CHAPTER 2
INTRODUCTION TO LINEAR
PROGRAMMING
Linear Programming Problem
Problem Formulation
A Simple Maximization Problem
Graphical Solution Procedure
Extreme Points and the Optimal Solution
Special Cases
Linear Programming
Linear programming has nothing to do with
computer programming.
The use of the word “programming” here means
“choosing a course of action.”
Linear programming involves choosing a course
of action when the mathematical model of the
problem contains only linear functions.
LINEAR PROGRAMMING (LP) PROBLEM
The maximization or minimization of some
quantity is the objective in all linear programming
problems.
All LP problems have constraints that limit the
degree to which the objective can be pursued.
A feasible solution satisfies all the problem's
constraints.
An optimal solution is a feasible solution that
results in the largest possible objective function
value when maximizing (or smallest when
minimizing).
A graphical solution method can be used to solve a
linear program with two variables.
LINEAR PROGRAMMING (LP) PROBLEM
Ifboth the objective function and the
constraints are linear, the problem is referred
to as a linear programming problem.
Linear functions are functions in which each
variable appears in a separate term raised to
the first power and is multiplied by a
constant (which could be 0).
Linear constraints are linear functions that
are restricted to be "less than or equal to",
"equal to", or "greater than or equal to" a
constant.
PROBLEM FORMULATION
Problem formulation or modeling is the process
of translating a verbal statement of a problem
into a mathematical statement.
Formulating models is an art that can only be
mastered with practice and experience.
Every LP problems has some unique features,
but most problems also have common features.
General guidelines for LP model formulation are
illustrated on the slides that follow.
GUIDELINES FOR MODEL
FORMULATION
Understand the problem thoroughly.
Describe the objective.
Describe each constraint.
Define the decision variables.
Write the objective in terms of the decision
variables.
Write the constraints in terms of the decision
variables.
EXAMPLE 1: A SIMPLE MAXIMIZATION PROBLEM
LP
Formulation Objectiv
Max 5x1 + 7x2 e
Function
s.t. x1
“Regular”
< 6 Constraint
2x1 + 3x2 s
< 19 Non-
x1 + x2 negativity
Constraints
< 8
x1 > 0 and x2
>0
EXAMPLE 1: GRAPHICAL SOLUTION
First Constraint Graphed
x2
8
7 x1 = 6
6
Shaded region
5 contains all
4 feasible points
for this constraint
3
2
(6, 0)
1
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
Second Constraint Graphed
x2
8 (0, 6 1/3)
7
6
5
2x1 + 3x2 =
19
4
Shaded
3
region contains
2 all feasible points (9 1/2, 0)
1 for this constraint
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
Third Constraint Graphed
x2
(0, 8)
8
7
6 x1 + x2 = 8
5
4
Shaded
3
region contains
2 all feasible points
1 for this constraint (8, 0)
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
Combined-Constraint Graph Showing Feasible
Region
x2
8
x1 + x2 = 8
7
6 x1 = 6
5
4
3
Feasible 2x1 + 3x2 =
2
Region 19
1
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
Objective Function Line
x2
8
7
(0, 5)
6 Objective Function
5 5x1 + 7x2 = 35
4
3
2
(7, 0)
1
x1
1 2 3 4 5 6 7 8 9 10
Example 1: Graphical Solution
Selected Objective Function
Linesx2
8
7
5x1 + 7x2 = 35
6
5 5x1 + 7x2 = 39
4
3 5x1 + 7x2 = 42
2
1
x1
1 2 3 4 5 6 7 8 9 10
EXAMPLE 1: GRAPHICAL SOLUTION
Optimal Solution
x2
Maximum
Objective Function Line
8
5x1 + 7x2 = 46
7
6 Optimal Solution
(x1 = 5, x2 = 3)
5
4
3
2
1
x1
1 2 3 4 5 6 7 8 9 10
SUMMARY OF THE GRAPHICAL SOLUTION PROCEDURE
FOR MAXIMIZATION PROBLEMS
Prepare a graph of the feasible solutions for each of
the constraints.
Determine the feasible region that satisfies all the
constraints simultaneously.
Draw an objective function line.
Move parallel objective function lines toward larger
objective function values without entirely leaving
the feasible region.
Any feasible solution on the objective function line
with the largest value is an optimal solution.
SLACK AND SURPLUS VARIABLES
A linear program in which all the variables are non-
negative and all the constraints are equalities is
said to be in standard form.
Standard form is attained by adding slack
variables to "less than or equal to" constraints,
and by subtracting surplus variables from "greater
than or equal to" constraints.
Slack and surplus variables represent the
difference between the left and right sides of the
constraints.
Slack and surplus variables have objective function
coefficients equal to 0.
SLACK VARIABLES (FOR < CONSTRAINTS)
Example 1 in Standard Form
Max 5x1 + 7x2 + 0s1 + 0s2 + 0s3
s.t. x1 + s1 = 6
2x1 + 3x2 + s2 = 19
x1 + x2 + s3 = 8
x 1, x 2 , s1 , s2 , s3 > 0
s1 , s2 , and s3
are slack
variables
Slack Variables
Optimal Solution
x2 Third
Constraint: First
8 x1 + x2 = 8 Constraint:
s3 = x1 = 6
7
0 s1 =
6 1
5
Second
4
Constraint:
3 2x1 + 3x2 =
Optimal
2 s19
2 =
Solution
1 (x1 = 5, x2 = 3) 0
x1
1 2 3 4 5 6 7 8 9 10
EXTREME POINTS AND THE OPTIMAL
SOLUTION
The corners or vertices of the feasible
region are referred to as the extreme points.
An optimal solution to an LP problem can be
found at an extreme point of the feasible
region.
When looking for the optimal solution, you
do not have to evaluate all feasible solution
points.
You have to consider only the extreme
points of the feasible region.
EXAMPLE 1: EXTREME POINTS
x2
8
7 5 (0, 6 1/3)
6
5
4
4 (5, 3)
3
Feasible 3 (6, 2)
2 Region
1 1 (0, 2 (6, 0)
0) x1
1 2 3 4 5 6 7 8 9 10
SPECIAL CASES
Alternative Optimal Solutions
In the graphical method, if the objective
function line is parallel to a boundary constraint
in the direction of optimization, there are
alternate optimal solutions, with all points on
this line segment being optimal.
Example: Alternative Optimal Solutions
Consider the following LP problem.
Max 4x1 + 6x2
s.t. x1
< 6
2x1 + 3x2
< 18
x1 + x2
< 7
x1 > 0 and x2
>0
Example: Alternative Optimal Solutions
Boundary constraint 2x1 + 3x2 < 18 and
objective function Max 4x1 + 6x2 are
parallel. All points on line segment A – B are
x2 solutions.
optimal
x1 + x2 < 7
7
6 Max 4x1 + 6x2
A
5
B x1 < 6
4
3 2x1 + 3x2 <
2 18
1
x1
1 2 3 4 5 6 7 8 9 10
Special Cases
Infeasibility
• No solution to the LP problem satisfies all the
constraints, including the non-negativity
conditions.
• Graphically, this means a feasible region
does not exist.
• Causes include:
• A formulation error has been made.
• Management’s expectations are too high.
• Too many restrictions have been placed on
the problem (i.e. the problem is over-
constrained).
EXAMPLE: INFEASIBLE PROBLEM
Consider the following LP
problem.
Max 2x1 + 6x2
s.t. 4x1 + 3x2
< 12
2x1 + x2
> 8
x1, x2
> 0
EXAMPLE: INFEASIBLE PROBLEM
There are no points that satisfy both
constraints, so there is no feasible region (and
no feasiblexsolution).
2
10
2x1 + x2 > 8
8
6
4x1 + 3x2 < 12
4
x1
2 4 6 8 10
Special Cases
Unbounded
• The solution to a maximization LP problem
is unbounded if the value of the solution
may be made indefinitely large without
violating any of the constraints.
• For real problems, this is the result of
improper formulation. (Quite likely, a
constraint has been inadvertently omitted.)
EXAMPLE: UNBOUNDED SOLUTION
Consider the following LP problem.
Max 4x1 + 5x2
s.t. x1 + x2
> 5
3x1 + x2
> 8
x1, x2
> 0
EXAMPLE: UNBOUNDED SOLUTION
The feasible region is unbounded and the
objective function line can be moved outward
from the origin without bound, infinitely
increasing the
x2objective function.
10
3x1 + x2 > 8
8
Ma
6 x
4x
1 +
4 5x
2 x1 + x2 > 5
2
x1
2 4 6 8 10
END OF CHAPTER 2
