Chapter Two

Linear Programming

1
2.1 Concepts of Linear Programming
• Linear programming- is an optimization
method which shows how to allocate scarce
resources in the best possible way subject to
more than one limiting condition expressed in the
form of inequalities and /or equations.
• It enables users to find optional solution to
certain problems in which the solution must
satisfy a given set of requirements or constraints.
• Optimization in linear programming implies
maximization (max) Profit, revenue, sales, market
share or minimization (min) Cost, time, distance,
or a certain objective function.
• The goal in linear programming is to find the best
solution given the constraints imposed by the
problem, hence the term constrained
optimization. 2
 Formulation of Linear Programming Model
•

• LP models are mathematical representation of

LP problems. Some models have a specialized
format where as others have a more
generalized format.
• Despite this, LPMs have certain characteristics
in common. Knowledge of these characteristics
enables us to recognize problems that are
amenable to a solution using LP models and to
correctly formulate an LP model.
• The characteristics can be grouped into two
categories: Components and assumptions.
The components relate to the structure of a
model, where as the assumptions describe the
conditions under which the model is valid.
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4
Components of LP Model

1. The Objective function: is the mathematical/

quantitative expression of the objective of the
company/ model. The objective in problem
solving is the criterion by which all decisions
are evaluated.
• In LPMs a single quantifiable objective must
be specified by the decision maker.
• For example, the objective might relate to
profits, or costs or market share, best to only
one of these. Moreover, because we are
dealing with optimization, the objective will be
either maximization or minimization, but not
both at a time.
5
2. The Decision Variables: represent
unknown quantities to be resolved for.
These decision variables may represent
such things as the:
• Number of units of different products to be
sold
• The number of dollars to invest in various
projects
• The number of ads to place with different
media
• Since the decision maker has freedom of
choice among actions, these decision
variables are controllable variables. 6
3. The constraints: are restrictions which
define or limit the attainability
(achievability) feasibility of a proposed
course of action. They limit the degree to
which the objective can be pursued.
• A typical restriction embodies scarce
resources (such as labor supply, RMs,
production capacity, machine time, storage
space), legal or contractual requirements
(leg. Product standards, work standards), or
they may reflect other limits based on
forecasts, customer orders, company
policies etc. 7
4. Parameters- are fixed values that specify
the impact that one unit of each decision
variable will have on the objective and on
any constraint it pertains to as well as to
the numerical value of each constraint.
• The components are the building blocks of
an LP model. We can better understand
their meaning by examining a simple LP
model as follows.

8
9
10
• System constraints- involve more
than one decision variables.
• None-negativity constrains-
specify that no variable will be
allowed to take on a negative value.
The non negativity constraints
typically apply in an LP model,
whether they are explicitly stated or
not.

11
 Assumption of LP models
1. Linearity: The linearity requirement is that each
decision variable has a linear impact on the
objective function and in each constraint in
which it appears.
• Taking the above example, producing one more
unit of products add birr 4 to the total profit. This
is true over the entire range of possible values of
x1. The same applies (true) to each of the
constraints.
2. Divisibility: The divisibility requirement
pertains to potential values of decision variables.
It is assumed that non-integer values are
acceptable. For example: 3.5 TV sets/ hr would
be acceptable 7 TV sets/ 2hr.
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3. Certainty: The parameters are known and constant.
It is assumed that the decision maker here is
completely certain (i.e., deterministic conditions)
regarding all aspects of the situation, i.e., availability
of resources, profit contribution of the products,
technology, courses of action and their consequences
etc.
4. Non-negativity: The non-negativity constraint is
that negative values of variables are unrealistic and,
therefore, will not be considered in any potential
solutions, only positive values and zero will be
allowed.
5. We assume here fixed technology. Fixed
technology refers to the fact that the production
requirements are fixed during the planning period
and will not change in the period.
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Formulating Linear
Programming Models
The formulation of LPM involves the following steps:

1. Define the problem: This involves the determination of

specific objectives. The word expression of the specific
objective.

Example: to determine the number of units of P1 and P2

to be produced per month so as to maximize profit given
the restrictions (constraints).
2. Determine the decision variables: This involves the
representation of the unknown quantities by letters
Example: let x1 and x2 represent the number of units of P1
and P2 to be produced per month respectively. 14
Formulating Linear Programming
Models
3. Formulate the objective function: in
developing the objective function make sure
that:
• All the decision variables are represented in
the objective function
• The unit of measurement of all the coefficients
in the objective function must be the same.
 Example, if we use kg for x1, we should use
kg for x2, too.
• All the terms in the objective must include a
variable
15
Formulating Linear Programming
Models
4. Formulate the constraints: decide on
the constraints and formulate the
mathematical relationship that is used to
express the limitations
5. Determine the non-negativity
assumptions
Set all decision variables greater or equal to
16
zero
 Example 1
Given: A firm that assembles computer equipments is
about to start production of two new micro computers
(type 1 and type2). Each type of micro computer will
require assembly time, inspection time and storage
space. The amount of each of these resources that can
be devoted to the production of the micro computers is
limited. The manager of the firm would like to determine
the quantity of each micro computer to be produce in
order to maximize the profit generated by the sale of the
micro computers.
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 Further information
Type1
Type 2
Unit profit $60 $50
Assembly time/unit 4 10
Inspection time/unit 2 1
Storage space/unit 3 3
The manager has also information on the availability of
company resources:
Resources Amount available
Assembly time 100hrs
Inspection time 22hrs
Storage space 39cubic
feet

Required: Formulate LP Model

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 Solution
Step1: Define the problem
 To determine the quantity of type I and
type II micro computers to be produced per
day so as to maximize profit, given the
restrictions
Step2: Identify the decision variables
 Let x1 = the quantity of Type I micro
computers to be produced & sold per day.
 x2 = the quantity of Type II micro
computers to be produced& sold per day.
 Z = daily profit 19
 Solution
Step 3: Develop the Objective Function

Max Z= 60x1 + 50x2

Step 4: Formulate the Constraints

Assembly time: 4x1 + 10x2 < 100
Inspection time: 2x1 + x2 <22
Storage Space: 3x1 + 3x2 <39
Step 5: Non-negativity
X1, X2 > 0 20
 Solution

The complete LPM is:

Max Z = 60x1 + 50x2
Subject to:
4x1 + 10x2 < 100
2x1 + x2 <22
3x1 + 3x2 < 39
x1, x2 > 0
21
 Example 2
Two machines C1 and C2 produce two grades of tyres
A and B. In one hour of operation, machine C1
produces 50 units of grade A and 30 units of grade B
tyres while machine C2 produces 30 units of grade A
and 40 units of grade B tyres. The machines are
required to meet a production schedule of at least
1400 units of grade A and 1200 units of grade B
tyres. The cost of operating machine C1 is $50 per
hour and the cost of operating machine C2 is $80 per
hour.
Required
• Formulate the LPM if the objective is to minimize the
cost of operating the machines.
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 Solution
Step 1: Define the Problem
Determine the number of hours the two machines
operate in order to minimize the cost, meeting the
production requirement.
Step 2: Determine the decision variables
Let x1= be the number of hours machine C1 should
operate
x2= be the number of hours machine C2 should
operate
Z= be the total cost
Step 3: Formulate the objective function
Min Z = 50x1 + 80x2
23
 Solution
Step 4: List the constraints
Grade A: 50x1 + 30x2 > 1400
Grade B: 30x1 + 40x2 > 1200
Step 5: Non-negativity
x1, x2 > 0
Therefore ,The complete LPM is
Min Z = 50x1 + 80x2
Subject to:
50x1 + 30x2 > 1400
30x1 + 40x2 > 1200
x1, x2 > 0
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 Minimization Problems
• Example: the agricultural research institute
suggested to a farmer to spread out at least 4800
kg of a special phosphate fertilizer and not less
than 7200 kg of a special nitrogen fertilizer to raise
productivity of crops in his fields. There are two
sources for obtaining these mixtures A and B. Both
of these are available in bags weighing 100 kg each
and they cost $40 and $24 respectively. Mixture A
contains phosphate and nitrogen equivalent of 20
kg and 80 kg respectively, while mixture B contains
these ingredients equivalent of 50 kg each.
Write this as a linear programming problem and
determine how many bags of each type the farmer
should buy in order to obtain the required fertilizer
at minimum cost.
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1. Problem Definition
Determining the number of bags of mixtures A
and B that must be purchased, so as to satisfy
the requirements set and minimize total cost,
given the limiting factors.
2. Variable representation
Let X1 be the number of bags of mixture A that
must be purchased
X2 be the amount of bags of mixture B that
must be purchased
Z be the minimum cost
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27
 Solving LP Problems
(LPP)
• There are two methods to solve LP
problems
1.Graphical Method
2.Simplex Method

28
 Graphical Method

The graphic method is applicable when we

have two decision variables and the steps
include the following:
Step 1: Formulate the mathematical model of
the problem
Step 2: Plot the constraints in the graph
Step 3: Identify the area that satisfies the
entire set of constraints, determine corners
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 Graphical Method
Step 4: Evaluate the objective function at each
corner
 The largest value is the maximum and the
smallest value is the minimum
 If two corners have the same optimal value,
then the optimum occurs at every point on the
line segment joining the respective corners

30
 Maximization Problem

Example: A furniture manufacturing company plans to

make two products namely, Chairs and Tables, from
its available resources which consist of 400 cubic feet
of mahogany timber and 450 man hours of labor. It is
known that to make a chair it requires 5 cubic feet of
timber and 10 man hours and yields a profit of Birr
45/chair. To manufacture a table, it requires 20 cubic
feet of timber and 15 man hours and yields a profit of
Birr 80/table. The problem is to determine how many
chairs and tables the company can make keeping
within the resources constraints so that is maximizes
the profit.
Required: Formulate LP Model and solve the LP
problem using a graphical method. 31
 Solution
Formulate the LPM (Step wise)
Step 1: Define the problem
to determine the number of chairs and tables to be produced in
order to maximize profit under the limited resources/constraints/.
Step 2: Represent the decision variables
Let x1 =be the number of chairs to be produced
x2= be the number of tables to be produced
Z= be the total be the total profit
Step 3: Formulate the objective function
Max Z = 45x1 + 80x2
Step 4: List the constraints
M.Timber: 5x1 + 20x2 < 400
Man hr Labor: 10x1 + 15x2 <450
Step 5: Non-negativity x1, x2 > 0 32
 Solution
Step 1: Formulate the mathematical
model of the problem
Max z = 45x1 + 80x2
Subject to: 5X1 + 20X2 < 400
10X1 + 15X2 < 450
x1, x2 > 0

33
 Solution
Step 2: Plot the constraints on the graph by
taking two coordinates satisfying the equation
5X1 + 20X2 < 400 i.e. X1 + 4X2 < 80
- - - (a)
10X1 + 15X2 < 450 i.e. 2X1 + 3X2 <
90 - - - (b)
X1, X2 > 0
Converting (a) and (b) to equality, we get
X1 + 4X2 = 80 . . . . (1)
2X1 + 3X2 = 90 . . . (2)

34
 Solution
Step 3: Identify the area that satisfies the entire set of
constraints (Feasible region), determine corners and their
coordinate either from graphing procedure or by the
elimination procedure.

Step 4: Evaluate the objective function at each corner.

 The largest value is the maximum and the smallest value is

the minimum.
 If two corners have the same optimal value, then the

optimum occurs at every point on the line segment joining

the respective corners.
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 Solution

Coordinate of corner Objective Function Value

point Max Z=45X1 +
80X2
(0, 0) 45 ×0 + 80×0 = 0 0
(0, 20) 0 + 1600 1600
(24, 14) 45 × 24 + 80 × 14 2200*
(45, 0) 45 × 45 + 80 × 0 2025
Hence, the maximum profit (2200) is obtained
when the company produces 24 chairs and 14
tables
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 Minimization Problem
• Graphical solutions to minimization
problems are very similar to solutions to
maximization problems
• The difference in minimization problems
are:
 The constraints are in (>=)greater than
or equal to sign, the feasible solution area
is away from the origin, instead of close to
the origin
 Optimum solution is the smallest possible
value, instead of largest value
37
 Minimization Problem
Example : Two machines C1 and C2 produce two
grades of tyres A and B. In one hour of operation,
machine C1 produces 50 units of grade A and 30
units of grade B tyres while machine C 2 produces
30 units of grade A and 40 units of grade B tyres.
The machines are required to meet a production
schedule of at least 1400 units of grade A and
1200 units of grade B tyres. The cost of operating
machine C1 is $50 per hour and the cost of
operating machine C2 is $80 per hour.
Required: How many hours should each machine
operate so that the cost of production is
minimized? 38
 Solution
Formulate the LPM (Step wise)
Step 1: to determine the number of hours the two machines
operate in order to minimize cost, meeting the production
requirement.
Step 2: Represent the decision variables
Let x1 be the number of hours machine C1 should operate
x2 be the number of hours machine C2 should operates
Z be the total cost
Step 3: Formulate the objective function
Min Z = 50x1 + 80x2
Step 4: List the constraints
Grade A: 50x1 + 30x2 > 1400
Grade B: 30x1 + 40x2 > 1200 39
 Solution
Step 1: Formulate the mathematical
model of the problem
Min Z= 50x1 + 80x2
Subject to:
50x1 + 30x2 > 1400
30x1 + 40x2 > 1200
x1, x2 > 0

40
 Solution
Exercise the next steps
Step 2: Plot the constraints on the graph
Step 3: Identify the feasible region
Step 4: Evaluate the objective function at
each corner points

41
 Solution
Coordinate of corner Objective Function Value
point Min Z= 50x1 +
80x2
(46.7, 0) 50 × 46.7 + 80× 0 2335
(16.40, 18.18 ) 50 ×18.18+ 80× 2221*
16.40
(0,40)
Therefore, 50× 0+
the company can80minimize
× 30 2400
its cost
to $2221 by operating machine 1 for 18.18
hours and Machine 2 for 16.40 hours

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The Simplex Method

43
 The Simplex Method
• Graphical method of solving LPP can be
used when we have two decision variables
in the problem.
• If we have more than two decision
variables, we can’t use graphical method
• There fore, SIMPLEX Method is useful
to solve LPP with two and more decision
variables

44
 The Simplex Method
• Simplex method deals with iterative
process, which consists of first designing a
Basic Feasible Solution and proceed
towards the Optimal Solution and testing
each feasible solution for Optimality to
know whether the solution on hand is
optimal or not

45
 Comparison b/n graphical and
Simplex
1. The graphical method is used when we have
two decision variables in the problem.
Whereas in simplex, the problem may have
any number of decision variables
2. In graphical method, the inequalities are
assumed to be equations, so as to enable to
draw straight lines. Whereas in simplex
method the inequalities are converted to
equations by adding Slack variable (in
maximization) and Surplus variable (in
minimization)
46
The Simplex Method: Maximization Example

There are 8 steps to be followed:

Step1:Formulate the linear programming model of
the real world problem, i.e., obtain a mathematical
representation of the problem's objective function
and constraints.
Step2: Express the mathematical model of LP
problem in the STANDARD FORM by adding slack
variables in the left-hand side of the constraints
and assign a zero coefficient to these in the
objective function. 47
The Simplex Method: Maximization
Example

Example : Maximize Z = C1X1+ C2X2 + ... +CnXn + OS1 + OS2

+... +0Sm
Subject to
a11X1+a12X2+... + a1nxn+s1=b1
a2lX1+al22X2+... + a2nXn+S2 = b2
amlXl + am2 X2 +... + amnxn + Sm = bm
where X1, X2... Xn and S1, S2 ... Sm are non-negative.

Step 3: Design the initial feasible solution

 An initial basic feasible solution is obtained by setting the
decision variables equal to zero
X1= X2 = ... = Xn = 0. Thus, we get S1 = b1, S2 = b2 ... Sm = bm
48
The Simplex Method: Maximization
Example
Step 4: Set up the initial simplex
Tableau
• For computational efficiency and
simplicity, the initial basic feasible
solution, the constraints of the standard
LPM as well as the objective function can
be displayed in a tabular form, called the
simplex tableau.

49
The Simplex Method: Maximization
Example

Cj C1 C2 Cn,…. 00..0 Quantity Ratio

Basic CB X1, X2, ... Xn S1

variabl S2 ... Sm
e
S1 CB1 a11 a12 ... a1n 1 b1
0 ... 0
S2 CB2 a21 a22 ... a2n 0 1 b2
... 0
S3 CB3 am1 am2.amn 0 b3
0 ... 1
Zj=ΣCBiXj 0 0 ... 0 0 0 ΣCBiXj
... 0
Simplex Tableau
C1-Z1 C2-Z2 ... Cn-
Cj-Zj Zn
50
The Simplex Method: Maximization
Example

 Cj--coefficients of the variables in the

objective function
 X1, X2. Xn----Non-basic variables
 S1, S2... Sm-------basic variables
 Zj entries represent the decrease in the
value of objective function that would result
if one of the variables not included in the
solution were brought into the solution.
 Cj-Zj--index row or net evaluation row, is
used to determine whether or not the
current solution is optimal or not 51
The Simplex Method: Maximization
Example
Step 5: Test if the current solution is
optimum or not.
 If all the elements or entries in the Cj- Zj row
(i.e., index row) are negative or zero, then
the current solution is optimum.
 If there exists some positive number, the
current solution can be further improved by
removing one basic variable from the basis
and replacing it by some non-basic one.
 So, start trying to improve the current
solution in line with the following steps.
52
The Simplex Method: Maximization
Example
Step 6: Iterate, further, towards an optimum
solution
 To improve the current feasible solution, we need to
replace one current basic variable (called the
leaving variable) by a new non-basic variable
(called the entering variable)
Step 7:Evaluate the new solution by
constructing the next simplex tableau
 After identifying the entering and
leaving/departing variable, all that remains is to
find the new basic feasible solution by constructing
a new simplex tableau from the current one.
53
The Simplex Method: Maximization
Example
Step 8: If any of the numbers in Cj - Zj row
are positive, repeat the steps (6-7) again
until an optimum solution has been obtained.
Therefore : A simplex solution in a
maximization problem is optimal if the Cj-Zj
row consists of entirely zeros and negative
numbers, i.e. there are no positive values in
the row.

54
Maximization Example
Max Z = 60X1+50X2
Subject to:
4X1+10X2 < 100
2X1+ X2 < 22
3X1+ 3X2 <39
X1, X2 > 0

55
 Solution
Step 1: Formulate the linear programming model
of the real world problem i.e mathematical
representation of LPP
Step 2: Put in Standard form
Max Z = 60X1+50X2+0S1+0S2+0S3
Subject to:
4X1+10X2+S1 = 100
2X1+ X2+ S2 = 22
3X1+ 3X2+ S3 = 39
X1, X2, S1, S2, S3 > 0
56
 Solution
Step 3: Design the initial feasible solution.
X1= X2=0 so S1= 100 S2= 22 S3=39
Step 4: Set up the initial simplex tableau

Cj 60 50 0 0 0 Quantity
Basic Variables X1 X2 S1 S2 S3
S1 0 4 10 1 0 0 100
S2 0 2 1 0 1 0 22
S3 0 3 3 0 0 1 39
Zj 0 0 0 0 0 0

Cj-Zj 60 50 0 0 0

57
 Second Tableau
Cj 60 50 0 0 0 Quantity
BVs X1 X2 S1 S2 S3
S1 0 4 10 1 0 0 100 100/4=
25
2
S2 0 1 0 1 0 22
22/2= 11
S3 0 3 3 0 0 1 39 39/3=13
Zj 0 0 0 0 0 0 0
Cj-Zj 60 50 0 0 0
Smallest non-negative
quotient
Pivot Row Pivot Column Pivot Element
58
 Second tableau
Cj 60 50 0 0 0
Quantity
X1 X2 S1 S2 S3
S1 0 0 8 1 -2 0
56
X1 60 1 1/2 0 1/2 0
11
S3 0 0 3/2 0 -3/2 1
6
Zj 60 30 0 30 0 59
 Third tableau

Cj 60 50 0 0 0 Quantity
X1 X2 S1 S2 S3
S1 0 0 0 1 6 -16/3 24
X1 60 1 0 0 1 -1/3 9
X2 50 0 1 0 -1 2/3 4
Zj 60 50 0 10 40/3 740
Cj-Zj 0 0 0 -10 -40/3

Therefore, S1 = 24, X1 = 9, and X2 = 4 producing a

maximum profit of $740.

60
Minimization
Examples

61
 Minimization Example
The various steps involved in using simplex
method for minimization problems are:
Step1: Formulate the linear programming
model, and express the mathematical model
of LPP in the standard form by introducing
surplus and artificial variables in the left
hand side of the constraints.
 Assign a 0 (zero) and +M as coefficient for
surplus and artificial variables
respectively in the objective function.
 M is considered to be a very large number
so as to finally drive out the artificial
variables out of basic solution. 62
Minimization Example
• Artificial variables have no physical
interpretation, they merely serve as a
device to enable us to use simplex process.
• During simplex process, any artificial
variables are quickly eliminated from the
solution and hence the optimal solution
should never contains an artificial variable
with a non-zero value
• Artificial variables are required only for
manual solution; computer codes do not
require to input artificial variables
63
 Minimization Example
Step 2: Set up an initial solution
• Just to start the solution procedure, the
initial basic feasible solution is obtained by
assigning zero value to decision variables.
• This solution is summarized in the initial
simplex tableau.
• Complete the initial simplex tableau by
adding two final rows Zj, and Cj- Zj. These
two rows help us to know whether the
current solution is optimum or not.
64
Minimization Example
Step 3: Test for optimality of the solution
 If all the entries of Cj - Zj, row are
positive and zero, then the solution is
optimum.
 However, this situation may come after a
number of iterations. But if at least one of
the Cj - Zj values is less than zero, the
current solution can be further improved
by removing one basic variable from the
basis and replacing it by some non-basic
one.
65
 Minimization Example
Step 4: (i) Determine the entering variable into
the basic solution. To do this, we identify the
column with the largest negative value in the
Cj - Zj row of the tableau (the variable in this
column is entering variable)
(ii) Next, determine the departing variable from
the basic solution. If an artificial variable goes
out of solution, then we discard it totally and
even this variable may not form part of further
iterations. Same procedure, as in maximization
case, is employed to determine the departing
and entering variable.
66
Minimization Example
Step 5: Update the new solution
• We evaluate the entries for next
simplex tableau in exactly the same
manner as was discussed earlier in the
maximization example.

67
Minimization Example
Step 6: Step (3-5) are repeated until an
optimum solution is obtained
• So the following are the essential things to
observe in solving for minimization problems:
• The entering variable is the one with the largest
negative value in the Cj-Zj row while the leaving
variable is the one with the smallest non-
negative ratio.
• The optimal solution is obtained when the Cj-Zj
68
 Example

Min Z = 7X1+9X2
Subject to
3X1+6X2 > 36
8X1+4X2 > 64
X1, X2 > 0

69
 Solution
First, put the LPM in standard
form

Min Z = 7X1+9X2+0S1+0S2+MA1+MA2
Subject to
3X1+6X2-S1+A1 = 36
8X1+4X2-S2+ A2 = 64
X1, X2 , S1,S2,A1, A2> 0

70
 Solution
Then, develop the Initial Simplex Tableau
Cj 7 9 0 0 M M
BV X1 X2 S1 S2 A1 A2
Quantity
A1 M 3 6 -1 0 1 0 36
A2 M 8 4 0 -1 0 1 64
Zj 11M 10M -M -M M M 100M
Cj-Zj 7-11M 9-10M M M 0 0

71
 Solution
Next, develop the second Simplex Tableau
Cj 7 9 0 0 M
X1 X2 S1 S2 A1
Quantity
A1 M 0 9/2 -1 3/8 1 12
X1 7 1 ½ 0 -1/8 0 8
Zj 7 7/2+9/2M -M 3/8M-7/8 M
56+12M
Cj-Zj 0 11/2-9/2M M 7/8-3/8M 0

72
 Solution
Next, develop the third Simplex Tableau
Cj 7 9 0 0
X1 X2 S1 S2 Quantity
X2 9 0 1 -2/9 1/12 8/3
X1 7 1 0 1/9 -1/6 20/3
Zj 7 9 -11/9 -5/12 212/3
Cj-Zj 0 0 11/9 5/12

Therefore, the optimal solution is: X1 = 20/3 and X2

= 8/3 and value of objective function is 212/3.
73
Post optimality Analysis
1. Duality in LPP
2. Sensitivity Analysis
 Sensitivity analysis involves an
examination of the potential impact of
changes in any of the parameters
(numerical values) of a problem where as
the dual involves setting up and solving LP
problem that is almost a “mirror image”
of LP problem that has been formulated.

74
Thank you

75