MODULE –II

Linear Programming & Game Theory:

• Basics of Linear Programming
• Formulations of Linear Programming Problems
• The Simplex Method
• Linear Programming in Matrix Form
• Two phase method - Duality - The Transportation Problem
• Game theory: Introduction
• Zero-Sum Matrix Games
• Payoff matrix
• The Minimax and Maximin theorem
• Mixed strategies
• Graphic solution of games.
 BASIC LINEAR
PROGRAMMING

CO2: Formulate and

analyze the existence of
solutions to
optimization problems
(U)
 Frontier Airlines Purchases Fuel Economically

The fueling of an aircraft can take place at any of the stopovers

along a flight route. Fuel price varies among the stopovers, and
potential savings can be realized by tankering (loading) extra
fuel at a cheaper location for use on subsequent flight legs. The
disadvantage is that the extra weight of tankered fuel will result

in higher burn of gasoline. Linear programming

(LP) and heuristics are used to determine

the optimum amount of tankering that
balances the cost of excess burn against
the savings in fuel cost. The study, carried out in
1981, resulted in net savings of about $350,000 per year.
With the significant rise in the cost of fuel, many airlines are
using LP-based tankering software to purchase fuel.
 What is a Linear Program ??

A linear program is a mathematical model that

indicates the goal and requirements of an

allocation problem. Linear Programming (LP) is

a mathematical procedure for determining

optimal allocation of scarce resources.

 Linear Programming problem

The maximization or minimization of some quantity is the objective in all

linear programming problems.
All LP problems have constraints that limit the degree to which the objective can
be pursued.
A feasible solution satisfies all the problem's constraints.
An optimal solution is a feasible solution that results in the largest possible
objective function value when maximizing (or smallest when minimizing).
A graphical solution method can be used to solve a linear program with two
variables
 Linear Programming problem

If both the objective function and the constraints are linear, the problem is

referred to as a linear programming problem.

Linear functions are functions in which each variable appears in a

separate term raised to the first power and is multiplied by a constant (which
could be 0).

Linear constraints are linear functions that are restricted to be "less than
or equal to", "equal to", or "greater than or equal to" a constant.
Properties of LP Models

Seek to minimize or maximize

Include “constraints” or
limitations
There must be alternatives
available
All equations are linear
 Problem Formulation

Problem formulation or
modeling is the process of
translating a verbal
statement of a problem into
a mathematical statement.
Guidelines for Model Formulation

 Understand the
problem
thoroughly.
 Describe the
objective.
 Describe each
constraint.
 Define the decision
variables.
 Write the objective
in terms of the
decision variables.
 Write the
constraints in
terms of the
decision variables.
 LP Model Formulation

Decision variables
mathematical symbols representing levels of activity of
an operation
Objective function
a linear relationship reflecting the objective of an
operation
most frequent objective of business firms is to maximize
profit
most frequent objective of individual operational units
(such as a production or packaging department) is to
minimize cost
Constraint
a linear relationship representing a restriction on
decision making
LP Model Formulation (cont.)
 LP Model - Example

Reddy Mikks produces both interior and exterior paints from two
raw materials, M1 and M2. The following table provides the basic
data of the problem:

Tons of raw material per ton of

Maximum daily
Exterior paint Interior paint
availability (tons)

Raw material, M1 6 4 24
Raw material, M2 1 2 6

Profit per ton ($1000) 5 4

 Solution
Reddy Mikks wants to determine the optimum (best) product mix of interior and
exterior paints that maximizes the total daily profit.
For the Reddy Mikks problem, we need to determine the daily
amounts of exterior and interior paints to be produced. Thus the
variables of the model are defined as:
x1 = Tons produced daily of exterior paint
x2 = Tons produced daily of interior paint
The goal of Reddy Mikks is to maximize (i.e., increase as much as
possible) the total daily profit of both paints. The two
components of the total daily profit are expressed in terms of the
variables x1 and x2 as:
Profit from exterior paint = 5x1 (thousand)
dollars
Profit from interior paint = 4x2
(thousand)dollars
Solution
Letting z represent the total daily profit (in thousands of dollars), the
objective (or goal) of Reddy Mikks is expressed as
Maximize z = 5x1 + 4x2
The daily usage of raw material M1 is 6 tons per ton of exterior
paint and 4 tons per ton of interior paint. Thus,
Usage of raw material M1 by both paints = 6x1 + 4x2 tons/day
Usage of raw material M2 by both paints = 1x1 + 2x2 tons/day
The maximum daily availabilities of raw materials M1 and M2 are 24
and 6 tons, respectively. Thus, the raw material constraints are:
6x1 + 4x2 ≤ 24 (Raw material M1)
x1 + 2x2 ≤ 6 (Raw material M2)
Solution
The first restriction on product demand stipulates that the daily
production of interior paint cannot exceed that of exterior paint by
more than 1 ton, which translates to:
x2 - x1 ≤ 1 (Market limit)
The second restriction limits the daily demand of interior paint to 2
tons—that is,
x2 ≤ 2 (Demand limit)
The restrictions, expressed as x1 ≥ 0 and x2 ≥ 0, are referred to as
nonnegativity constraints.
Solution
The complete Reddy Mikks model is
Maximize z = 5x1 + 4x2
Subject to 6x1 + 4x2 ≤ 24
x1 + 2x2 ≤ 6
x2 - x1 ≤ 1
x2 ≤ 2
x1 ≥ 0 and x2 ≥ 0
Any values of x1 and x2 that satisfy all five constraints constitute
a feasible solution.
Otherwise, the solution is infeasible.
Feasible space
Optimum solution
Problem 1
Ozark Farms uses at least 800 lb of special feed daily. The
special feed is a mixture of corn and soybean meal with the
following compositions

The dietary requirements of the special feed are at least 30%

protein and at most 5% fiber. The goal is to determine the daily
minimum-cost feed mix. The decision variables of the model are:
x1 = lb of corn in the daily mix
x2 = lb of soybean meal in the daily mix
The objective is to minimize the total daily cost (in dollars) of the
feed mix—that is, Minimize z = .3x1 + .9x2
The constraints represent the daily amount of the mix and the
dietary requirements. Ozark Farms needs at least 800 lb of
feed a day — that is, x1 + x2 ≥ 800
The amount of protein included in x1 lb of corn and x2 lb of
soybean meal is (.09x1 + .6x2) lb. This quantity should equal
at least 30% of the total feed mix (x1 + x2) lb —that is,
.09x1 + .6x2 ≥.3(x1 + x2)
In a similar manner, the fiber requirement of at most 5% is
represented as .02x1 + .06x2 ≤ .05(x1 + x2)
The constraints are simplified by moving the terms in x1 and
x2 to the left-hand side of each inequality, leaving only a
constant on the right-hand side.
The complete model is Minimize z = .3x1 + .9x2
subject to x1 + x2 ≥ 800
.21x1 - .30x2 0
.03x1 - .01x2 ≤ 0
x1 , x 2 ≥ 0
The model minimizes the value of the objective function by
reducing z in the direction shown in Figure. The optimum
solution is the intersection of the two lines x1 + x2 = 800
and
.21x1 - .3x2 = 0, which yields
x1 = 470.6lb and x2 = 329.4lb.
The minimum cost of the feed mix is
z = .3 * 470.6 + .9 * 329.4 = $437.64
per day.
The graphical solution of the model is
Problem 2

In preparation for the winter season, a clothing company is

manufacturing parka and goose overcoats, insulated pants, and
gloves. All products are manufactured in four different departments:
cutting, insulating, sewing, and packaging. The company has
received firm orders for its products. The contract stipulates a
penalty for undelivered items. Devise an optimal production plan
for the company based on the following data:
Mathematical Model:

The variables of the problem are as follows:

x1 = number of parka jackets

x2 = number of goose jackets

x3 = number of pairs of pants

x4 = number of pairs of gloves

The company is penalized for not meeting demand.
The objective then is to maximize net profit, defined as
Net profit = Total profit - Total penalty
The total profit is 30x1 + 40x2 + 20x3 + 10x4.
To compute the total penalty, the demand constraints can be
written as
The new variable sj represents the shortage in demand for
product j, and the total penalty can be computed as 15s1 +
20s2 + 10s3 + 8s4. The complete model thus becomes
Maximize z = 30x1 + 40x2 + 20x3 + 10x4 – (15s1 + 20s2 +

10s3 + 8s4)
subject to
.30x1 + .30x2 + .25x3 + .15x4 ≤ 1000

.25x1 + .35x2 + .30x3 + .10x4 ≤ 1000

.45x1 + .50x2 + .40x3 + .22x4 ≤ 1000

.15x1 + .15x2 + .10x3 + .05x4 ≤ 1000

x1 + s1 = 800, x2 + s2 = 750, x3 + s3 = 600, x4 + s4 = 500

xj ≥ 0, sj ≥ 0, j = 1, 2, 3, 4
Solution:
The optimum solution is
z = $64,625, x1 = 800, x2 = 750, x3 = 387.5, x4 = 500,

s1 = s2 = s4 = 0, s3 = 212.5.
The solution satisfies all the demand for both types of jackets
and the gloves.
A shortage of 213 (rounded up from 212.5) pairs of pants will
result in a penalty cost of 213 * $10 = $2130.
REVIEW