Course Objectives

Engineers and managers are constantly attempting to optimize, particularly in the design, analysis, and operation of complex systems. The course seeks to:

to present a range of applications of linear programming and

network optimization problem in many scientific domains and industrial setting;

provide an in-depth understanding of the underlying theory of

linear programming and network flows;

to present a range of algorithms available to solve such

problems;

to give exposure to the diversity of applications of these

problems in engineering and management;

to help each student develop his or her intuition about algorithm

design, development and analysis.
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Course Topics Linear Programming

Formulating linear programs Applications of linear programming Linear algebra Simplex algorithm Duality theory Sensitivity analysis Integer programming: Applications and algorithms

Network Optimization

Shortest path problem Minimum spanning tree problem Maximum flow problem Minimum cost flow problem

Text Books:

M.S. Bazaraa, J. J. Jarvis, and H.D. Sherali, Linear Programming Winston, Wayne L., Operations Research : Applications and
Algoritms, Fourth Edition, Thomson, 2004
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and Network Flows : Second Edition," ISBN: 0-471-63681-9

Grading and Regrading Grading

Tugas: 20% Quiz: 30% Midterm Exam: 25% Final Exam: 25%

Regrading
If I have made a mistake in grading something, I will be happy

to correct it.
In order to receive a re-grade, you must contact/email me

within 48 hours of my handing back the test.

If a test is submitted for regrading, I have the right to regrade

the entire test. So it is possible to lose additional points. Therefore, it is strongly recommended that you do not ask for regrading unless you have substantial reason to believe that I made a mistake when originally grading the test.

OR Definition

Scientific approach to solve decision making problem for finding the best system design and operation, with limited resources (can also be defined as Management Science)

Characteristics of OR

Decision making is the main focus Economy si the effective criteria.

Depends on the formal mathematical model

Depends on computer

The steps of OR study 1.

Model formulation: Objective function (Max atau Min) Decision variables (controllable) Parameters (uncontrollable) Constraints Build mathematical model Do analytical Validity test of the model and solution Conduct sensitivitis analysis Implementation

2. 3. 4. 5. 6.

The steps of OR study

N
C O N T R O L

Management Problems

Mathematic Model

Solution

IMPLEMENTATION

Observation

SYSTEM

Data Collection

TI091306/OR1/sew/2012 /#1

INTRODUCTION TO LINEAR PROGRAMMING

CONTENTS

Introduction to Linear Programming

Applications of Linear Programming
Reference: Chapter 1 in BJS book.

A Typical Linear Programming Problem

Linear Programming Formulation:
Minimize c1x1 + c2x2 + c3x3 + . + cnxn

subject to a11x1 + a12x2 + a13x3 + . + a1nxn b1 a21x1 + a22x2 + a23x3 + . + a2nxn b2 : : am1x1 + am2x2 + am3x3 + . + amnxn bm or, x1, x2, x3 , ., xn 0

Minimize subject to

j=1, n cjxj
for all i = 1, , m

j=1, n aijxj +xn+i = bi

xj 0 for all j =1, , n+m Note:- xn+i is the slack variable corresponding to ith equation.
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Matrix Notation
Minimize cx subject to
Ax = b x0 where
c1 x1 x2 : : xn Xn+1 : : Xn+m

a11 a21

a12 a22 : : am2

.. ..

a1n a2n : : amn

1 1 : : 1

b1 b2

c2 : : cn 0 : : 0

A=

: : am1

b=

: : bm

c=

x=

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Features of a Linear Programming (LP) Problem Decision Variables We minimize (or maximize) a linear function of decision
variables, called objective function.

The decision variables must satisfy a set of constraints. Decision variables have sign restrictions.

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An Example of a LP Giapettos woodcarving manufactures two types of wooden

toys: soldiers and trains
Soldier Selling Price Raw Material required Variable Cost Finishing Labor required Carpenting labor required $27 $10 $14 2 hrs 1 hr Train $21 $9 $10 1 hr 1 hr

Constraints:
100 finishing hour per week available 80 carpentry hours per week available produce no more than 40 soldiers per week

Objective: maximize profit

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An Example of a LP (cont.)
Linear Programming formulation:

Maximize z = 3x1 + 2x2 subject to 2x1 + x1 + x1 x1 x2 100 x2 80 40 0 x2 0

(Obj. Func.)

(Finishing constraint) (Carpentry constraint) (Bound on soldiers) (Sign restriction) (Sign restriction)

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Assumptions of Linear Programming Proportionality Assumption

Contribution of a variable is proportional to its value.

Additivity Assumptions
Contributions of variables are independent.

Divisibility Assumption
Decision variables can take fractional values.

Certainty Assumption
Each parameter is known with certainty.

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Linear Programming Modeling and Examples Stages of an application:

Problem formulation Mathematical model Deriving a solution Model testing and analysis Implementation

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Capital Budgeting Problem Five different investment opportunities are available for
investment.

Fraction of investments can be bought and cannot more

than one

Money available for investment:

Time 0: $40 million Time 1: $20 million

Maximize the NPV of all investments.

Inv.1 Time 0 cash Outflow Time 1 cash Outflow NPV $11 $3 $17 Inv. 2 $5 $6 $16 Inv. 3 $5 $5 $16 Inv. 4 $5 $1 $14 Inv. 5 $29 $3 $39

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Solution: Capital Budgeting Problem

Decision Variables: xi: fraction of investment i purchased Formulation: Maximize z = 13x1 + 16x2 + 16x3 + 14x4 + 39x5

subject to
11x1 + 53x2 + 5x3 + 5x4 + 29x5 3x1 + 6x2 + 5x3 + x4 + 34x5 x1 x2 x3 x4 40 20 1 1 1 1 x5 1 x 1, x 2, x 3, x 4, x 5 0

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Transportation Problem The Brazilian coffee company processes coffee beans into
coffee at m plants. The production capacity at plant i is ai.

The coffee is shipped every week to n warehouses in major

cities for retail, distribution, and exporting. The demand at warehouse j is bj.

The unit shipping cost from plant i to warehouse j is cij. It is desired to find the production-shipping pattern xij from
plant i to warehouse j, i = 1, .. , m, j = 1, , n, that minimizes the overall shipping cost.

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Solution: Transportation Problem

Decision Variables: xij: amount shipped from plant i to warehouse j Formulation:
m n

Minimize z = subject to

i=1j=1 n

cijxij

j=1

xij
m

= ai, i = 1, , m bj, j = 1, , n

i=1

xij

xij 0, i = 1, , m, j = 1, , n
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Static Workforce Scheduling Number of full time employees on different days of the week
are given below.

Each employee must work five consecutive days and then

receive two days off.

The schedule must meet the requirements by minimizing

the total number of full time employees.
Day 1 = Monday Day 2 = Tues. Day 3 = Wedn. Day 4 = Thurs. Day 5 = Friday Day 6 = Satur. Day 7 = Sunday
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17 13 15 19 14 16 11

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Solution: Static Workforce Scheduling

LP Formulation: Min. z = x1+ x2 + x3 + x4 + x5 + x6 + x7 subject to x1 + x4 + x5 + x6 + x7 x1+ x2 + x5 + x6 + x7 x1+ x2 + x3 + x6 + x7 x1+ x2 + x3 + x4 + x7 x1+ x2 + x3 + x4 + x5 x2 + x3 + x4 + x5 + x6 x3 + x4 + x5 + x6 + x7 17 13 15 19 14 16 11

x1, x2, x3, x4, x5, x6, x7 0

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Multi-Period Financial Models

Determine investment strategy for the next three years Money available for investment at time 0 = $100,000 Investments available : A, B, C, D & E No more than $75,000 in one invest Uninvested cash earns 8% interest Cash flow of these investments:

A B C D E

0 -1 0 -1 -1 0

1 + 0.5 -1 + 1.2 0 0

2 +1 + 0.5 0 0 -1

3 0 +1 0 + 1.9 + 1.5

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Multi-Period Workforce Scheduling Requirement of skilled repair time (in hours) is given below. At the beginning of the period, 50 skilled technicians are
available.

Each technician is paid $2,000 and works up to 160 hrs per

month.

Each month 5% of the technicians leave. A new technician needs one month of training, is paid
$1,000 per month, and requires 50 hours of supervision of a trained technician.

Meet the service requirement at minimum cost.

Month 1 6,000 Month 2 7,000 Month 3 8,000 Month 4 9,500 Month 5 11,000

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Solution: Multiperiod Financial Model

Decision Variables: A, B, C, D, E : Dollars invested in the investments A, B, C, D, and E St: Dollars invested in money market fund at time t (t = 0, 1, 2) Formulation: Maximize z = B + 1.9D + 1.5E + 1.08S2

subject to
A + C + D + S0 = 100,000 0.5A + 1.2C + 1.08S0 = B + S1 A + 0.5B + 1.08S1 = E + S2 A 75,000 B 75,000 C 75,000 D 75,000 E 75,000 A, B, C, D, E, S0, S1, S2 0
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Solution: Multiperiod Workforce Scheduling

Decision Variables: xt: number of technicians trained in period t yt: number of experienced technicians in period t Formulation: Minimize z = 1000(x1 + x2 + x3 + x4 + x5) + 2000(y1 + y2 + y3 + y4 + y5)

subject to 160y1 160y2 160y3 160y4 160y5 - 50 x1 - 50 x2 - 50 x3 - 50 x4 - 50 x5

6000 7000 8000 9500 11000

0.95y1 0.95y2 0.95y3 0.95y4

y1 = 50 + x1 = y2 + x2 = y3 + x3 = y4 + x4 = y5

xt, yt 0, t = 1, 2, 3, , 5
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Cutting Stock Problem (contd.)

Formulation:
Minimize subject to

i=1,n xi

i=1,n aij xi bi
xi 0 xi integer

i = 1, , m j = 1, , n j = 1, , n

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13

Feasible Region
Feasible Region: Set of all points satisfying all the constraints and all the sign restrictions

Example: Max. z = 3x1 + 2x2 subject to 2x1 + x2 100 x1 + x2 80 x1 40 x1 0 x2 0

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Example 1

Maximize z = 50x1 + 100x2 subject to 7x1 + 2x2 2x1 + 12x2 x1, x2 28 24 0

Feasible region in this example is unbounded.

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Example 2
Maximize z = 3x1+ 2x2 subject to 1/40x1 + 1/60x2 1/50x1 + 1/50x2 x1 30 x2 20 x1, x2 0 1 1

This linear program does not have any feasible solutions.

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Example 3
Max. z = 3x1+ 2x2 subject to 1/40 x1 1/50 x1 x 1, x 2 0 + 1/60x2 1 + 1/50x2 1

This linear program has multiple or alternative optimal solutions.

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Cutting Stock Problem A manufacturer of metal sheets produces rolls of standard

fixed width w and of standard length l.

A large order is placed by a customer who needs sheets of

width w and varying lengths. He needs bi sheets of length li, i = 1, , m.

The manufacturer would like to cut standard rolls in such a

way as to satisfy the order and to minimize the waste.

Since scrap pieces are useless to the manufacturer, the

objective is to minimize the number of rolls needed to satisfy the order.

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Cutting Stock Problem (contd.) Given a standard sheet of length l, there are many ways of
cutting it. Each such way is called a cutting pattern.

The jth cutting pattern is characterized by the column

vector aj, where the ith component, namely, aij, is a nonnegative integer denoting the number of sheets of length li in the jth pattern.

Note that the vector aj represents a cutting pattern if and

only if

i=1,n aijli l and each aij is a nonnegative number.

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