What is Operation Research?

OR professionals aim to provide a rational basis for

decision making by seeking to understand and
structure complex situations and to use this
understanding to predict system behavior and
improve system performance.

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What is Operation Research?
What is Operation Research?
What is Operation Research?
During World War II, British military leaders asked
scientists and mathematicians to analyze several
military problems, involving
• the deployment of radar
• the management of convoys, bombing,
antisubmarine, and mining operations.

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 What is Operation Research?

• The applications of mathematics and scientific method to

military operations was called
OPERATIONS RESEARCH.

• Today, operations research (or management science)

describes a scientific approach to decision making for
determining how best to design and operate a system,
usually under resource limitations.
• OR helps operations managers make decisions
when problems are complex and wrong decisions
are costly.
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What is Operation Research?

Operations research (also known as

management science) is a collection of
techniques based on mathematics and
other scientific approaches that finds
solutions to your problems.

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What is Operation Research?
The Methodology of Operations Research

Successful applications of operations research can

result in huge savings.
The literature is full of real-life examples, including:
• Reducing costs for energy production, inventory and shortage.
• Designing an optimal molding facility for steel production.
• Selecting the best blending combination for refineries.
• Scheduling trucks for a delivery company.
• Inventory management.
• Optimal equipment replacement scheduling.
• Optimal location of an airport.

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Deterministic vs Stochastic
Models
Deterministic models
assume all data are known with certainty
Stochastic models
explicitly represent uncertain data via
random variables or stochastic processes

 Deterministic models involve optimization

 Stochastic models characterize / estimate

system performance.
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Operation Research Models
Deterministic Models Stochastic Models

• Linear Programming • Discrete-Time Markov

Chains

• Network Optimization • Continuous-Time Markov

Chains

• Integer Programming • Queuing

• Nonlinear Programming • Decision Analysis

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Chapter 12

Review of Calculus and Probability

11.1 Review of Differential Calculus

 The limit is one of the most basic ideas in calculus.

 Definition: The equation

lim f ( x)  c
x a

means that as x gets closer to a (but not equal to a), the

value of f(x) gets arbitrarily close to c.
 It is also possible that limxa f ( x) may not exist.

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Example 1

1. Show that lim x 2  2 x  22  2(2)  0

x 2
1
2. Show that lim does not exist.
x 0 x

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Example 1

1. Show that lim x 2  2 x  22  2(2)  0

x 2
1
2. Show that lim does not exist.
x 0 x

Solution
1. To verify this result, evaluate x2-2x for values of x close
to, but not equal to, 2.
2. To verify this result, observe that as x gets near 0,
becomes either a very large positive number or a very
1 1
large x negative number.. Thus, as x approaches 0, x will
not approach any single number.

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 Definition: A function f(x) is continuous at
a point a if

lim f ( x)  f (a)
x a

If f(x) is not continuous at x=a, we say that

f(x) is discontinuous (or has a discontinuity)
at a.

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Example
 Bakeco orders sugar from Sugarco. The per-
pound purchase price of the sugar depends on
the size of the order. Let
x = number of pounds of sugar purchased by
Bakeco
f(x) = cost of ordering x pounds of sugar

Then
f(x) =25x for 0 ≤ x < 100
f(x) =20x for 100 ≤ x ≤ 200
f(x) =15x for x > 200
For all values of x, determine if x is continuous
or discontinuous.
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Example – cont’d

Solution
It is clear that
lim f ( x) and lim f ( x)
x100 x200

do not exist. Thus, f(x) is discontinuous at

x=100 and x=200 and is continuous for all
other values of x satisfying x ≥ 0.

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 Differentiation
 The derivative of a function f(x) at x = a
(written f’(a)] is defined to be
f (a  x)  f (a)
lim
x 0 x

 If this limit does not exist, then f(x) has no derivative at

x = a.
 We may think of f’(a) as the slope of f(x) at x = a. Thus,
if we begin at x = a and increase x by a small amount Δ,
then f(x) will change by an amount approximately equal
to Δf’(a).
 If f’(a)>0, then f(x) is increasing at x = a. If f’(a)<0,
then f(x) is decreasing at x = a.
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 Example
If a company charges a price p for a product, then it can sell
3𝑒 −𝑝 thousands units of the product. Then, 𝑓 𝑝 = 3000𝑝𝑒 −𝑝 is
the revenue.
For what values of p is f(p) decreasing?

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Differentiation
Higher Derivatives
 We define f(2)(a)=f ′′(a) to be the derivative of the
function f ′(x) at x=a.
 Similarly, we can define (if it exists) f(n)(a) to be the
derivative of f(n-1)(x) at x=a.

Taylor Series Expansion

 In our study of queuing theory , we will need the
Taylor series expansion of a function f(x).

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Differentiation
 Given that fn+1(x) exists for every point on the
interval [a,b], Taylor’s theorem allows us to write for
any h satisfying 0 ≤ h ≤ b – a,

i n
f (i ) (a) i f ( n1) ( p) n1
(1) f ( a  h)  f ( a )   h  h
i 1 i! (n  1)!
where (1) will hold for some number p between a and
a + h.
 Equation (1) is the nth-order Taylor series
expansion of the f(x) about a.

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Example 4
 Find the first-order Taylor series expansion of
e-x about x = 0.
Solution
Since f′(x) = -e-x and f′′(x) = e-x, we know that (1) will
hold on any interval [0,b]. Also, f(0) = 1, f′(0) = -1,
and f′′(x) = e-x. Then (1) yields the following first-
order Taylor series expansion for e-x about x=0:

This equation holds for some p between 0 and h.

2 p
h h e
e  f (h)  1  h 
2
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Differentiation
Partial Derivatives
 We now consider a function f of n>1 variables (x1, x2,
…,xn), using the notation f (x1, x2, …,xn) to denote
such a function.
 Definition: The partial derivative of (x1, x2, …,xn)
with respect to the variable xi is written
f , where
xi

f f ( x1 ,..., xi  xi ,..., xn )  f ( x1 ,..., xi ,..., xn )

 lim
xi xi 0 xi

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 Differentiation
 Suppose that for each i, we increase xi by a
small amount Δxi. Then the value of f will
increase by approximately
i n
f

i 1 xi
xi

 We will also use second-order partial

derivatives extensively. We use the notation
2
xi x j
to denote a second-order partial derivative.

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Review of Integral Calculus
 A knowledge of the basics of integral calculus
is valuable when studying random variables.
 Consider two functions: f(x) and F(x).
If F′(x)= f(x), we say that F(x) is the
indefinite integral of f(x).
 The fact that F(x) is the indefinite integral of
f(x) is written
F ( x)   f ( x)dx

 The definite integral of f(x) from x=a to x=b is

written

b
f ( x)dx
a
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 The Fundamental Theorem of Calculus
states that if f(x) is continuous for all x
satisfying a ≤ x ≤ b, then


b
f ( x)dx  F (b)  F (a)
a

where F(x) is any indefinite integral of f(x).

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Example
 Suppose that at time t (measured in hours,
and the present t=0), the rate a(t) at which
customer enter a bank is a(t)=100t. During the
next 2 hours, how many customers will enter
the bank?

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 12.2 Differentiation of Integrals
 In order to differentiate a function whose
value depends on an integral you should let
f(x, y) be a function of variables x and y, and
let g(y) and h(y) be functions of y. Then
F ( y)  
h( y )
f ( x, y )dx
g ( y)

is a function only of y.
 Leibniz’s rule for differentiating an
integral states that

f ( x, y)
F ( y)   f ( x, y)dx, then F ( y)  h( y) f (h( y), y)  g ( y) f ( g ( y), y)  
h( y ) h( y )
dx
g ( y) g ( y) y
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Example
𝑦 2 𝑦𝑑𝑥
For 𝐹 𝑦 = 1 𝑥
find 𝐹′ 𝑦 .

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12.3 Basic Rules of Probability
 Definition: Any situation where the outcome
is uncertain is called an experiment.
 Definition: For any experiment, the sample
space S of the experiment consists of all
possible outcomes for the experiment.
 For example, if we toss a die and are
interested in the number of dots showing,
then S={1,2,3,4,5,6}

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12.3 Basic Rules of Probability
 Definition: An event E consists of any
collection of points (set of outcomes) in the
sample space.
 Definition: A collection of events E1, E2,…,En
is said to be a mutually exclusive collection
of events if for i ≠ j (i=1,2,…,n and
j=1,2,…n), Ei and Ej have no points in
common.

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12.3 Basic Rules of Probability
 With each event E, we associate an event Ē. Ē
consists of the points in the sample space that
are not in E.
 With each event E, we also associate a number
P(E), which is the probability that event E will
occur when we perform the experiment.
 The probabilities of events must satisfy the
following rules of probability:

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12.3 Basic Rules of Probability
 Rule 1For any event E, P(E) ≥ 0.
 Rule 2 If E=S (that is, if E contains all points in the
sample space), then P(E) = 1.
 Rule 3 If E1, E2,…,En is mutually exclusive
collection of events, then
k n
P( E1  E2  ...  En )   P( Ek )
k 1

 Rule 4 P(Ē) = 1 – P(E)

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12.3 Basic Rules of Probability
 For two events E1 and E2, P(E2\E1) (the
conditional probability of E2 given E1) is the
probability that the event E2 will occur given
that E1 has occurred. Then,
𝑃 𝐸2 \𝐸1 = 𝑃(𝐸1 ∩𝐸2 )
𝑃(𝐸 )
1

 Definition: Suppose events E1 and E2 both

occur with positive probability. Events E1 and
E2 are independent if and only if
P(E2|E1)=P(E2)(or equivalently, P(E1|E2) =
P(E1)).
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Example
Suppose we draw a single card from a deck of 52 cards.
1. What is the probability that a heart or spade is drawn?
2. What is the probability that the drawn card is not a 2?
3. Given that a red card has been drawn, what is the
probability that it is a diamond? Are the events
independent?
4. Show that the events
E1: spade is drawn
E2: 2 is drawn
are independent events.

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