aaoC zC222 optimization

BITS Pilani
K K Birla Goa Campus

Dr. Anil Kumar

Assistant Professor, Department of Mathematics January 11, 2013

Contents

Formulation of Linear Programming Problems Solution of Linear Programming Problems Graphical Method Exceptional Cases

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Formulation of LPP
Three basic steps in constructing a linear programming model: Identify the unknown variables to be determined (decision variables) and represent them in terms of algebraic symbols. Identify all the restrictions or constraints in the problem and express them as linear equations or inequalities which are linear functions of the unknown variables. Identify the objective or criterion and represent it as a linear function of the decision variables, which is to be maximized or minimized.

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Example-1
A Retired person wants to invest up to an amount of Rs. 30000 in fixed income securities. His broker recommends investing in two bonds: Bond A yielding 7% and Bond B yielding 10%. After some consideration, he decides to invest at most Rs. 12000 in Bond B and at least Rs. 6000 in Bond A. He also wants the amount invested in Bond A to be at least equal to the amount invested in Bond B. What should the broker recommended if the investor wants to maximize his returns on investment? Formulate this problem as a linear programming problem.

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Solution

Let x1 : amount invested in Bond A and x2 : amount invested in Bond B.

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Example-2
Therefore, LPP in final form Max Z = 0.07 x1 + 0.10 x2 Subject to x1 + x2 30000 x1 6000 x2 12000 x1 x2 0 x1 0, x2 0

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Solving Linear Programming Problems

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Solution
Any values of x1, x2 that satisfy all the Constraints (main as well as non-negativity constraints) constitute a feasible solution. Otherwise the solution is infeasible. A feasible solution which optimizes the objective function value of the given LP is called an optimum feasible solution. Aim: The aim of the problem is to find the best (optimal) feasible solution. We need a systematic procedure that will locate the optimum solution in a finite number of steps.
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Solution

To do that we need to know how many feasible solutions the problem has. We will see that there are infinitely many solutions; which makes it impossible to solve the problem by enumeration. Instead, we need a systematic procedure that will locate the optimum solution in a finite number of steps.

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GRAPHICAL METHOD

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Graphical Method
The graphical procedure includes two steps: Determination of the feasible solution space. (The feasible solution space of the problem represents the area in the first quadrant in which all the constraints are satisfied simultaneously.) Determination of the optimum solution from among all the feasible points in the solution space.

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Solving LPP by Graphical method

Step 1. Determination of the feasible solution space: Draw the variable constraints (e.g. the non negativity restrictions on the decision variables restrict the solution space to the first quadrant only) Draw the main constraints by changing the inequalities into equations and graph the resulting straight lines by locating two distinct points. Draw an arrow in the direction of the inequality.

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Step 2: Determination of the optimum solution. The optimum solution lies on one of the corner points of the feasible solution space

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Example 1
Maximize Subject to: x+ y x+2y2 x3 y4 x 0y 0

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Solution
y
4

Optimal Solution

Maximize x + y
3

Subject to x+2y2 x3 y4 x0 y0

Feasible Region

0 0 1 2 3

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Example 1
y
4

Optimal Solution

Maximize

x+y
3

Subject to: x + 2 y 2 x3 y4
1 2

Feasible Region

x0 y0
0 0 1 2 3
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Example 2

Minimize Subject to:

x + 1/3 y x + y 20 -2 x + 5 y 150 x5 x 0 y 0

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Solution
y
40

Minimize

x + 1/3 y
30

Subject to: x + y 20 -2 x + 5 y 150 x5 x 0 y 0

Optimal Solution

20

Feasibl e Region

10

x
0 0 10 20 30 40

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Steps for solving the LPP by Graphical method

Determination of the optimum solution. The optimum solution lies on one of the corner points (vertices) of the feasible region (PF).

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A Fundamental Point
Example 2: Optimal Solution
y
40 30 20 10 0 0 10 20 30 40

Example 1: Optimal Solution

y
4 3 2 1 0 0 1 2 3

If an optimal solution exists, there is always a corner point optimal solution for LPP!

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Example 3
Maximize Z = x + 5y

Subject to:

-x + 3y 10 x+y

x - y 2 x 0, y 0

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Graphical Solution
y
8

The Vertices are : (0, 0), (2, 0), (4, 2), (2, 4), (0,10/3)
6

Optimal Solution

( 2, 4 ) 4 ( 0, 10/3 ) 2 PF ( 4, 2 )

x
0 0 2 4 6 8

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Solution
The value of the objective function is computed at these are: Z = 0 at (0, 0) Z = 2 at (2, 0) Z = 14 at (4, 2) Z = 22 at (2 ,4) Z = 50/3 at (0, 10/3) Obviously, the maximum occurs at vertex (2, 4) with the maximum value 22. Hence, Optimal Solution: x = 2, y = 4, z = 22.

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Example 4
Minimize Subject to: -x + y 1 2x + y Z = x - 2y

x 0y 0

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Solution
y The Vertices are :
3

(0, 0), (1, 0), (0, 1), (1/3, 4/3)

2 ( 1/3, 4/3 ) 1 PF 0 0 1 2 3

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Solution
The value of the objective function is computed at these are: Z = 0 at (0, 0) Z = 1 at (1, 0) Z = -7/3 at (1/3, 4/3) Z = -2 at (0, 1) Obviously, the maximum occurs at vertex (1/3, 4/3) with the maximum value -7/3. Hence, Optimal Solution: x = 1/3, y = 4/3, z = -7/3.

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Graphical Solution to a 2-Variable LP Exceptional Cases

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 Some LPPs have an infinite number of solutions (alternative or multiple optimal solutions). Some LPPs have no feasible solutions (infeasible LPs). Some LPPs are unbounded: There are points in the feasible region with arbitrarily large (in a maximization problem) z-values.

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Example 1: Alternate Optimal Solution

Consider the following LPP

Max Z 3 x1 2 x2 subject to 1 1 x1 x2 1 40 60 1 1 x1 x2 1 50 50 x1 , x2 0

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Solution

Any point (solution falling on the line segment AE will yield an optimal solution of Z = 120.
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Case 2: Infeasible Solution

Infeasibility is a condition that arises when no value of the variable satisfy all the constraints simultaneously. i.e. there is no unique (single) feasible region. Remarks: Such a problem arises due to wrong model formulation with conflicting constraints. Infeasibility depends strictly on the constraints and has nothing to do with the objective function.

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Example 1
Some LPPs have no solution. For example:

Max Z 3 x1 2 x2 subject to 1 1 x1 x2 1 40 60 1 1 x1 x2 1 50 50 x1 30 x2 30 x1 , x2 0

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Solution

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Example 2
x2 M axim ize Z x1 2 s.t. 3 x1 2 x 2 12 5 x1 10 x1 x 2 8 x1 x 2 4 x1 , x 2 0

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M axim ize Z x1 s.t. 3 x1 2 x 2 12 5 x1 10 x1 x 2 8 x1 x 2 4 x1 , x 2 0

x2 2

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Case 3: Unbounded Solution

Sometimes an LP problem will not have a finite solution i.e. when one or more decision variable values and the value of the objective function (max.) are permitted to increase infinitely without violating the feasibility condition, then the solution is said to be unbounded. The general cause for an unbounded LP problem is a mistake in mathematical model formulation. Difference between a feasible region being unbounded and an LP problem being unbounded.
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Example

Max Z 2 x1 x2 s.t. x1 x2 1 2 x1 x2 6 x1 , x2 0

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Solution

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Redundant Constraint(s)
Plotting of each of the constraints on the graph serves to determine the feasible region of the given LPP. If and when a constraint, when plotted, does not form part of the boundary marking the feasible region of the problem, it is said to be redundant. The inclusion or exclusion of a redundant constraint does not affect the optimal solution to the problem.

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Example
Consider the following LPP:

max z 40 x1 35 x2 s.t. 2 x1 3x2 60 4 x1 3x2 96 4 x1 3.5 x2 105 x1 , x2 0

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Solution

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Thanks

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