Shiqian Ma, SEEM 3440, Dept.

of SEEM, CUHK

Chapter 1
Introduction and Course Overview

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

1.1. What is Operations Research?

The application of mathematics and the scientific method to military operations was called operations research (in America) or
operational research (in Europe), but both are often shorted to
just OR.
Today, the term OR means a scientific approach to decision making,
which seeks to determine how best to design and operate a system,
usually under conditions requiring the allocation of scarce resources.

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

1.2. Elements of OR Problems and

Terminologies in OR
1.2.1. Elements of Most OR Problems
Decision Variables:
If there are n related quantifiable decisions to be made, they are
represented as decision variables (say, x1, x2, . . . , xn) whose respective values are to be determined.
Constraints:
Any restrictions on the values that can be assigned to the decision
variables are called constraints.

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

Objective Function:
In many OR problems, the decision maker wants to maximize (usually profit) or minimize (usually cost) a function of the decision
variables. The function to be maximized or minimized is called the
objective function.
Parameters:
The constants in the objective function and constraints are called
parameters.

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

1.2.2. Some Terminologies in OR

A solution:
Any specification
(x1, x2, . . . , xn).

of

values

for

the

decision

variables

A feasible solution:
A solution for which all the constraints are satisfied.
An infeasible solution:
A solution for which at least one constraint is violated.
The feasible region:
The collection of all feasible solutions. Note that it is possible for
a problem to have no feasible solutions.

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

An optimal solution:
A feasible solution that has the most favorable value of the objective
function, i.e., the largest value if the objective function is to be
maximized or the smallest value if the objective function is to be
minimized.

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

1.2.3. Example: Linear Programming (LP)

Problems
Maximize
z = 3x1 + 10x2
(Objective function)
subject to

2x1 + 7x2 14

x1
6
(Constraints)

x1
0

x2 0

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

x2

Decision variables: x1 and x2

Optimal solution: (x1 , x2) = (6, 2/7)
Optimal objective function value: z = 146/7.

x1

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

Remark: Methods discussed in OR1

Graphical Method
(Revised) Simplex Method
(Revised) Big-M Simplex Method
(Revised) Two-Phase Simplex Method
Dual Simplex Method

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

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1.3. Integer Programming (IP)/ Integer

Linear Programming (ILP)/ Linear
Integer Programming (LIP)
Maximize z = 3x1 + 10x2
subject to
2x1 + 7x2 14
x1
6
x1 0, x2 0,
x1, x2 integers.

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

11

x2

x1

Question: How to find the optimal solution and the corresponding optimal value?

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

1.4. Nonlinear Programming (NLP)

1.4.1. Unconstrained Optimization /
Unconstrained NLP

12

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

13

1-Dimensional Unconstrained Optimization

min
x

f (x) = 12x6 + 3x4 12x + 7.

10
9
8
7

f(x)

6
5
4
3
2
1
0
0.2 0.1

0.1

0.2

0.3

0.4
x

0.5

0.6

0.7

0.8

0.9

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

14

n-Dimensional Unconstrained Optimization (n 2)

f (x1, x2) = 15x1 + 30x2 + 4x1x2 2x21 4x22.

max

x1 ,x2

300

f(x1,x2)

200

100

100
16
14
12
10
8
x2

10

12

14
x1

16

18

20

22

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

1.4.2. Constrained NLP

Maximize z = 3x1 + 5x2
subject to
x1
4
9x21 + 5x22 216
x1 0, x2 0.

15

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

Maximize z = 126x1 9x21 + 182x2 13x22

subject to
x1
4
2x2 12
3x1 + 2x2 18
x1 0, x2 0.

16

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

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1.5. Dynamic Programming (DP)

1.5.1. Deterministic DP
Example (Deterministic Shortest Path Problem):
Find the shortest path from City 1 to City 9.
4
5

7
4

1
0

3
5

3
6

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

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1.5.2. Stochastic DP / Probabilistic DP

Example (Stochastic Inventory Problem):
Find a production policy that minimizes the expected cost of keeping
an inventory.

Total
Purchasing

Shortage
Holding

= /production +
.
+
inventory

cost

cost

cost
cost

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

19

1.6. OR Software
In practice, where typical OR problems may involve thousands of
variables and constraints, the only feasible way to solve such models is
to use the computer.

Excel Solver
Solver is an add-in package to Microsoft Office Excel that numerically solve some classes of OR problems.
It is particularly appealing to spreadsheet users.
It is capable of solving LP, MILP and NLP problems (locally).

Shiqian Ma, SEEM 3440, Dept. of SEEM, CUHK

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Some Modeling Languages/Software

AIMMS (Advanced Integrated Multi-dimensional Modeling Software) (1993)
See http://www.aimms.com
AMPL (A Mathematical Programming Language) (Early 1980)
See http://www.ampl.com
GAMS (General Algebraic Modeling System) (1970s)
See http://www.gams.com
MPL (Mathematical Programming Language) (Early 1990)
See http://www.maximal-usa.com/mpl
LINDO/LINGO (1987)
See http://www.lindo.com