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VI – Linear Programming
When do I use Linear Programming?
 Optimization problems
 Operations research
 Express problem in terms of linear
inequalities, linear equations and
constraints
 Attempt to find which combination of
variables and values maximizes the
objective function whilst satisfying the
inequalities and constraints
Common Application Areas
 Operations Research problems
• Resource planning (e.g. break-even analysis): seek to
maximize returns, given linearly expressed expenses,
payoffs, etc.
• Resource scheduling (expressing limits such as non-
consecutive slots allotted as linear equations)
• Cost/benefit analysis
 Graph algorithms
• Shortest path, network flow, traveling salesman, set
cover, etc.
Example Problem
 Economics Application: Profit
Maximization
• Suppose that a manufacturing plant produces
four products (x1, x2, x3, x4)
• Each product requires a certain amount of
labour (L), capital (K) and materials(M)
• The total labour for all products must not
exceed a certain limit
• You are given the following equations:
Example Problem cont’d
• L = 15x1 + 20x2 + 25x3 + 12x4 <= 1000
• K = 12x1 + 10x2 + 30x3 + 16x4 <= 900
• M = 15x1 + 20x2 + 30x3 + 9x4 <= 810
• Meaning that to produce 1 unit of x1, you need 15
units of labour, 12 units of capital and 15 units of
material.
• Associated with each unit of labour, capital and
material, there is a cost
• The unit cost of labour is 10
• The unit cost of capital is 15
• The unit cost of material is 8
Example Problem cont’d
 So what are the total costs for producing 1 unit of ?
• x1: 450
• x2: 510
• x3: 940
• x4: 432
 Given that the prices of the products are:
• x1: 800
• x2: 650
• x3: 1100
• x4: 700
Example Problem cont’d
 What are the profits per unit product?
• Profit = Price – Cost
• x1: 800 – 450 = 350
• x2: 650 – 510 = 140
• x3: 1100 – 940 = 160
• x4: 700 – 432 = 268
Example Problem cont’d
 The principal objective (P) is to
maximise profits as follows:
• P = 350x1 + 140x2 + 160x3 + 268x4
 Given the following constraints
• L: 15x1 + 20x2 + 25x3 + 12x4 <= 1000
• K: 12x1 + 10x2 + 30x3 + 16x4 <= 900
• M: 15x1 + 20x2 + 30x3 + 9x4 <= 810
• And also x1>=0, x2>=0, x3>=0 and x4>=0
LINEAR
PROGRAM
Standard Approach to Linear
Programming
 Expressed using linear inequalities
• Versus Slack which uses linear equalities
 More convenient
 As in profit maximisation example where units
are expressed as not exceeding certain limits
 Can be solved using graphs if two variables x1
and x2 are involved
 Several points in the graph can be tested to
find the one that yields an optimal solution
Slack Approach to Linear
Programming
 The standard inequalities are converted to
equalities
 Our example equations become:
• P = 350x1 + 140x2 + 160x3 + 268x4
• P = 350x1 + 140x2 + 160x3 + 268x4
• L: 15x1 + 20x2 + 25x3 + 12x4 <= 1000
• Slack: s1 = 1000 – 15x1 – 20x2 – 25x3 – 12x4
• Introduce slack variables (e.g. s1)
• Decision variables (x1, x2, x3, x4)
• Inequality becomes equality
Methods for Solving Linear Programs
 One popular method known as the Simplex algorithm
 Will not be covered in this course
 Many programs have been written that carry out the
Simplex Method.
 Basic Idea of the Simplex Method: The optimal solution
occurs at the corner points of the region (when you plot
the graphs of the inequations)
 Simplex method: can be used to detect when a solution is
not feasible.
 Focus: how to express a problem as a linear program.

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V -linear_programming

  • 1. VI – Linear Programming
  • 2. When do I use Linear Programming?  Optimization problems  Operations research  Express problem in terms of linear inequalities, linear equations and constraints  Attempt to find which combination of variables and values maximizes the objective function whilst satisfying the inequalities and constraints
  • 3. Common Application Areas  Operations Research problems • Resource planning (e.g. break-even analysis): seek to maximize returns, given linearly expressed expenses, payoffs, etc. • Resource scheduling (expressing limits such as non- consecutive slots allotted as linear equations) • Cost/benefit analysis  Graph algorithms • Shortest path, network flow, traveling salesman, set cover, etc.
  • 4. Example Problem  Economics Application: Profit Maximization • Suppose that a manufacturing plant produces four products (x1, x2, x3, x4) • Each product requires a certain amount of labour (L), capital (K) and materials(M) • The total labour for all products must not exceed a certain limit • You are given the following equations:
  • 5. Example Problem cont’d • L = 15x1 + 20x2 + 25x3 + 12x4 <= 1000 • K = 12x1 + 10x2 + 30x3 + 16x4 <= 900 • M = 15x1 + 20x2 + 30x3 + 9x4 <= 810 • Meaning that to produce 1 unit of x1, you need 15 units of labour, 12 units of capital and 15 units of material. • Associated with each unit of labour, capital and material, there is a cost • The unit cost of labour is 10 • The unit cost of capital is 15 • The unit cost of material is 8
  • 6. Example Problem cont’d  So what are the total costs for producing 1 unit of ? • x1: 450 • x2: 510 • x3: 940 • x4: 432  Given that the prices of the products are: • x1: 800 • x2: 650 • x3: 1100 • x4: 700
  • 7. Example Problem cont’d  What are the profits per unit product? • Profit = Price – Cost • x1: 800 – 450 = 350 • x2: 650 – 510 = 140 • x3: 1100 – 940 = 160 • x4: 700 – 432 = 268
  • 8. Example Problem cont’d  The principal objective (P) is to maximise profits as follows: • P = 350x1 + 140x2 + 160x3 + 268x4  Given the following constraints • L: 15x1 + 20x2 + 25x3 + 12x4 <= 1000 • K: 12x1 + 10x2 + 30x3 + 16x4 <= 900 • M: 15x1 + 20x2 + 30x3 + 9x4 <= 810 • And also x1>=0, x2>=0, x3>=0 and x4>=0 LINEAR PROGRAM
  • 9. Standard Approach to Linear Programming  Expressed using linear inequalities • Versus Slack which uses linear equalities  More convenient  As in profit maximisation example where units are expressed as not exceeding certain limits  Can be solved using graphs if two variables x1 and x2 are involved  Several points in the graph can be tested to find the one that yields an optimal solution
  • 10. Slack Approach to Linear Programming  The standard inequalities are converted to equalities  Our example equations become: • P = 350x1 + 140x2 + 160x3 + 268x4 • P = 350x1 + 140x2 + 160x3 + 268x4 • L: 15x1 + 20x2 + 25x3 + 12x4 <= 1000 • Slack: s1 = 1000 – 15x1 – 20x2 – 25x3 – 12x4 • Introduce slack variables (e.g. s1) • Decision variables (x1, x2, x3, x4) • Inequality becomes equality
  • 11. Methods for Solving Linear Programs  One popular method known as the Simplex algorithm  Will not be covered in this course  Many programs have been written that carry out the Simplex Method.  Basic Idea of the Simplex Method: The optimal solution occurs at the corner points of the region (when you plot the graphs of the inequations)  Simplex method: can be used to detect when a solution is not feasible.  Focus: how to express a problem as a linear program.