EME 5123: Optimization of Manufacturing Systems

Introduction to Linear Programming (LP)

Ahad Ali, Ph.D.

Lawrence Tech University

Fall 2011
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Introduction to LP
Linear Programming (LP) is a technique for optimization of a linear objective function, subject to linear equality and linear inequality constraints. Informally, linear programming determines the way to achieve the best outcome (such as maximum profit or lowest cost) in a given mathematical model and given some list of requirements represented as linear equations.
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Introduction to LP
A Linear Programming model seeks to maximize or minimize a linear function, subject to a set of linear constraints. The linear model consists of the following components: A set of decision variables. An objective function. A set of constraints.

Introduction to LP
The Importance of Linear Programming
Many real world problems lend themselves to linear programming modeling. Many real world problems can be approximated by linear models. There are well-known successful applications:
Manufacturing Marketing Finance (investment) Advertising Agriculture
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Introduction to LP
The Importance of Linear Programming
There are efficient solution techniques that solve linear programming models. The output generated from linear programming packages provides useful what if analysis.

Introduction To Linear Programming

Today many of the resources needed as inputs to operations are in limited supply. Operations managers must understand the impact of this situation on meeting their objectives. Linear programming (LP) is one way that operations managers can determine how best to allocate their scarce resources.

Linear Programming (LP)

There are five common types of decisions in which LP may play a role Product mix Production plan Ingredient mix Transportation Assignment

LP Problems: Product Mix

Objective To select the mix of products or services that results in maximum profits for the planning period Decision Variables How much to produce and market of each product or service for the planning period Constraints Maximum amount of each product or service demanded; Minimum amount of product or service policy will allow; Maximum amount of resources available
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LP Problems: Production Plan

Objective To select the mix of products or services that results in maximum profits for the planning period Decision Variables How much to produce on straight-time labor and overtime labor during each month of the year Constraints Amount of products demanded in each month; Maximum labor and machine capacity available in each month; Maximum inventory space available in each month
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Recognizing LP Problems
Characteristics of LP Problems A well-defined single objective must be stated. There must be alternative courses of action. The total achievement of the objective must be constrained by scarce resources or other restraints. The objective and each of the constraints must be expressed as linear mathematical functions.
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Steps in Formulating LP Problems

1. Define the objective. (min or max) 2. Define the decision variables. (positive, binary) 3. Write the mathematical function for the objective. 4. Write a 1- or 2-word description of each constraint. 5. Write the right-hand side (RHS) of each constraint. 6. Write <, =, or > for each constraint. 7. Write the decision variables on LHS of each constraint. 8. Write the coefficient for each decision variable in each constraint.
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Introduction to LP
Assumptions of the linear programming model The parameter values are known with certainty. The objective function and constraints exhibit constant returns to scale. There are no interactions between the decision variables (the additivity assumption). The Continuity assumption: Variables can take on any value within a given feasible range.

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Introduction to Linear Programming

A Standard Form of LP:
Objective Function: Max z = c1x1 + c2x2 + + cnxn Subject to s.t. a11x1 + a12x2 + + a1nxn e b1 a21x1 + a22x2 + + a2nxn e b2

X = Decision Variables C = Constant n = No. of decision variables --- columns m = Constraints -- rows

am1x1 + am2x2 + + amnxn e bm Sign restriction xi u 0 i = 1,2 .n

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Introduction to Linear Programming

Or in matrix form: max z = cx Subject to Ax e b Sign restriction xu 0
A= Matrix tableau form: x1 X= x2 . xn a11 + a12 + + a1n a21 + a22 + + a2n am1 + am2 + + amn

b1 b = b2 bm
xi u 0 i = 1, 2, , n 14

Example 1: Giapettos Woodcarving

Giapettos, Inc., manufactures wooden soldiers and trains.
Each soldier built: Sell for $27 and uses $10 worth of raw materials. Increase Giapettos variable labor/overhead costs by $14. Requires 2 hours of finishing labor. Requires 1 hour of carpentry labor. Each train built: Sell for $21 and used $9 worth of raw materials. Increases Giapettos variable labor/overhead costs by $10. Requires 1 hour of finishing labor. Requires 1 hour of carpentry labor.
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Ex. 1 - continued
Each week Giapetto can obtain: All needed raw material. Only 100 finishing hours. Only 80 carpentry hours. Demand for the trains is unlimited. At most 40 soldiers are bought each week. Giapetto wants to maximize weekly profit (revenues costs). Formulate a mathematical model of Giapettos situation that can be used to maximize weekly profit.
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Ex. 1 - Formulation
Identify Decision Variables Identify Objective Function Identify Constraints Formulate Optimization Model/ Mathematical Model

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Ex. 1 - Formulation continued

Decision Variables:
Giapetto must decide how many soldiers and trains should be manufactured each week. x1 = number of soldiers produced each week. x2 = number of trains produced each week

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Ex. 1 - Formulation continue

The Giapetto solution model incorporates the characteristics shared by all linear programming problems. Decision variables should completely describe the decisions to be made. x1 = number of soldiers produced each week x2 = number of trains produced each week The decision maker wants to maximize (usually revenue or profit) or minimize (usually costs) some function of the decision variables. This function to maximized or minimized is called the objective function. For the Giapetto problem, fixed costs do not depend upon the the values of x1 or x2.
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Ex. 1 - Formulation continued

Objective Function: weekly revenues and costs can be expressed in
terms of decision variables x1 and x2

Weekly revenues = weekly revenue from soldiers + revenue from trains = 27x1 + 21x2 Weekly raw material cost Weekly variable costs = 10x1 + 9x2 = 14x1 + 10x2

Gispetto wants to maximize profit (revenue costs) (27x1 + 21x2) (10x1 + 9x2) (14x1 + 10x2) = = 3x1 + 2x2 Giapettos objective is to choose x1 and x2 to maximum 3x1 + 2x2.

Maximize z = 3x1 + 2x2

The coefficient of an objective function variable is called an objective function coefficient.
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Ex. 1 - Formulation continued

As x1 and x2 increase, Giapettos objective function grows larger. For Giapetto, the values of x1 and x2 are limited by the following three restrictions (often called constraints):
Each week, no more than 100 hours of finishing time may be used. Each week, no more than 80 hours of carpentry time may be used. Because of limited demand, at most 40 soldiers should be produced.
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Ex. 1 - Formulation continued

Constraints:
Constraint 1: Each week no more than 100 hours of finishing time may be used: 2x1 + x2 e 100 Constraint 2: Each week no more than 100 hours of finishing time may be used: x1 + x2 e 80 Constraint 3: Because of limited demand, at most 40 soldiers should be produced: x1 e 40 Sign restriction: xi can assume non-negative value x1 u 0 x2 u 0
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Ex. 1 - Formulation continued

Optimization Model: Max z = 3x1 + 2x2 (Objective Function) Subject to (s.t.) 2x1 + x2 e 100 x1 + x2 e 80 x1 e 40 x1 u0 x2 u 0
(Finishing constraint) (Carpentry constraint) (Constraint on demand for soldiers) (Sign restriction) (Sign restriction)

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