Linear programming. Goal of linear programming.

Linear programming.
Goal of linear programming.

Operational Research – Practice No. 4 Goal of linear programming.

We have given some problem with its limitations.
Pavel Kolman We also know the criterion, that we want to optimize (maximize or
minimize).
Department of Statistics and Operation Analysis
PEF MZLU Within this limitations we want to find that point(s), where that
criterion will be optimal.
February 8, 2009 This point(s) is called optimal solution.
Optimal solution = best solution according to that criterion.

Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 1 / 14 Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 2 / 14

Linear programming. Goal of linear programming. Linear programming. Construction of mathematical model.

Linear programming. Linear programming.

Mathematical model of LP problem construction and it’s solving.

Linear programming problem includes:

Objective function:
Zmin / max = c1 x1 + c2 x2 + · · · + cn xn
Set of constraints:
a11 x1 + a12 x2 + · · · + a1n xn
a21 x1 + a22 x2 + · · · + a2n xn R b2
..
. (2)
am1 x1 + am2 x2 + · · · + amn xn R bm
Non-negativity constraints:
x1 , x2 . . . xn ≥ 0
(1) Example
For tea mixture production A and B kind is used chinese and indian
R b1 tea. 1 kg of A tea mixture contains 0, 5 kg of chinese and 0, 5 kg of
indian tea. 1 kg of B tea mixture contains 0, 25 kg of chinese and
0, 75 kg of indian tea. It is available 12 t of chinese and 15 t of indian
tea. Expected profit is $ 10 for 1 kg of A tea mixture and $ 12 for 1 kg
of B tea mixture. The producer has already contracted 10 t of B tea
mixture. How can producer maximize the profit?
(3)

Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 3 / 14 Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 4 / 14
 Linear programming. Construction of mathematical model. Linear programming. Solving of linear programming problems.

Linear programming. Linear programming.

Mathematical model of LP problem construction and it’s solving. Solving of linear programming problems.

Example
Bank plans provide credits in given total amount. Provided credits are Solving of LP problems
classified according to risk rate into 3 groups: A, B and C. Rate of
We know, how to easily solve LP problems.
interest in A group credits is 12 % p.a., in B group credits is 14 % p.a.
and in C group credits is 17 % p.a. Risk rate for groups A, B and C is All LP problems can be solved by simplex method.
classified by coefficients 1, 2 and 4. In C group can be maximally 15 % Some of LP problems can be solved graphically.
of provided credits, in A group can be at least 20 % of provided credits. In case, that number of variables is equal to 2, we can solve this LP
Weighted risk rate should not exceed rate 2. How many percent should problem also graphically.
be divided into groups A, B and C, so that was maximized the
estimated total profit?

Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 5 / 14 Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 6 / 14

Linear programming. Solving of linear programming problems. Linear programming. Solving of linear programming problems.

Linear programming. Linear programming.

Graphical solving of LP problems. Graphical solving of LP problems.

Solutions in Graphical solving of LP problem:

Graphical solving of LP problems
1 area of feasibility is convex polyedr
Possible only for n = 2 variables. 1 basic optimal solution
As constraints can occur equations and inequations. 2 basic optimal solutions and ∞ many non-basic optimal solutions
Equations we draw as lines. 2 area of feasibility is unbound convex set
Inequations we draw as half-planes. 1 basic optimal solution
1 basic optimal solution and ∞ many non-basic optimal solutions
Intersection of all constraints is area of feasibility. 2 basic optimal solutions and ∞ many non-basic optimal solutions
Area of feasibility is convex set. LP problem does not have finite optimal solution
3 LP problem does not have feasible solution

Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 7 / 14 Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 8 / 14
 Linear programming. Solving of linear programming problems. Linear programming. Solving of linear programming problems.

Linear programming. Linear programming.

Graphical solving of LP problem. Types of solutions.

Graphically solve this LP problem: Types of solutions:

Zmax = − 2x1 − x2 In Operational Research we define and use these types of solutions:
x1 − 3x2 ≤ −1 optimal solution
2x1 + x2 ≥ 5
basic × non-basic solution
x1 − 3x2 ≥ −13
3x1 − x2 ≥ 0 feasible × infeasible solution
x1 , x2 ≥ 0 degenerate × non-degenerate solution

Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 9 / 14 Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 10 / 14

The simplex method. The simplex method.

The simplex method. The simplex method.

The simplex method as universal algorithm. Canonical form.

New variables in canonical form:

Solving of LP problems.
For solving of LP problems exists universal algorithm, that is able to
find in a polynomial time the best solution – simplex method.
If we want to use simplex method algoritm, we have to convert LP
problem into canonical form. For obtaining canonical form we use
2 new kinds of variables:
Additional variable, that converts inequation into equation.
Objective function coefficient of additional variable is 0.
Artificial variable, that ensures the basis in canonical form.
Objective function coefficient of artificial variable is −M for Zmax
and +M for Zmin .

Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 11 / 14 Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 12 / 14
 The simplex method. The simplex method.

The simplex method. The simplex method.

Canonical form.

Solve this LP problem with simplex method:

How to obtain canonical form:
If the constraints is defined as ≤, we add additional variable.
If the constraints is defined as =, we add artificial variable.
If the constraints is defined as ≥, subtract additional variable and
add artificial variable.
For tea mixture production A and B kind is used chinese and indian
tea. 1 kg of A tea mixture contains 0, 5 kg of chinese and 0, 5 kg of
indian tea. 1 kg of B tea mixture contains 0, 25 kg of chinese and
0, 75 kg of indian tea. It is available 12 t of chinese and 15 t of indian
tea. Expected profit is $ 10 for 1 kg of A tea mixture and $ 12 for 1 kg
of B tea mixture. The producer has already contracted 10 t of B tea
mixture. How can producer maximize the profit?

Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 13 / 14 Pavel Kolman (PEF MZLU) Operational Research – Practice No. 4 February 8, 2009 14 / 14