd implication: LHS of each constraint is the sum of the
contributions from each decision variables.
 Divisibility
o Each decision variable is allowed to assume fractional values. If we
actually cannot produce a fractional number of decision variables, we
use IP (It is acceptable to produce 1.69 trains)
 Certainty
o Each parameter is known with certainty
1.1 FORMULATING LP

1.1.1 Giapetto Example

Giapetto's wooden soldiers and trains. Each soldier sells for $27, uses $10 of raw
materials and takes $14 of labor & overhead costs. Each train sells for $21, uses $9
of raw materials, and takes $10 of overhead costs. Each soldier needs 2 hours
finishing and 1 hour carpentry; each train needs 1 hour finishing and 1 hour
carpentry. Raw materials are unlimited, but only 100 hours of finishing and 80 hours
of carpentry are available each week. Demand for trains is unlimited; but at most 40
soldiers can be sold each week. How many of each toy should be made each week
to maximize profits?
Answer
Decision variables completely describe the decisions to be made (in this case, by
Giapetto). Giapetto must decide how many soldiers and trains should be
manufactured each week. With this in mind, we define:
x1 = the number of soldiers produced per week
x2 = the number of trains produced per week
Objective function is the function of the decision variables that the decision maker
wants to maximize (revenue or profit) or minimize (costs). Giapetto can concentrate
on maximizing the total weekly profit (z).
Here profit equals to (weekly revenues) – (raw material purchase cost) – (other
variable costs). Hence Giapetto’s objective function is:
Maximize z = 3x1 + 2x2
Constraints show the restrictions on the values of the decision variables. Without
constraints Giapetto could make a large profit by choosing decision variables to be
very large. Here there are three constraints:
Finishing time per week
Carpentry time per week
Weekly demand for soldiers
Sign restrictions are added if the decision variables can only assume nonnegative
values (Giapetto can not manufacture negative number of soldiers or trains!)
All these characteristics explored above give the following Linear Programming
(LP) model
max z = 3x1 + 2x2 (The Objective function)
s.t. 2x1 + x2  100 (Finishing constraint)
x1 + x2  80 (Carpentry constraint)
x1  40 (Constraint on demand for soldiers)
x1, x2 > 0 (Sign restrictions)
A value of (x1, x2) is in the feasible region if it satisfies all the constraints and sign
restrictions.
Graphically and computationally we see the solution is (x1, x2) = (20, 60) at which z =
180. (Optimal solution)
Report
The maximum profit is $180 by making 20 soldiers and 60 trains each week. Profit is
limited by the carpentry and finishing labor available. Profit could be increased by
buying more labor.

1.1.2 Advertisement Example

Dorian makes luxury cars and jeeps for high-income men and women. It wishes to
advertise with 1 minute spots in comedy shows and football games. Each comedy
spot costs $50K and is seen by 7M high-income women and 2M high-income men.
Each football spot costs $100K and is seen by 2M high-income women and 12M
high-income men. How can Dorian reach 28M high-income women and 24M high-
income men at the least cost?
Answer
The decision variables are
x1 = the number of comedy spots
x2 = the number of football spots
The model of the problem:
min z = 50x1 + 100x2
st 7x1 + 2x2  28
2x1 + 12x2  24
x1, x20
The graphical solution is z = 320 when (x1, x2) = (3.6, 1.4). From the graph, in this
problem rounding up to (x1, x2) = (4, 2) gives the best integer solution.
Report
The minimum cost of reaching the target audience is $400K, with 4 comedy spots
and 2 football slots.

1.1.3 Diet Example

Ms. Fidan’s diet requires that all the food she eats come from one of the four “basic
food groups“. At present, the following four foods are available for consumption:
brownies, chocolate ice cream, cola, and pineapple cheesecake. Each brownie costs
0.5$, each scoop of chocolate ice cream costs 0.2$, each bottle of cola costs 0.3$,
and each pineapple cheesecake costs 0.8$. Each day, she must ingest at least 500
calories, 6 oz of chocolate, 10 oz of sugar, and 8 oz of fat. The nutritional content per
unit of each food is shown in Table. Formulate an LP model that can be used to
satisfy her daily nutritional requirements at minimum cost.

Calories Chocolate Sugar Fat

(ounces) (ounces) (ounces)
Brownie 400 3 2 2
Choc. ice cream (1 scoop) 200 2 2 4
Cola (1 bottle) 150 0 4 1
Pineapple cheesecake (1 piece) 500 0 4 5

Answer
The decision variables:
x1: number of brownies eaten daily
x2: number of scoops of chocolate ice cream eaten daily
x3: bottles of cola drunk daily
x4: pieces of pineapple cheesecake eaten daily
The objective function (the total cost of the diet in cents):
min w = 50x1 + 20x2 + 30x3 + 80x4
Constraints:
400x1 + 200x2 + 150x3 + 500x4 > 500 (daily calorie intake)
3x1 + 2x2 > 6 (daily chocolate intake)
2x1 + 2x2 + 4x3 + 4x4 > 10 (daily sugar intake)
 2x1 + 4x2 + x3 + 5x4 > 8 (daily fat intake)
xi ≥ 0, i = 1, 2, 3, 4 (Sign restrictions!)
Report
The minimum cost diet incurs a daily cost of 90 cents by eating 3 scoops of chocolate
and drinking 1 bottle of cola (w = 90, x2 = 3, x3 = 1)
1.2 SOLVING LP

1.2.1 LP Solutions: Four Cases

When an LP is solved, one of the following four cases will occur:
1. The LP has a unique optimal solution.
2. The LP has alternative (multiple) optimal solutions. It has more than one
(actually an infinite number of) optimal solutions
3. The LP is infeasible. It has no feasible solutions (The feasible region contains
no points).
4. The LP is unbounded. In the feasible region there are points with arbitrarily
large (in a max problem) objective function values.

1.2.2 The Graphical Solution

Any LP with only two variables can be solved graphically

Example 1. Giapetto
Since the Giapetto LP has two variables, it may be solved graphically.
Answer
The feasible region is the set of all points satisfying the constraints.
max z = 3x1 + 2x2
s.t. 2x1 + x2 ≤ 100 (Finishing constraint)
x1 + x2 ≤ 80 (Carpentry constraint)
x1 ≤ 40 (Demand constraint)
x1, x2 ≥ 0 (Sign restrictions)
The set of points satisfying the LP is bounded by the five sided polygon DGFEH. Any
point on or in the interior of this polygon (the shade area) is in the feasible region.
Having identified the feasible region for the LP, a search can begin for the optimal
solution which will be the point in the feasible region with the largest z-value
(maximization problem).
To find the optimal solution, a line on which the points have the same z-value is
graphed. In a max problem, such a line is called an isoprofit line while in a min
problem, this is called the isocost line. (The figure shows the isoprofit lines for z =
60, z = 100, and z = 180).
 X2
B
100

finishing constraint Feasible Region

D
80

demand constraint
60

z = 100
carpentry constraint
40
20

F
z = 180
z = 60
E A C
H
10 20 40 50 60 80 X1

In the unique optimal solution case, isoprofit line last hits a point (vertex - corner)
before leaving the feasible region.
The optimal solution of this LP is point G where (x1, x2) = (20, 60) giving z = 180.

A constraint is binding (active, tight) if the left-hand and right-hand side of the
constraint are equal when the optimal values of the decision variables are substituted
into the constraint.
A constraint is nonbinding (inactive) if the left-hand side and the right-hand side of
the constraint are unequal when the optimal values of the decision variables are
substituted into the constraint.
In Giapetto LP, the finishing and carpentry constraints are binding. On the other hand
the demand constraint for wooden soldiers is nonbinding since at the optimal solution
x1 < 40 (x1 = 20).

Example 2. Advertisement
Since the Advertisement LP has two variables, it may be solved graphically.
Answer
The feasible region is the set of all points satisfying the constraints.
min z = 50x1 + 100x2
s.t. 7x1 + 2x2 ≥ 28 (high income women)
2x1 + 12x2 ≥ 24 (high income men)
x1, x2 ≥ 0

X2

14 X2 B

14 B High-income women constraint

12

High-income women constraint

1012
Feasible
Region
8 10
Feasible
6 8 Region

z = 600

4 6 z = 320
z = 600
High-income men constraint
4 z = 320
2 E
D
High-income men constraint
A C
2 E
D 2 4 6 8 10 12 14 X1
A C

2 4 6 8 10 12 14 X1

Since Dorian wants to minimize total advertising costs, the optimal solution to the
problem is the point in the feasible region with the smallest z value.
An isocost line with the smallest z value passes through point E and is the optimal
solution at x1 = 3.6 and x2 = 1.4 giving z = 320.
Both the high-income women and high-income men constraints are satisfied, both
constraints are binding.
Example 3. Two Mines
min 180x + 160y
st 6x + y ≥ 12
3x + y ≥ 8
4x + 6y ≥ 24
x≤5
y≤5
x, y ≥ 0
Answer

Optimal sol’n is 765.71. 1.71 days mine X and 2.86 days mine Y are operated.