Introduccin a la

Programacin Lineal
Investigacin de Operaciones I
Universidad Industrial de Santander
R.J. Acosta-Amado
2015-1

WARNING
Slides information was taken from referenced
book. As they may contain typing mistake, it
is recommended to consult from books
located at the library. The slides are a quick
and general guide for the topics covered in
class.

Linear Programming (LP)

Definition
LP uses a mathematical
model to describe the
problem of concern.
The adjective linear
means that all the
mathematical functions in
this model are required to
be linear functions.
Fuente:
http://www2.hawaii.edu/~suthers/courses/ics311f11/Notes/Topic-22/linearprogramming-example-2a-nolines.jpg

Definition
programming does not
refer computer
programming
its essentially a synonym
for planning.
LP involves the planning
of activities to obtain an
optimal result among all
feasible alternatives.
Fuente:
http://t3.gstatic.com/images?
q=tbn:ANd9GcQg9D8YJrBWJS9txQ1Se5sWr6vAZHRgepdv1SYefDlz6qe7nIRy

Some situations in which applies

LP
Staffs programming
Agricultural planning
Portafolio selection
Selection of shipping
patterns
Allocations of productions
facilities
The design of radiation
therapy
Product mix type

LP Step by Step

The LP Model
Performan Performan
Parameter Parameter
Problem
Variables
ce
ce
s*
s*
size
measure
measure

Variables

Problem
size

variables

variables

functional functional
constraints constraints

* The input constants for the

The LP Model
= Value of overall measure of performance
=Level of activity (for =1,2,, ). Decision variables.
= Increase in that would result from each unit increase
in level of activity . Contribution to objective
function.
= Amount of resource that is available for allocation to
activities (for =1,2,, ). Resources.
= Amount of resource consumed by each unit of
activity . Resource consumption.

Understanding sum notation

A Standard Form of the Model

Subject
to:

Objec
tive
Functi
on

max Z c1 x1 c2 x2 ... cn x n

a11 x1 a12 x2 ... a1n xn b1

a21 x1 a22 x2 ... a2 n xn b2

Functional
constraints

Subject to:

.
x , x ,..., x
1

Variable
type
constraint
s

am1 x1 am 2 x2 ... amn xn bm

A Standard Form of the Model

Objec
tive
Functi
on

max Z c1 x1 c2 x2 ... cn xn
Subject
to:

Subject to:

a21 x1 a22 x2 ... a2 n xn b2

Functional
constraints

a11 x1 a12 x2 ... a1n xn b1

.
x , x ,..., x
1

Variable
type
constraint
s

am1 x1 am 2 x2 ... amn xn bm

A Standard Form of the Model

Other Forms
MinimizingMinimizing
rather than
rather
maximizing
than maximizing
the objective
the objective
function: function:
Some functional
Someconstraints
functional with
constraints
a greater-than-or-equal-to
with a greater-than-or-equal-to
inequality: inequality:

for some for

values
some
of values of

Some functional
Some functional
constraints
constraints
in equation
in form:
equation form:
for some for
values
some
of values of
Deleting theDeleting
nonnegativity
the nonnegativity
constraints for
constraints
some decisions
for some decisions
variables: variables:

(unrestricted
(unrestricted
in sign) for
in some
sign) values
for some
of values of

Assumptions of LP
The contribution
The contribution
of each activity
of each
to activity to
the value ofthe
thevalue
objective
of the
function
objective
is function is
proportionalproportional
to the level of
to the level of the
activity
activity

Proportionali
Proportionali
ty
ty

The contribution
The contribution
of each activity
of each
to activity to
the left-handthe
side
left-hand
of eachside
functional
of each functional
constraint ()constraint
is proportional
() is proportional
to the
to the
level of the activity
level of the activity
Consequently,
Consequently,
this assumption
this assumption
rules
rules
out any exponent
out any
other
exponent
than 1other
for than 1 for
any variableany
in any
variable
term in
of any
any term of any
function.
function.

Assumptions of LP
Proportionality

Assumptions of LP
Proportionality
20
18

Contribution
from X1 to Z
16
14
12
10
8
6
4
2
0

X1

Assumptions of LP
Every function
Every
in afunction
LP model
in is
a LP
themodel
sum is the sum
of the individual
of the
contributions
individual contributions
of the
of the
respective activities.
respective activities.

Additivi
Additivi
ty ty

The joint profit

The(or
joint
costs)
profit
is (or
different
costs) is different
than the sum
than
of the
theindividual
sum of the
profits
individual profits
(or costs) when
(or costs)
each one
when
is each
produced
one is produced
by itself.
by itself.
Consequently,
Consequently,
this assumption
this assumption
rules out
rules out
any cross-product
any cross-product
terms, namely,
terms,
terms
namely, terms
involving theinvolving
product the
of two
product
or more
of two or more
variables ().variables ().

Assumptions of LP
Additivity

Case
3 x1 23x2 0.5 x1 x2

Case
2
4
3 x1 2 x2 0.1x1 x2

Assumptions of LP
Additivity
16
14
12
10 Z
Value of
8
6
4
2
0

(2,0)

(0,3)

(2,3)
(X1,X2)

Assumptions of LP

Assumptions of LP
It concerns the
It concerns
parameters
the parameters
of the
of the
model, namely,
model,
thenamely,
coefficients
the coefficients
in the
in the
objective function,
objective
thefunction,
coefficients
the coefficients
in
in
the functional
theconstraints
functional and
constraints
the rightand the righthand sides of
hand
the sides
functional
of theconstraints
functional constraints
().
().
The value assigned
The value
to assigned
each parameter
to each parameter
of a LP model
of is
a LP
assumed
model to
is assumed
be a
to be a
known constant.
known constant.

Certain
Certain
ty ty

In real applications,
In real applications,
the certaintythe certainty
assumption assumption
is seldom satisfied
is seldom satisfied
precisely. For
precisely.
this reason
For its
thisusually
reason its usually
important toimportant
conduct sensitivity
to conduct sensitivity
analysis after
analysis
a solution
afterisafound
solution
thatisisfound that is
optimal under
optimal
the assumed
under the
parameter
assumed parameter
values.
values.

Prototype Example
The Wyndor Glass CO1
Determine what the production rates should be for the two
products in order to maximize their total profit, subject to the
restrictions imposed by the limited production capacities available
in the three plants.
Each product will be produced in batches of 20, so the production
rate is defined as the number of batches produced per week.
Any combination of production rates that satisfies these
restrictions is permitted, including producing none of one product
and as much as possible of the other.
See printed material
1

HILLIER & LIEBERMAN. Introduction to Operations Research.

Prototype Example
The Wyndor Glass CO1

HILLIER & LIEBERMAN. Introduction to Operations Research.

Prototype Example
The Wyndor Glass CO1

Decision
Variables

Objective
Function

Subject to:

Functional
constraints

HILLIER & LIEBERMAN. Introduction to Operations Research.

Variable
type
constraints

Prototype Example
The Wyndor Glass CO1

Graphical
Solution

HILLIER & LIEBERMAN. Introduction to Operations Research.

Terminology for Solutions of the

Model

Relationship between
optimal solutions and CPF solutions

Relationship between
optimal solutions and CPF solutions
1. Identify all CPF
and its
respective Z
value
2. Find the best
CPF
3. Calculate
some points
inside feasible
region that
surround the
best CPF
1

HILLIER & LIEBERMAN. Introduction to Operations Research. .

Find Optimal Solution by

Graphical Method
Gradient Vector:

Other cases

Multiple optimal solutions

Multiple optimal solutions

CONVEX
COMBINATION
Z 3 x1 2 x2 18

Every point on the line segment between (2,6) and (4,3) is optimal.
All optimal solutions are a weighted average of these two optimal
CPF solutions.

For example:

No optimal solutions

Unbounded objective