Lecture 1a:

Linear Programming Problem (LPP): A Closer Look

Jeff Chak-Fu WONG
Department of Mathematics
Chinese University of Hong Kong
jwong@math.cuhk.edu.hk

MAT581SS
Mathematics for Logistics
Produced by Jeff Chak-Fu WONG

ABLE OF

TABLE OF C ONTENTS
1. INTRODUCTION
2. MATHEMATICAL FORMULATION OF LINEAR PROGRAMMING
PROBLEM
3. STATEMENTS OF BASIC THEOREMS AND PROPERTIES

C ONTENTS

ABLE OF

TABLE OF C ONTENTS
1. General Formulation of Linear Programming Problems
2. Standard Form of Linear Programming Problem
3. Matrix Form of Linear Programming Problem
4. Definitions
5. Basic Assumptions
6. Fundamental Theorem of Linear Programming

C ONTENTS

G ENERAL F ORMULATION OF L INEAR P ROGRAMMING P ROBLEMS

G ENERAL F ORMULATION OF L INEAR P ROGRAMMING P ROBLEMS

In order to find the values of n decision variables

x1 , x2 , , xj , , xn to maximise or minimise the objective function
(1)

z = c1 x1 + c2 x2 + + cn xn
and also satisfy m-constraints
a11 x1 + + aij xj + + a1n xn (=)b1
a21 x1 + + a2j xj + + a2n xn (=)b2
..
..
.

.
ai1 x1 + + aij xj + + ain xn (=)bi
..
..
.

.
am1 x1 + + amj xj + + amn xn (=)bm

G ENERAL F ORMULATION OF L INEAR P ROGRAMMING P ROBLEMS

(2)

The above formulation may be put as

n
X

n
X

z=
cj xj subject to
aij xij =
bi , i = 1, 2, , m
j=1
j=1

and, xj 0, j = 1, 2, , n.
where constraints may be
in the form of an inequality ( or ) or
even in the form of an equation (=)
and finally satisfying the non-negativity restrictions
x1 0, x2 0, , xj 0, , xn 0

G ENERAL F ORMULATION OF L INEAR P ROGRAMMING P ROBLEMS

(3)

Remark:
By convention, the values of right hand side parameters
bi (i = 1, 2, 3, , m) are restricted to non-negative values only.
Any negative bi can be changed to positive by multiplying 1
on both sides (in this case direction of inequality will change).

G ENERAL F ORMULATION OF L INEAR P ROGRAMMING P ROBLEMS

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

The standard form of the LPP is used to develop the general

procedure for solving any LPP.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

The characteristics of the standard form are explained in the

following steps:

Step 1 All the constraints should be converted to equations excepts

for the non-negativity restrictions which remain as inequalities ( 0).
Constraints of the inequality type can be changed to equations by augmenting (adding or
subtracting) the left side of each such constrain by non-negative variables.
These variables are called slack variables and are added if the constraints is of () type
or subtracted if the constraint is of () type.
Since in the case of type constraint, the subtracted variable represents the surplus of
the left side over the right side, often refer to it as surplus variables. A surplus is nothing
but a negative slack.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Example 1 Consider the constraints

3x1 4x2

x1 + 2x2

These constraints can be changed to equations by introducing

a surplus variables s1 and
a slack variable s2
as follows:
3x1 4x2 s1 = 7

, s1 0

5x1 + 2x2 +s2 = 3

, s2 0

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Step 2 The right side element of each constraint should be made

non-negative, if required.
This is the standard constraint equation.
Example 2 The equation
3x1 4x2 2
can be written in the form
3x1 4x2 s1 = 2
by introducing surplus variables s1 0. Again, multiplying both sides by
1, we get
3x1 + 4x2 + s1 = 2
which is in the standard form.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Step 3 All variables must have non-negative values.

A variable which is unrestricted in sign (i.e., + ve, ve, or 0) is
equivalent to the difference between
two non-negative variables.
Thus, if x is unconstrained in sign, it can be replaced by (x x )
where
x and x are both non-negative, i.e., x 0 and x 0.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

13

Step 4 The objective function should be maximisation form.

The minimisation of a function f (x) is equivalent to the maximisation
of the negative expression of this function f (x), i.e.,
min f (x) = max {f (x)}

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

14

Example 3 The linear objective function

Minimise z = c1 x1 + c2 x2 + + cn xn is equivalent to
Max z = max(z) = c1 x1 cn xn
with z = z .

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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So, the general form of LPP with constraints is:

Maximise z = c1 x1 + c2 x2 + + cn xn + 0xn+1 + + 0xn+m
subject to
a11 x1 + + a1n xn + xn+1 = b1
a21 x1 + + a2n xn + xn+2 = b2
..
.

am1 x1 + + amn xn + xn+m = bm

x1 0, x2 0, , xn 0, xn+1 0, xn+m 0.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Remark:

The coefficient of slack variables

xn+1 , xn+2 , , xn+m
|
{z
}
mterms

in the objective function are assumed to be zero, so that the

conversion of constraints to a system of simultaneous linear
equations does not change the function to be optimised.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Definition of slack variabels

If the constraints of a general LPP be

n
X

aij xj bi

i = 1, 2, , m

(4)

j=1

then non-negative variables si which are introduced to convert the

inequalities (4) to the equalities
n
X

aij xj +si = bi

(i = 1, 2, , m) are called slack variabels.

j=1

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Definition of surplus variables

If the constraints of a general LPP be

n
X

aij xj bi (i = 1, 2, , m)

(5)

j=1

then the non-negative variables si which are introduced to convert

the inequalities (5) to the equalities
n
X

aij xj si = bi

(i = 1, 2, , m) are called surplus variables.

j=1

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Example 4 Express the following LPP in the standard form

Maximise z = 2x1 + 3x2 + x3
subject to the constraints
4x1 3x2 + x3 6
x1 + 5x2 7x3 4
x1 , x3 0, x2 is unrestricted

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

20

Solution:
As x2 is unrestricted x2 = x2 x2 , where x2 , x2 0.
The given LPP becomes
Maximise z = 2x1 + 3(x2 x2 ) + x3
subject to
4x1 3x2 + 3x2 + x3 6
x1 + 5x2 5x2 7x3 4
x1 , x2 , x2 , x3 0

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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 Introduce the slack variable s1 and the surplus variable s2 .

Convert the second constraint into type by multiplying both sides
by 1.
Now, the LPP becomes
Maximise z = 2x1 + 3x2 3x2 + x3 + 0s1 + 0s2
subject to
4x1 3x2 + 3x2 + x3 + s1 = 6
x1 5x2 + 5x2 + 7x3 + s2 = 4
x1 , x2 , x2 , x3 , s1 , s2 0
which is in the standard form.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Example 5 Express the following LPP in the standard form

Maximise z = 3x1 + 2x2
subject to
x1 + x2 2
3x1 + 4x2 12
x1 , x2 0

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Solution:
Introducing slack and surplus variables, the problem in the standard form
can be expressed as
Maximise z = 3x1 + 2x2 + 0s1 + 0s2
subject to
2x1 + x2 + s1 = 2
3x1 + 4x2 s2 = 12
x1 , x2 , s1 , s2 0

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Example 6 Express the following linear programming problem in the

standard form.
Maximise z = 3x1 + 2x2 + 5x3
subject to
2x1 3x2

x1 + 2x2 + 3x3

3x1 + 2x3

x1 0, x2

0.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Solution:
Here, x1 and x2 are restricted to be non-negative, while x3 is
unrestricted.
Let us express x3 as x3 = x3 x3 , where x3 0, x3 0.
Thus, the above constraints can be written as
2x1 + 3x2 3
x1 + 2x2 + 3x3 3x3 5
3x1 + 2x3 2x3 2
x1 , x2 , x3 , x3 0

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Introducing the slack and surplus variables then the standard form is
Maximise z = 3x1 + 2x2 + 5x3 5x3 + 0s1 + 0s2 + 0s3
subject to
2x1 3x2 + s1

=3

x1 + 2x2 + 3x3 3x3 + s2

=5

3x1 + 2x3 2x3 + s3

=2

where
x1 , x2 , x3 , x3 , s1 , s2 , s3 0.

S TANDARD F ORM OF L INEAR P ROGRAMMING P ROBLEM

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M ATRIX F ORM OF L INEAR P ROGRAMMING P ROBLEM

M ATRIX F ORM OF L INEAR P ROGRAMMING P ROBLEM

28

The linear programming problem in the standard form (1),(2),(3) can

be expressed in the matrix form as follows:
Maximise z
subject to AX
X

= CX (objective function)
= b, b 0

(constraint equation)

0 (non negativity restriction)

where, X = [x1 x2 xn xn+1 xn+m ]T

C = [c1 c2 cn 0 0 0]
b = [b1 b2 bm ]T

a11 a12

a
21 a22
A=
..
..
.
.

am1

am2

M ATRIX F ORM OF L INEAR P ROGRAMMING P ROBLEM

a1n

a2n

..
.

amn

m,m+n

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Remark:

a11

a
21
A=
..
.

am1

a12
a22

a1n

a2n

..
.

..
.

am2

amn

Say
A = [Cmn |Bm,m ]

M ATRIX F ORM OF L INEAR P ROGRAMMING P ROBLEM

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 The vector X is assumed to include the decision variables, that

is slack variables.
For convenience, X is used to represent all types of variables.
The vector C gives the corresponding coefficient of the
objective function.
E.g., if the variable is slack, its corresponding element is zero.

M ATRIX F ORM OF L INEAR P ROGRAMMING P ROBLEM

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Example 7 Express the following LPP in the matrix form

Maximise z = 2x1 + 3x2 + 4x3
subject to
x1 + x2 + x3

x1 + 2x2

=7

5x1 2x2 + 3x3

x1 0, x2 0, x3

0.

M ATRIX F ORM OF L INEAR P ROGRAMMING P ROBLEM

32

Solution:
The problem can be written as in standard form as

or,

Maximise z = 2x1 + 3x2 + 4x3 + 0x4 + 0x5

x1

x
2

Maximise z = [2 3 4 0 0] x3

x4

x5

subject to
x1 + x2 + x3 x4

=5

x1 + 2x2

=7

5x1 2x2 + 3x3 + x5

=9

M ATRIX F ORM OF L INEAR P ROGRAMMING P ROBLEM

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or,
1
5

x1

0
x2

0
x3

1
x4
x5

Thus, X = [x1 x2 x3 x4
C = [2 3 4 0 0]
b = [5 7 9]T and

1
1 1 1 0

A=
2 0
0 0
1
5 2 3
0 1

= 7

x5 ]T

M ATRIX F ORM OF L INEAR P ROGRAMMING P ROBLEM

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D EFINITIONS
1. Solution to a LPP
A set X = {x1 , x2 , , xn+m } of variables is called a solution to a
LPP, if it satisfies the set of constraints (2) only.

D EFINITIONS

Recall that m-constraints:

a11 x1 + + aij xj + + a1n xn (=)b1
a21 x1 + + a2j xj + + a2n xn (=)b2
..
..
.

.
ai1 x1 + + aij xj + + ain xn (=)bi
..
..
.

.
am1 x1 + + amj xj + + amn xn (=)bm

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2. Feasible solution
Any set X = {x1 , x2 , , xn+m } of variables is called a feasible
solution of the LPP, if it satisfies the set of constraints (2) and
non-negativity restrictions (3).

D EFINITIONS

Recall that m-constraints:

a11 x1 + + aij xj + + a1n xn (=)b1
a21 x1 + + a2j xj + + a2n xn (=)b2
..
..
.

.
ai1 x1 + + aij xj + + ain xn (=)bi
..
..
.

.
am1 x1 + + amj xj + + amn xn (=)bm
non-negativity restrictions:
x1 0, x2 0, , xj 0, , xn 0
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3. Basic solution

D EFINITIONS

A basic solution to (2) is a solution obtained by

setting any n variables (among m + n variables) equal to zero
and
solving for remaining m variables provided the determinant of
the coefficients of these m variables is non-zero.
Such m variables (any of them may be zero) are called
basic variables;
the remaining variables which are set as zero are called
non-basic variables.
Thus, the number of basic solutions must be at most C(m + n, m).
That is, the possible number of basic solutions will be C(m + n, m),
the number of combination of things taken m at a time.

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4. Basic feasible solution

D EFINITIONS

A basic solution to LPP is called as a basic feasible solution if it

satisfies the non-negative restriction.
Two types of basic feasible solutions are:
(i) Non-degenerate
All m basic variables are positive, and remaining n variables
will be zero.
(ii) Degenerate
A basic feasible solution is degenerate, if one or more basic
variables are zero.

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5. Optimum basic feasible solution

D EFINITIONS

A basic feasible solution to a LPP is said to be its optimum

solution if it optimises (maximises or minimises) the objective
function.

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6. Unbounded solution
If the value of the objective function z can be increased or
decreased indefinitely, such solutions are called unbounded
solutions.
Note: An optimum solution to a LPP means that z has a finite
maximum or finite minimum.

D EFINITIONS

40

Example 8

Find all the basic solutions to the following LPP

Maximise z = x1 + 3x2 + 3x3
subject to
x1 + 2x2 + 3x3

=4

2x1 + 3x2 + 5x3

=7

Find which of the basic solutions are

D EFINITIONS

(i) basic feasible

(ii) non-degenerate basic feasible
(iii) optimal basic feasible

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The possible number of basic solutions will be C(m + n, m), the number
of combination of things taken m at a time.
Since m + n = 3 and m = 2 in this problem, a basic solution can be
obtained by
setting any of the n variables equal to zero and
then solving the constraint equations.
The total number of basic solutions are

D EFINITIONS

C(3, 2) =

3!
= 3.
2!1!

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 Solutions in which all basic variables (xj ) are 0 will be basic

feasible;
solutions in which all basic variables are > 0 will be non-degenerate
(ND) basic feasible and
the basic feasible solution that optimises the objective function will be
the optimal basic feasible solution.

D EFINITIONS

43

Table 1 gives a summary of the characteristics of the various basic

solutions.
Table 1
S.No.

BV s

Non
BV s

Value of the
BV s

Value of the

Is the

given by the

objective

soln.

constraint

function

feasible

Is the

Is the

soln.

soln.

ND

feasible &
optimal

equations
1

x1 , x2

x3 = 0

x1 + 2x2 = 4
2x1 + 3x2 = 7

Yes

Yes

Yes

Yes

Yes

No

No

No

No

x1 = 2, x2 = 1
x1 + 3x3 = 4
2

x1 , x3

x2 , x3

x2 = 0

x1 = 0

2x1 + 5x3 = 7
x1 = 1, x3 = 1
2x2 + 3x3 = 4
3x2 + 5x3 = 7
x2 = 1, x3 = 2

The first two solutions are basic feasible; they are also non-degenerate
basic feasible solutions.
The first solution is the optimal one. Thus, the optimal solution
x1 = 2, x2 = 1, x3 = 0, with maximum of z = 5.

D EFINITIONS

44

Example 9 Show, using matrix-vector notation the following system of

linear equations has degenerate solutions

D EFINITIONS

2x1 + x2 x3 = 2
3x1 + 2x2 + x3 = 3

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Soltuion:
The given system of equations can be written as AX = b, where

D EFINITIONS

A=

x1

X = x2

x3

b=

2
3

46

Since A is of size 2 3, there can be C(3, 2) =

size 2 2
They are

3!
2!1!

= 3 submatrices of the

Any of them can be taken as a basis matrix B.

The variables not associated with the columns of these submatrices are
respectively x3 , x1 and x2 .

D EFINITIONS

47

First, let B =

, a basic solution to the given system is obtained

3 2
by setting x3 = 0 and solving the system

Or

x1
x2

2
3

2x1 + x2 = 2
3x1 + 2x2 = 3

x1 = 1, x2 = 0 (basic); x3 = 0 (non-basic)

D EFINITIONS

48

Similarly, for other two sub-matrices we get the solutions:

x2 = 5/3; x3 = 1/3 (basic); x1 = 0 (non basic)

Check:

5/3

1/3

and

Check:

2
3

x1 = 1, x3 = 0 (basic); x2 = 0 (non basic)

1 0 1
1 2

1 3
0 1 0

Since in two of these basic feasible solutions, one basic variable is zero,
they are degenerate solutions. The second solution (0, 5/3, 1/3) is not
feasible.
Thus, the remaining two degenerate basic feasible solutions are (1, 0, 0)
and (1, 0, 0).

D EFINITIONS

49

Example 10 Find all basic solution for the system of simultaneous

equation

D EFINITIONS

2x1 + 3x2 + 4x3 = 5

3x1 + 4x2 + 5x3 = 6

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Solution:
First decide the maximum possible number of basic solutions.
The possible number of basic solutions will be C(m + n, m), the number
of combination of things taken m at a time.
Here, we have m + n = 3 variables and m = 2 constraints.
Hence, the possible number of basic solutions are

D EFINITIONS

C(3, 2) =

3!
= 3.
2!(3 2)!

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1. Put x1 = 0, solve for x2 and x3 . The values obtained are

x2 = 1, x3 = 2.

3 4 5
1 0 1

2
4 5 6
0 1
2. Put x2 = 0, then we get x1 = 1/2, x3 = 3/2.

2 4 5
1 0 1/2

3 5 6
0 1
3/2
3. Put x3 = 0, then we get x1 = 2, x2 = 3.

2 3 5
1 0 2

3 4 6
0 1
3

D EFINITIONS

52

B ASIC A SSUMPTIONS

B ASIC A SSUMPTIONS

53

The linear programming problems are formulated on the basis of the

following assumptions.
1. P roportionality:
The contribution of each variable in the objective function on its usage of the
resources is directly proportional to the value of the variable.
I.e., if resource availability increases by some percentage, then the output shall also
increase by the same percentage.

2. Additivity:
Sum of the resources used by different activities must be equal to the total quantity of
resources used by each activity for all the resources individually or collectively.

3. Divisibility :
The variables are not restricted to integer values.

B ASIC A SSUMPTIONS

54

4. Certainity or Deterministic :
Coefficients in the objective function and the constraints are completely known and do not
change during the period under study in all the problems that are considered.

5. F initeness :
Variables and constraints are finite in number.

6. Optimality :
In a linear programming problem we determine the decision variables so as to optimise the
objective function of the LPP.

7. T he problem involves only one objective f unction namely

prof it maximisation or cost minimisation.

B ASIC A SSUMPTIONS

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