Optimization and

Linear Programming

Rini Novrianti Sutardjo Tui

The Optimal Decision Problem

Decision which incurs the least cost among

the set of permissible decisions

The set of all

The cost of
permissible
each
decisions
The is
decisions decision
can be is
known
known
ranked according
to
whether they incur
greater or lesser cost

Optimization Methods

Discrete-time
Optimal Control

Non-linear
Programming

Dynamic
Programming

Linear
Programming

Linear Programming (LP)

Standard form of LP problem with m constraints and n variables
Maximize/minimize :Z=c1x1+c2x2++cnxn
Constraints

:a11x1+a12x2++a1nxn=b1
a21x1+a22x2++a2nxn=b2

am1x1+am2x2++amnxn=bm

x10;x20;;xn0
b10;b20;;bm0

Linear Programming in Vector Form

a11

am1
x1
x
xn1 2

... a2n
... ... ...

am2 ... amn

b1
b
bm1 2

...

...

Amxn =

a22

Maximize/minimize

:Z=cx

Constraints

:Ax=b
x0
b0

a12 ... a1n

21

...

c1n cx1n c2 ... cn bm

Prerequisites of LP Model

Function of objective is
maximize or minimize

is non-negative

Constant in right
side of constraints

All constraints are stated

as equations

All variables are nonnegative

Linear Programming Model

x2

x1 = 8

15
Minimize

:Z=40x1+36x2

Constraints

:x18
x210

10

x2 = 10

:5x1+3x245

x10;x20

A (8, 5/3)

x1

Simplex Method

Simplex
For complex and broad

All
constraints
have to be
equations, if not
then slack variable or
surplus variable is
needed.

problem of linear
programming

Constant in
right side of
constraint
equations has
to be nonnegative, if not
then it has to be
transformed to
positive value.

General Model of Simplex Method

Maximize
Function of Objective: Maximize
Z C1X1-C2X2- . . . . . CnXn-0S1-0S2-. . .-0Sn = NK

Function of Constraints:
a11X11+a12X12+. . . .+a1nXn+ S1+0S2+. . .+0Sn = b1
Variables
a21X21Activities
+a22X22+.
. . .+a2nXnSlack
+ 0S1Variables
+1S2+. . .+0Sn = b2
. ..
. .. .. . ..=

General Model of Simplex Method

Minimize
Function of Objective: Minimize
Z C1X1-C2X2- . . . . . CnXn-0S1-0S2-. . .-0Sn = RhV

Function of Constraints:
a11X11+a12X12+. . . .+a1nXn- S1-0S2-. . . - 0Sn = b1
Variables
a21XActivities
21+a22X22
+. . . .+a2nSurplus
Xn- 0S1Variables
-1S2-. . . - 0Sn = b2
. ..
. .. .. . ..=
am1Xm1+am2Xm2+. . . .+amnXn- S1- 0S2-. . . -1Sn = bm

Solving Simplex Model

Formulate LP problem into standard form of LP

Transform LP model into simplex model

Formulate simplex table

Take steps of solving

Simplex Model

Column table of
basic variables

Row table of Cj - Zj

Table of Matrix

Linear Programming

COLUMN TABLE OF MATRIX

OF BASIC VARIABLES

Example Step 1
Maximize:
Linear Programming Method
Function of Objective:
Maximize: Z=8X1 + 6X2 (in thousand IDR)
Function of Constraints:
Material A : 4X1 + 2X2 60
Material B : 2X1 + 4X2 48
X1, X2 0

Step 2
Simplex Model:
Function of Objective: Maximize
Z 8X16 X20S1- 0S2 = 0

Function of Constraints:
4X1+2X2+ S1+ 0S2 = 60
2X1+4X2+0S1+ 1S2 = 48
X 1 , X 2, S 1 , S 2 0

Step 3 1
Simplex Table
Basic
Variables

X1

X2

S1

S2

RhV

Step 3 2
Simplex Table
Basic
Variables
Z
S1
S2

X1

X2

S1

S2

RhV

Step 3 3
Simplex Table
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1
S2

Step 3 4
Simplex Table
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1

60

S2

Step 3 5
Simplex Table
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1

60

S2

48

Step 4 1
First iteration Iteration-0
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1

60

S2

48

Step 4 2
Iteration-1: Determining key column
Basic
Variables

X1

X2

S1

S2

RhV

-8

-6

S1

60

S2

48

Keycolumn: column with biggest negative

valueof coefficientsof function of constraints.

Step 4 3
Iteration-1: Determining key row
Z

X1

X2

S1

S2

RhV

Index

-8

-6

S1

60

15

S2

48

24

Basic
Variables

Keynumber
Index value:RV/keycolumn
Keyrow: row with smallest index value(positive).

Step 4 4
Iteration-1: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

15

Z
X1
S2

Newkey row: (previouskey row)/key number

Other row value:(previousrow value) ( (new
keyrow) x keycolumn of the row itself).

Step 4 5
Iteration-1: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

X1

15

S2

18

Newkey row: (previouskey row)/key number

Other row value:(previousrow value) (new
keyrow) x keycolumn of the row itself

Step 4 6
Iteration-1: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

-2

120

X1

15

S2

18

Newkey row: (previouskey row)/key number

Other row value:(previousrow value) (new
keyrow) x keycolumn of the row itself

Step 4 7
Iteration-2: Determining key column
Basic
Variables

X1

X2

S1

S2

RhV

-2

120

X1

15

S2

18

Step 4 8
Iteration-2: Determining key row
Z

X1

X2

S1

S2

RhV

Index

-2

120

X1

15

30

S2

18

Basic
Variables

Step 4 9
Iteration-2: Changes of row value
Basic
Variables

X1

X2

S1

S2

RhV

Index

1/3

Z
X1
X2

-1/6

Step 4 10
Iteration-2: Changes of row value
Z

X1

X2

S1

S2

RhV

Index

5/3

2/3

132

X1

1/3

12

X2

Basic
Variables

-1/6

-1/6
1/3

Solution

X1 = 12

Zmax =
IDR
132,000

X2 = 6

Linear Programming

ROW TABLE OF MATRIX OF

CJ - ZJ

Example Step 1
Maximize:
Linear Programming Method
Function of Objective:

Maximize:
Z=3X + 5Y
Function
of Constraints:
2X 8
3Y 15
6X + 5Y 30
X, Y 0

Step 2
Simplex Model:
Function of Objective: Maximize
Z=3X+5Y+0S1+0S2+0S3

Function of Constraints:
2X+0Y+ 1S1+ 0S2+0S3 = 8
0X+3Y+ 0S1+ 1S2+0S3 = 15
6X+5Y+ 0S1+ 0S2+1S3 = 30
X,Y, S1, S2 , S3 0

Step 3 Enter each coefficient into

simplex table
BasicVar.

Obj.

Cj

S1

S2

S3

S1

S2

15

S3

30

Zj

Cj-Zj

Qty.Ratio

Step 4 Determine key column

BasicVar.

Obj.

Cj

S1

S2

S3

S1

S2

15

S3

30

Zj

Cj-Zj

Keycolumn: column with biggest positive

valueof Cj Zj (maximize),or column with
biggest negativevalueof Cj Zj(minimize).

Qty.Ratio

Step 5 Determine key row

BasicVar.

Obj.

Cj

S1

S2

S3

Qty.Ratio

S1

8/0=~

S2

15

15/3=5

S3

30

30/5=6

Zj

Cj-Zj
Quantity_ratio

Q_value
coefficient _of _variables_of _key_column_of _responding_row

Keyrow: row with the smallest valueof

quantityratio.

Step 6 Determine pivot point

BasicVar.

Obj.

Cj

S1

S2

S3

Qty.Ratio

S1

8/0=~

S2

15

15/3=5

S3

30

30/5=6

Zj

Cj-Zj

Step 7 Change value of key row

New value : previous key row value/pivot point

15/3
5

0/3

3/3

0/3

New value for row S2:

1/3
1/3

0/3
0

Step 8 Change value of non-key

row
New value = previous value (FR x previous value of key row)

FR (fixed ratio) is coefficient of variables of key column of corresponding row/pivot point

Row S1:
FR = 0/3 = 0,
30
6
5
0
0
1
Since value of FR is 0, therefore for row S1, new value = previous value
0
3
0
1
0
Row S2:(5/3) x 15
FR = 5/3,

-5/3

Step 9 Change table in step 3

BasicVar.

Obj.

Cj

S1

S2

S3

S1

1/3

S3

-5/3

Zj

5/3

-5/3

Cj-Zj

Changein basicvariable:variablesof key

column(Y) replace variableof keyrow (S2)

Qty.Ratio

Step 10 Optimality test

Simplex table is consideredoptimal if value of Cj- Zj 0 for case of
maximize and value of Cj Zj 0 for case of minimize.
Table in step 9 indicates that there is still positive value of Cj-Zj,
therefore optimal condition has not been reached yet.
Repeat step 3 9 until optimized solution is achieved.

Step 11 Repeat step 3 9

Obj.

Cj

Basic
Var.

S1

S2

S3

S1

38/6

5/9

-2/6

1/3

5/6

-5/18

1/6

Zj

15/18

3/6

Cj-Zj

-15/18

-3/6

Qty.Ratio

Solution

X = 5/6

Z = (3 x
5/6) + (5 x
5) = 27.5

Y=5

M i n i n g

M a n a g e m e n t